Prisma portfolio-based margining
Aug 27, 2026
Liquidation Groups
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Aug 27, 2026
Indicative Prisma margins for single Eurex-cleared swaps
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Aug 27, 2026
Prisma Margin Requirements for selected products (single position portfolios)
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Liquidation Groups
The Excel "PrismaEligibleProducts.xls" shows which products belong to the
- Listed Equity (Index) Derivatives Liquidation Group (PEQ01)
- Commodity (Index) Derivatives Liquidation Group (PCM01)
- Precious Metal Derivatives Liquidation Group (PPM01)
- Derivatives on Fixed Income ETFs Liquidation Group (PEF01)
- Crypto Derivatives Liquidation Group (PCY01)
- Fixed Income and FX Liquidation Group (PFI01)
PFI01 further contains
- all OTC Interest Rate Derivatives (IRS) transactions (according to the Clearing Conditions Chapter VIII) in products as described on the EurexOTC Clear IRS webpage and
- all Bonds resulting from Repo Transactions subject to portfolio margining, namely, all Euro denominated Bonds that are:
- Zero Coupon and Fixed coupon, bullet Bonds issued by governments of Germany, France, Italy, and Spain
- Zero Coupon and Fixed coupon, bullet Bonds issued by Supranational Organizations (AAA and AA rated).
The Bond Liquidation Group (PBN01) is composed of all Special Repo transactions excluding the bonds contained in PFI01 and all GC Pooling transactions.
The FX NDF Liquidation Group (PNF01) includes all OTC Non-Deliverable FX Forward transactions.
All products not part of Liquidation Groups listed above form one Relevant Liquidation Group as defined in the Clearing Conditions Chapter I, Part 1, 6.2.
Risk-based margining
Aug 27, 2026
Margin Parameters for Prisma Bonds
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Aug 27, 2026
Margin Parameters CCP Instruments (excl. Bonds)
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Aug 27, 2026
Margin Parameters for Bonds and Repos
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General Parameters
Aug 27, 2026
Collateral Acceptance and Haircuts
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Aug 27, 2026
Admissible securities
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Aug 27, 2026
Global Admissible Securities
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Aug 27, 2026
ESG Admissible Securities Assessment
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