Eurex Clearing intends to introduce its Prisma margin model to cleared repo next year, in a move that will facilitate cross-margining with futures, although large directional portfolios could see higher margin requirements.
Currently, Eurex calculates margin for bonds and repos on an instrument by instrument basis, so users are unable to gain a beneficial effect from offsetting exposures within a portfolio.
“It’s conservative,” says Dmitrij Senko, chief risk officer at Eurex Clearing. “But
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