With the EurexOTC Clear Release 15.0, Eurex Clearing will introduce the following enhancements:
Please note that the information provided on this website can be changed at the discretion of Eurex Clearing.
Simulation start: 17 May 2023
Production start: 03 July 2023
The OTC system documentation are stored in the Member Section under the following path: Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation.
Cross-margining Focus Day
Release Items/Participants Requirements
Removal of sub-sampling from Initial Margin calculation
In the Initial Margin (IM) calculation methodology for OTC trades the current 5 non-overlapping risk factor sub-samples will be replaced with a single overlapping risk factor sample for each liquidation group in order to calculate the components of the IM (Market Risk Component, Liquidation Risk Adjustment, and Time to Expiry Adjustment – TEA is applicable only for NDF).
There will be changes in reports, in the Margin Calculator (MC) GUI, and in the MC API.
For details, please refer to the relevant sections in the functional release notes and risk methodology guide in due time.
Package Trade Clearing
With EurexOTC Clear Release 15.0, Eurex Clearing will expand its services by offering a new feature for loading and clearing grouped trades, which are called package trades. The new feature will initially be offered for the in-house trade loading interface (Trade Entry API).
Clearing Members can employ this functionality only if the Approved Trade Source (ATS) through which the member is submitting the package for clearing is:
We recommend, Clearing Members to get in contact with these ATSs.
Maximum Maturity Extension from 30 to 50 years for EUR-HICPxT
The maturity of Euro HICPxt (Non-revised Eurozone Harmonized Index of Consumer Prices excluding Tobacco or relevant Successor Index) is being extended from a current eligibility of 30 years + 10 days to 50 years + 10 days.
Clearing Members who want to clear this product need to evaluate the impact on their side.
If further assistance is required, please contact your Clearing Key Account Manager or firstname.lastname@example.org.
Offsetting IR risk from IRS and Inflation Swaps in LA calculation
This change is relevant for the Liquidity Add-On (LA) calculation within the Initial Margin (IM). Currently, the Interest Rate risk (IR) of Interest Rate Swaps is not netted with the Interest Rate risk of Zero-Coupon Inflation Swaps (ZCISIR). With the introduction of Release 15.0, the offsetting/netting effects between those two sources of IR risk are recognized by aggregating them and by thus treating them as a whole.
If there are such offsetting effects within a portfolio, the Initial Margin for that portfolio will decrease. If there are no such offsetting effects within a portfolio, the Initial Margin for that portfolio will be the same as with the current methodology.
There is no action required.
Eurex Clearing will calculate IM with this methodology change with the introduction of EurexOTC Clear Release 15.0 for all members.
FpML upgrade to version 5.7
With the EurexOTC Clear Release 15.0, Eurex will upgrade the FpML version from 5.6 to 5.7.
This upgrade of FpML will not affect the process of loading a single IRS or NDF transaction via existing interfaces such as via Trade Entry API, TraderServ or MarkitWire. However, it will affect the generation of new trade notification messages and member reports as well as the simulation of the margin for a given portfolio via the MC-API interface.
With this release, FpML 5.7 will be the standard for all EurexOTC Clear xsd schema.
Members should evaluate the impact of consuming new trade notification messages and member reports in FpML version 5.7.
Improvement of ZCIS handling for sensitivity-based Margin Calculator requests
A more sophisticated formula will be used for the handling of Zero-Coupon Inflation Swaps (ZCIS) within sensitivity-based Margin Calculator requests.
As before, the Initial Margin contribution of ZCIS will be estimated based on the sensitivities with respect to the break-even inflation rate (as provided by the user). Within this estimation, the Margin Calculator internally uses a slightly adapted formula for the transformation of the break-even rate sensitivities to risk factor sensitivities. The new formula is more accurate, especially in the case of large inflation rates (as observed in the recent years).
The change of the formula happens automatically with deployment of Release 15.0. There is no action required by Clearing Members, and the sensitivities are to be provided in the same way as before.
With this release the following EurexOTC Clear report changes will be introduced:
We kindly ask all Eurex Clearing Members to make sure that relevant report changes are reflected in their internal processes.
The following enhancements will be implemented in the MC GUI:
The following enhancements will be implemented in the OTC GUI:
There is no action required for any of the GUI changes.
The API modules of EurexOTC Clear will be enhanced with the following changes:
We kindly ask all Eurex Clearing Members to make sure that relevant API changes are reflected in their internal processes.
Further information about EurexOTC Clear can be found here.
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