Prisma Release 16.0: Release announcement

1.   Introduction

With this circular, Eurex announces the production launch of Prisma Release 16.0, which is scheduled for Monday, 9 November 2026. The simulation start is 28 September 2026 (with the first batch day on 30 September 2026).

Simulation start: 28 September 2026

Production start: 9 November 2026

Learn now more about Prisma Release 16.0 on our dedicated initiative page under the following link: Prisma Release 16.0. Circulars, timeline and much more information will be available there for you.

2.   Required action

We kindly ask all Clearing Members and participants to adjust their systems and internal processes to support the changes in member files as per this circular. A short description for the TE files mentioned under 3 A, will be updated in the Methodology User Guide and, together with Report Reference manual, where the report changes mentioned under 3 B will be adjusted, will be available in the Member Section of Deutsche Börse Group (before the Simulation start) under the following path:  

Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Prisma > Release Documents > Document & Circulars > Documents Release 16.0

3.   Details of the initiative

A. Integration of stress floor in Liquidity Adjustment component

The Liquidity Adjustment (LA) component relies on the current level of market risk of each position in a portfolio. A stress floor is technically introduced to the Liquidity Adjustment calculation. The nature of the stress floor is to enhance margin stability by addressing procyclical behaviours that can be the result of sudden changes in the volatility environment. While it remains inactive until further notice, it will be rolled out technically and functionally across the whole Prisma system with Prisma Release 16.0. It may be activated in the future for exchange traded derivatives (ETD) and exposures of the BPM (Bond Portfolio Margining) offering. The integration of the stress floor via change of respective configuration is subject to and in line with regulatory approvals. Any such future activation will be transparently communicated via the established communication channels.

Impact on TE files

TE Files – Structure Changes (TE File structure will be changed to reflect the stress floor within LA component).

• The file  'Risk_Measure_Aggregation_Configuration' is changed. New field 'LA Max' within RM Section is introduced. The field indicates if the stress floor is integrated or not. Possible values are; 'Y' - stress floor is included in the calculation and 'N' stress floor is not included.
• The file ‘Theoretical Prices and Instrument Configuration’ is affected conditionally upon the value of the new field in the file 'Risk_Measure_Aggregation_Configuration'; the stress floor is also reported when 'LA Max' is 'Y'.

B. Changes in existing Reports CC711 and CP011

Structural change to Report CC711 where "Risk Adapted Interest Rate - Up" and "Risk Adapted Interest Rates - Down" are removed from the file header. Furthermore, Secu Interest Rate for Discounting Security is included in the Reports CC711 and CP011 as additional field "rSecu”.

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