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08 Jul 2021

Eurex Clearing

Eurex Clearing Readiness Newsflash | Simulation preparation and test of switch from EONIA to €STR for transactions referencing the EONIA benchmark

Eurex Clearing Readiness Newsflash | Simulation preparation and test of switch from EONIA to €STR for transactions referencing the EONIA benchmark

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:

  • First dress-rehearsal on EONIA to €STR trade conversion process: 17 - 19 August 2021
  • Second dress-rehearsal on EONIA to €STR trade conversion process: 31 August - 2 September 2021

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):

  1. Test portfolios should be cleared in Simulation latest on 17 August 2021, 18:00 CET and 31 August 2021, 18:00 CET. Cut-off time for the backloading of trades, which need to be novated on the same day, is 15:00 CET. Simulation will be closed on Wednesday, 18 August 2021 and on 1 September 2021. In particular, the OTC GUI/MC GUI will not be available, MC API and FpML-API requests will not be processed, and no new trades can be submitted to the OTC Clearing system.
  2. On 17 August 2021 and 31 August 2021 (both are batch days) will be the last days for transactions referencing the EONIA benchmark.
  3. The OTC Clearing system will switch to €STR benchmark rate intraday on 18 August 2021 and 1 September 2021 (both are batch days). Especially the EOD reports on 18 August 2021 and 1 September 2021 will be generated for the first time for newly generated novated €STR trades, and all the netting reports will be created with an empty content for EUR trades.
  4. On 18 August 2021 and 1 September 2021, customers will receive intraday the one-off reports CC350, CD200, CB201 and CB202 with the timestamp of Saturday, 21 August 2021, and 4 September 2021 (e.g. 85RPTCC350MEMBERID20210821.XML.ZIP and 85RPTCC350MEMBERID20210904.XML.ZIP). Details on reports and cash compensation reconciliation can be found on the EONIA Trade Conversion Booklet starting from page 10. 

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):  

Capture

 



  • Capture1
     is NPV at time (? − 1) of the original EONIA trade, without cashflows settling at time ? and  

p
i

  • Capture2
    s NPV at time (? − 1), without cashflows settling at time ?, of the replacing €STR trade having same attributes as the EONIA trade besides:
     
     

    • the floating rate index being €STR flat,
    • having €STR fixings for the whole current period, particularly replacing already fixed EONIA-rates
    • having no compensation fee attached,
  • where ??(? − 1, ? + 1) is the discount factor from the €STR curve from Tuesday, 17 August 2021 (? − 1) until Thursday, 19 August 2021 (? + 1), and from Tuesday 31 August 2021 (? − 1) until Thursday, 2 September 2021 (? + 1).ReportsT


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:

  • Information table for simulation of the EONIA to €STR trade conversion process


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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