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Eurex Clearing Prisma
Eurex Clearing Prisma
Portfolio margining & Cross margining = Eurex Clearing Prisma
Eurex Clearing is optimizing post-trade activities for all market participants – so you can respond faster to challenging market conditions and feel confident that you are clear to trade. The Prisma method is based on the view of each member’s entire portfolio and accounts for hedging and cross-correlation effects through determining the margin requirement on a portfolio level.
Portfolio margining & Cross margining
Eurex Clearing Prisma calculates combined risks across all markets cleared by Eurex Clearing. Cleared products that share similar risk characteristics are assigned to the same so-called Liquidation Group (LG), which results in more comprehensive risk calculations enabling portfolio and cross margining across positions within any Liquidation Group. Our margining method and default management process are closely aligned.
- Portfolio margining is applied to products within the same Liquidation Group and with the same holding period, e.g. EURO STOXX 50® Index and DAX® Futures. Portfolio margining offers significant margin efficiencies for diversified portfolios.
- Prisma also permits cross margining between products across markets that are part of our fixed income offering. Cross margining allows for offsets between products with different holding periods. We offer cross margining between OTC IRS (5 day holding period) and listed fixed income products (2 day holding period). The reduced risk profile of interest rate hedged portfolios is therefore adequately reflected by lower initial margin requirements.
Advantages for Clearing Members, their customers and the Clearing House
- Capital efficiencies: more accurate risk netting effects for listed, and between listed and OTC positions.
- Accuracy: cross-product scenarios enable a consistent way to account for portfolio correlation and diversification effects.
- Robustness: methodology designed to enable stable and lower initial margin requirements.
- Consistent framework: consistent risk and default management process for listed and OTC products.
- Automated: automated processes for faster time-to-market.
Aligned: margining method and default management process are closely aligned.
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