A member of
Eurex Clearing
1. Introduction
This circular announces the recalibration of the Risk-Based Margining (RBM) Margin Parameters for Fixed Income Exchange-Traded Fund (FI ETF) instruments. The scope of risk-based calibration procedure is extended to a subset of FI ETF instruments. The implementation will result in a reduction of margin parameters for ISINs in scope.
Effective Date
2 March 2026
2. Required Action
No action is required from Participants.
3. Details of the Initiative
Scope of Application:
a. Physically replicated or optimized Fixed Income ETFs, which are defined as funds traded on the Deutsche Börse Cash Market consisting of debt securities. This includes bond ETFs, bond index ETFs, and money market ETFs.
b. UCITS-compliant synthetic (swap-based) ETFs also remain within scope. However, the recalibrated margin parameter will apply exclusively to the portion of the fund that is required to be physically replicated under UCITS regulations. The 100 percent margin parameter will continue to apply to the remaining 10 percent synthetic portion.
As of 23 February 2026, this change affects 750 distinct ISINs.
Margin Parameter Calibration
Current Methodology: The minimum margin parameter for the instruments in scope is currently 100 percent.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors, FCM Clearing Members and other affected contractual parties | |
Target groups: | Front Office/Trading, Middle + Backoffice | |
| Contact: | client.services@eurex.com | |
| Web: | www.eurex.com/ec-en/ | |
Authorized by: | Dmitrij Senko |