Eurex Clearing Prisma calculates combined risks across the markets and venues cleared by Eurex Clearing for products that share similar risk characteristics. These calculations occur within customer and proprietary positions according to Liquidation Groups resulting in more accurate risk calculations. This allows us to provide higher capital efficiencies and a stronger risk management framework to our customers.
- Portfolio margining is applied to products within the same Liquidation Group and with the same holding period, e.g. EURO STOXX 50® Index and DAX® Futures. Portfolio margining offers significant margin efficiencies for diversified portfolios.
- Prisma also permits cross margining between products across markets that are part of our fixed income offering. Cross margining allows for offsets between products with different holding periods. We offer cross margining between OTC IRS (5 day holding period) and listed fixed income products (2 day holding period). The reduced risk profile of interest rate hedged portfolios is therefore adequately reflected by lower initial margin requirements.
Advantages for Clearing Members, their customers and the Clearing House
- Capital efficiencies: more accurate risk netting effects for listed, and between listed and OTC positions.
- Accuracy: cross-product scenarios enable a consistent way to account for portfolio correlation and diversification effects.
- Robustness: methodology designed to enable stable and lower initial margin requirements.
- Consistent framework: consistent risk and default management process for listed and OTC products.
- Automated: automated processes for faster time-to-market.
- Aligned: margining method and default management process are closely aligned.