EurexOTC Clear Release 10.1

With the introduction EurexOTC Clear Release 10.1 in July 2020, Eurex Clearing introduced changes to the EurexOTC Clear interfaces and clearing eligibility of SOFR swaps. Furthermore, the €STR discounting switch was 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 implemented 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 was the last day with EONIA PAI (PAA) and Monday, 27 July 2020 was the first day with €STR-based PAI (PAA) calculations.

Introduction of SOFR Swaps
Eurex Clearing introduced 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 introduced 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 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 is pre-filled with the trade notional value.

Report Enhancements
With this release there will be structural changes to some reports. 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 always 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, the third-party providers should e contacted.

Corresponding Circulars

• Eurex Clearing Circular 032/20 EurexOTC Clear: Postponement of EurexOTC Clear Release 10.1
• Eurex Clearing Circular 016/20 EurexOTC Clear service: Documentation of the discounting switch from EONIA to €STR for cleared OTC derivatives in euro
• Eurex Clearing Circular 014/20 EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 10.1

Corresponding Newsflashes

• Eurex Clearing Readiness Newsflash | EurexOTC Clear: Changes to report CB182, Release 10.1: Readiness Statement available
• Eurex Clearing Readiness Newsflash | EurexOTC Clear service: A. Updated information for simulation preparation and test of switch from EONIA to €STR  B. Changes to level 3 netting (Rate Blending)
• Eurex Clearing Readiness Newsflash | EurexOTC Clear service: Simulation preparation, test of switch from EONIA to €STR and batch days
• Eurex Clearing Readiness Newsflash | C7, CCP, OTC, Prisma: Reduction of simulation batches
• Eurex Clearing Readiness Newsflash | EurexOTC Clear service: Simulation preparation, test of switch from EONIA to €STR and batch days
• Eurex Clearing Readiness Newsflash | EurexOTC Clear: Release 10.1: documentation update, €STR shadow reporting; independent to the release: report changes

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