Changes | Details | Action Item |
Conversion of GBP, CHF and JPY trades referencing LIBOR benchmarks | Eurex Clearing plans to actively convert OTC Clear IRS and basis swaps referencing CHF, GBP and JPY LIBORs before index cessation date (learn more here). There will be two dress-rehearsals of GBP, CHF and JPY trades referencing LIBOR benchmarks conversion process: - 19 - 21 October 2021
- 09 - 11 November 2021
Sample broadcast messages for both terminated and newly novated trades for IRS and Basis swaps of GBP, CHF and JPY LIBORs have been uploaded to the Member Section in the same folder with the booklet. | - Impacted Clearing Members are advised to do the necessary operational internal changes according to the LIBOR Trade Conversion Booklet, which is available as of 16 July in the Member Section under the following path: Resources > Eurex Clearing > Documentation and Files > Benchmark Transition Information > LIBOR Trade conversions. We strongly recommend that Clearing Members and clients should proactively and prior to testing, upload the portfolio they want to test in simulation.
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TriOptima Client Compression | - Multilateral Risk-constrained Client Compression including end clients into existing compression cycles for EurexOTC Clear Members will be introduced. Clearing Members will be able to include client accounts alongside house accounts.
- With OTC Release 12.0, the technical readiness of TriOptima client compression will be achieved. Go-live of the functionality will be announced before the relevant TriOptima compression cycle.
| - Clearing Members that want to benefit from client compression will have the possibility to choose client accounts accordingly. Please contact your Clearing Key Account Manager to request the setup of client compression.
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Bunched order identifier attribute addition | - While setting up for Advanced Risk Netting Units (ARNUs), the maximum allowed characters for a name will be reduced from 32 characters to 20 (including the first 4 characters specified as ‘ARNU’). The name may only consist of alphanumeric uppercase characters; special characters are not allowed.
| - The usage of ARNU is optional. Clearing Members can request the ARNU setup for their clients by contacting their Clearing Key Account Manager.
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Report enhancements | - A simplified CSV format of the current CD203 (existing Report Code will change from CD203 to CI243) netting forecast report will be introduced to make it easier to identify nettable trades.
- Intraday versions of the existing CD202 (existing Report Code will change from CD202 to CI242) and CD203 (existing Report Code will change from CD203 to CI243) reports will be introduced at 10:00, 14:00 and 18:00 CET (production only). Please note that with the OTC release 12.0, the CD202, CD203 and CD204 Reports will not be generated anymore.
- The "buncherOrderId" element will be visible in the following member reports: Trade Novation Reports (CI200/CB200), Trade Daily Summary Reports (CI201/CB201) and Full Inventory reports (CB202/CB207).
- New CI201 report for portfolio transfer trades.
- Variation Margin Classification in Variation Margin Reports (CI203/CC203/CC222).
- Amendment of CC221 "Parameter File" Report.
| - We kindly ask all Clearing Members to make sure, that relevant report changes are reflected in their internal processes.
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XML NameSpace change in XML Reports and Notification Messages | - Existing namespace "http://www.eurexchange.com/...." will be corrected to "https://www.eurex.com/ec-en/...." in all the XML reports and in all the notification messages.
- All the XSDs for member reports will be changed with the correct name space.
| - We kindly ask all Clearing Members to make sure, that relevant report and interface changes are reflected in their internal processes.
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Fallback pricing of Libor-referencing trades based on ISDA fallback methodology | - Eurex Clearing will implement the fallback pricing of LIBOR-referencing trades based on ISDA fallback methodology and using the fallback spread calculated and fixed by Bloomberg. This might have an impact on the net present values of the affected trades (all OTCClear trade referencing USD, CHF, GBP and JPY Libor) on the first day after the Release.
| - No action required from participants.
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Clearing Eligibility Checker | - On the Margin Calculator-GUI, the Clearing Eligibility Checker will be implemented which verifies the clearing eligibility criteria of trade loading according to the eligibility criteria specified in the EurexOTC Clear product list.
| - No action required from participants.
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Rate blending enhancement for Netting Level 3 | - Trades that have the same netting attributes which are eligible for netting at Netting Level 3 will be as usual sorted by trade ID, and then pairwise netting is performed at Netting Level 3. In case the outcome is a single netted trade, it is then used to net with other trades with the same netting attributes. In case the outcome is 2 netted trades (using the exception handling algorithms), these trades are not used for further netting on a particular day.
| - No action required from participants.
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Further GUI enhancements to improve usability | - A Netting Forecast functionality will make it possible to check in real-time if any particular set of trades are nettable and what the remnant trades will be.
- A new column “Pre-Netting ID” will be added to the Trade Search Results and the Modify table. This column will be populated for the VERIFIED trades with the most recent value of the Pre-Netting ID generated during the execution of the intraday netting forecast runs scheduled at 10:00 CET, 14:00 CET, 18:00CET, 21:00 CET. Finally, netting string assignment for the nettable trades can directly be initiated, where the new Netting String is already prefilled with the Forecast Netting ID from the selected trades.
- The download buttons will be replaced by a Download Window. A cancellation process for portfolio transfer, an enhancement of the PTE authorization process and a netting parameters window will be introduced.
| - No action required from participants.
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Introduction of GBP/USD RFR XCCY Swaps | - Eurex Clearing will introduce GBP/USD RFR XCCY swaps, i.e. GBP/USD XCCY swaps referencing the following Risk-Free Rates (RFRs): SONIA for GBP leg and SOFR for USD leg. With OTC Release 12.0 netting will be suspended for XCCY Swap trades. It will be enabled early 2022.
*This item will not meet Release 12.0 production date. Eurex Clearing will announce the new date.
| - Interested OTC FX Clearing Members can clear GBP/USD RFR XCCY swaps.
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