Clearing files

Risk parameters and initial margins

Prisma portfolio-based margining

19 Apr 2024

Indicative Prisma margins for single Eurex-cleared swaps

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19 Apr 2024

Prisma Margin Requirements for selected products (single position portfolios)

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19 Apr 2024

Liquidation Groups

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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 cooperation KOSPI Liquidation Group (PAC01)
  • Asian cooperation KRW FX Derivatives Liquidation Group (PAF01)
  • Commodity (Index) Derivatives Liquidation Group (PCM01)
  • Precious Metal Derivatives Liquidation Group (PPM01)
  • FX Derivatives Liquidation Group (PFX01)
  • FX NDF Liquidation Group (PNF01)
  • Corporate Bond Liquidation Group (PCB01)
  • Derivatives on Fixed Income ETFs Liquidation Group (PEF01)
  • Collateral Index Liquidation Group (PEQCO)
  • Crypto Derivatives Liquidation Group (PCY01)

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.

For Default Management purposes (auctions and default fund segmentation) the additional  Bond Liquidation Group PBN01 is defined. PBN01 contains  all Special Repo transactions and all GC Pooling transactions excluding the GC Pooling Equity Basket. This is a legal liquidation group and has no impact on margining.

Risk-based margining

19 Apr 2024

Margin Parameters CCP Instruments (excl. Bonds)

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19 Apr 2024

Margin Parameters for Bonds and Repos

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General Parameters

19 Apr 2024

Collateral Acceptance and Haircuts

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19 Apr 2024

Currency haircuts

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20 Apr 2024

Admissible securities

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Market Status

XEUR

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