Eurex
XML Report Reference Manual
Version V 3.1.3
05.04.2017
XML Report Descriptions
Page 243
4.3.7
CC040 Liquidating Values
Description
This report shows the worst-case liquidation costs or proceeds in all
the series, equity and subscription right positions of a margin class for
the following 6 scenarios: 1) upside price movement / volatility
movement up; 2) upside price movement / volatility movement neutral;
3) upside price movement / volatility movement down; 4) downside
price movement / volatility movement up; 5) downside price movement
/ volatility movement neutral; 6) downside price movement / volatility
movement down.
However, the volatility up and down scenarios are evaluated and
displayed only for margin classes that contain non-expired options.
The worst-case strike price for given price and volatility movement
direction is chosen for margin class as whole and the total liquidation
costs or proceeds for the margin class are shown. In the case maturity-
dependent margin class, the total is calculated for each expiration
separately. All amounts are in the product currency.
For equities the liquidating value is calculated with different theoretical
prices within the margin interval and considering discount effects. For
conditional subscription rights the liquidating value is calculated with
the maximal and minimal theoretical value of the conditional
subscription right. Discounting effects are considered for all
subscription rights. The liquidating values are calculated with the prices
shown on CC033 and CC034.
Displayed is the highest calculated difference (also called the worst
case) to the immediate liquidating costs and proceeds for the upside
and downside interval zones for each of the three volatility movement
scenarios separately. The case of zero movement of the underlying
price is also evaluated as a scenario (called price-neutral). If price-
neutral scenario results in a liquidation cost greater than the liquidation
cost for both up and down price movements, the lesser of price-up and
price-down cost is substituted by the price-neutral liquidation cost. All
figures are displayed in the product currency.
Short Option Minimum:
An adjustment is made to all short option positions where the worst
case liquidating value is lower than a defined minimum amount. These
adjustments are taken into consideration if the entire position of the
respective margin class bears its maximum closeout risk at either end
of the margin interval. If the maximum closeout risk is related to any
option strike price in between the downside and upside boundaries of
the margin interval, the short option adjustment is not applied.
