With the introduction EurexOTC Clear Release 10.1 in July 2020, Eurex Clearing introduced changes to the EurexOTC Clear interfaces and clearing eligibility of SOFR swaps. Furthermore, the €STR discounting switch was performed.
Simulation start: 28 May 2020
Production start: 27 July 2020
Features and Enhancements / Participation requirements
OTC IRS Service Enhancements Including €STR Discounting
As part of the transition from EONIA to €STR as the new euro risk-free rate, Eurex Clearing implemented the following for its EurexOTC Clear service:
Introduction of SOFR Swaps
Eurex Clearing introduced the clearing of SOFR OIS, SOFR-USD LIBOR basis swaps, and SOFR-EFFR basis swaps. To support the EFFR-SOFR transition, the introduction of additional reports (for information only) showing trade present value and sensitivities when switching USD discounting from EFFR to SOFR are planned.
FpML Version Update
Upgrading Trade Notification Messages and Report files from FpML 5.0 to FpML 5.6 for all products offered by the EurexOTC Clear service.
Eurex Clearing introduced enhancements to the GUI to improve usability for Clearing Members:
With this release there will be structural changes to some reports. Additionally, Eurex Clearing plans to introduce the report CC223 “Sovereign Risk Uncertainty Parameter”.
EurexOTC Clear Release 10.1 might have an impact on the internal processes of OTC Clear Members. To ensure a smooth readiness, we always recommend that OTC Clear Members review their internal processes and technical interfaces (e.g. XSDs for EurexOTC Clear Reports, Eurex Clearing FpML Interface) and update them if necessary. In case of cooperation with back-office vendors, the third-party providers should e contacted.
If you have any questions or require further information, please contact us at firstname.lastname@example.org.