Prisma Release 14.1: Release announcement

1.    Introduction

With this circular, Eurex announces the production launch of Prisma Release 14.1, which is scheduled for Monday, 19 May 2025. The simulation environment is planned to be available from 1 April 2025. The release contains the below change:

The Portfolio-Margining Adjustment (PMA) is technically introduced to the Prisma Initial Margin model as a general model adjustment. It will remain unused until further notice but does require minor changes to the TE files. It is designed to directly incorporate requirements stemming from EMIR Article 27 in the core margin model.

In addition, Prisma Release 14.1 contains the below changes related to the future introduction of Prisma Bond and Repo portfolio margining (BPM) offering. The margining of fixed income securities currently follows the Risk Based Margining methodology (RBM). By migrating the most liquid bonds and repos to Prisma, and further harmonization of the margin methodology in the entire fixed income securities space will be achieved, which will clear the path to offer improved portfolio-based margin offsets to Clearing Members and their clients. The timeline for the BPM offering to the market will be communicated separately (see also Eurex Clearing Circular 077/24).

Eurex Clearing aims to extend benefits of Cross-Margining (CPM) to U.S.-based FCM Clearing Members and their clients. This initiative seeks to optimize and automate functionalities to maximize margin efficiencies under the LSOC clearing model and is subject to regulatory approval by CFTC.

Simulation start: 1 April 2025
Production start: 19 May 2025

Learn now more about Prisma Release 14.1 on our dedicated initiative page under the following link: Support > Initiatives & Releases > Prisma Releases > Prisma Release 14.1. Circulars, timeline and much more information will be available there for you.

2.    Required actions

We kindly ask all Clearing Members and participants to adjust their systems and internal processes to support the changes in Member reports and TE Files as per this circular. The Prisma Report Reference Manual and Prisma Methodology User Guide will be available in the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document & Circulars > Documents Release 14.1.

3.    Details of the initiative

A.    Portfolio-Margining Adjustment (PMA)

The Portfolio-Margining Adjustment is technically introduced to the Prisma Initial Margin model as a general model adjustment. While it remains inactive until further notice, it will be rolled out technically and functionally across the whole Prisma system with Prisma Release 14.1. It may be activated in the future for exchange traded derivatives (ETD) and exposures of the BPM offering. The activation of PMA via change of respective configuration is only foreseen to be conducted along liquidation groups and splits in a step-by-step manner subject to and in line with regulatory approvals. Any such future activation will be transparently communicated with the roll out of the BPM offering as a likely first use case.

On a general note, this model adjustment is designed to directly incorporate requirements stemming from EMIR Article 27 by allowing to control offsets directly within the core margin model. The introduction fosters a higher level of transparency towards our clients as well as a streamlined processing, as excess offsets are currently handled via an operational supplementary margin process.

B.    TE Files

TE Files – Structure Changes (TE File structure will be changed to reflect PMA solution).

1. 'Risk_Measure_Configuration' File changes:

o    1. New field 'Calculate PMA' within LGS section 

• The field shows if PMA should be calculated for a related LGS (possible values - 'None' = no PMA calculation is processed for that liquidation group split, 'Offset_Cap' or 'Offset_Haircut').

o    2. New Section 'PMA'

• It shows 'PMA Reduction Cap' field and 'PMA Reduction Haircut' if PMA is required to be calculated.
• If 'None' PMA calculation, then it is empty and semicolon ';' is present in this section.

2. The file ‘Theoretical Prices and Instrument Configuration’ is changed – ‘Economic Underlying’ attribute is added.

C.    Reports

• Report CP005 changes (description change, xml structure and TXT structure change for BPM Bonds – one attribute deleted, and two new attributes added)
• Report CP011 changes (description change, xml structure and TXT structure change for BPM Bonds – few attributes added, some attributes are deleted and some attributes renamed)
• Report CP020 changes – BPM records are added to the report, PMA attribute added (for BPM Bond and ETD), description, XML and TXT structure change
• Report CP044 changes (description change, xml and TXT structure change - LiqAdjSub moved to the end)
• Report CP046 change – description change, one attribute is deleted
• Description changes – CP030, CP044, CP046, CC031, CC033, CC034, CC711, CC750, CI030, CI047, attributes changes, CC711 - TXT version – ‘Cash Interest’ attribute is renamed to ’Cash Interest Rate’, LGS example for BPM Bonds has been changed.

D.    U.S. X-Margining

By automating the identification of optimal positions for margin benefits and enabling automated position transfers between FCM and U.S. Clearing Membership, Eurex Clearing intends to streamline the process. In the initial phase, the scope will encompass EUR and CHF denominated IRS, OIS and FRAs, as well as CFTC-approved ETD short-, mid-, and long-term interest rate futures.

U.S. Members must opt-in via a submission form to benefit from the Cross-Margining functionality. Eurex Clearing will provide a separate announcement and communication on how Clearing Members are able to request Cross-Margining and how U.S. Members will be affected by reporting.

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Further information