15 Oct 2021

Eurex Clearing

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Simulation preparation and test of the mandatory conversion of OTC Clear transactions referencing CHF, GBP and JPY LIBOR to Risk-free rates

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Simulation preparation and test of the mandatory conversion of OTC Clear transactions referencing CHF, GBP and JPY LIBOR to Risk-free rates


Dear Eurex Clearing Participant,

With this newsflash, Eurex Clearing provides further information on simulation preparation and test of conversion of EurexOTC Clear IRS and basis swaps referencing CHF, GBP and JPY LIBORs. The Simulation environment for EurexOTC Clear Release 12.0 will be opened for Members on 19 October 2021. As usual, please make sure that your systems are prepared for the updated XSDs, for reports and FpML messages before the simulation starts. Starting from 19 October 2021, functionalities and changes will be available for testing.

Eurex Clearing will actively convert EurexOTC Clear IRS and basis swaps referencing CHF and JPY LIBOR on 4 December 2021 and GBP LIBOR on 18 December 2021 in the production environment. An important milestone for testing is performing the conversions in the Simulation environment. Hence, to allow Clearing Members multiple testing possibilities, Eurex Clearing will perform two dress-rehearsals in the following dates:

  • First dress-rehearsal on GBP, CHF and JPY LIBORs trade conversion process: 19 - 21 October 2021
  • Second dress-rehearsal on GBP, CHF and JPY LIBORs trade conversion process: 9 – 11 November 2021

Eurex Clearing notes that after the first dress-rehearsal, clearing of CHF, GBP, and JPY LIBOR referencing trades will be eligible in the simulation environment until the second dress-rehearsal is completed. This system behavior deviates from the conversion go-live where after end of day process on 3 December and 17 December 2021 for CHF, JPY LIBORs trades and GBP LIBOR trades respectively, will no longer be eligible for clearing in the production environment.

Clearing Members who participated in the first dress-rehearsal but want to participate in the second one as well, and also the ones who just want to participate in the second dress-rehearsal need to upload test portfolios in the simulation environment between 21 October - 9 November 2021.

Please find the necessary information for simulation described below (for the avoidance of doubt, first date is always relevant for the first dress-rehearsal and second date is always relevant for the second dress-rehearsal):

1.  Test portfolios should be cleared in Simulation latest on 19 October 2021, 18:00 CET and 9 November 2021, 18:00 CET. Cut-off time for the backloading of trades, which need to be novated on the same day, is 15:00 CET. Simulation will be closed on Wednesday, 20 October 2021 and 10 November 2021. In particular, the OTC GUI/MC GUI will not be available, MC API and FpML-API requests will not be processed, and no new trades can be submitted to the OTC Clearing system.

2.  19 October 2021 and 9 November 2021 (both are batch days) will be the last days for transactions referencing CHF, GBP and JPY LIBOR benchmarks.

3.  Eurex Clearing will transition to the respective Risk-free rates transactions intraday on 20 October 2021 and 10 November 2021 (both are batch days). 

4.  On 20 October 2021 and 10 November 2021, customers will receive intraday the one-off Reports CC350, CD200, CB201 and CB202 with the timestamp of Saturday, 23 October 2021, and 13 November 2021 (e.g. 85RPTCD200MEMBERID20211023.XML.ZIP and 85RPTCD200MEMBERID20211113.XML.ZIP). Details on trade mapping, transparency reports and cash compensation reconciliation can be found in the LIBOR Trade Conversion Booklet on page 10.

5. The EOD Reports on 20 October 2021 and 10 November 2021 will be generated for the first time for newly generated novated Risk-free rates trades, and all the netting reports will be created with an empty content.

The compensation fee will be calculated on 19 October and 9 November 2021. Conversion will take place on Wednesday, 20 October and 10 November 2021, and settlement of the compensation fees for CHF and GBP LIBORs shall be on Thursday, 21 October 2021 and 11 November 2021. For JPY LIBOR, settlement of the compensation fees will take place on Tuesday, 26 October 2021 and 16 November 2021, since the following Fridays and Mondays are not batch days in the simulation environment. This information is aggregated on the below table:

Currency

Comp. fees calculation 

Conversion

Settlement of comp. fees

1.    Dress Rehearsal

CHF, GBP

Tuesday 19 Oct. 2021

Wednesday 20 Oct. 2021

Thursday 21 Oct. 2021

JPY

Tuesday 26 Oct. 2021

2.    Dress Rehearsal

CHF, GBP

Tuesday 9 Nov. 2021

Wednesday 10 Nov. 2021

Thursday 11 Nov. 2021

JPY

Tuesday 16 Nov. 2021

Reports:

The Trade Conversion Transparency Report CC350 and LIBOR Conversion Replacement Trade Shadow Report CB301 will be created specifically to provide transparency for the trade conversion and are available in CRE from 2 September 2021 EOD (simulation) until 10 November 2021 EOD and from 18 October EOD (production) until 17 December 2021 EOD. We note that all reports that will be generated as one-off versions of existing daily reports on Saturday 4 December and 18 December 2021 will have the same XSD Schema as their daily versions.

A detailed explanation of the LIBOR transition including a description of the aforementioned reports and reconciliation thereof can be found in the “LIBOR Trade Conversion Booklet”. The document is available in the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation and Files > Benchmark Transition Information > LIBOR Trade conversions

Additionally, sample broadcast messages for terminated trades and verified trades, which will be created on conversion days, have been uploaded to the Member Section. When the trades are converted, Eurex Clearing will send the Broadcast messages informing that new trades are verified.

Afterwards, for MarkitWire Netting Synchronization enabled Members, Eurex Clearing will send a second version of broadcast messages for newly created trades with added information of Trade IDs used at MarkitWire and the relevant tag is srcSysTradeId. Hence, MarkitWire Netting Synchronization enabled Members will receive two versions of trade notification messages. The compressed ZIP file, including the sample for terminated trade and two versions of verified trades, is available in the the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation and Files > Benchmark Transition Information > LIBOR Trade conversions

Eurex Clearing strongly recommends that Clearing Members and clients should, proactively and prior to testing, upload the portfolio that they want to test in the Simulation environment.

Learn now more about EurexOTC Clear Release 12.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 12.0. System documentation, circulars, timeline and much more information are available there for you.

If you have any questions or comments, please do not hesitate to contact us at: client.services@eurex.com.

Kind regards,
Your Client Services Team

Attachment:

  • Information table for simulation of the LIBOR trade conversion process


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Recipients:

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

Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination

Contact:

client.services@eurex.com

Web:

Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 12.0