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Eurex Clearing
Eurex Clearing Prisma, the portfolio-based margin methodology, is the new benchmark which is gradually replacing the existing margin methodology (Risk-based Margining, RBM). As announced in Eurex Clearing circular 170/14, RBM will be decommissioned for all exchange-traded-derivatives (ETDs) assigned to a Prisma Liquidation Group until the end of 2015. The main asset classes equity derivatives, equity index derivatives and fixed income derivatives are already available in Prisma.
To facilitate the migration to Eurex Clearing Prisma, Eurex Clearing will introduce a Supplementary Margin based on the Eurex Clearing Prisma margin methodology effective 18 August 2015.
This change only affects accounts which have not yet been migrated to Prisma. For these accounts, the difference of margin requirements in Prisma and RBM is monitored individually. If the difference for one account exceeds a certain materiality threshold, a Supplementary Margin process will be initiated. The materiality threshold will be initially set to 50 million in clearing currency (i.e. euro or Swiss franc). It will be reduced as the decommissioning of RBM for derivatives approaches. The Supplementary Margin will be charged automatically as part of the end of day processing. Affected Clearing Members will be called for more collateral as part of the standard process without further notice.