Eurex Clearing, Europe’s leading clearing house, has launched its next-generation risk management system, Eurex Clearing Prisma, into production. Eurex Clearing Prisma applies a portfolio methodology compared to traditional product-by-product based margining approaches. In a stepwise approach, the new system will be rolled out for all products cleared by Eurex Clearing and replace the current Risk Based Margining methodology.

The launch is a key element in Eurex Clearing’s strategy to strengthen market safety and efficiency. By capturing risk reducing portfolio effects accurately, Eurex Clearing Prisma promotes hedged positions and increases capital efficiency. After full roll-out, Eurex Clearing will, as the first major clearing house, apply a single consistent methodology and system across all asset classes cleared including listed and OTC products and thereby increase operational efficiency.

A CCP risk management system determines collateral requirements for clearing members and clients to cover future risks of their positions held with the clearing house. For this calculation, Eurex Clearing Prisma applies a simulation-based Value-at-Risk model which covers historical and hypothetical stress scenarios to be stable and to avoid cyclicality.

The migration to the new system will be implemented in a stepwise approach. The first release covers listed equity derivatives and equity index derivatives and is available for clearing members on an optional basis. The next step will cover fixed-income derivatives and cross-margining. The new methodology is already applied to Interest Rate Swaps having been offered through EurexOTC Clear since 13 November 2012.

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