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Risk parameters and initial margins

Risk parameters and initial margins

 
Prisma portfolio-based margining
      • 24 May 2017
    • 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)
  • Property Futures Liquidation Group (PPR01)
  • FX Derivatives Liquidation Group (PFX01)
  • IRS Constant Maturity Futures Liquidation Group (PGE01)

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 May 2017
    • RBM Margin Parameters for Interest Rate, Equity, Equity Index, EXTF and Volatility Index Derivatives

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      • 24 May 2017
    • Margin Parameters for Bonds and Repos

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      • 24 May 2017
    • Margin Parameters CCP Instruments (excl. Bonds)

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General Parameters
      • 24 May 2017
    • Collateral Acceptance and Haircuts

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      • 25 May 2017
    • Admissible securities

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