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Eurex Clearing
As announced with Eurex Clearing circular 060/11, Eurex Clearing will introduce a new Portfolio Based Risk Management Method in June 2012. An integral part of Eurex Clearing Prisma is the provision of a transparency layer, which enables Clearing Members and Non-Clearing Members to recalculate and reconcile the margin requirement according to the same margin methodology. The “Eurex Clearing Prisma - User Guide Methodology Description” and the complementing Excel file, “Eurex Clearing Prisma - User Guide Sample Calculation” contain a detailed description of the files and data provided by Eurex Clearing including a detailed explanation of the different margin components of Eurex Clearing Prisma and how the different components can be calculated based on the data provided.
In addition, Eurex Clearing is pleased to announce that it is able to offer an indicative calculation of individual client portfolios under the new Eurex Clearing Prisma methodology. The document “Eurex Clearing Prisma - Margin Calculation for Test Portfolio Guideline” contains a description in which formats and how the portfolios should be submitted to Eurex Clearing as well as the respective service levels for returning the results. Please consider that the calculated margin requirements are indicative only.