Enhanced cross margining along the euro yield curve

• Deep clearing liquidity pools
• Enhanced cross margining along the complete Euro yield curve without any maturity constraints, allowing for up to 70% initial margin savings
• Full IRD product coverage including FRA, IRS, Basis and OIS
• Full suite of listed interest rate derivatives, both short-term and long-term, including futures and options on the German Bund, Bobl, Schatz and Buxl.
• Higher capital efficiencies: greater netting effects between listed and OTC positions
• Single collateral management

With PRISMA release 10.2, we refined our cross-product margining (CPM) algorithm to better capture the offsetting relationship of holding long and short positions in correlated fixed income asset classes. The examples below show that the strategies applied on the OTC IRS side and the fixed income listed futures side are always offsetting in DV01 terms. The new enhancements allow our algorithm to recognize the DV01-neutrality of these structured trades and calculate an amount of initial margin reflective of the reduced risk embedded in the offsetting nature of these trades. These capital charges reductions are not exclusive to such structured trades but are also seen in real-life portfolios of hundreds of long and short positions across OTC swaps and listed fixed income futures.

Prisma Margin calculators

At Eurex Clearing we understand that sophisticated margin replication and simulation is essential for our members and their clients. To this end we offer several tools to calculate and simulate margin requirements within the Eurex Clearing Prisma framework, each tool designed for a different use case:
The Prisma Online Margin Calculator is a browser-based tool for members, running on Eurex Clearing’s production and simulation environments.
The Cloud Prisma Margin Estimator (Cloud PME) is a cloud-based calculator accessible by GUI and API.