Transparency Enabler Files Support

How can I replicate the Margin calculation of Eurex? 

• To facilitate Margin transparency, Eurex enables its Clearing Members and their clients to verify and reproduce the calculation of Margins. Therefore, detailed information in form of several structured files is provided.
• The set of reports available for Margin replication are called Transparency Enabler Files.
• The Margins can be replicated by the Clearing Members themselves outside the Eurex systems. 
• All Transparency Enabler Files are given in a machine-readable structure which allows for automated processing.

How are Transparency Enabler Files delivered to clients?

• The Transparency Enabler Files are delivered via the Common Report Engine.

How often are the Transparency Enabler Files published?  

• They are available as ‘Start of Day’- (SOD) and ‘End of Day”-Version (EOD) files.
• SOD files will include corporate actions as of the ex-date and shift the theoretical prices by one day.

Which information is available in these Transparency Enabler Files? 

The files contain the following information:

• Theoretical prices under all scenarios and instrument descriptions in product currency
• Current settlement prices and PV reference prices
• Risk measure details
• Market risk aggregation rules
• Market capacities
• Liquidity factors
• FX rates under all scenarios

All files enables Initial Margin replication. 

How to use the Transparency Enabler Files?  

• More details are available in the ‘Methodology Description’ document (chapter: ‘Margin Replication’). This is saved in the Member Section under the following path: Resources > Eurex Clearing Documents > Eurex Clearing Prisma > Release Documents > Document and Circulars.

Supporting Documents

• Cheat Sheet Transparency Enabler Files