On Jul. 30, EUREX Clear issued Prisma release 14.0 announcement.
EUREX Clear announced production launch of Prisma Release 14.0, which is scheduled for Monday, Nov. 18, 2024, with a simulation start date that is due on Sep. 24, 2024.
Follows EUREX Clear Jul. 2024 introduced default fund operation buffer, see #217880.
Also follows EUREX Clear Feb. 2024 introduced bond and repo to Prisma, see #201129.
Prisma Release 14.0 Changes
Changes include introduction of Prisma Risk Management for Bonds and Repos, a new Default Fund Operational Buffer, and changes to 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 by any aspect of the updated Prisma system.
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 all regulatory approval has been reached.
The margining of fixed income securities follows the Risk Based Margining methodology (RBM), but by migrating most liquid Bonds and Repos to Prisma, further harmonization of the margin methodology in the entire fixed income securities space will be achieved.
This will clear a path to improve portfolio-based margin offsets to all Clearing Members and their clients, expected to further reduce cost to centrally clear and manage euro interest rate risks, as well as the funding and financing requirements at EUREX Clear.
Circulars, timeline and much more information has been made available for relevant users in Support > Initiatives & Releases > Prisma Releases > Prisma Release 14.0.
Required Action
All Clearing Members and participants to will need to adjust their systems and internal processes to support the changes that are being made within the Member reports.
The documentation is available in the Member Section of Deutsche Borse Group under relevant path: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document & Circulars > Documents Release 14.0.
