On Feb. 13, EUREX Clear will introduce bonds and repos to Prisma.
EUREX Clear will introduce bonds and repos to Prisma risk management methodology.
Overview
The migration of most liquid bonds and bepos to portfolio-based Risk Management methodology (Prisma) phased in as of Nov. 18, 2024, pending regulatory approval.
EUREX Clear sets out simulation start Sep. 10, 2024, and production on Nov. 18, 2024.
Margining of fixed income securities is on 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 is achieved.
EUREX Clear believes this will clear the path to offer improved portfolio-based margin offsets to Clearing Members and their clients, as well as providing other benefits.
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 Clear.
Phase 3 Migration and Next Steps
During Phase 3 from Nov. 18, 2024, phased introduction, Prisma and RBM will be offered in parallel, allowing Clearing Members a smooth migration to new risk method.
At later stage, Phase 4, notified in advance, with a view to discontinue optional use of RBM for Bonds and Repos and make Prisma mandatory for bonds and repos.
The migration of bonds and repos to Prisma requires Clearing Members and Vendors to consider/implement changes in margin reporting, according to EUREX Clear.
Existing margin reports on products under Prisma will change to new reports.
An additional TE File (Transparency Enabler File) containing only bonds and repos in scope will be introduced, and the current TE File will not change, say EUREX Clear.
Clearing Members and Vendors may need to adjust their reconciliation processes.
EUREX Clear advise Clearing Members wishing to benefit from bond and repo portfolio margining during the optionality phase will be able to request the switch to Prisma.
It will only be possible to switch once without the option to move back to RBM.
There will be a separate announcement and communication by EUREX Clear on procedure and process around how Clearing Members can request the switch.
After the switch during the optionality phase no separate registration will be required to benefit from bond portfolio margining, according to EUREX Clear advice.
Updated documentation including a Report Reference Manual with details about the envisaged report changes and the new TE File will be made available.
According to EUREX Clear, the updated documentation and TE File will by under Member Section, GE DBoerse as part of Prisma Release 14.0 communication.
In Jul. 2024, EUREX Clear issued Prisma release 14.0 announcement, see #221304.
