24 Feb 2022

Eurex Clearing

EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 13.0

Eurex Clearing Circular 007/22 EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 13.0

1. Introduction

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).

  • 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 in the Member Section of Deutsche Börse Group, under Release Contacts.
  • In parallel, please subscribe to EurexOTC Clear circulars and newsflashes on our subscription website under the following link in order to remain updated, as any communication regarding OTC Clear Release 13.0 will only be distributed via circulars and newsflashes:
    Find > Subscriptions

3.  Details of the initiative

A. Changes to be introduced with EurexOTC Clear Release 13.0

  • The Czech Koruna (CZK) and the Hungarian Forint (HUF) product extensions
  • Re-mapping of IRS trades’ stubs referencing to USD LIBOR 1W or 2M
  • Creation of new trade after PTE trade transfer to a Clearing Member
  • Trade booking via the Trade Entry API Interface
  • MC-API: Change on the ETD template
  • Further GUI enhancements to improve usability
  • Changes to reports

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:

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

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:

  • Interest Rate Swap (IRS): Vanilla Fixed/Float with max maturity 16Y
  • Single Currency Basis Swaps: Vanilla Float/Float with max maturity 16Y
  • Forward Rate Agreement (FRA): Vanilla with max maturity 3.25Y
  • Interest Rate Swap (IRS) and Single Currency Basis Swaps allowing Variable Notionals, Fixed Rate and Index Spreads 

The new floating rate indices and tenors are:

  • CZK-PRIBOR on 3M and 6M
  • HUF-BUBOR on 3M and 6M

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:

  • New field name “Contract Date” was added to the ETD template and will be in the format YYYY-MM-DD.
  • The field “Instrument Type” was renamed to “Contract Type”.
  • The field “Contract Day” was removed from the ETD template.

GUI enhancements

OTC-GUI: Trade Transfer: Take-up for acceptance window:

  • In the Trade Transfer Take-up for acceptance window a drop-down list is added to the Book field. The Confirm button will initially be inactive. It is activated once a book is selected.

MC-GUI and Margin Calculator Templates: 

  • Changes to the MC-GUI ETD Trade Template: New field name “Contract Date” will be added to the ETD template and with the format YYYY-MM-DD,
  • The field “Instrument Type” will be renamed to “Contract Type”,
  • The field “Contract Day” will be removed from the ETD template.

Changes due to the LIBOR decommission:

  • The index LIBOR will be removed for the currencies GBP, CHF and JPY from the MC Trade Template, the Trade Insert Tool, the MC Sensitivity Template and the Sensitivity window.

Payment calendars:

  • To supplement the already existing IRS functionality, the further payment calendars will be added to the MC-GUI Trade Template and the Clearing Eligibility Checker for IRS and FRA trades.

Changes to reports

The EurexOTC Clear reports will be changed as follows:

  • Liquidation Adjustment components for trades in CZK and HUF will be added to the xml versions of the Overall Margin Report (CC204) and Client Margin Report (CC208). Two new fields will be visible in the csv version of CC204.
  • Market data related and trade related data due to CZK and HUF product extension will be included in existing reports. There will be new values in existing reports for currencies (CZK, HUF), calendars (CZPR, HUBU), indices (PRIBOR, BUBOR), settlement location (APBCZK, APBHUF). Except the changes mentioned above for CC204 and CC208 reports, there will be no impact on the overall structure of xml and csv reports. 
  • Until now, the field ‘Effective date’ has been filled with the Start date of the pay leg in Cash Forecast Report (CD200/CD210). With this release, this field will be filled with the Start date of the respective leg, i.e. either Start date of pay leg or Start date of receive leg.

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.
 

Further information

Recipients:

All Clearing Members, Basic Clearing Members, FCM Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors 

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circular:

Eurex Clearing circular 022/21

Contact:

client.services@eurex.com

Web:

Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 13.0

Authorized by:

Dmitrij Senko