EurexOTC Clear: Production launch announcement of EurexOTC Clear Release 10.0

1.    Introduction

With this circular, Eurex Clearing would like to announce the production launch of EurexOTC Clear Release 10.0 (OTC Release 10.0) on Monday, 18 November 2019. All EurexOTC Clear Members are affected by the introduction of OTC Release 10.0.

Production start: 18 November 2019

2.    Action required

The functions and services introduced with this release (such as reports and FpML messages) might have an impact on the report and FpML processing of EurexOTC Clear Members. In order to be prepared for the start of production, please update your systems with the newly created schemas (e.g. report XSDs, XSDs for the FpML Interface and the Margin Calculator Interface), valid for the OTC Release 10.0. After the batch processing on Friday, 15 November 2019, reports are created based on EurexOTC Clear Release 9.2 formats. Intraday and End-of-Day reports that are created on Monday, 18 November 2019, start of business, will be created based on OTC Release 10.0 formats.

3.    Details of the initiative

As announced with Eurex Clearing circular 066/19 and documented in the Functional Release Notes, there are enhancements and changes relevant for OTC IRS and OTC FX/XCCY Swap participants.

Further details on the above-mentioned enhancements and changes can be found in the functional and technical documentations, which are updated with OTC Release 10.0. The following remaining documents contain essential information und updates regarding OTC Release 10.0:

• EurexOTC Clear Procedure Manual (publication on 11 November 2019)
• EurexOTC Clear Product List

The documents are available in the Member Section of the Eurex Clearing website www.eurexclearing.com under the following path:

Member Section > Technology > EurexOTC Clear > System Documentation > Functional Documents & Guide

With OTC Release 10.0, Eurex Clearing will support the following with regards to the EONIA - €STR Transition

• Clearing of EUR overnight index swaps (fix for float) referencing the €STR benchmark (up to 50 years)
• Eligibility of EUR OIS with a spread on the floating leg of the trade (the spread is treated as simple interest above the self-compounding floating rate)
• Clearing of €STR-Euribor (up to 50 years) basis swaps and EONIA-Euribor basis swaps (float for float)

As already announced via newsflash, the Margin Calculator API will support Zero Coupon Inflation Swaps as of 18 November 2019.

The activation of the following services, which are technically introduced with OTC Release 10.0, will be announced separately via Eurex Clearing circulars or Newsflashes:

Pricing model extension to Basic DCs in A-Account: the selection of the price model can already take place, however the activation takes place at the earliest with the effective date of the updated price list of the Eurex Clearing AG, which is announced separately.

• MarkitWire Netting Synchronization: Announcement will be made in close consultation with MarkitWire
• Advanced Risk Netting Unit (ARNU): The changes can already be considered for technical implementation with release 10.0. The activation of these changes, which will be announced separately, is planned with the activation of ARNU in the first half of 2020.

In connection with the introduction, please consider as well the “EurexOTC Clear Release Known Limitations” list which has already been updated and published in the Eurex Clearing Member Section under the following path:

Technology > EurexOTC Clear > General question log & Known limitations

Further information