EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 17.0

1. Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 17.0 on Monday, 17 June 2024. In this context, functional, GUI, API, and report changes are expected as highlights of the release. In addition, a simulation environment clean-up will be performed. Please see a detailed list of the changes that are part of EurexOTC Clear Release 17.0 in section 3.

The timeline for the new release is as follows:

Simulation start:    8 May 2024

Production start: 17 June 2024 

Learn more about the EurexOTC Clear Release 17.0 on our dedicated initiative page on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 17.0. Circulars, timeline, and additional 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 are made. 
• Please also check whether you have registered and/or updated your release contacts for EurexOTC Clear in the Member Section of Deutsche Börse Group under tab “Company 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 EurexOTC Clear Release 17.0 will only be distributed via circulars and newsflashes: Find > Circulars & Readiness Newsflashes Subscription.

In order to improve the quality of the OTC simulation environment in advance of its upcoming release, Eurex Clearing will perform a structured clean-up of old trades in the simulation environment on Monday, 15 April 2024. Therefore, all trades captured before Monday, 20 November 2023 will no longer be available in the simulation environment. 

Participants, who wish to keep these trades, should send an e-mail with the subject “Clean-up of the simulation environment - excluded accounts” to the Key Account Manager or client.services@eurex.com (including Member ID and book) until Friday, 22 March 2024.

3. Details

A. Changes to be introduced with EurexOTC Clear Release 17.0 

• EU Agency Clearing Model
• Introduction of Inflation Linked Asset Swaps
• A new field “ReportTrackingNumber” for OTC trade notification messages
• Processing of Clearing Broker Take-up requests outside of Eurex Clearing service hours
• Report Changes 
• GUI Changes 
• API Changes  

Eurex Clearing has provided a description of the above-mentioned changes in the Functional Release Notes of EurexOTC Clear Release 17.0 that may be accessed via the Member Section of Deutsche Börse Group under the following path: 

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 Eurex Clearing Member Communication Calendar. The updated documents will be available in the Member Section under the above-mentioned path, under “System documentation”, as a part of EurexOTC Clear Release 17.0.

B. Overview of functional changes

EU Agency Clearing Model

With the introduction of EurexOTC Clear Release 17.0, the current Omnibus segregation model (ECM) and Individual Segregation Accounts Model (ISA) will be enhanced to facilitate the agency relationship between Clearing Members and their clients for the clearing of the client transactions. Only Gross Omnibus Segregated Accounts (GOSA) and Individual Segregated Accounts (ISA) will be supported within this framework. The Clearing Member jurisdictions initially in scope for this introduction are England and Germany. Moreover, only OTC Interest Rate Derivatives will be offered in the first phase. 

Introduction of Inflation Linked Asset Swaps

Eurex Clearing will extend its product offering by delivering Inflation Linked Asset Swaps using the standard coupon inflation swap template available in MarkitWire with EurexOTC Clear Release 17.0, subject to BAFIN approval. The product will reference the Euro HICPxt index with a maximum maturity of 50 years. Market participants will be able to structure an inflation leg with periodic payments against a fixed leg. Coupons can be paid periodically, i.e. monthly, quarterly, semi-annually, or annually. If you would like further information, please reach out to your respective salesperson. The EurexOTC Clear Product List will be updated to reflect the new changes. 

GUI, API, and report changes are expected with the introduction of this product. More details on the changes will be communicated in the Functional Release Notes in due time.

A new field “ReportTrackingNumber” for OTC trade notification messages

A new field 'ReportTrackingNumber' will be introduced for OTC IRD trades with EurexOTC Clear Release 17.0. The field information will be optionally provided by the Approved Trade Source to Eurex Clearing when sending the trade for clearing, and if provided, Eurex Clearing will include the field information in the Trade Notification messages. The new field "ReportTrackingNumber” will also result in changes in EurexAPIXML XSD.

Processing of Clearing Broker Take-up requests outside of Eurex Clearing service hours

Eurex Clearing will process TakeUpGranted and TakeupRefused messages even if sent outside of Eurex Clearing service hours. The status of the client deal will change from BS_WAIT_TAKEUP to BS_WAIT_MARGIN or to BS_REJECTED respectively while the incremental risk check and trade novation will take place at 8:00 on the following business day. 

Report Changes 

The following changes will be made in the reports of EurexOTC Clear: 

• Adjustment of currentFloatrate, currentCompoundrate, currentFixrate & currentFloatRateSpread fields in Variation Margin Report (CC203/CC222)

GUI Enhancements

The following enhancements will be implemented in OTC GUI:

• Two additional columns, Pay Leg Current Notional and Receive Leg Current Notional, will be added to the Trade Search Results Table and the Modify Table of the Bilateral and Cleared Trades windows. They will show the actual notional value of the current day from the VIRS notional step schedule. The existing columns, Pay Leg Outstanding Notional and Receive Leg Outstanding Notional, will be renamed to Pay Leg Initial Notional and Receive Leg Initial Notional. The changes will be reflected in the Download CSV file.

API Changes

The following enhancements will be implemented in API modules:

• The enhancement of the Trade Notification Messages with the introduction of “ReportTrackingNumber” field
• The enhancement of FpML API with the processing of Clearing Broker Take-up requests outside of Eurex Clearing Services hours

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