EUREX Clear Prisma Release 14.0


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, 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.
  • Oct. 2024 Postponement of Bond/Repo Go-Live
  • On Oct. 24, 2024, EUREX Clear reported postponement of go-live for new bond and repo margin model due to the fact the regulatory approval process is still ongoing.
  • EUREX Clear is communicating with regulatory authorities to publish a revised schedule for 2025 based on the outcome of the discussions taking place.
  • Starting with most liquid bonds/repos under Prisma Risk Management in Q4 2025.
  • This will be subject for regulatory approval, but changes to margin report layouts for introducing Prisma for bonds and repos as per Prisma Release 14.0 go live.
  • In this context this will go live Nov. 18, 2024 and will be implemented as planned.
  • EUREX Clear advises that there will be no required action for Nov. 2024.
  • Market participants will be able to estimate and assess margin impacts by using a dedicated instance of the Cloud Prisma Margin Estimator for bonds and repos.
  • This will be available with start of simulation, according to EUREX Clear.
  • Members would need to opt in for the Prisma Bonds and Repos to test the impacts, such as on reporting layout changes, in the ECAG Simulation environment.

Regulators EUREX Clear
Entity Types B/D; Depo; Exch; OTC
Reference Cir 077/24, 10/24/2024; Cir 053/24, 7/30/2024; Cir 045/24, 7/1/2024; Cir 009/24, 2/13/2024
Functions Operations; Reporting; Risk; Settlement; Technology; Trade Reporting; Trading
Countries EU Exchange
Category
State
Products Clearing; Derivatives; Fixed Income; Futures; Repo/Reverse; Securities
Regions EMEA
Rule Type Final
Rule Date 7/30/2024
Effective Date 11/18/2024
Rule Id 221304
Linked to Rule :217880
Reg. Last Update 10/24/2024
Report Section EU

Last substantive update on 10/29/2024