Prisma Release 14.0: Release announcement

1. Introduction

With this circular, Eurex Clearing announces the production launch of Prisma Release 14.0 which is scheduled for Monday, 18 November 2024.

Prisma Release 14.0 contains the below changes related to the future introduction of Prisma Risk Management for Bonds and Repos, additional Default Fund Operational Buffer and changes related to the Transparency Enabler Files (TE Files). There are no structural changes of existing TE Files and hence current TE File based initial margin calculation is not impacted. The TE File changes (new records and one new TE File) are only relevant for Members who intend to opt in for calculating initial margins for Bonds and Repos following the Prisma methodology in the future and once regulatory approval has been reached.

The margining of fixed income securities currently follows the Risk Based Margining methodology (RBM). 

By migrating the most liquid Bonds and Repos to Prisma, a further harmonization of the margin methodology in the entire fixed income securities space will be achieved, which will clear the path to offer improved portfolio-based margin offsets to Clearing Members and their clients. This is expected to further reduce the cost to centrally clear and manage euro interest rate risks, as well as funding and financing requirements at Eurex Clearing. 

Timeline: 

Simulation start: 24 September 2024
Production start: 18 November 2024

Learn now more about Prisma Release 14.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > Prisma Releases > Prisma Release 14.0. Circulars, timeline and much more information will be available there for you.

2. Required action

We kindly ask all Clearing Members and participants to adjust their systems and internal processes to support the changes in Member reports. The documentation is available in the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document & Circulars > Documents Release 14.0

3. Details of the initiative

A. Member report changes preparing for Portfolio Margining for Bonds and Repos

• New Backward-Looking Margin CLM Report (CP011). Note that the report is only relevant for Members who will opt in for calculating initial margins for Bonds and Repos following the Prisma methodology.

• Field changes and adding bond master data related attributes such as ISIN, Cluster ID, CMA Group ID (CP005, CP030, CP039, CP044, CP046, CI030). Field changes available at Simulation start and relevant for all Members. Note that newly added attributes will only contain empty or default values until Members opt in Bond Portfolio Margining.

B. Additional Default Fund Operational Buffer

• Report layout changes in Reports CD090 and CD091 (New fields added).

More details are available in Eurex Clearing Circular 045/24: Risk management: Introduction of Default Fund Operational Buffer.

C. Other report changes

• Field changes (field name, field description, field length) for CI042 (Margin Call Report) and CN042 (Night Margin Call Report). Field changes are available at Simulation start and relevant for all Members.

All details about the reports can be found in the Report Reference Manual (please see path provided above).

D. TE Files

• Risk_Measure_Aggregation_ Configuration File

• Risk_Measure_Configuration File

• Introduction of a new TE File: Bond Theoretical Prices and Instrument Config

The file can be provided on request (on best effort basis) until the Bond Portfolio Margining offering is live. 

For more information, please see the related circular publication.
 

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Further information