EurexOTC Clear Releases

Clearing of “Linked Trades” submitted via MarkitWire

With this release, the 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.

Although this functionality will technically go live on 18 November 2024, business go live date is planned for 6 January 2025.

Clearing Members, who would like to enable this functionality at Eurex Clearing, should contact their respective Clearing Key Account Manager.

Introduction of “MtM Adjustment”

The current EurexOTC Clear Account, Trade, and Portfolio transfer functionalities will be enhanced with the introduction of the optional feature “MtM Adjustment”, which will enable Clearing 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.

Clearing Members, who are interested in this feature, can request it via the OTC GUI. 

Variation Margin calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound

The calculation of intraday Variation Margin calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound indices and having intraday coupon settlement, will be enhanced

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.

Clearing Members with OIS trades in GBP and EUR currencies in their portfolio should evaluate the implication of the additional payment for Intra-day Variation Margin which offsets the coupon payments. 

Change in the timing to mature the trades

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.

There is no action required.

Report Changes

The following report changes will be made with this release:

• Re-introduction of Intraday Variation Margin Report (CI203) to display the intraday VM payment.
• Enhancement of the existing netting reports with the support of netting levels 1, 2, and 3 for SCIS trades.
• 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.

We kindly ask all Clearing Members to ensure that the relevant report changes are reflected in their internal processes.

API Changes

The following enhancements will be implemented in API modules:

• 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.

We kindly ask all Clearing Members to ensure that relevant API changes are reflected in their internal processes.

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 6 January 2025.

There is no action required for GUI changes