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EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 10.0

Release date: 02 Jul 2019 | Eurex Clearing

No. 066/2019 EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 10.0

Eurex Clearing Circular 066/2019

1. Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 10.0 (OTC Release 10.0) on Monday, 18 November 2019.

In this context, changes for the EurexOTC Clear interfaces (GUI, Reports, FpML interface) and clearing eligibility of products are expected.

The timeline for the new release is as follows:

Start of simulation:

9 October 2019

Introduction date:

18 November 2019

2. Required actions

Functions, services and technical changes to be introduced with this release might have an impact on EurexOTC Clear Members’ internal processes. 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 can be made.

Please check whether you have registered and/or updated your Release Contacts for EurexOTC Clear via the Member Section on the Eurex Clearing website, under Release Contacts.

In parallel, please subscribe to EurexOTC Clear circulars and newsflashes on our new subscription website under the following link in order to remain updated, as any communication regarding OTC Release 10.0 will only be distributed via circulars and newsflashes.

3. Details of the initiative

The following services are expected to be introduced with OTC Release 10.0:

  • Clearing of €STR OIS, €STR-EURIBOR basis swaps and EONIA-EURIBOR basis swaps. To support the EONIA-€STR transition, additional reports (for information only) contain resulting trade present value and sensitivities when switching EUR discounting from EONIA to €STR.
  • Decommissioning of 12M GBP Libor
  • Minor changes to the variation margin calculation to cater for certain post-trade events. Also, the variation margin calculation for trades in a given currency is now also performed on TARGET business days even when the currency payment calendar shows a holiday.
  • Introduction of an optional field <additionalInformation1>, which is used by FCMs during take-up process
  • Introduction of an individual pricing for Basic Disclosed Clients
  • Changes on the CE054 in context of the enhanced liquidity management for OTC Currency Products.

Eurex Clearing will provide a description of the functionality being introduced with OTC Release 10.0 in the Release Notes by mid July 2019. Additionally, some further services (such as Advanced Risk Netting Unit) may be introduced, details of which will be available at the latest with an update of the Release Notes at the end of August 2019.

All changes will be reflected via documentation updates which will be published according to the attached “Eurex Clearing Member Communication Calendar”. All documents that are updated as part of OTC Release 10.0 will be available in the Member Section of Eurex Clearing under the following path at the appropriate time:

Technology > EurexOTC Clear > System documentation

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.

Recipients:All EurexOTC Clear Clearing Members, Basic Clearing Members, FCM Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors and other affected counterparties
Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination

Contact: > Resources > Initiatives > EurexOTC Clear Release 10.0
Authorized by:Heike Eckert