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OTC Release 10.1

EurexOTC Clear Release 10.1

With the introduction EurexOTC Clear Release 10.1 in July 2020, Eurex Clearing will introduce changes to the EurexOTC Clear interfaces and clearing eligibility of SOFR swaps. Furthermore, the €STR discounting switch will be performed.

Simulation start: 28 May 2020
Production start: 27 July 2020

Features and Enhancements / Participation requirements

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 the following for its EurexOTC Clear service:

  • Transition the PAI (PAA) and the discounting from EONIA to €STR-flat (no spread) in a single step for all EUR OTC derivatives.
  • Compensate for changes in the present values of EUR OTC derivatives across the PAI (PAA) discounting switch date by a euro cash credit or debit via trade-level one-time mandatory cash fee instructions. This mitigates profit-and-loss impacts (positive or negative) resulting from variation margin payments induced by the discounting switch.
  • Perform the switch across the weekend around 27 July 2020. This means that Friday, 24 July 2020 is the last day with EONIA PAI (PAA) and Monday, 27 July 2020 is the first day with €STR-based PAI (PAA) calculations.

Introduction of SOFR Swaps
Eurex Clearing will introduce the clearing of SOFR OIS, SOFR-USD LIBOR basis swaps, and SOFR-EFFR basis swaps. To support the EFFR-SOFR transition, the introduction of additional reports (for information only) showing trade present value and sensitivities when switching USD discounting from EFFR to SOFR are planned.

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.

GUI Enhancements
Eurex Clearing will introduce enhancements to the GUI to improve usability for Clearing Members:

  • Bilateral and Cleared Trades windows will display more than 20 transactions.
  • Trade Transfer: new auto-fill functionality for the “Member ID” field. It will gives 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.
  • 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.
  • The notional fields in all PTE windows will be pre-filled with the trade notional value.

Report Enhancements
With this release there will be structural changes to some reports. Details will be published soon. Additionally, Eurex Clearing plans to introduce the report CC223 “Sovereign Risk Uncertainty Parameter”.

EurexOTC Clear Release 10.1 might have an impact on the internal processes of OTC Clear Members.  To ensure a smooth readiness, we recommend that OTC Clear Members review their internal processes and technical interfaces (e.g. XSDs for EurexOTC Clear Reports, Eurex Clearing FpML Interface) and update them if necessary. In case of cooperation with back-office vendors, please contact your third-party providers as soon as possible to ensure that the necessary adjustments can be made.

Readiness Statement
The Readiness Statement for OTC Release 10.1 is now available. Please return the Readiness Statement by Friday, 24 July 2020. The Readiness Statement is here available: Readiness Statement.

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