Transparency Enabler Files Support

How can I replicate the Margin calculation of Eurex?

To facilitate Margin transparency, Eurex enables its Clearing Members and their clients to verify and reproduce the calculation of Margins. Therefore, detailed information in form of several structured files is provided.
The set of reports available for Margin replication are called Transparency Enabler Files.
The Margins can be replicated by the Clearing Members themselves outside the Eurex systems.
All Transparency Enabler Files are given in a machine-readable structure which allows for automated processing.

How are Transparency Enabler Files delivered to clients?

The Transparency Enabler Files are delivered via the Common Report Engine.

How often are the Transparency Enabler Files published?

They are available as ‘Start of Day’- (SOD) and ‘End of Day”-Version (EOD) files.
SOD files will include corporate actions as of the ex-date and shift the theoretical prices by one day.

Which information is available in these Transparency Enabler Files?

The files contain the following information:

Theoretical prices under all scenarios and instrument descriptions in product currency
Current settlement prices and PV reference prices
Risk measure details
Market risk aggregation rules
Market capacities
Liquidity factors
FX rates under all scenarios

All files enables Initial Margin replication.

How to use the Transparency Enabler Files?

More details are available in the ‘Methodology Description’ document (chapter: ‘Margin Replication’). This is saved in the Member Section under the following path: Resources > Eurex Clearing Documents > Eurex Clearing Prisma > Release Documents > Document and Circulars.

Supporting Documents

Cheat Sheet Transparency Enabler Files

Common Report Engine

You want to find out more about Eurex Group’s central solution for trading and clearing report? Visit our dedicated Common Report Engine section to learn how to download reports and much more.

Find out more!

Contacts

Eurex Frankfurt AG
Customer Technical Support / Technical Helpdesk

Service times from Monday 01:00 – Friday 22:00 CET
(no service on Saturday and Sunday)

Please contact your Technical Account Manager via your personal VIP number which can be found in the Member Section.

T +49-69-211-VIP / +49-69-211-1 08 88 (all)

cts@deutsche-boerse.com

Eurex Frankfurt AG
Key Account Management

Service times from 09:00 - 18:00 CET

client.services@eurex.com