Deep liquidity High margin efficiencies

Cross-product margining along the euro yield curve

Clearing Members and their end clients can benefit from cross-product margin offsets between OTC IRS and our listed fixed income offering while taking advantage of the deep euro liquidity pools for listed fixed income and OTC interest rate derivatives at Eurex.

How can I generate margin savings?

Reduce your margin levels with Eurex Clearing Prisma: our cross-product margining service allows for optimization across the complete euro yield curve – without any maturity restraints. We offer cross-product margining between OTC IRS (five-day holding period) and listed fixed income products (two-day holding period). The reduced risk profile of interest rate hedged portfolios is, therefore, adequately reflected by lower initial margin requirements. As a result, market participants can generate far greater margin savings across a combined listed fixed income and OTC IRD products cleared portfolio at Eurex. Find more information here Eurex Clearing Prisma.

Which clearing banks support Eurex's cross-product margining?

Renowned clearing banks such as Barclays, BNP Paribas, and Société Générale already offer their clients the advantages of cross-product margining when clearing through Eurex. More parties are working on offering this service to their clients soon. Please contact us via to explore your options. Also, do speak to your clearing bank.

What is the timeframe for including cleared repo in Eurex's Prisma service?

Subject to regulatory approval, we plan to include cleared repo by mid-2024 in Prisma, our risk management system, for portfolio margining of repos. Following this, we plan to offer cross-product margining between cleared repos and listed fixed income derivatives in 2025.

Key benefits

  • Deep clearing liquidity pools
  • Cross-product margining along the complete Euro yield curve without any maturity constraints, allowing for up to 70% initial margin savings
  • Full IRD product coverage, including FRA, IRS, Basis and OIS
  • Full suite of listed interest rate derivatives, both short-term and long-term, including futures on the Euro STR and futures and options on the EURIBOR as well as on the German Bund, Bobl, Schatz and Buxl
  • Higher capital efficiencies: greater netting effects between listed and OTC positions
  • Single cross-product collateral management solution

Calculation example

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 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.

Margin calculators

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, with 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.

Our margin calculators can be used intraday via API to indicate the potential savings from clearing both fixed income listed and OTC derivatives at Eurex.

Cross-product margining at Eurex Clearing

Generating margin efficiencies across ETD and OTC IRS
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Eurex Clearing Prisma

High capital efficiencies and a strong risk management framework
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Home of the euro yield curve

Eurex covers the entire euro yield curve. From overnight to long dated financial products covering repo and securities lending, listed interest rate derivatives, both short-term and long-term, as well as cleared OTC interest rate derivatives across short to long dated tenors.
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Collateral management

Benefit from enhanced cross margining whilst taking advantage of collateral management efficiencies.
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