Eurex Clearing introduced EurexOTC Clear Release 11.3 in October 2021. To ensure a smooth readiness for Release 11.3 an overview of release relevant content for EurexOTC Clear Members is made available on this website.
New features, changes and improvements:
Please note that the information provided on this website can be changed at the discretion of Eurex Clearing.
Simulation start: 17 August 2021 (Dress Rehearsal for EONIA transition 17-19 Aug and 31 Aug - 2 Sep 2021)
Production start: 2021 ISDA Definitions - 4 Oct 2021, EONIA transition - 18 Oct 2021
Further information on important dates
The adoption of the 2021 ISDA Definitions started in production: 4 October 2021. EONIA to €STR trade conversion process was on Friday, 15 October until Saturday, 16 October 2021 and included booking of mandatory compensation fees settled on Tuesday, 19 October 2021.
The OTC system documentation are stored in the Member Section under the following path: Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation.
Release Items/Participants Requirements
Transition from EONIA to €STR transactions referencing the EONIA benchmark
Active conversion of all explicit EONIA floating rate references to €STR-flat will take place.
Any simple spread above the floating rate reference or fixed rates defined in affected trade confirmations will remain unchanged (only the benchmark index changes).
A one-off cash compensation will be introduced to mitigate the associated change in present values of affected trades.
The conversion will be mandatory for all cleared trades referencing EONIA as of the conversion date. Upon completion of the conversion, EONIA floating-rate references will no longer be eligible for the EurexOTC Clear service.
The setup was tested with a dress rehearsal between 17 - 19 August and 31 August - 2 September 2021 in the OTC member simulation environment.
Impacted Clearing Members are advised to do the necessary operational changes internally according to the EONIA Trade Conversion Booklet, which is available in the Member Section under the following path:
We strongly recommend that Clearing Members and clients should, proactively and prior to testing, upload the portfolio that they want to test in the simulation environment.
2021 ISDA Definitions
Eurex Clearing will accept transactions for clearing in production that reference the 2021 ISDA Definitions in the ‘Contractual Definitions’ field or use 2021 ISDA Definitions-based Floating Rate Option labels.
Clearing Members are required to check for details: Clearing of new Trades, Treatment of Master Agreements & Contractual Definitions for novated trades, Portfolio Compression, Post Trade Events, Reports, Clearing Confirmation Message, and Netting and Accumulation in Eurex Clearing’s Proposal on ISDA 2021 definitions, which is available in the Member Section under the following path:
Further information about EurexOTC Clear can be found here.
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