Prisma Risk Management: Introduction for Bonds and Repos

1.    Introduction

With this circular, Eurex Clearing announces the introduction of the portfolio-based Risk Management methodology (Prisma) for in-scope Bonds and Repos (Prisma Bonds) as well as enhancements to its current Risk Based Margining methodology (RBM) for the fixed income securities not migrating to Prisma yet.

Eurex Clearing received regulatory approval for the migration and the risk management under Prisma methodology by ESMA and by BaFin on 3 June 2025. 

As of 8 December 2025, on a mandatory basis, all Margin Parameters for Bonds and Repos as well as Fixed Income Securities Collateral haircuts, i.e. ECAG margin and default fund collateral haircuts will be subject to an improved margin methodology. Furthermore, Clearing Members can opt-in to use Prisma bond portfolio margining (improved portfolio offsets complementing improved haircuts) for Prisma Bonds as of 2 February 2026 (start of Opt-In phase). 
                                             
Timeline: 

Member Simulation: 6 October 2025
Member Simulation Prisma Opt-In start: 17 November 2025
Production start: 8 December 2025
Member Opt-In start: 2 February 2026

By migrating the Bond margin methodology to Prisma, a further harmonization of the margin methodology in the entire Eurex cleared fixed income securities and derivatives space is achieved. It will further deliver improved Bond and Repo portfolio-based margin offsets to Clearing Members and their clients and sets the basis for further integration steps planned for 2026. This initiative is expected to reduce the cost to centrally clear Bond and Repo transactions substantially and allows clients to manage euro interest rate risks more efficiently.

In addition, there will be an improved calibration of margin parameters for FI securities under the established RBM methodology for FI securities not migrating to Prisma, an enhancement of the margin and default fund collateral valuation process, as well as an improved modelling of Bonds within the default fund calibration.

The migration of Bonds and Repos to Prisma is planned with the following approach:

Member Simulation Start (6 October 2025):

• Clearing Members can technically test the reporting relevant Prisma Release 15.0.
• Further Clearing Members are advised to consider the previously communicated and below highlighted technical changes with regards to the Bond migration to Prisma, such as the report amendments and TE files.
• The Cloud Prisma Margin Estimator (cPME) can be used to estimate and assess indicative margin impacts due to updated Bond margin parameters on Repo transactions via a dedicated environment. Model data will be based on a single historical date to provide indicative margin numbers. Portfolio margining for Prisma Bonds will not be available in this version. Eurex Clearing will inform about the availability of this functionality and how to connect to the dedicated environment via a separate Newsflash.

Member Simulation Prisma Opt-In (17 November 2025):

• Bonds and Repos in scope of the migration will by default still be margined using RBM in Simulation.
• On an optional basis, Members can request the setup for Prisma Bond portfolio margining for Prisma Bonds via the contact listed below and the enclosed Prisma Bond portfolio margining activation form.

Production Start (8 December 2025):

• Members should observe a reduction in margin requirement due to an improved calibration of all Margin Parameters for Bonds and Repos and of Fixed Income Securities Collateral haircuts (margin and default fund collateral). Please note: All Bonds will still be margined using the RBM methodology and standard RBM Margin Grouping is applied, i.e. no Prisma based portfolio margining for Bonds. The enhanced modelling of Bonds within default fund calibration becomes effective in Production.
• Portfolio margining for Prisma Bonds will be available in productive Cloud Prisma Margin Estimator (cPME) optionally.

Prisma Opt-In Phase (2 February 2026):

• Clearing Members can start to margin Prisma Bonds under the Prisma methodology and benefit from Prisma Bond portfolio margining for a first time.
• The opt-in must be requested at least one week prior to month end to migrate on the first business day of the following month. The opt-in will follow the same approach as for Simulation and can be requested via the contact listed below and the enclosed form.
• The opt-in phase will be open until the migration becomes mandatory in preparation for further implementation, such as the portfolio margining between migrated Bonds and single ISIN Repos and Money Market/Fixed Income Futures and Options.
• With the opt-in the Prisma reporting will become applicable.
• For the avoidance of doubt, non-Prisma Bonds and GC Pooling transactions cannot be migrated to Prisma Bond portfolio margining at this point in time.

Mandatory Migration of Bonds and Repos to Prisma (to be announced):

RBM method will no longer be available for Repos and Bonds in scope. The switch to Prisma becomes mandatory. Details when the mandatory switch will go live will be published and announced well in advance.

Prisma Bonds:

The following Bonds denominated in euro are in scope for the switch to the Prisma methodology (Prisma Bonds):

• Zero Coupon and Fixed coupon, bullet Bonds issued by governments of Germany, France, Italy, and Spain
• Supranationals (AAA and AA rated)

Learn now more about Prisma Release 15.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > Prisma Releases > Prisma Release 15.0. Circulars, timeline and much more information will be available there for you.

2.    Required action

Prisma and RBM will be offered in parallel for Bonds and Repos, allowing Clearing Members a smooth migration to the new risk method at their own pace via the opt-in offering. At a later stage, which will be communicated well in advance, it is envisaged to discontinue the optional use of RBM for Bonds and Repos in scope and make Prisma mandatory for Bonds and Repos in scope for the issuers referenced above. The migration of Bonds and Repos to Prisma requires Clearing Members and Vendors to consider/implement the following changes:

• Existing margin reports that cover products under Prisma will be changed and new reports have been introduced and announced with PRISMA Releases 14.1 and 15.0.
• An additional TE file containing information only for the Bonds and Repos in scope of the migration will be introduced with the changes in December 2025. Current TE Files will not change.
• If applicable, Clearing Members and Vendors need to adjust their reconciliation processes accordingly.

Furthermore, Clearing Members who want to benefit from Bond and Repo portfolio margining during the optionality phase will be able to request the switch to Prisma for their portfolio of Bonds and Repos. It will only be possible to switch once without the option to move back to RBM. The migration can be requested via the contacts listed below. After the switch, during the optionality phase, no separate registration will be required to benefit from Bond portfolio margining.

Updated documentation including a Report Reference Manual with details about the envisaged report changes and the new TE file will be made available in the Member Section​ of Deutsche Börse Group as part of the changes planned for December 2025.

3.    Benefits

Introduction of Prisma methodology for Bonds will generate a number of tangible benefits to Cash Bond, Repo and Derivatives Clearing participants, i.e.

• Standardization of risk methodology across Bonds, over the counter (OTC) interest rate swaps and exchange traded derivatives clearing
• Improved reflection of Bond portfolio offsets
• Daily recalibration of Bond risk factors.
  Following the implementation, Eurex Clearing will have delivered a key pillar for the future development of margin netting/cross product margining between Bonds and Derivatives.

Future planned extensions will focus on:

• Increasing the scope of eligible securities under Prisma margining,
• Establishing portfolio margining between Bonds migrated to Prisma and Money Market/Fixed Income Futures and Options, and
• Implementing cross margining between combined Money Market/Fixed Income Futures and Options and Prisma Bonds, Repos, and OTC IRS

Relevant information with regards to these aforementioned extensions will be provided over time.

For more information on Eurex Clearing’s Prisma model, please refer to the Eurex Clearing website www.eurex.com/ec-en/ under the following link: Services > Margining > Eurex Clearing Prisma.

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.

Attachment:

• Prisma Bond portfolio margining activation form

Further information