Eurex Clearing in November launched its Prisma Margin Estimator, a free service that allows clearing members and their clients to estimate initial margins for futures, options and swaps. The service was designed in collaboration with OpenGamma, an open source risk systems developer, and will run in parallel with the clearinghouse's existing margin calculator.
One key difference with the existing calculator is that the new service applies the clearinghouse's Prisma margining methodology, which is based on a more advanced approach to estimating risk. The service can estimate margin for existing or hypothetical portfolios of positions and can be used to estimate the potential margin offsets from combining listed and OTC positions.
Another key difference is that the service is designed to be integrated into a participant's technology infrastructure, rather than running on the clearinghouse's infrastructure. In other words, it allows users to calculate margin without sending trades or positions to external servers or calculation engines. "No confidential information has to leave the building," Eurex Clearing said.
Eurex Clearing stressed that the new service will help clearing members and their clients in assessing margin requirements as part of their pre-trade analytics and in identifying potential trades that lead to significant margin changes.
