EurexOTC Clear Releases

Re-mapping of IRS trades’ stubs referencing to USD LIBOR 1W or 2M

With Eurex Clearing Circular 022/21, Eurex Clearing limited eligibility of USD LIBOR-referencing IRS Swaps with expiry on or after 1 October 2021, if the swaps contain stub periods relying on 1W or 2M USD LIBOR fixings with or without linear interpolation being specified.

Since USD LIBOR fixings 1W and 2M were decommissioned by 31 December 2021, the stub types of related legacy Interest Rate Swaps (IRS) trades (i.e., those referencing to the decommissioned fixings) will be re-mapped. Please check the Functional Release Notes (available in the Member Section) for the further details.

This change has a limited impact on a few Clearing Members. Clearing Members are advised to check whether they have such cleared trades. If further assistance is required, please contact your Clearing Key Account Manager or client.services@eurex.com.

Trade Booking via the Trade Entry API interface 

Multiple Direct Clients under the same Clearing Member should be allowed to share the same LEI or External PO Id (BIC) and to submit Eurex OTC trades via the Trade Entry API interface. In order to load the trade on the correct target account of the client, the full name of a valid client’s account (e.g., “ABCFR_P” or “ABCFR_FUND001”) shall be provided in the xml trade submission request. If the client’s account provided is not valid, then the submitted trade request will be rejected. The full name of the client’s account will be used in order to book the trade on the correct target account. 

Clearing Members are asked to check on their trade submission via Trade Entry API to include the full name of a valid client’s account (e.g., “ABCFR_P” or “ABCFR_FUND001”) in the XML trade submission request to avoid trade rejection in case one Global LEI/External PO ID is mapped to multiple DC`s under the same CM 

MC-API: change on the ETD template 

The current ETD template for Margin Calculator API will be modified: 

• New field name “Contract Date” will be added to the ETD template and will be in the format YYYY-MM-DD
• The field “Instrument Type” will be renamed to “Contract Type”
• The field “Contract Day” will be removed from the ETD template

Clearing Members using the ETD template used for Margin Calculator API are advised to make changes accordingly.

Report Changes

• Liquidation Adjustment components for trades in CZK and HUF will be added to the xml versions of the Overall Margin Report (CC204) and Client Margin Report (CC208), i.e.:  
  • <LiquAdj currency=”CZK”> 
  • <LiquAdj currency=”HUF”> 
• Regarding the CSV version of CC204 two new fields will be visible: 
  • “LIQ_ADJ_CUR_CZK” 
  • “LIQ_ADJ_CUR_HUF” 
• Market data related and trade related data due to CZK and HUF Product Extension will be included in existing reports. There will be new values in existing reports for currencies (CZK, HUF), calendars (CZPR, HUBU), indices (PRIBOR, BUBOR), settlement location (APBCZK, APBHUF). Except the changes mentioned above for CC204 and CC208 reports, there will be no impact on the overall structure of xml and csv reports.
• Currently, the field ‘Effective date’ has been filled with the Start date of the pay leg in Cash Forecast Report (CD200/CD210). With this release, this field will be filled with the Start date of the respective leg, i.e., either Start date of pay leg or Start date of receive leg.

We kindly ask all Eurex Clearing Members to make sure, that relevant report changes are reflected in their internal processes.

GUI Enhancements 

• OTC-GUI: Trade Transfer- take-up for acceptance window: In the Trade Transfer take-up for acceptance window a drop-down list is added to the Book field. The confirm button will initially be inactive. It is activated once a book is selected
• The present MC ETD Trade Template will be modified as follows: New field name “Contract Date” will be added to the ETD template and with the format YYYY-MM-DD. The field “Instrument Type” will be renamed to “Contract Type”. The field “Contract Day” will be removed from the ETD template 
• Due to the LIBOR decommission of GBP, CHF and JPY, the index LIBOR will be removed for the currencies GBP, CHF and JPY from the MC Trade Template, the Trade Insert Tool, the MC Sensitivity Template and the Sensitivity window
• To supplement the already existing IRS functionality, the below payment calendars will be added to the MC-GUI Trade Template and the Clearing Eligibility Checker for IRS and FRA trades: 
  • GRAT – Athens,  
  • IEDU – Dublin,  
  • FIHE – Helsinki, 
  • ITRO – Rome, 
  • ATVI – Vienna, 
  • USGS – US Government Securities

For the GUI changes, there is no action required.

Creation of new trade after PTE trade transfer to CM

PTE trade transferred to Clearing Member (CM) will no longer be created into the default agent account of the CM.

A new trade which is transferred to a CM after a PTE action will automatically be created in the CM’s P-Account.
The Clearing Member will still have to provide the take-up for that PTE trade either via the EurexOTC Clear GUI or via the FpML-API.
Clearing Member will always have the possibility of changing the target account during the take-up of the transferred trade. 

For this change there is no action required.