With the OTC Release 10.0, Eurex Clearing expanded the EurexOTC Clear Service which had an impact on the technical interfaces such as reports, the FpML interface and on processes.
Simulation start: 9 October 2019
Production start: 18 November 2019
New Features and Enhancements / Participation requirements
Eurex Clearing expand the EurexOTC Clear Service (OTC IRS and OTC Currency Products) with the following functionalities:
- Clearing of €STR OIS, €STR-EURIBOR basis swaps and EONIA-EURIBOR basis swaps. To support the EONIA-€STR transition, additional reports (for information only) contain resulting trade present value and sensitivities when switching EUR discounting from EONIA to €STR.
Advanced Risk Netting Unit (ARNU)
- ARNU allows risk netting over more than one agent account (1:n) for the Initial Margin requirement. To support ARNU, some reports and the onboarding process has been adjusted. Activation, which will be announced separately, is planned for the first half of 2020.
Pricing model extension to Basic DCs
- The pricing model that is currently valid for DC with System Access or Basic DC with Member ID, is also applicable / selectable for Basic DCs in A-Account of CM.
MarkitWire Netting Synchronization
- A solution which allows members to automatically update their portfolios and reconcile in MarkitWire after Post Trade Events, Netting and Compression activity at Clearing Houses.
With the OTC Release 10.0 all products are affected by:
- Small changes to variation margin formula to cater for certain post-trade events.
- Variation margin arecalculated on payment calendar holidays if these are business days in the TARGET calendar.
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