A member of
Clearing Members and their end clients can benefit from portfolio margin offsets between our listed FX and fixed income derivatives offering at Eurex Clearing. As of June 24, all 27 Eurex FX Futures as well as all 12 FX Options are allocated to the listed fixed income liquidation group (PFI01) – including for example Euro-Bund, Euro-Bobl and Euro-Schatz Futures – in Prisma, Eurex Clearing’s proprietary risk margin calculation engine.
Portfolio margining improves the risk quantification of portfolios based on common risk factors and offers margin efficiencies for diversified portfolios. It is applied to all products within the same liquidation group and with the same holding period.
Margin offsets will be reflected in the Eurex Prisma Online Margin Calculator and the Cloud Prisma Margin Estimator (Cloud PME) starting from June 24.
The Prisma Online Margin Calculator is a browser-based tool for members, running on Eurex Clearing’s production and simulation environments.
The Cloud Prisma Margin Estimator (Cloud PME) is a cloud-based calculator accessible via a GUI and an API.
Our margin calculators can be used intraday via an API to indicate the potential savings from clearing both fixed income listed and OTC derivatives at Eurex.