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Eurex Clearing
As announced with Eurex Clearing circular 092/14, Eurex Clearing extended its clearing services to futures contracts on interest rate swaps denominated in euro with various terms (two, five, ten and 30 years) and fixed rate arrangements (Euro-Swap Futures) listed at Eurex Exchange on 1 September 2014.
As of 27 October 2014, listed Euro-Swap Futures will be available within Eurex Clearing Prisma and assigned to the Liquidation Group for fixed income derivatives (PFI01). The risk will then be calculated in Eurex Clearing Prisma for these products. Clearing Members who already migrated Liquidation Group PFI01 to Eurex Clearing Prisma benefit from portfolio risk margin offsets which are granted within this Liquidation Group. In addition, the listed Euro-Swap Futures are considered in the cross-margining process between listed fixed income (FI) derivatives and interest rate swaps (IRS) to offset interest rate sensitivities.
Furthermore, this circular clarifies the handling of the Euro-Swap Futures at maturity.