Eurex Clearing, the clearing house of Deutsche Börse Group, has introduced the second release of the new risk system Eurex Clearing Prisma.
Clearing members and clients are now able to benefit from portfolio margining capabilities within an asset class as well as cross-margining between listed fixed income products and the OTC IRS business.
Since the end of May, clearing users can realise margin offsets between listed fixed-income (Schatz, Bobl, Bund, Buxl) and money market derivatives (Eonia, Euribor), i.e. the entire euro-denominated interest rate curve. Simultaneously, they can also use their existing portfolios in these interest-rate derivatives traded at Eurex Exchange to offset their margin requirements for their interest rate swaps cleared via EurexOTC Clear.
Nick Chaudhry, head of OTC clearing at Commerzbank C&M, says: “Cross margining solutions allow clients the potential to secure capital efficiencies, and it is likely to be a powerful driver of clearing flows and liquidity going forward as the OTC clearing market matures.”
“Our portfolio-based risk management methodology Eurex Clearing Prisma is an innovative way to maintain accurate counter-cyclical margin levels, while in parallel providing considerable capital efficiencies. As the first European CCP we are enabling our customers to cross-margin within listed asset classes and across OTC and listed derivatives markets. Eurex Clearing Prisma incentivises holding balanced portfolios which represent lower risk and have lower capital and funding requirements thus creating a win-win situation for the markets we clear,” said Thomas Laux, chief risk officer of Eurex Clearing.
Eurex Clearing Prisma calculates combined risks across all markets for products that share similar risk characteristics within customer or proprietary positions according to liquidation groups resulting in more accurate risk calculations. Depending on the nature of individual portfolios, Eurex Clearing expects potential margin efficiencies of up to 70 per cent.
