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EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 10.1

Release date: 06 Feb 2020 | Eurex Clearing

No. 014/2020 EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 10.1

Eurex Clearing Circular 014/20

1. Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 10.1 on 22 June 2020.

In this context, changes for the EurexOTC Clear interfaces (GUI, Reports, FpML interface) and clearing eligibility of Secured Overnight Financing Rate (SOFR) swaps are expected. In addition, the discounting switch to the Euro Short-Term Rate (€STR) will be performed.

The timeline for the new release is as follows:

Start of simulation:  29 April 2020
Start of production:  22 June 2020

2. Required action

Functions, services and technical changes to be introduced with this release might have an impact on the internal processes of Eurex Clearing Members who clear EurexOTC Clear products (hereafter: EurexOTC Clear Members). 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 10.1 will only be distributed via circulars and newsflashes:

3. Details

A. Initiatives coming with OTC Release 10.1

  • OTC IRS service enhancements including €STR discounting 
  • Introduction of SOFR swaps 
  • FpML version update
  • GUI enhancements to improve usability for customers 
  • Report enhancements

Eurex Clearing will provide a description of the functionality being introduced with OTC Release 10.1 in the Release Notes by the end of February 2020.

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 10.1 will be available in the Member Section on the Eurex Clearing website www.eurexclearing.com under the following path at the appropriate time:

Technology > EurexOTC Clear > System documentation

B. Overview of functional changes

  • OTC IRS service enhancements including €STR discounting:

As part of the transition from EONIA to €STR as the new euro risk-free rate, Eurex Clearing will implement for its EurexOTC Clear service the switch across the weekend around 22 June 2020. This means that Friday, 19 June 2020 will be the last day with EONIA PAI (PAA) and Monday, 22 June 2020 the first day with €STR-based PAI (PAA) calculations.

Detailed information regarding the simulation availability of the discounting switch will be announced separately.

  • Introduction of SOFR swaps:

Clearing of SOFR OIS, SOFR-USD LIBOR basis swaps, and SOFR-EFFR basis swaps. All products cleared in U.S. dollar use the Effective Federal Funds Rate (EFFR) for discounting and PAI. To support the EFFR-SOFR transition, introduction of additional reports (for information only) showing trade present value and sensitivities when switching discounting in U.S. dollar from EFFR to SOFR.

  • FpML version update:

Upgrading Trade Notification Messages and Report files from FpML 5.0 to FpML 5.6 for all products offered by the EurexOTC Clear service.

  • Enhancements to the OTC-Clear GUI:

1. The Bilateral and Cleared Trades windows will display more than 20 transactions.

2. Trade Transfer: New auto-fill functionality for the “Member ID” field which provides the possibility to fill the “Eurex Member ID” of all trades listed in the Trade Transfer window with the same Member ID with one single request.

3. Account Transfer: Multiple trades can be selected in the Trade Search Results table to be displayed in the Account Transfer window. New auto-fill functionality for the “Book” field, which provides the possibility to fill the "Book" field of all trades listed in the Account Transfer window with the same book with one single request.

4. The notional fields in all Post-Trade Event (PTE) windows will be pre-filled with the trade notional value.

  • Report enhancements:

There will be structural changes to some reports and one new report CC223 “Sovereign Risk Uncertainty Parameter” will be introduced. There will be a structural change in report CD298, and certain fields will be decommissioned. Due to the change to version 5.6 of FpML, there will also be a change in reporting trade details.
 

A detailed Communication Calendar is attached to this circular.

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.

Attachment:

  • Eurex Clearing Member Communication Calendar

Further information

Recipients:All Clearing Members, Basic Clearing Members, Disclosed Direct Clients, FCM Clearing Members of Eurex Clearing AG, vendors and other affected contractual parties
Target Groups:Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination
Contact:client.services@eurexclearing.com
Web:EurexOTC Clear Release 10.1 initiatives page
Authorised by:Dmitrij Senko