EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 16.0

1.    Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 16.0 on Monday, 20 November 2023. In this context, functional, GUI, 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 16.0 in section 3.

The timeline for the new release is as follows: 

Simulation start: 11 October 2023  
Production start: 20 November 2023

Learn now more about the EurexOTC Clear Release 16.0 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 16.0. 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 Release Contacts. 
• In parallel, please subscribe to EurexOTC Clear circulars and newsflashes on our subscription website under the following link in order to remain updated, as any communication regarding OTC Clear Release 16.0 will only be distributed via circulars and newsflashes: Find > Subscriptions 

In order to improve the quality of the OTC simulation environment in advance of its upcoming release, Eurex Clearing will perform a structured clean-up of old trades in the simulation environment on Monday, 18 September 2023. Therefore, all trades captured before Monday, 3 July 2023 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, 25 August 2023.

3.    Details of the initiative

 A. Changes to be introduced with EurexOTC Clear Release 16.0 

• Introduction of Overnight Index Swap (OIS) on DKK-DESTR (Denmark Short-Term Rate) index
• Automated Position Offset Function through Trade Entry API
• Introduction of Trade Refactoring Compression
• A new field "UPI" for OTC trades 
• 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 16.0 that may be accessed via the Member Section  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 16.0.

B. Overview of functional changes

Introduction of OIS on DKK-DESTR (Denmark Short-Term Rate)

Clearing of Overnight Index Swap (OIS) trades on the Danish DKK-DESTR (Denmark Short-term Rate) index will be introduced with maturities of up to and including eleven years. The eligibility criteria will be extended, and respective risk factors and curves will be introduced in the respective Member reports to support this product extension. The full detailed Product List for Release 16.0 will be available in the Member Section of Deutsche Börse Group under the path mentioned above.

Automated Position Offset Function through Trade Entry API

With the extension of Trade Entry API, the automation of position offset function will be introduced to achieve improved user experience and operational efficiency. With this functionality, Eurex clients (Direct Members, Clearing Member, and Fund Manager) will be able to send a request via Approved Trade Source (ATS) and receive the trade economic details of their open trades at Eurex which they wish to offset by sending corresponding offsetting trades.

Introduction of Trade Refactoring Compression

TriOptima portfolio compression services will be enhanced to support Trade Refactoring compression algorithm in addition to Downscaling, Upscaling, and Trade Revision algorithms. This will allow the residual trades with not only the changes in trade revision (notional, coupon, spread, direction), but also changes in the start and the end date of the trade. For more information about Trade Refactoring algorithm, please contact TriOptima.

A new field "UPI" for OTC trades 

A new optional field "UPI" will be introduced with the EurexOTC Clear Release 16.0. This field will be provided by Approved Trade Source (ATS), and Eurex will include the field information in Trade Notification messages and reports with the format of 12-character alphanumeric code. This field addition will also result in changes in EurexAPIXML XSD and Report XSDs.

Report changes

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

• Addition of all product extension specific information due to the introduction of OIS on DKK-DESTR (Denmark Short-Term Rate) in several reports
• The new field “UPI” in Trade Novation Report (CI200, CB200) and Trade Daily Summary Report (CI201, CB201)
• The new “TradeOffsetting” field in CD298 report with the implementation of Automated Position Offset functionality

GUI Enhancements

The following enhancements will be implemented in MC GUI:

• Several enhancements to support the clearing of OIS trades on the Danish DKK-DESTR index  
• Clearing Eligibility Checker to support Variable Interest Rate Swap (VIRS) and Zero-Coupon Fixed Amount (ZCFA) trades validation
• Increase in the number of Initial Margin parallel requests up to 20 requests
• Enhancement of the mapping of the optional field RollMethod

The following enhancements will be implemented in OTC GUI: 

• A new Cashflow window in the OTCClear GUI where the users can find the details of the cashflow calculation on trade level for Swap trades
• The enhancement of Trade Amendment functionality to select multiple trades and have them displayed in the same window
• The enhancement of the Netting Parameter window by two new account parameters: Source System Client ID and Source System CM ID
• A new field “UPI” in the Deal ticket
• The enhancement of the mapping of the optional field RollMethod in the MC download file

API Changes

The following enhancements will be implemented in API modules:

• Increase in the number of Initial Margin parallel requests up to 20 requests via MC API
• Enhancement of Trade Entry API with the introduction of the new field "UPI" for OTC trades 
• Implementation of Automated Position Offset function through Trade Entry API
• DKK-DESTR (Denmark Short-Term Rate) Reference Rate Development in Trade Entry API and MC API

Further information