Eurex Clearing
1. Introduction
With this circular, Eurex Clearing announces the launch of CCP Release 18.5 on Monday, 15 March 2021. The simulation environment is planned to be available from 15 February 2021. Eurex Clearing follows the preparations for regulatory readiness under CSD Regulation and introduces minor enhancements to processing of Eurex Repo trades.
The following topics are covered by CCP Release 18.5:
A. Activation of partial settlement for Clearstream Banking Luxemburg (CBF(i) and CBL) and Euroclear Bank (EOC)
B. Enhancement of the Repo Contracts report TC750 with daily collateral evaluation information
C. New CBL account: CBL 51295 as CCP counterparty account for settlement of Repo Specials
Simulation start: 15 February 2021
Production start: 15 March 2021
2. Required action
All CCP Participants are advised to check their internal processing with focus on:
3. Details of the initiative
A. Activation of partial settlement for Clearstream Banking Luxemburg (CBF(i) and CBL) and Euroclear Bank (EOC)
With the activation of partial settlement for deliveries for CBL, CBF(i) and EOC, the settlement feedback will contain the results of partial settlements on the following CCP reports:
As the cash deviations, which may result to partial settlement, are shown on CCP Report “Partial Delivery Deviating Cash Amount”, it is important for Members to select this report in the “Report selection” section of the Securities Clearing GUI. The resulting debit/credit cash transaction will be included in the overall cash transaction resulting from CCP business and settled via Participant’s cash account.
Eurex Repo GC Pooling business is not affected by the partial settlement changes.
B. Enhancement of the Repo Contracts report TC750 with daily collateral evaluation information
The daily reporting on GC and Special Repos in Repo Contracts report (Formatted reports - RPTTC750/1/2 and RAW reports – RAWTC750/1/2) will be enhanced with daily collateral valuation information that can be used for SFTR reporting purposes. The following fields will be added to Repo Contract report:
(i) Price (including accrued interest)
(ii) Collateral Market Value
C. New CBL account: CBL 51295 as CCP counterparty account for settlement of Repo Specials
Today’s CCP CBF(i) account 67525 will be replaced for Repo Special settlement business by a CBL 51295 account. With CCP 18.5 for Special Repo customers the new CCP counterparty account will be provided on CCP reports.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors, settlement institutes and other affected contractual parties | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | CCP Release 18.5 initiative page | |
Authorised by: | Jens Janka |
