Eurex Clearing
Please note: The information regarding the section "Simulation start" was updated on 4 March 2021.
1. Introduction
With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 11.2 on Monday, 28 June 2021.
In this context, various functional changes for the EurexOTC Clear interfaces (GUI, reports) are expected. Please see a detailed list of the changes that are part of EurexOTC Clear Release 11.2 in section 3.A. below.
A simulation focus week is planned for the end of May 2021.
The timeline for the new release is as follows:
Simulation start: 12 May 2021 (has been updated from previously 10 May 2021)
Production start: 28 June 2021
All information about this release is available on our dedicated initiative page EurexOTC Clear Release 11.2.
For the avoidance of doubt, EurexOTC Clear Release 11.1 will be an internal system upgrade with no client impact, expected to be rolled out in March 2021.
2. Required action
Functions, services and technical changes to be introduced with this release might have an impact on the internal processes of Eurex Clearing Members who clear EurexOTC Clear products (hereafter: EurexOTC Clear Members).
Therefore, it might be necessary for EurexOTC Clear Members to update their internal processes and technical interfaces (e.g. XSDs for EurexOTC Clear reports, Eurex Clearing FpML Interface).
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3. Details of the initiative
A. Changes to be introduced with EurexOTC Clear Release 11.2
Eurex Clearing has provided a description of the changes that are introduced with EurexOTC Clear Release 11.2 (hereafter: OTC Release 11.2) in the Release Notes via the Member Section on the Eurex Clearing website www.eurex.com/ec-en/ under the following path:
Clear > Member Section > Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation > Overview
All changes will be reflected via documentation updates which will be published according to the attached “Eurex Clearing Member Communication Calendar”.
All documents that are updated as part of OTC Release 11.2 will be available in the Member Section on the Eurex Clearing website under the path mentioned above, under “System documentation”, at the appropriate time.
B. Overview of functional changes
TriOptima Portfolio Compression Service Enhancement
Eurex Clearing supports multilateral unlinked compression which offers Clearing Members risk constraint portfolio compression service via TriOptima AB (TriOptima) to reduce the size of an existing OTC derivatives portfolio with respect to the number of trades and notional through (partial) termination of bilaterally agreed trades after novation to Eurex Clearing.
The service is available for Clearing Members’ house transactions and the triReduce cycles generally run quarterly (depending on volume and demand).
With the objective of further increasing the portfolio compression efficiency, Eurex Clearing will enhance its portfolio compression service to support the following additional compression methodologies with TriOptima:
The enhancements will not change the overall flow and timings between Eurex Clearing and TriOptima.
All products supported by EurexOTC Clear (except Cross Currency Swaps and FX products) are eligible for portfolio compression. This also includes Zero Coupon Inflation Swaps (ZCIS), Variable Notional Swaps and trades with attached fees.
Enhancement of MC API functionalities
Existing MC API will be enhanced in order to allow submission of a request for an original OTC IRS production book id without adding any OTC transactions to the request or to allow a Clearing Member to submit a request on behalf of its Disclosed Direct Clients. There will also be some performance improvement in terms of the response time for What-if calculation requests with a simulated trade for the current date.
New cashflow instruction logic for Clearing Member Changes
As before, in case of a Clearing Member Change by a client, all trades will be terminated under the old clearing relationship and re-generated under the new clearing relationship. Newly, the required compensation for the trade value will be implemented by automatically attaching a termination fee to the terminated trade and an upfront fee to the newly created trade. In order to provide full transparency on those automatically generated fees, they will be displayed with new values “Termination Fee Clearer Change” respectively “Upfront Fee Clearer Change” in the field “feeType” of the CC203/CC222 report.
Instruction of termination fees always on termination date
Termination fees and also upfront fees that correspond to the termination fee of another trade (in case of a Post Trade Event like a trade transfer) will be instructed directly on the termination date of a trade in all cases (previously, the instruction would have happened only after the termination date in the exceptional case of a currency holiday after the termination date).
Usage of the Default Agent Account
The default agent account (usually the A1-Account) of a Clearing Member will no longer be used to book unknown client deals or to book client deals that are not properly mapped to a known Clearing Member.
Relaxation of eligibility criteria for backdated stub periods
If a trade contains a front stub period with payment date in the past, the trade can newly be novated even if it uses special stub interpolation tenors that are not regularly supported by EurexOTC Clear.
Adapted Price Alignment Interest logic for T+2 currencies
The calculation of Price Alignment Interest (PAI) will be adapted for T+2 trade currencies (JPY, SEK, NOK, DKK). The cashflow amount for the PAI period from T to T+1 will now be instructed at T-1 instead of T, in order to facilitate timely settlement on T+1. The impact will be minimal on the Member’s side. If you are unsure whether you are impacted by this change, please reach out to your Clearing Key Account Manager or client.services@eurex.com.
Marking trades as backloaded in MarkitWire
A trade (that is an interest rate swap or cross currency swap) loaded from the MarkitWire system will be classified as a backloaded trade in the EurexOTC clear system only if the trade date is older than ten business days and the trade is flagged as backloaded in the MarkitWire GUI. In the MarkitWire GUI, Members should enter a trade date older than ten business days and should select the backloading checkbox in the MarkitWire GUI window which sets the Originating Event on the processing tab to "Backload". Only if these two conditions are fulfilled, a trade will be set as backloaded trade in the Eurex system, if not, the trade will be loaded as a normal bilateral trade.
Interface changes
With OTC Release 11.2, AMQP Brokers for FpML API, TradeEntry API and MC API will support only security protocol TLS 1.2 or higher.
GUI enhancements to improve usability
Take-up window enhancements
Results table auto-height
Improve PTE Error Handling with multiple Requests
Report enhancements
For further details please refer to the EurexOTC Report Manual for OTC Release 11.2 which will be published in due time.
For the avoidance of doubt, EurexOTC Clear Release 11.1 will be an internal system upgrade with no client impact, expected to be rolled out in March 2021.
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. For the purposes of this Eurex Clearing Circular, the term “Clearing Member” shall also include FCM Clearing.
Attachment:
Further information
Recipients: | All Clearing Members, all FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com or your dedicated Clearing Key Account Manager | |
Web: | EurexOTC Clear Release 11.2 initiative page | |
Authorised by: | Dmitrij Senko |
