With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 13.0 on Monday, 27 June 2022. In this context, Functional, GUI and report changes are expected as highlights of the release. Please see a detailed list of the changes that are part of EurexOTC Clear Release 13.0 in section 3. Details below.
The timeline for the new release is as follows:
Simulation start: 18 May 2022
Production start: 27 June 2022
Learn now more about the EurexOTC Clear Release 13.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 13.0. Circulars, timeline and much more information will be available there for you.
2. Required action
Functions, services, and technical changes to be introduced with this release will have an impact on the internal processes of Clearing Members, FCM Clearing Members and their clients 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).
3. Details of the initiative
A. Changes to be introduced with EurexOTC Clear Release 13.0
Enhancements and changes are summarized below. Further, Eurex Clearing has provided a description of the changes in the Functional Release Notes of OTC Clear Release 13.0 that may be accessed via the Member Section under the following path:
All changes will be reflected via documentation updates as well which will be published according to the Eurex Clearing Member Communication Calendar. The updated documents as part of OTC Clear Release 13.0 will be available in the Member Section under the path mentioned above, under “System documentation”.
Additionally, with OTC Clear Release 13.0, Eurex Clearing introduces the simplified approach for the Functional Release Notes and Communication Calendar. In the Functional Release Notes, participants can see the changes relevant to this release only and impact analysis per product type. Preliminary and final versioning convention of the documentation will be simplified to have only one final version published ahead of the simulation start. The changes are reflected in the Communication Calendar accordingly.
Nevertheless, the new method does not eliminate potential changes of the documents during the course of the releases, if there is a need for a change. To avoid any confusion, Clearing Members will be informed via a separate Newsflash, if such changes are introduced.
B. Overview of functional changes
The Czech Koruna (CZK) and the Hungarian Forint (HUF) product extensions
The Czech Koruna (CZK) and the Hungarian Forint (HUF) Interest Rate Derivatives which will be supported by EurexOTC Clear are:
The new floating rate indices and tenors are:
Eurex Clearing notes that the actual go-live of the service to clear products in the currencies CZK and HUF is to be determined upon regulatory approval. Clearing Members will be informed at the later stage via a dedicated communication.
Re-mapping of IRS trades’ stubs referencing to USD LIBOR 1W or 2M
With Eurex Clearing Circular 022/21, Eurex Clearing limited eligibility of USD LIBOR-referencing IRS with expiry on or after 1 October 2021, if the swaps contain stub periods relying on 1W or 2M USD LIBOR fixings with or without linear interpolation being specified. Since USD LIBOR fixings 1W and 2M were decommissioned by 31 December 2021, the stub types of related legacy Interest Rate Swaps (IRS) (i.e. those referencing to the decommissioned fixings) will be re-mapped according to rules described in the Release Notes of OTC Clear Release 13.0.
Creation of new trade after PTE trade transfer to a Clearing Member
PTE trade transferred to a Clearing Member (CM) will no longer be created into the default agent account of the CM. New trade which is transferred to a Clearing Member after a PTE action will automatically be created into CM’s P-Account and not into the CM’s default agent account. The Clearing Member will still have to provide Take-Up for that PTE trade either via the EurexOTC Clear GUI or via the FpML-API. It should be noted that the Clearing Member will always have the possibility of changing the target account during the take-up of the transferred trade.
Trade booking via the Trade Entry API Interface
Multiple Direct Clients under the same Clearing Member will be allowed to share the same LEI or External PO ID (BIC) and to submit Eurex OTC trades via the Trade Entry API interface. In order to load the trade on the correct target account of the client, the full name of a valid client’s account (e.g., “ABCFR_P” or “ABCFR_FUND001”) shall be provided in the xml trade submission request. If the client’s account provided is not valid, then the submitted trade request will be rejected. The full name of the client’s account will be used to book the trade on the correct target account.
Eurex Clearing notes that the above change applies only to the Trade Entry API interface and not to the MarkitWire interface. If two Disclosed Clients (DCs) share the same BIC under the same Clearing Member, and a DC-related trade is loaded via MarkitWire, the trade will automatically be rejected as the full account name cannot be provided while loading the trade via the MarkitWire interface and the submitted DC identifier (MW BIC) will be ambiguous.
MC-API: Change on the ETD template
The current ETD template used for Margin Calculator API will be modified as follows:
OTC-GUI: Trade Transfer: Take-up for acceptance window:
MC-GUI and Margin Calculator Templates:
Changes due to the LIBOR decommission:
Changes to reports
The EurexOTC Clear reports will be changed as follows:
For further details on the report enhancements, please refer to the EurexOTC Report Manual for OTC Clear Release 13.0, which will be published by mid of April 2022 in the Member Section of Deutsche Börse Group.
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.
All Clearing Members, Basic Clearing Members, FCM Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Eurex Clearing circular 022/21
Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 13.0