EurexOTC Clear Releases

EurexOTC Clear Release 13.0

With the EurexOTC Clear Release 13.0, Eurex Clearing will introduce the following changes and improvements:  

  • The Czech Koruna (CZK) and Hungarian Forint (HUF) Product Extensions 
  • Re-mapping of IRS trades’ stubs referencing to USD LIBOR 1W or 2M 

Please note that the information provided on this website can be changed at the discretion of Eurex Clearing. 

Simulation start: 18 May 2022
Production start: 27 June 2022

OTC12.0 timeline








 

System Documentation

The OTC system documentation are stored in the Member Section under the following path: Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation

Circulars

Frozen Zone

Simulation

  • 12.05.2022 – 19.05.2022

Production

  • 23.06.2022 – 28.06.2022

Readiness Statement

We kindly ask all Clearing Members to submit the Readiness Statement for EurexOTC Clear Release 13.0 by Friday, 17 June 2022 latest.

Please note, that all Clearing Members are required to provide the Readiness Statement. The Readiness Statement for EurexOTC Clear Release 13.0 is here available: Readiness Statement. Please enter your dedicated Eurex Clearing PIN in the online questionnaire. The PIN for your company has been sent to the Central Coordinator.

Release Items/Participants Requirements

Feature/Enhancement

Details

Action Item

The Czech Koruna (CZK) and Hungarian Forint (HUF) Product Extensions 

The Czech Koruna (CZK) and 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 actual go-live of the service to clear products in the currencies CZK and HUF is to be
determined upon regulatory approval. Above described explanation covers the
technical implementation scope. Members will be informed via a circular once go-live
is specified.

Clearing Members who would like to clear these new products need to assess the impact on their side. 

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 Swaps 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) trades (i.e., those referencing to the decommissioned fixings) will be re-mapped. Please check the Functional Release Notes (available in the Member Section) for the further details.

This change has a limited impact on a few Clearing Members. Clearing Members are advised to check whether they have such cleared trades. If further assistance is required, please contact your Clearing Key Account Manager or client.services@eurex.com.

Trade Booking via the Trade Entry API interface 

Multiple Direct Clients under the same Clearing Member should 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 in order to book the trade on the correct target account. 

Clearing Members are asked to check on their trade submission via Trade Entry API to include the full name of a valid client’s account (e.g., “ABCFR_P” or “ABCFR_FUND001”) in the XML trade submission request to avoid trade rejection in case one Global LEI/External PO ID is mapped to multiple DC`s under the same CM 

MC-API: change on the ETD template 

The current ETD template for Margin Calculator API will be modified: 

  • New field name “Contract Date” will be added to the ETD template and will be in 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. 

Clearing Members using the ETD template used for Margin Calculator API are advised to make changes accordingly.

Report Changes

  • 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), i.e.:  
    • <LiquAdj currency=”CZK”> 
    • <LiquAdj currency=”HUF”> 
  • Regarding the CSV version of CC204 two new fields will be visible: 
    • “LIQ_ADJ_CUR_CZK” 
    • “LIQ_ADJ_CUR_HUF” 
  • 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.
  • Currently, 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.

We kindly ask all Eurex Clearing Members to make sure, that relevant report changes are reflected in their internal processes.

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. 

The present MC ETD Trade Template will be modified as follows: 
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 

  • Due to the LIBOR decommission of GBP, CHF and JPY, 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. 
  • To supplement the already existing IRS functionality, the below payment calendars will be added to the MC-GUI Trade Template and the Clearing Eligibility Checker for IRS and FRA trades: 
    • GRAT – Athens,  
    • IEDU – Dublin,  
    • FIHE – Helsinki, 
    • ITRO – Rome, 
    • ATVI – Vienna, 
    • USGS – US Government Securities

For the GUI changes, there is no action required.

Creation of new trade after PTE trade transfer to CM

PTE trade transferred to Clearing Member (CM) will no longer be created into the default agent account of the CM.

A new trade which is transferred to a CM after a PTE action will automatically be created in the CM’s P-Account.
The Clearing Member will still have to provide the take-up for that PTE trade either via the EurexOTC Clear GUI or via the FpML-API.
Clearing Member will always have the possibility of changing the target account during the take-up of the transferred trade. 

For this change there is no action required. 


CRE

The CRE is Eurex Group’s central solution for reports. The CRE allows a greater flexibility and meets the needs of today’s high frequency.
Find out more!

Further information about EurexOTC Clear can be found here.

Are you looking for information on a previous initiative? We have stored information about our previous initiatives in our Archive for you!   

Contacts


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Please contact your Technical Account Manager
via your personal VIP number.

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cts@deutsche-boerse.com


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