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Pioneering CCP transparency to maintain safer markets (part 6)

Release date: 12 Nov 2018 | Eurex Exchange, Eurex Clearing

Pioneering CCP transparency to maintain safer markets (part 6)

The Public Quantitative Disclosure (PQD) is an internationally agreed format defined by CPMI-IOSCO with the intention of enhancing CCP market transparency. Eurex Clearing has been publishing its PQD since 2015 and continues to strongly support CCP transparency and market stability. The Public Quantitative Disclosure (PQD) is an internationally agreed format defined by CPMI-IOSCO with the intention of enhancing CCP market transparency. Eurex Clearing has been publishing its PQD since 2015 and continues to strongly support CCP transparency and market stability. 

With the disclosure for Q4/2016, Eurex Clearing began a series of commentary to highlight key trends, discuss current topics and shed some light on selected data points. The current note is the sixth part of the series.

 
Eurex Clearing is committed to transparency and the reproducibility of margin figures. New technologies and the expectations of market participants are rapidly changing, and meeting these goals is a continuous process. 

Margin transparency and margins in the cloud

In recognition of this, Eurex Clearing is releasing the Cloud Prisma Margin Estimator (Cloud PME), a cloud-based solution for margin simulation of existing or custom portfolios of Exchange Traded Derivatives (ETD) under Prisma, the portfolio-based risk management framework of Eurex Clearing. The service is free of charge and is accessible through a GUI or an API. The GUI interface is easy to use and allows the user to enter positions directly or upload portfolios in simple CSV files and get the corresponding margin requirement displayed immediately. The API has the same functionality as the GUI, but allows the use of a programming language, e.g. Python, to upload portfolios and retrieve the results. The example below shows how it only takes a few lines of code to specify a position and get the margin requirement from the API.

Eurex Clearing margin tools

Cloud PME is the latest addition to the family of Prisma margin tools available at Eurex Clearing. We recognize that clients have different needs and we therefore continue to extend the number of margin services and broaden their scope.

The table below highlights the major differences between the Prisma margin simulators, allowing end users to make an informed decision about which tool to use. 


Cloud PME – GUI example

To try the GUI interface to Cloud PME, visit https://eurexmargins.prod.dbgservice.com and follow the instructions.

Cloud PME – API example

The following example shows how easy it is to calculate margin figures with the Cloud PME API. The simple Python script first retrieves a list of valid series for Euro-Bund futures (product code FGBL), constructs a position from the first valid contract in the list, queries Cloud PME for the corresponding margin figures, and finally outputs the result of the margin calculation.

Please notice that the API requires an API key in the input, and the string containing x’s must be replaced with your unique key before running the example. For instructions on how to order an API key and further documentation of the API, please visit https://eurexmargins.docs.apiary.io.

Cloud PME – API example in Python

import requests


url_base = ('https://api.developer.deutsche-boerse.com/prod/prisma-margin-estimator/1.0.0/')
api_key = {'X-DBP-APIKEY': 'xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx'}


series = requests.get(url_base + 'series', params = {'products': 'FGBL'}, headers = api_key).json()
maturity = series['list_series'][0]['expiry_maturity']
version_number = series['list_series'][0]['version_number']


future = {"product_id": "FGBL", "version_number": version_number, "maturity": maturity, "net_ls_balance": 100, "line_no": 1}


portfolio = {"clearing_currency": "EUR", "portfolio": [future]}
result = requests.post(url_base + 'estimator', json = portfolio, headers = api_key).json()
print(result)