Clearing Members and their end clients can now benefit from enhanced cross margining whilst taking advantage of our deep euro liquidity pools for listed fixed income and OTC interest rate derivatives here at Eurex.
We have improved our cross margining algorithm, removing all maturity restraints allowing for optimization across the complete euro yield curve. This enhancement will generate far greater margin savings across a combined listed fixed income and OTC IRD products cleared portfolio at Eurex.
In addition, we have implemented a new margin calculator, which can be used at ease intraday via API to indicate the potential savings from clearing both fixed income listed and OTC derivatives at Eurex.
With PRISMA release 10.2, we refined our cross-product margining (CPM) algorithm to better capture the offsetting relationship of holding long and short positions in correlated fixed income asset classes. The examples below show that the strategies applied on the OTC IRS side and the fixed income listed futures side are always offsetting in DV01 terms. The new enhancements allow our algorithm to recognize the DV01-neutrality of these structured trades and calculate an amount of initial margin reflective of the reduced risk embedded in the offsetting nature of these trades. These capital charges reductions are not exclusive to such structured trades but are also seen in real-life portfolios of hundreds of long and short positions across OTC swaps and listed fixed income futures.
Prisma Margin calculators
At Eurex Clearing we understand that sophisticated margin replication and simulation is essential for our members and their clients. To this end we offer several tools to calculate and simulate margin requirements within the Eurex Clearing Prisma framework, each tool designed for a different use case:
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 by GUI and API.