EurexOTC Clear Release 11.2: Amendments to the Clearing Conditions and FCM Regulations

1.    Introduction

This circular contains information with respect to amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and the FCM Regulations of Eurex Clearing AG (FCM Regulations) corresponding to EurexOTC Clear Release 11.2 regarding the following topics:

A.  TriOptima portfolio compression service enhancement 
B.  Relaxation of eligibility criteria for backdated stub periods
C.  Adapted Price Alignment Interest logic for T+2 currencies
D.  Marking trades as backloaded in the MarkitWire GUI
E.  Further minor amendments to the Clearing Conditions and FCM Regulations

The above-mentioned amendments will come into effect as of 28 June 2021.

Learn now more about the EurexOTC Clear Release 11.2 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 11.2. System documentation, circulars, timeline and much more information will be available there for you

...and on the go via the personalized Eurex App.

2.  Required action

Clearing Members, Basic Clearing Members, Disclosed Direct Clients, FCM Clearing Members, vendors and other affected contractual parties should take the amendments to the Clearing Conditions and FCM Regulations into consideration.

3.  Details

A.  TriOptima portfolio compression service enhancement

Eurex Clearing supports multilateral unlinked compression which offers Clearing Members risk constraint portfolio compression service via TriOptima AB (TriOptima) to reduce the size of an existing OTC derivatives portfolio with respect to the number of trades and notional through (partial) termination of bilaterally agreed trades after novation to Eurex Clearing. With the objective of further increasing the portfolio compression efficiency, Eurex Clearing will enhance its portfolio compression service to support the additional compression methodologies with TriOptima including Upscaling, Trade Revision and Trade Refactoring.

All products supported by EurexOTC Clear (except cross currency swaps and FX products) will be eligible for portfolio compression. This also includes Zero Coupon Inflation Swaps (ZCIS), Variable Notional Swaps and trades with attached fees.

To implement these changes, the following provisions will be amended as outlined in Attachments 2-4:

• Chapter VIII Part 2 Number 2.5 of the Clearing Conditions
• Chapter II Part 2 Number 2.5 of the FCM Regulations

B.  Relaxation of eligibility criteria for backdated stub periods

With EurexOTC Clear Release 11.2, in the event that a trade (that is an IRS, Basis Swap, FRA, OIS or XCCY swap) contains a front stub period with payment date in the past, the trade can newly be novated even if it uses special stub interpolation tenors that are not regularly supported by EurexOTC Clear.

To implement these changes, the following provisions will be amended as outlined in Attachments 2 and 4:

• Chapter VIII Part 2 Number 2.1.5.1 of the Clearing Conditions
• Chapter VIII Part 4 Number 4.1.5.1 of the Clearing Conditions
• Chapter II Part 2 Number 2.1.5.1 of the FCM Regulations

C.  Adapted Price Alignment Interest logic for T+2 currencies

The calculation of Price Alignment Interest (PAI) and Price Alignment Amount (PAA) will be adapted for T+2 trade currencies (JPY, SEK, NOK, DKK). The cashflow amount for the PAI/PAA period from T to T+1 will now be instructed at T-1 instead of T, in order to facilitate timely settlement on T+1. 

To implement these changes, the following provisions will be amended as outlined in Attachments 2 and 4:

• Chapter VIII Part 2 Number 2.1.7 and 2.2.1 of the Clearing Conditions
• Chapter II Part 2 Number 2.2.1 of the FCM Regulations

D.  Marking trades as backloaded in the MarkitWire GUI

With EurexOTC Clear Release 11.2, the condition on which a trade (that is an IRS or XCCY swap) loaded from the MarkitWire system can be classified as backloaded trade in EurexOTC Clear system will be amended to ensure only if the trade date is older than ten business days and the trade is flagged as “backloaded” in MarkitWire GUI.

In the MarkitWire GUI, Members should enter a trade date older than ten business days and should select the backloading checkbox in the MarkitWire GUI window which sets the Originating Event on the processing tab to "Backload". Only if these two conditions are fulfilled, a trade will be set as backloaded trade in the Eurex system, if not, the trade will be loaded as a normal bilateral trade.

To implement these changes, the following provisions will be amended as outlined in Attachments 2 and 4:

• Chapter VIII Part 2 Number 2.1.5.3 of the Clearing Conditions
• Chapter VIII Part 4 Number 4.1.5.3 of the Clearing Conditions
• Chapter II Part 2 Number 2.1.5.3 of the FCM Regulations

E.  Further minor amendments to the Clearing Conditions and FCM Regulations

Further minor amendments are applied, such as the eligible Floating Rate Option labels and the eligible calendars to determine business days under the transactions.

To implement these changes, the following provisions will be amended as outlined in Attachments 1-4:

• Chapter I Part 1 Number 1.1.2 of the Clearing Conditions
• Chapter VIII Part 2 Number 2.1.1 and 2.1.5.1 of the Clearing Conditions
• Chapter VIII Part 3 Number 3.1.5.1 of the Clearing Conditions
• Chapter VIII Part 4 Number 4.1.5.1 of the Clearing Conditions
• Chapter I Number 1.1.5 of the FCM Regulations
• Chapter II Part 2 Number 2.1.5.1 of the FCM Regulations

Publication of amendments to the Clearing Conditions and FCM Regulations

To reflect the changes as set out under items A.-E., in particular the following provisions of the Clearing Conditions and FCM Regulations will be amended as outlined in the Attachments 1-4.

As of the effective date, the full version of the amended documents will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link: 

Rules & Regs > Rules and Regulations

The amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first ten (10) Business Days after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.

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.

Attachments:

1.  Amended sections of Chapter I Part 1 Number 1.1 of the Clearing Conditions
2.  Amended sections of Chapter VIII Part 2 Numbers 2.1, 2.2 and 2.5, Part 3 Number 3.1 and Part 4 Number 4.1 of the Clearing Conditions
3.  Amended sections of Chapter I Number 1.1 of the FCM Regulations
4.  Amended sections of Chapter II Part 2 Numbers 2.1, 2.2 and 2.5 of the FCM Regulations

Further information