With the Prisma Release 14.0 Eurex Clearing plans to migrate the most liquid Bonds and Repos to the portfolio-based Risk Management methodology (Prisma) in a phased approach as of 18 November 2024 pending regulatory approval.
The margining of fixed income securities currently follows the Risk Based Margining methodology (RBM). By migrating the most liquid Bonds and Repos to Prisma
Simulation start: 24 Sep 2024
Production start: 18 Nov 2024 (pending regulatory approval)
The Prisma system documentation will be available in the Member Section under the following path: Resources > Eurex Clearing Documents > Eurex Clearing Prisma > Release Documents > Documents & Circulars > Documents Release 14.0.
Introducing the PRISMA methodology for bonds will generate a number of tangible benefits to Cash Bond, Repo and Derivatives Clearing Participants, i.e.,
Following the implementation, Eurex Clearing will have delivered a key pillar for the future development of margin netting/ cross product margining between bonds and derivatives.
Future planned extensions will focus on
Relevant information with regards to these aforementioned extensions will be provided over time.
Release Items/Participants Requirements
Changes | Details | Action Item |
Phase 1 | Analytics and impact assessments for portfolios including Bonds and Repos will be made available on request. Clearing Members can make use of sample calculation of their portfolios under the Prisma methodology. | Interested Clearing Members can request. Details about the request process will be communicated in due course. |
Phase 2 Simulation | Bonds and Repos in scope for the migration will still be margined using RBM in simulation. Like Phase 1, Clearing Members will be able to make use of analytics and impact assessments on request. To switch their portfolio to Prisma, Clearing Members can opt-in when they have applied all required changes. | Clearing Members can make use of the simulation environment and opt-in in order to test their software applications. |
Phase 3 Production Optional | In production all Bonds and Repos in scope of the migration will also still be margined with the RBM method. Clearing Members can switch their portfolio to Prisma at any point in time but latest with Phase 4. This will be the same approach as for simulation. Details on how to opt-in for the switch will be published well in advance. | Go-Live for Bond Portfolio Margining. Clearing Members can opt-in on demand. |
Phase 4 Production Mandatory (to be announced) | RBM method will no longer be available for Repos and Bonds in scope. The switch to Prisma becomes mandatory. Details when the mandatory switch will go live will be published and announces well in advance | Prisma Methodology becomes mandatory for Bonds. Clearing Members need to ensure that they can cope with Prisma margin methodology for Bonds and Repo. |
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