Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
Eurex Clearing intends to introduce its Prisma margin model to cleared repo next year, in a move that would facilitate cross-margining with futures, although large directional portfolios could see higher margin requirements.
Dmitrij Senko, Eurex ClearingCurrently, 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,”
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