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EurexOTC Clear Release 10.0

EurexOTC Clear Release 10.0

With the OTC Release 10.0, Eurex Clearing plans to expand the EurexOTC Clear Service which will have an impact on the technical interfaces such as reports, the FpML interface and on processes.

Simulation start:  9 October 2019
Production start: 18 November 2019

New Features and Enhancements / Participation requirements

Eurex Clearing plans to extend the EurexOTC Clear Service (OTC IRS and OTC Currency Products) with the following functionalities:

EONIA-€STR Transition

  • Existing EUR products, e.g. EURIBOR swaps, will continue to be discounted with EONIA (clean EONIA discounting/PAI). Enhancement to the product list with new €STR products, which will use EONIA discounting (Recalibrated EONIA = €STR + spread)
  • Reports will be enhanced without structural changes to include €STR 

OTC FX Enhancements

  • Technical preparation to support new currency pairs
  • Prefunding requirements including SVM will be enhanced to client clearing

With the OTC Release 10.0 all products are affected by:

  • Small changes to variation margin formula to cater for certain post-trade events
  • Variation margin will be calculated on payment calendar holidays if these are business days in the TARGET calendar

Potential scope enhancements, but still subject to final decision.

Pricing model extension to Basic DCs in A-Account
With the OTC Release 10.0, the pricing models that is currently valid for DC With System Access or Basic DC with Member ID, will also become applicable respectively selectable for Basic DCs in A-Account of the Clearing Members.

Advanced Risk Netting Unit
Introduction of an advanced risk netting unit (ARNU), which allows risk netting over more than one agent account (1:n) for the Initial Margin requirement. To support ARNU, some reports and the onboarding  process needs to be adjusted. Clearing Members needs to select the accounts, which shall be part of the risk netting unit and needs to define a name.

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