16 Mar 2022

Eurex Clearing

Eurex Clearing Prisma: Announcement of Prisma Release 11.1

Eurex Clearing Circular 020/22 Eurex Clearing Prisma: Announcement of Prisma Release 11.1

1.  Introduction

With this circular Eurex Clearing announces the production launch of Prisma Release 11.1 which is scheduled for Monday, 27 June 2022.

The simulation environment has been and is planned to be available as outlined in the below schedule:

Screenshot 2022-03-16 103813

Learn now more about Prisma Release 11.1 on our dedicated initiative page under the following link: Support > Initiatives & Releases > Prisma Releases > Prisma Release 11.1. Circulars, timeline and much more information will be available there for you.

2.  Required action

We kindly ask all Clearing Members to make sure that relevant changes are reflected in their internal processes as per the Eurex Clearing Prisma Release Notes Release 11.1 and Prisma Report Reference Manual, published in the Member Section of Deutsche Börse Group under the following link:

Member Section > Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document & Circular > Documents Release 11.1.

3.  Details of the initiative

A. Next Generation ETD Contracts

Currently, the product scope of Eurex supports a maximum of one expiration per month. In the future, the product scope of Eurex will be enhanced to support more than one expiration per month, which applies across the trading, clearing and risk management area. Consequently, several sub-monthly expiring contracts referring to the same front month will be able to be summarized by the same product. The required changes will be delivered in two steps:

a.   Transparency Enabler Files

New attributes allowing the identification of sub-monthly contracts will be added to the following three Transparency Enabler Files: “Theoretical_Prices_and_Instrument_Configuration”, “Settlement_Prices” and “Settlement Prices for Cash Flow”. 

b.   Report changes and Cloud Prisma Margin Estimator (CPME)

i.   New attributes allowing the identification of sub-monthly contracts will be added to the respective Member reports (CP005, CP010, CP020, CP044 and CP007). 
ii.  With Prisma Release 11.1, CPME will support margin calculation requests for portfolios with sub-monthly contracts.

For additional details, please refer to the Eurex Clearing Prisma Release Notes Release 11.1 published in the Member Section, as well as Eurex Clearing circular 054/21 for an overview of the overall implementation approach. 

B. Optional Subsampling Switch-Off

As detailed in the Eurex Clearing Prisma User Guide Methodology Description, the productive Prisma Initial Margin model makes use of the subsampling technique, by which e.g. filtered historical and stress period scenario prices are divided into non-overlapping scenario subsamples. 

Prisma Release 11.1 will provide the optional functionality for Eurex Clearing to switch off this subsampling technique, so that e.g. the Profit and Loss Distributions are not divided into subsamples anymore and VaR figures are subsequently based on the full Profit and Loss Distribution for filtered historical or stress period scenarios. The usage of the subsampling technique will become visible in the Risk_Measure_Configuration file where new values will be introduced in the field “Simulation Type”, in Risk Measure RMS section. For additional details please refer to the Eurex Clearing Prisma Release Notes Release 11.1.

Please note that in Production, subsampling will remain active for the time being. Switching off subsampling in Production will be announced separately with a lead time of at least four weeks.

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


All Clearing Members, FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors

Target groups:

Middle + Backoffice, IT/System Administration

Related circular:

Eurex Clearing circular 054/21



Support > Initiatives & Releases > Prisma Releases > Prisma Release 11.1

Authorized by:

Dmitrij Senko