Eurex Clearing Readiness Newsflash | Prisma Releases 8.3 and 9.0 – Member impact

1. Introduction

Eurex Clearing would like to inform all Members and clients about the upcoming Prisma Releases 8.3 and 9.0 which will introduce enhancements that require changes to the implementation. For details, please see the below.

2. Member impact

2.a Prisma Release 8.3

- Timeline

Simulation start:  23 July 2019
Production start:  26 August 2019

- Change of naming convention for the Liquidation Group File

The Liquidation Group File will be sent via a new internal transfer device which causes a naming convention change from:

$$ENV || 'FIL' || <LG_NAME> || 'PUBLI' || <BUSINESS_DATE> || '.TXT’ || ‘.ZIP’

Examples: 
00FILPEF01PUBLI20190605.TXT.ZIP, 
00FILPEQ01PUBLI20190605.TXT.ZIP

to

$$ENV || 'FIL' || 'LIQGP' || 'PUBLI' || <BUSINESS_DATE> || <LG_NAME> || ‘.TXT’ || ‘.ZIP’

Examples:
00FILLIQGPPUBLI20190605PEF01.TXT.ZIP,
00FILLIQGPPUBLI20190605PEQ01.TXT.ZIP

- Decommissioning of reports

As already communicated with our Newsflash, sent out on 8 April 2019, the decommissioning of the reports CC050, CC055, CC060 will take place.

2.b Prisma Release 9.0

- Timeline

Simulation start:  8 October 2019
Production start: 18 November 2019

- Decommissioning of all RBM ETD Theoretical Price Files on the Common Report Engine – intraday & EOD version, as follows:

Derivative Theo Files:

FPICTHED Derivatives theoretical prices (CRE example: THEO: 00FPICTHEDPUBLIYYYYMMDDINTR.TXT_ZIP; 00FILETHNDPUBLIYYYYMMDDINTR.TXT_ZIP EOD: 00FPICTHEDPUBLIYYYYMMDD.TXT_ZIP; 00FILETHNDPUBLIYYYYMMDD.TXT_ZIP)

FPICTHEF Theoretical prices Flex (CRE example: THEO: 00FPICTHEFPUBLIYYYYMMDDINTR.TXT_ZIP; 00FILETHNFPUBLIYYYYMMDDINTR.TXT_ZIP EOD: 00FPICTHEFPUBLIYYYYMMDD.TXT_ZIP; 00FILETHNFPUBLIYYYYMMDD.TXT_ZIP)

FPICTHEU Theo prices for Eurex/OCC products (CRE example: EOD: 00FPICTHEUPUBLIYYYYMMDD.TXT_ZIP)

Parameter Files:

FPICPARM Derivative Margin parameters (CRE example: THEO: 00FPICPARMPUBLIYYYYMMDDINTR.TXT_ZIP; EOD: 00FPICPARMPUBLIYYYYMMDD.TXT_ZIP)

FPICPARA Maturity factors (CRE example: THEO: 00FPICPARAPUBLIYYYYMMDDINTR.TXT_ZIP; EOD: 00FPICPARAPUBLIYYYYMMDD.TXT_ZIP)

FPICPARV Volatility offsets (No CRE version)

Please note that, as communicated via Eurex Clearing circular 063/16, Decommissioning of RBM Methodology in 2016, above Theoretical Price Files are no longer in use.

All cash market related Theoretical Price Files and Parameter Files are not affected!

- Change of calculation of Default Fund contributions

Calculation of Default Fund contributions will change from a percentage of IM approach to a stress loss over margin (SLOM) based calculation. In addition, a new Margin class (committed margin – COMA) will be introduced that allows flexible balancing of Default Fund versus Margin collateral.

While the details of the new approach will be published via Eurex Clearing circular in the upcoming  months, some changes are required for the reporting landscape. As a result, the reports CD090 and CD091 will receive a new layout that will be available together with the standard documentation before end of June 2019.

- Alignment of contract's exercise price field

As already communicated with our Newsflash, sent out on 8 April 2019, the following alignment, with extended scope, will be introduced.

- Alignment of contract's exercise price field in the reports CP005, CP007, CP020, CP044,CP010 and CB012

For a contract's exercise price, the CP005, CP007, CP020, CP044, CP010 report features the cntrExerPrc field, whereas the CB012 report uses cntrExercisePrice

The field in the CP005, CP007, CP020, CP044,CP010 will be aligned to cntrExercisePrice as well.

- Decommissioning of the “RBM Margin Parameters for Interest Rate, Equity, Equity Index, EXTD and Volatility Index Derivatives” file

Due to the decommissioning of the RBM ETD Theoretical Price File, publication of the "RBM Margin Parameters for Interest Rate, Equity, Equity Index, EXTF and Volatility Index Derivatives” file under the link:

https://www.eurexclearing.com/clearing-en/risk-management/risk-parameters

will be discontinued.

Kind regards,

Your Client Services Team

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