EurexOTC Clear: Production launch announcement of EurexOTC Clear Release 10.1

1. Introduction

With this circular, Eurex Clearing would like to announce the production launch of EurexOTC Clear Release 10.1 (OTC Release 10.1) on Monday, 27 July 2020. 

All EurexOTC Clear Members are affected by the introduction of OTC Release 10.1.

2. Required action

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 10.1. 

After the batch processing on Friday, 24 July 2020, reports are created based on EurexOTC Clear Release 10.0 formats. Intraday and End-of-Day reports that are created on Monday, 27 July 2020, start of business, will be created based on OTC Release 10.1 formats.

3. Details of the initiative

A.    Documentation for OTC Release 10.1

As announced with Eurex Clearing circular 014/20 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 10.1. The following remaining documents contain essential information und updates regarding OTC Release 10.1:

• EurexOTC Clear Procedures Manual
• EurexOTC Clear Product List

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

Technology > EurexOTC Clear > System Documentation > Functional Documents & Guides

B.    EONIA to €STR discounting switch

With OTC Release 10.1, as part of the transition from EONIA to €STR as the new euro risk-free rate, Eurex Clearing will implement for its EurexOTC Clear service the switch across the weekend around 24 July 2020. This means that Friday, 24 July 2020 will be the last day with EONIA PAI (PAA) and Monday, 27 July 2020 the first day with €STR-based PAI (PAA) calculations. 

A detailed explanation of the €STR discounting switch including a description of the reports and reconciliation thereof can be found in “EurexOTC Clear – process and methodology of the EONIA to €STR discounting switch Version 1.2”. The document is available in the Eurex Clearing Member Section, under the following path:

Risk & Collateral Management > Benchmark Transition Information > EUR: EONIA-€STR Transition

C.    SOFR swaps

Eurex Clearing will support the following with regards to the FedFunds-SOFR transition:

• USD Overnight Index Swaps (fix for float) referencing the SOFR benchmark (up to 50 years)
• SOFR-LIBOR and SOFR-EFFR basis swaps (float for float) (up to 50 years)
• All cleared OTC derivatives referencing the SOFR benchmark will reside under a common EFFR-based discounting and PAI regime, consistent with all other OTC derivatives.

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

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