Eurex Clearing
Dear Eurex Clearing participant,
With this Newsflash, Eurex Clearing provides further information on Simulation preparation and test of switch from EONIA to €STR for transactions referencing the EONIA benchmark. The Simulation environment will be opened for Members on 19 August 2021. As usual, please make sure that your systems are prepared for the updated XSDs, for reports and FpML messages before the Simulation starts. Starting from 19 August 2021, functionalities and changes will be available for testing.
Eurex Clearing will switch from EONIA to €STR for all transactions referencing the EONIA benchmark with EurexOTC Clear Release 11.3 on 18 October 2021 in the Production environment. An important milestone for testing is performing the switches in the Simulation environment. Hence, to allow Clearing Members multiple testing possibilities, Eurex Clearing will perform two dress-rehearsals during the following days:
Eurex Clearing notes that after the first dress-rehearsal, clearing of EONIA trades will be eligible in the Simulation environment until the second dress-rehearsal is completed. This system behavior deviates from the conversion go-live where, after the end-of-day process on 15 October 2021, EONIA trades will no longer be eligible in the Production environment.
Clearing Members which participated in the first dress-rehearsal but want to participate in the second one as well, and also the ones which just want to participate in the second dress-rehearsal need to upload test portfolios in the Simulation environment between 19 - 31 August 2021.
Please find the necessary information for Simulation described below (for the avoidance of doubt, the first date is always relevant for the first dress-rehearsal and the second date is always relevant for the second dress-rehearsal):
The compensation fee will be calculated as below (where the day of the last calculation of NPVs of the legacy EONIA trades shall be T-1 (Tuesday, 17 August 2021 and 31 August 2021) and the day of the settlement of the compensation fees shall be T+1 (Thursday, 19 August 2021 and 2 September 2021):
p
i
he Trad
e Conversion Transparency Report CC350 will be created specifically to provide transparency for the trade conversion, and will be available in CRE from 21 July 2021 EOD (Simulation) until 1 September 2021 EOD, and 23 August 2021 EOD (Production) until 15 October 2021 EOD with a final report the one-off version generated on Saturday, 16 October 2021. We note that all reports that will be generated as one-off versions of existing daily reports on Saturday, 16 October 2021 will have the same XSD Schema as their daily versions.A detail
ed explanation of the €STR transition including a description of the aforementioned reports and reconciliation thereof can be found in the document “EurexOTC Clear – EONIA Trade Conversion Booklet”. The document is updated and available in the Member Section of Deutsche Börse Group, under the following path:Resource
s > Eurex Clearing > Documentation and Files > Benchmark Transition Information > EUR: EONIA-€STR Transition
Please note below updates in the mentioned document, version 1.1:
Version | Date | Item | Page | ||
1.1 | 2021-07-02 | Treatment of existing upfront fees in FpML reports | 8, 18 | ||
1.1 | 2021-07-02 | Second dress rehearsal date | 9 | ||
1.1 | 2021-07-02 | Disallowing PTEs on Friday, 15 October 2021 and PTEs and Netting on Monday, 18 October 2021 | 10 | ||
1.1 | 2021-07-02 | CCPTrdVersion_repl corrected | 16 | ||
1.1 | 2021-07-02 | Information on broadcast messages added | 24 | ||
1.1 | 2021-07-02 | SIMU Dress Rehearsal FAQ section added | 41, 42 |
Additionally, sample broadcast messages for terminated EONIA trades and verified €STR trades, which will be created on conversion days, have been uploaded to the Member Section. When the trades are converted from EONIA to €STR, Eurex Clearing will send the Broadcast messages informing that €STR trades are verified.
Afterwards, for MarkitWire Netting Synchronization enabled Members, Eurex Clearing will send the second version of broadcast messages for newly created €STR trades with added information of Trade IDs used at MarkitWire, and the relevant tag is srcSysTradeId.
Hence, MarkitWire Netting Synchronization enabled Members will receive two versions of €STR trade notification messages. The compressed ZIP file, including the sample for terminated EONIA trade and two versions of €STR verified trades, are available in the Member Section of Deutsche Börse Group, under the following path:
Resources > Eurex Clearing > Documentation and Files > Benchmark Transition Information > EUR: EONIA-€STR Transition
Eurex Clearing strongly recommends that Clearing Members and customers should, proactively and prior to testing, upload the portfolio that they want to test in the Simulation environment.
Learn now more about EurexOTC Clear Release 11.3 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 11.3. System documentation, circulars, timeline and much more information will be available there for you.
If you have any further questions or comments, please send an e-mail to: client.services@eurex.com.
Kind regards,
Your Client Services Team
Attachment:
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Recipients: | All Clearing Members, Basic Clearing Members, FCM Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 11.3 |
