Eurex Clearing will introduce EurexOTC Clear Release 11.2 in June 2021. To ensure a smooth readiness for Release 11.2 an overview of release relevant content for EurexOTC Clear Members is be made available on this website.
New features, changes and improvements:
Simulation start: 12 May 2021
Production start: 28 June 2021
TriOptima Portfolio Compression Service Enhancement
Eurex Clearing will enhance its portfolio compression service to support the following additional compression methodologies with TriOptima:
Extension of MC API
Existing MC API will be enhanced in order to allow submission of request for an OTC IRS production account without adding any OTC transactions to the request or to allow a Clearing Member to submit request on behalf of its disclosed clients.
GUI - Update
Eurex Clearing will introduce with OTC Release 11.2 the following GUI enhancements: take-up window enhancements, results table auto-height and an improve PTE error handling with multiple requests.
Release Items/ Participants Requirements
TriOptima Portfolio Compression Service Enhancement
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: Upscaling, Trade revision and Trade refactoring.
Clearing Members are required to check newly added functions in addition to Downscaling turned on while they are submitting their request to TriOptima.
Extension of MC API for ETD and OTC
Existing MC API will be enhanced in order to allow submission of 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 request on behalf of its disclosed clients.
No direct action is required. Clearing Members can benefit from this functionality while conducting what-if calculation.
New cashflow instruction logic for Clearer Changes
In case of a Clearer Change 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.
Report CC203/CC222 will have new values for field feeType. Those new values will be "Termination Fee Clearer Change" respectively "Upfront Fee Clearer Change". Customers are required to do relevant changes if those reports are used.
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.
This is a process change. Clearing Members need to assess whether this change impacts their internal processes.
Usage of the Default Agent Account
The default agent account (usually 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.
This functionality, as it is now, is switched on for all participants. If clients would like to switch this functionality off, they are asked to contact their Key Account Manager or email@example.com.
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.
This is a process change. Clearing Members need to assess whether this change impacts their internal process.
Adapted Price Alignment Interest logic for T+2 currencies
For T+2 trade currencies (JPY, SEK, NOK, DKK), the Price Alignment Interest (PAI) will be determined with a slightly adapted logic. For a PAI interest rate period from T to T+1, the amount will now be instructed already in T-1 in order to allow for timely settlement in T+1.
Only customers who have T+2 Trade currencies in their portfolio are impacted by this change. If you are unsure whether you have these trades in your portfolio, please contact your Key Account Manager or firstname.lastname@example.org.
Marking MarkitWire-Trades as Backloaded
A trade (IRS and XCCY) loaded from the MarkitWire system will be classified as backloaded trade in EurexOTC clear system only if the trade date is older than 10BDs and the trade is flagged as backloaded in MarkitWire GUI interface.
Only if these two conditions are fulfilled, a MW trade will be set as backloaded trade in the Eurex system. Otherwise, the trade will be loaded as normal bilateral trade.
If clients want to backload a trade to Eurex System they need to ensure the following:
-in MarkitWire GUI, clients should enter a trade date older than 10 BDs - select the backloading checkbox in the MW GUI window which sets the Originating Event on the processing tab to "Backload".
With Release 11.2 AMQP Brokers for FpML API, TradeEntry API and MC API will support only security protocol TLS 1.2 or higher.
Please update security protocol TLS to 1.2 or higher versions.
GUI enhancements to improve usability for customers
No action required.
Report CC203/CC222 will have new values for field feeType. Those new values will be "Termination Fee Clearer Change" respectively "Upfront Fee Clearer Change". Report CD211 will have structural changes to handle the historical quote correction. Report CC221 will have additional four parameters.
Please make sure that relevant report changes are reflected in your internal processes.
In case of any questions or your require further information, please contact us at email@example.com.
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