23 Nov 2021

Eurex Clearing

EurexOTC Clear: GBP/USD RFR XCCY swaps: New production start date

Eurex Clearing Circular 104/21 EurexOTC Clear: GBP/USD RFR XCCY swaps: New production start date


1.    Introduction

This circular contains information that replaces Eurex Clearing Circular 063/21 in regards of GBP/USD RFR XCCY swaps date for production environment

The new timeline for the GBP/USD RFR XCCY swaps is as follows:

  • New production start date: 13 December 2021

Learn more about EurexOTC 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 is available there for you.

2.    Required action

EurexOTC Clear Members might need to update their internal processes and technical interfaces (e.g. XSDs for EurexOTC Clear Reports, Eurex Clearing FpML Interface) ahead of the introduction of the GBP/USD RFR XCCY swaps.

  • In case of cooperation with back-office vendors, EurexOTC Clear Members should contact their third-party providers as soon as possible to ensure that the necessary adjustments can be made.
  • Please check whether you have registered and/or updated your Release Contacts for EurexOTC Clear via the Member Section of Deutsche Börse Group, under Release Contacts.

3.    Details

Following the announcement of GBP/USD RFR XCCY swaps within Eurex Clearing Circular 063/21 (part 3. Details of the initiative, B. Overview of the functional changes, Introduction of GBP/USD RFR XCCY Swaps), the information regarding production start date has been updated.

The RFR GBP/USD XCCY swaps are already eligible for clearing in simulation environment since 19 October 2021 and in production environment starting with 13 December 2021

On this date, the following Risk-Free Rates (RFRs) will be introduced: 

  • SONIA for GBP leg and SOFR for USD leg. 

By the end of November 2021, this product will be added to the product list of Eurex OTC Clearing. This file can be found in the Member Section of Deutsche Börse Group under the following path: 

Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation

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

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors, all FCM Clearing Members and other affected contractual parties

Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration

Related circular:

Eurex Clearing Circular 063/21

Contact:

client.services@eurex.com 

Web:

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

Authorized by:

Jens Janka