The main scope of this release is to support the Next Generation Exchange Traded Derivatives (ETD) contracts, which allows more than one expiration per month on product level (sub-monthly contracts). This implies structural changes of some of the Transparency Enabler Files which are available in simulation since 06 December 2021.
Simulation start: 06 December 2021
Production start: 27 June 2022
The Prisma system documentation will be available in the Member Section under the following path: Resources > Eurex Clearing Documents > Eurex Clearing Prisma > Release Documents > Documents & Circulars > Documents Release 11.1.
Release Items/Participants Requirements
Transparency Enabler Files
Layout changes for Prisma Transparency Enabler Files will be activated for the simulation start of the Next Generation ETD Contracts functionality on 06 December 2021. Production activation is planned as part of the complete Next Generation ETD Contracts rollout in June 2022.
We kindly ask all Clearing Members to make sure, that relevant changes are reflected in their internal processes.
Change in reports
New attributes allowing the identification of sub-monthly contracts will be added to the respective Member reports (CP005, CP010, CP020, CP044 and CP007).
Please refer to the updated Prisma Report Reference Manual published in the Member Section for respective changes in the reports layout.
Cloud Prisma Margin Estimator (CPME)
With Prisma Release 11.1, CPME will support margin calculation requests for portfolios with sub-monthly contracts.
For updated API definition visit: Cloud Prisma Margin Estimator API.
Optional Subsampling Switch-Off
The 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, by introducing new values in the field “Simulation Type”, in Risk Measure RMS section.
We kindly ask all Clearing Members to make sure, that relevant changes are reflected in their internal systems & processes.
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