Eurex Clearing
1. Introduction
Eurex Clearing would like to hereby inform Members of the upcoming Prisma Release 10.1 and related technical changes with impact on Clearing Members.
Prisma follows a fixed release schedule throughout the year with the first scheduled release in March 2021 with the following key dates:
Simulation start: 2 February 2021
Production start: 15 March 2021
This circular is intended to provide an overview of technical changes that require action on Clearing Member side.
2. Required action
Clearing Members have to make sure they will be able to process the new report layouts that will be introduced as part of Prisma Release 10.1 as of 15 March 2021.
3. Details
Layout changes to reports CD090 and CD091
The layout of reports CD090 and CD091 will be changed to accommodate the new calculation logic for Default Fund Contributions. Detailed changes to the reports and respective fields are published in the Prisma report reference manual in the Member Section of Eurex Clearing.
Please note that in line with the above-mentioned changes, date header fields “rptPrntEffDat” and “rptPrntRunDat” in the reports CD090 and CD091 will be brought in line with other Prisma reports to both show the report business date.
Change of calculation of Default Fund contributions
The calculation of Default Fund contributions will be changed from a percentage of IM approach to a Stress Loss over Margin (SLOM) based methodology. This model change is currently under regulatory review (ongoing EMIR Article 49 model change process). Given regulatory approval, the change will be introduced on 15 March 2021, aligned with Prisma Release 10.1. Details of the methodology will be published in a separate Eurex Clearing circular.
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
Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Middle + Backoffice, IT/System Administration | |
Contact: | risk@eurexclearing.com | |
Web: | ||
Authorised by: | Dmitrij Senko |
