On Aug. 8, EUREX Clear issued circular on Prisma risk management.
EUREX Clear issued Cir 067/2025 Prisma Risk Management: Introduction For Bonds And Repos, and its attachment, i.e., Prisma Bond portfolio margining activation form.
Follows EUREX Clear Jun. 2025 announced Prisma release 15.0, see #259186.
Main Points
Introduction of the portfolio-based Risk Management methodology (Prisma) for in-scope Bonds and Repos (Prisma bonds), enhancements to current Risk Based Margining methodology (RBM) for fixed income securities not migrating to Prisma yet.
The migration delivers improved bond and repo portfolio-based margin offsets to Members and their clients and sets the basis for further integration steps planned for 2026, reducing transaction cost and efficiently managing euro interest rate risks.
In addition, there will be an improved calibration of margin parameters for FI securities under the established RBM methodology for FI securities not migrating to Prisma.
There will also be an enhancement of the margin and default fund collateral valuation process, as well as an improved modelling of Bonds within the default fund calibration.
The bonds denominated in euro that are in scope for the switch to the Prisma methodology (Prisma bonds) are zero coupon and fixed coupon, bullet bonds issued by governments of Germany, France, Italy, Spain; Supranationals (AAA and AA rated).
Next Steps Timeline
Member simulation on Oct. 6, 2025; member simulation Prisma opt-in starts on Nov. 17, 2025; production starts on Dec. 8, 2025; member opt-in starts on Feb. 2, 2026.
Details of when the mandatory switch will go live will be announced well in advance.
