Prisma Risk Management: Postponement of go-live for new Bond and Repo margin model

1.    Introduction

With this communication, Eurex Clearing refers to the announcement Clearing Circular 009/24 and the communication to expand the Prisma Risk Management to most liquid Bonds and Repos for November 2024 subject to timely regulatory approval. Today Eurex Clearing would like to provide an update that announces that the regulatory approval process is still ongoing. As a result, the initially targeted launch date of 18 November 2024 will not be met.
 
Eurex Clearing is in close dialogue with regulatory authorities to publish a revised schedule for 2025 based on the outcome of the discussions. It is the objective to start with most liquid Bonds and Repos under Prisma Risk Management in Q4 2025, subject for regulatory approval. 

Changes to margin report layouts for the introduction of Prisma for Bonds and Repos that were announced with Prisma Release 14.0 and go live on 18 November 2024 will be implemented as planned. 

2.    Required action

There is no required action for November 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 that will be available with start of Simulation. 

A Member would need to opt in for the Prisma Bonds and Repos to test the impacts, e.g. on reporting layout changes, in the ECAG Simulation environment. 

3.    Details of the initiative

The introduction will follow a phased approach, where Prisma and the RBM will be offered in parallel, allowing Clearing Members a smooth migration to the new risk method at their own pace in both environments, Simulation and Production. At a later stage, it is envisaged to discontinue the optional use of RBM for Bonds and Repos and make Prisma mandatory for Bonds and Repos. The migration of Bonds and Repos to Prisma requires Clearing Members and Vendors to consider/implement the following changes:

• Existing margin reports that cover products under Prisma will be changed and new reports will be introduced.
• An additional TE file containing only the Bonds and Repos in Scope will be introduced, the current TE Files will not change.
• If applicable, Clearing Members and Vendors need to adjust their reconciliation processes accordingly.

Furthermore, Clearing Members who want to benefit from Bond and Repo portfolio margining during the optionality phase will be able opt-in to Prisma for their portfolio of Bonds and Repos. It will only be possible to switch once without the option to move back to RBM. There will be a separate announcement and communication on how Clearing Members are able to request the switch. 

Updated documentation will be made available in the Member Section of Deutsche Börse Group as part of the upcoming release communication.

For Prisma Release 14.0, the relevant documentation such as the Report Reference Manual with details about the envisaged report changes is already available in the Member Section of Deutsche Börse Group under following link:

Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document and Circulars > Documents Release 14.0

For more information on Eurex Clearing’s Prisma model, please refer to the Eurex Clearing website www.eurex.com/ec/en/ under the following link: 

Services > Margining > Eurex Clearing Prisma
 

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