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Prisma: Time-to-Expiry Adjustment relevant for quarterly expiry for the first time in March 2019

Release date: 08 Mar 2019 | Eurex Clearing

No. 024/2019 Prisma: Time-to-Expiry Adjustment relevant for quarterly expiry for the first time in March 2019

With Eurex Clearing Prisma Release 8.0, in December 2018, the functionality of the Time-to-Expiry Adjustment was rolled out and taken live in January 2019.

The Time-to-Expiry Adjustment affects the margining of short-to-expiry, cash-settled positions within Eurex Clearing’s portfolio margining model Prisma. It addresses the potential risks of calendar-spread like positions, whose short-to-expiry leg expires within the Margin Period of Risk (MPOR).

Eurex Clearing would like to use the opportunity to raise awareness of this initial margin model adjustment prior to the large quarterly expiry of exchange-traded derivatives in March 2019.

Please find detailed information regarding the Prisma Time-to-Expiry Adjustment in this circular.

Further information