EurexOTC Clear: Introduction announcement of EurexOTC Clear Release 14.0

1.   Introduction

With this circular, Eurex Clearing announces the production launch of EurexOTC Clear Release 14.0 on Monday, 21 November 2022. In this context, functional, GUI, and report changes are expected as highlights of the release. In addition, a simulation environment clean-up will be performed. Please see a detailed list of the changes that are part of EurexOTC Clear Release 14.0 in section 3. Details below.

The timeline for the new release is as follows:

Simulation start: 12 October 2022 
Production start: 21 November 2022

Learn now more about the EurexOTC Clear Release 14.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases > EurexOTC Clear Release 14.0. Circulars, timeline and much more information will be available there for you.

2.   Required action

Functions, services, and technical changes to be introduced with this release will have an impact on the internal processes of Clearing Members, FCM Clearing Members, and their clients who clear EurexOTC Clear products (hereafter: EurexOTC Clear Members). 

Therefore, it might be necessary for EurexOTC Clear Members to update their internal processes and technical interfaces (e.g. XSDs for EurexOTC Clear Reports, Eurex Clearing FpML Interface).

• In case of cooperation with back-office vendors, EurexOTC Clear Members should contact their third-party providers as soon as possible to ensure that the necessary adjustments can be made.
• Please check whether you have registered and/or updated your Release Contacts for EurexOTC Clear in the Member Section of Deutsche Börse Group, under Release Contacts.
• In parallel, please subscribe to EurexOTC Clear circulars and newsflashes on our subscription website on www.eurex.com/ec-en/ under the following link in order to remain updated, as any communication regarding EurexOTC Clear Release 14.0 will only be distributed via circulars and newsflashes: Find > Subscriptions.

In order to improve the quality of the OTC simulation environment in advance of its upcoming release, Eurex Clearing will perform a structured clean-up of old trades in the simulation environment on Monday, 26 September 2022. Therefore, all trades captured before Wednesday, 1 June 2022 will no longer be available in the simulation environment. 

• Participants who wish to keep these trades, should send an e-mail with the subject “Clean-up of the simulation environment - excluded accounts” to the Key Account Manager or client.services@eurex.com (including Member ID and book) until Friday, 16 September 2022.

3.   Details 

A. Changes to be introduced with EurexOTC Clear Release 14.0

• Extension of maximum maturities of EUR Swaps
• OTC IRS Product Extensions in Nordic currencies (SEK, DKK, NOK ) and Polish złoty (PLN)
• New value of the UTI Issuer value for newly created EurexOTC trades
• Report changes
• GUI changes
• Termination of OTC Currency Clearing Services (Excluding NDFs)

Eurex Clearing has provided a description of the above-mentioned changes in the Functional Release Notes of EurexOTC Clear Release 14.0 that may be accessed via the Member Section of Deutsche Börse Group, under the following path:

Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation > Overview

All changes will be reflected via documentation updates as well which will be published according to the Eurex Clearing Member Communication Calendar. The updated documents as part of EurexOTC Clear Release 14.0 will be available in the Member Section under the path mentioned above, under “System documentation”.

B. Overview of functional changes

Extension of maximum maturities of EUR Swaps

The extension of maximum maturity of EUR Swaps to 61 years (or 22,335 days) will be implemented within EurexOTC Clear Release 14.0. The extension is applied to EUR Interest rate swap (IRS) (Fix/Float), Overnight index swap (OIS), and Basis Swap (Float/Float).

OTC IRS product extensions in Nordic currencies (SEK, DKK, NOK ) and Polish złoty (PLN)

Eurex Clearing will introduce the following enhancements related to Nordic currencies and PLN:

• Introduction of Stub Interpolation for DKK, NOK, PLN and SEK 
• Clearing of IRS and FRAs referring to 3M Index in DKK, NOK and PLN
• Clearing of Basis Swaps (3M vs 6M) for DKK, NOK and PLN
• Maturity extension for PLN OTC trades from 11Y to 16Y

Please note that the details on the trade eligibility criteria enhancements will be reflected in the product list of EurexOTC Clear Release 14.0, which will be available in the Member Section of Deutsche Börse Group in September 2022.

New value of the UTI Issuer value for newly created EurexOTC trades

The current UTI Issuer '1050000007' generated for OTC trades cleared by the EurexOTC Clear system will be replaced by a new value '529900LN3S50JPU47S06'. The length of 10 characters will increase to 20 characters and the new value of the UTI Issuer '529900LN3S50JPU47S06' will be displayed on all trade notification messages, gross trade notification messages, netted trades notification messages and Member reports generated by EurexOTC Clear system.

This change will apply to new trades cleared in the EurexOTC system out of a bilateral trade novation or out of a PTE action like Trade Transfer, Account Transfer, Termination, Clearer Change, Netting or Compression triggered on an existing trade in VERIFIED status. The value of the UTI Issuer will remain unchanged for the legacy trades as no conversion or migration is planned.

The effective date of the UTI Issuer change is Monday, 5 December 2022 in EurexOTC Clear Production environment.

Report changes

The reports of EurexOTC Clear will be enhanced as follows:

• Introduction of the Variation Margin Report (CC203) in csv format for Direct Clients (DCs) and Clearing Members (CMs).
• Maximum maturity extension of EUR Swaps and OTC IRS Product extensions in Nordic currencies & Polish złoty (PLN). All product extension specific information (trade information, currency calendar data, rate indices, new fixings, new curve data, new risk factors, cashflow data, etc.) will be included in existing Member reports. No structural changes are necessary.
• The new value '529900LN3S50JPU47S06' of the UTI Issuer will be visible in the Member’s reports (CI200/CB200, CI201/CB201, CB202/CB207, CI203/CC203/CC222, CI205/CC205, CI206, CI207/CC207, CD200/CD210, CD211, CI280 and CI218).

For further details on the report enhancements, please refer to the EurexOTC Report Manual for EurexOTC Clear Release 14.0, which will be published in September 2022 in the Member Section of Deutsche Börse Group.

GUI enhancements

The following enhancements will be implemented:

• The ISDA 2021 FRO labels will be added to the dropdown lists of the existing FRO labels in the Clearing Eligibility Checker window.
• As part of the initiative Nordic currencies and PLN product extension for Interest Rate Derivatives, the accommodation of the new Float Tenors (3M), Single CCY Basis Swaps, Stub Interpolation and Maturity Extension (PLN to be 16Y) will be supported within the MC GUI and the Sensitivities Template.
• In the Margin Calculator Sensitivities Template and the Sensitivities Window in MC GUI, a new row for maximum maturity bucket will be added.
• When the active link counter in the Application header, Netting Parameters “Authorization required” field is clicked, only those accounts requiring confirmation will be listed in the table. From those it will be possible to select single accounts for authorization in the change window.

Termination of OTC Currency Clearing Services

As announced in Eurex Clearing Circular 043/22, clearing services for OTC FX Spot, OTC FX Swaps, OTC FX Forwards and OTC Cross-Currency Swap Transactions were terminated. Due to the termination, some of the fields will be removed from Member reports, and further changes on MC-API, OTC and MC GUI are expected. Members are advised to check the Functional Release Notes of EurexOTC Clear Release 14.0 for further details.

The NDF Clearing and ETD FX service are not impacted by this decision.

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