EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 18.0

1. Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 18.0 on Monday, 18 November 2024. In this context, functional, GUI, API, and report changes are expected as highlights of the release. In addition, a simulation environment clean-up will be performed. Please see a detailed list of the changes that are part of EurexOTC Clear Release 18.0 in section 3.

The timeline for the new release is as follows:

Simulation start: 16 October 2024

Production start: 18 November 2024

Learn more about the EurexOTC Clear Release 18.0 on our dedicated initiative page on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 18.0.

Circulars, timeline, and additional information will be available there for you.

2. Required action

Functions, services, and technical changes to be introduced with this release will have an impact on the internal processes of Clearing Members, FCM Clearing Members, and their clients 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 are made.

Please also check whether you have registered and/or updated your release contacts for EurexOTC Clear in the Member Section of Deutsche Börse Group under tab “Company Contacts”.
 

In parallel, please subscribe to EurexOTC Clear circulars and newsflashes on our subscription website under the following link to remain updated, as any communication regarding EurexOTC Clear Release 18.0 will be distributed via circulars and newsflashes only: Find > Circulars & Readiness Newsflashes Subscription.

In order to improve the quality of the OTC simulation environment of its upcoming release, Eurex Clearing will perform a structured clean-up of old trades in the simulation environment on Friday, 30 August 2024. Therefore, all trades captured before Monday, 17 June 2024 will no longer be available in the simulation environment.

Participants, who wish to keep these trades, should send an e-mail with the subject “Clean-up of the simulation environment - excluded accounts” to the Key Account Manager or client.services@eurex.com (including Member ID and book) until Friday, 9 August 2024.

Important

To increase the transparency of software usage, Eurex Clearing will implement a new process for registering Independent Software Vendors (ISVs). Additionally, Eurex will introduce a new process for registering third-party software offered by ISVs and in-house software developed by Clearing Members, which is used to connect to FIXML and FpML interfaces. Finally, the current FIXML and FpML account creation process via the Member Section will be enhanced with the addition of software usage details.

Clearing Members must provide the software details (software name and vendor name) when creating an account via Member Section. Only the previously selected software via the Software selection functionality will be available for selection here.

For more information on the initiative, please refer to the dedicated Support Page under the following path:

Support > Initiatives & Releases > Readiness for projects

3. Details of the initiative

A. Changes to be introduced with EurexOTC Clear Release 18.0 

• Enhancement of Inflation Linked Asset Swaps
• Clearing of “Linked Trades” submitted via MarkitWire
• Introduction of “MtM Adjustment”
• Enhancement of Variation Margin Calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound indices and having intraday coupon settlement
• Report Changes
• GUI Changes
• API Changes

Eurex Clearing has provided a description of the above-mentioned changes in the Functional Release Notes of EurexOTC Clear Release 18.0 that may be accessed via the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation > Overview

All changes will be reflected via documentation updates which will be published according to the Eurex Clearing Member Communication Calendar. The updated documents will be available in the Member Section under the above-mentioned path, under “System documentation”, as a part of EurexOTC Clear Release 18.0.

B. Overview of functional changes

Enhancement of Inflation Linked Asset Swaps

With the introduction of EurexOTC Clear Release 18.0, several enhancements will be introduced for the Inflation Linked Asset Swaps offering. These enhancements include the support of SCIS trades referencing FRCPIxT (FRC-EXT-CPI) or UK-RPI indices, support of trade submission via Trade Entry API, support of margin simulation via MC API, and the support of stubs and netting levels 1, 2, and 3. Moreover, partial PTEs will be allowed for SCIS trades with same notional amounts in both legs.

Clearing of  “Linked Trades” submitted via MarkitWire

Submission of linked trades via MarkitWire with a common linker identifier to be cleared on an All-or-Nothing basis will be enabled. The incremental risk assessment and novation will be carried out at a group level for the linked trades. From the release Go-Live onwards, this functionality will be completely optional for all Eurex clearing members and their clients. By default, the functionality will be disabled and members can enable this functionality at the legal entity level by contacting their respective KAM.

 Introduction of “MtM Adjustment”

The current OTC Account, Trade, and Portfolio transfer functionalities will be enhanced with the introduction of an optional feature “MtM Adjustment” that will enable members to request the automated compensation of the trade values during the transfer. The “MtM Adjustment” amount will be automatically determined by the system if requested and cannot be changed by the parties involved in the transfer.

Enhancement of Variation Margin calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound indices and having intraday coupon settlement

The calculation of intraday Variation Margin will be enhanced on the day of the intraday coupon settlement. If there is any intraday coupon payment on T, then before the intraday settlement, the coupon payment will be considered in the intraday Variation Margin calculation. There will also be an intraday Variation Margin payment that mainly offsets the coupon payment.

 Trades that mature on day of clearer change

The broadcast messages for matured trades will be sent during start of business on the value date of the last coupon payment. The broadcast message for matured trades referencing GBP-SONIA-OIS Compound index and having a payment lag of '0' BD on the floating leg or any other trade with intra-day coupon settlement of the last coupon will be sent during intra-day processing.

Report Changes

The following changes will be made in the reports of EurexOTC Clear:

• Re-introduction of Intraday Variation Margin Report (CI203) to display the intraday VM payment.
• The enhancement of the existing netting reports with the support of netting levels 1, 2, and 3 for SCIS trades.
• The display of a common identifier named “linkerId” for the linked OTC trades.
• Introduction of new fields, “MtMAdjustment” and “UnadjVMgn“, in several reports to show the MtM Adjustment amount and the Variation Margin without considering MtM Adjustment.
• Introduction of two new fields in the Full Inventory Report (CB202/CB207) to show the current notional amount of Variable Notional IRS.
• Introduction of new fields in the Settlement Adjustment Report (CD211). A new intraday version of the Settlement Adjustment Report (CI211) will also be introduced.
• Display of the trades that mature on the current business day on CB201 report with status MATURED. Trades that mature on the day of clearer -change will not be visible in EOD Variation Margin Reports (CC203/CC222) anymore.

GUI Changes

The following enhancements will be implemented in the OTC GUI:

• With the enhancement of Inflation Linked Asset Swaps, the new columns “Principal Amount”, “Initial Index Level”, and “Final Index Level” will be introduced in the Cashflows window to display the bond related cashflow details for SCIS trades. Moreover, partial PTEs, netting forecast, and assignment of netting strings will be supported for SCIS trades.
• Two new fields will be introduced for Account, Trade, and Portfolio Transfer: “MtM Adjustment” and “MtM Adjustment Amount”.
• The entry of netting strings will be limited to a maximum of 255 characters.
• A small pop-up window will be introduced to view the legal entity name of members by clicking on the existing “Member ID” field.
• For large downloads in the Cleared and Bilateral windows, an information pop-up window will inform the user that the download is completed.
• The column “pricer.NPV” in the CSV file generated by clicking the button “Download Portfolio” will be renamed to “MtM-1_exCF”.

The following enhancements will be implemented in the MC GUI:

A new subproduct “SCIS” will be added to the product list of the Clearing Eligibility Checker. The trade upload functionality in the MC-GUI will be enhanced to process the upload of SCIS trades with stubs and with the indices FRCPIx and UK RPI. Trade Insert Tool will support the Inflation Linked Asset Swaps from January 2025.

API Changes

The following enhancements will be implemented in API modules:

• The submission of SCIS trades via TE API and MC API will be supported
• With the introduction of Linked Trades via MarkitWire, the trade notification message will be updated to display the linker Id and the linker size.
• With the introduction of “MtM Adjustment”, a new field “MtMAdjustment” will be introduced in the trade notification messages. Moreover, for the PTEs via FpML API, two new fields, “MtMAdjustmentFlag” and “MtMAdjustment”, will be introduced

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.
 

Further information