Risk parameters and initial margins

Prisma portfolio-based margining

11 Nov 2020

Liquidation Groups

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23 Mar 2017

Bond Cluster

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24 Sep 2021

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)
  • Listed Fixed Income Liquidation Group (PFI01)
  • Asian cooperations KOSPI/TAIFEX Liquidation Group (PAC01)
  • Commodity (Index) Derivatives Liquidation Group (PCM01)
  • Precious Metal Derivatives Liquidation Group (PPM01)
  • FX Derivatives Liquidation Group (PFX01)
  • Corporate Bond Liquidation Group (PCB01)
  • Derivatives on Fixed Income ETFs Liquidation Group (PEF01)
  • MSCI Dividend Futures Liquidation Group (PEQDF)
  • Collateral Index Liquidation Group (PEQCO)
  • Related Security Spread Index Liquidation Group (PRS01)
  • Crypto Derivatives Liquidation Group (PCY01)

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.

In addition, the Bond Liquidation Group PBN01 is defined. PBN01 contains all Eurex Bonds transactions (according to the Clearing Conditions Chapter III), all Special Repo transactions and all GC Pooling transactions in the baskets ECB Basket, ECB Extended Basket and International Maximum Quality Basket (according to the Clearing Conditions Chapter IV).

Risk-based margining

24 Sep 2021

Margin Parameters for Bonds and Repos

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24 Sep 2021

Margin Parameters CCP Instruments (excl. Bonds)

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General Parameters

24 Sep 2021

Currency haircuts

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24 Sep 2021

Collateral Acceptance and Haircuts

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25 Sep 2021

Admissible securities

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