Cross Margining Support

Cross margining (XM) allows a combined initial margin calculation between fixed income listed (i.e. FI ETD) and OTC IRS positions.

FAQs 

1. What are my benefits from enabling XM?

  • Delivers collateral efficiency through margin offsets between OTC IRS and FI ETD positions.

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  • Detailed and further explanations can be found in chapter 1.1 “Benefits for the Clearing Members and the Clearing House” in the Cross-Margining User-Guide. 
  • The User Guide can be found on the Member Section via: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Documents > Eurex Clearing Prisma > Productive Documents. 

2. Do I need to actively enable XM?

  • Yes, you need to actively enable cross-margining.
  • Please contact your Clearing Key Account Manager or client.services@eurex.com so that they can request it for you with all necessary forms relevant for the setup.

3. What products are eligible for XM?

An overview on all OTC and listed products eligible for XM can be found below as well as in the Cross-Margining User-Guide under the following path: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Documents > Eurex Clearing Prisma > Productive Documents.

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4. For which currencies can XM be enabled?

XM can only be enabled for EUR and CHF denominated instruments (trades).

5. Does XM have relevance for all parts of the margin requirement?

No, only the forward-looking parts, i.e. the Initial Margin (IM) requirement.

6. What is the regular holding period of ETD and OTC products?

In general, ETD positions have a holding period of two days (HP2) and OTC positions have a holding period of five days (HP5).

7. How does the XM allocation work?

  • ETD positions from the HP2 group will be assigned to the HP5 group to allow for offsetting between IRS and ETD.
  • For this, an algorithm runs every two hours to check whether / which ETD positions should switch to a HP5 in order to achieve the maximum XM benefit.
  • A detailed description of the allocation procedure can be found in the Cross-Margining User-Guide (chapter 4.6 “Algorithmic description of Cross Margining allocation”).

8. Can I check the possible XM benefit for my portfolio before enabling XM?

Yes, the XM benefit can be calculated via: 

  • Prisma Margin Calculator 
    • Access to Eurex’ production / simulation environment is needed.
    • Can be used for a What-If analysis (against already existing positions) via GUI or API connection.
  • Cloud Prisma Margin Estimator
    • Openly accessible
    • Provides highly accurate estimation and helpful to get a general idea about the margin.
    • Availability cannot be guaranteed (Eurex Cloud PME Terms of Use apply here).

9. Where can I find more information on how to use the Margin Calculator GUI?

  • General information can be found on our website.
  • A more detailed margin calculator user guide as well as templates and field descriptions for the upload files can be found on the Member Section via: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Documents > EurexOTC Clear > System Documentation > GUIs. 

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10. Which reports are relevant for XM?

  • CP046 (Aggregated Prisma Margins Report):
    Shows the total margin requirement per liquidation group and its splits (HP5 for XM positions and HP2 for non XM positions)
  • CP005 (Sub Portfolio Report):
    Shows all active OTC and ETD positions split by holding period
    and gives an indication which positions were used for XM
  • CP007 (XM Allocation Report):
    Shows all FI ETD positions enabled and used for XM and the IM with and without XM
  • CP020 (Margin Drilldown Report):
    Shows a drill down of the margins computed at sub-portfolio level to positions in various business types i.e. listed and OTC IRS
  • CC750 (Daily Margin Report):
    Shows the IM requirement per margin class 
    and OTC related figures will be visible within margin group PFI01 if XM is enabled
  • CC204 (Overall Margin Report):
    Shows the IM split for OTC IRS with all subcomponents
    and will not be generated if XM is enabled

11. How does the Initial Margin (IM) calculation work in general?

  • IM is calculated forward-looking on portfolio level.
  • Positions with similar risk characteristics and asset class (liquidation group) will be considered together.
  • In this liquidation group:
    • IM will be calculated on sub portfolio level: Liquidation group splits by time to expiry and liquidation horizon.
    • OTC IRS and Fixed Income money market futures and in the same liquidation group but have different liquidation horizons.

12. What are the different liquidation horizons possible?


Liquidation horizon

Liquidation Group

5-day

OTC IRS products

3-day

Listed Equity Derivatives

2-day

Listed Fixed Income and money market futures, FX derivatives

13. Is there an overview on what will change if I enable XM?

  • Process changes:

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  • Report changes:

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14. Is there any further information on XM somewhere else?

  • Further information is available in the Eurex Clearing Prisma User Guide: Cross-Margining
  • You can find it on the Member Section via: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Documents > Eurex Clearing Prisma > Productive Documents

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Contact us

OTCClear

Clearing Data

Technical Key Account Manager 

If you need assistance regarding functional issues, please contact:

Phone: +49 (0)69 211-12828 (8 am - 10 pm CET/CEST)

E-mail: OTCClear@eurex.com

If you need assistance regarding user setup, password reset, please contact:

Phone: +49 (0)69 211-12345 (8 am - 8 pm CET/CEST)

E-mail: clearingdata@eurex.com

If you need assistance regarding certificates or technical setup, please contact via your personal VIP number:

Phone: +49 (0)69 211-10888 (1 am - 10 pm CET/CEST)

E-mail: cts@deutsche-boerse.com