Eurex Clearing Readiness Newsflash | Prisma Releases 9.0/9.1/9.2: Simulation start, production start, Member impact

Dear Clearing Member,

With this Newsflash, we would like to inform all Members and Clients about the upcoming Prisma Releases:

These releases will introduce enhancements that may require changes to the implementation on Exchange Member and/or Software Vendor side. For details, please see the information below.

Member impact

A. Release 9.0

• Change of calculation of Default Fund contributions
  
  Please be informed that the previously communicated change to the calculation of Default Fund contributions based on Stress Loss over Margin (SLOM), the introduction of Committed Margin (COMA) and the accompanying change of the CD090 report family will not be rolled out in Release 9.0. The new go-live date will be communicated with sufficient lead time in a separate Newsflash.
• Alignment of contract's exercise price field
  
  As previously communicated, below alignments will be performed for reports CP005, CP007, CP010, CP020 and CP044: 

I.e. the (XML and TXT) report field will have 13 digits before the decimal point and 6 decimal places.
 

• Decommissioning of selected RBM ETD Theoretical Price Files
  
  As previously communicated, the files listed in the Attachment 1 will be decommissioned on the Common Report Engine.
• Adjustment of report CC011 – Current Liquidating Margin
  
  Report CC011 – Current Liquidating Margin will no longer contain Current Liquidation Margin for OTC IRS business. However, the CC750-Daily Margin Report will still cover CLM figures on margin class level for OTC IRS business. 

B. Release 9.1

• Decommissioning of PRISMA Intraday Transparency Enabler (TE) Files (Early Files)
  
  With the introduction of Extended Trading Hours, Prisma EOD TE Files have been preponed. Therefore, Prisma Intraday TE Files, so-called early files, are not required and will be decommissioned with Release 9.1. Please refer to Attachment 2 for a list of Prisma Intraday TE Files to be decommissioned.
• Decommissioning of Intraday CP005 File-Sub Portfolio Report (Early Report)

C. Release 9.2

• Decommissioning of Enhanced Risk Solution 
  
  Enhanced Risk Solution (ERS) was introduced in 2010 to provide our Members with direct access to the risk monitoring for all markets. ERS was designed to provide margin information based on our old methodology Risk Based Margining.
  
  Therefore, after the introduction of Portfolio Based Margining (PRISMA) and the completion of migration for all derivatives products to PRISMA, the provided information via ERS got limited. Moreover, ERS is currently running with AMQP 0.1 which will not be supported after Q2 2020 as communicated by the provider. This requires a significant change on both sides.
  
  For the above reasons, Eurex Clearing will decommission ERS in June 2020 and therefore refers the clients to: 

Please check the Eurex Clearing Prisma Member Section under Risk & Collateral Management and our Prisma Release 9.0 initiative page for short-term updates on the simulation as well as recently published documents.

Kind regards,
Your Client Services Team

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