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OTC Release 11.0

EurexOTC Clear Release 11.0

Eurex Clearing introduces EurexOTC Clear Release 11.0 in October 2020. An overview of release content relevant for EurexOTC Clear Members is available on this website. To ensure effective information distribution, we kindly ask interested persons to subscribe to the RSS feed of this website.

Simulation start: 27 August 2020
Production start: 19 October 2020

Features and Enhancements / Participation requirements

Switch from Effective Federal Funds Rate (EFFR) to Secured Overnight Financing Rate (SOFR)
As part of the transition for all USD-denominated trades from EFFR to SOFR as the new risk-free rate, Eurex Clearing will implement for its’ EurexOTC Clear service the switch across the weekend around 19 October 2020. This means that Friday, 16 October 2020 will be the last day with EFFR PAI (PAA) and Monday, 19 October 2020 the first day with SOFR-based PAI (PAA) calculations.

Extension of the OTC IRS products
Eurex Clearing plans the following product extensions are planned:

  • Tenor Extensions
    • 1-year tenor extensions, for example EUR IRS from 50 years + 10 business days to 51 years
    • 1-year tenor extensions, for example GBP OIS from 30 years + 10 business days to 51 years
  • Enhanced Eligibility
    • Variable notional for OIS & OIS-Libor Basis Swaps
    • Simple spreads on OIS and negative spreads on IRS/ZC/Basis and FRA
  • New Products
    • GBP and JPY OIS-Libor Basis Swaps

Netting Functionality Changes
A switch allowing for suppressing Accumulation (off/on) only during Level 3 netting on account level will be introduced. The functionality to accumulate positions of the same direction will be optional for Level 3 netting. Default value will be “No accumulation”. Interested members should get in touch with their Key Account Manager or client.services@eurexclearing.com

Introduction of new Clearing Currency USD for LSOC OTC IRD clearing model
To fulfil client demand, Eurex Clearing will be introducing USD as clearing currency for OTC LSOC Clearing Members with OTC Release 11.0 (FX, XCCY and NDF products are not affected).

Changes to the EurexOTC Clear interfaces (GUI, Reports)
Eurex Clearing plans GUI enhancements to improve usability for customers

  • New transfer tab to handle big transfers with calculating the risk on a portfolio level will be introduced
  • Trade/Portfolio Upload Window will be redesigned
  • Product description in the OTC GUI for FX Trades will be enhanced

Report enhancements
The reports (CI205/CC205, CC204, CC208, and CI217 / CC217) will be created in USD as well. CD203 report should consider the Netting String attached to a trade to be always empty (regardless of the "real" productive setting). Further report changes will be available by the end of July 2020.

Impact: The introduction of this release will have an impact on the internal processes of EurexOTC Clear Members. Clearing Members are asked to review their internal processes and technical interfaces and update them where necessary.

Corresponding Circulars

If you have any questions or require further information, please contact us at client.services@eurexclearing.com.