EUREX Clear Prisma Bonds And Repos


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.

Regulators EUREX Clear
Entity Types B/D; Depo; Exch; OTC
Reference Cir 009/24, 2/13/2024
Functions Operations; Reporting; Risk; Settlement; Technology; Trade Reporting; Trading
Countries EU Exchange
Category
State
Products Clearing; Derivatives; Futures; Securities
Regions EMEA
Rule Type Final
Rule Date 2/13/2024
Effective Date 11/18/2024
Rule Id 201129
Linked to N/A
Reg. Last Update 2/13/2024
Report Section EU

Last substantive update on 02/15/2024