EurexOTC Clear Releases

EurexOTC Clear Release 14.0

With the EurexOTC Clear Release 14.0, Eurex Clearing will introduce the following changes and improvements:   

  • OTC IRS Product Extensions in Nordic currencies (SEK, DKK, NOK) and Polish złoty (PLN) 
  • Extension of maximum maturities of EUR Swaps 

Please note that the information provided on this website can be changed at the discretion of Eurex Clearing. 

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

OTC R 14 Timeline -01








 

System Documentation

The OTC system documentation are stored in the Member Section under the following path: Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation

Circulars

Focus Days

Cross-margining Focus Day

  • 12.12.2022 – 16.12.2022

Frozen Zone

Simulation

  • 06.10.2022 – 13.10.2022

Production

  • 17.11.2022 – 22.11.2022

Readiness Statement

We kindly ask all EurexOTC Clear Members to submit the Readiness Statement for EurexOTC Clear Release 14.0 by Friday, 11 November 2022 latest. 

For your convenience a online submission process has been published. The online Readiness Statement is here available: Readiness Statement. Please enter your dedicated Eurex Clearing PIN in the online questionnaire. The PIN for your company has been sent to the Central Coordinator.

Readiness Videos

Release Items/Participants Requirements

Feature/Enhancement

Details

Action Item

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 

Clearing Members who would like to clear these products with extensions need to assess the impact on their side. If further assistance is required, please contact your Clearing Key Account Manager or client.services@eurex.com.

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 OTC Release 14.0. The extension is applied to EUR Interest rate swap (IRS) (Fix/Float), overnight index swap (OIS), and Basis Swap (Float/Float). 

Clearing Members who would like to clear these products with maximum maturities need to assess the impact on their side. If further assistance is required, please contact your Clearing Key Account Manager or client.services@eurex.com.

New value of the UTI (Unique Transaction Identifier) 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 (Post Trade Event) 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. 

If this field value is consumed by members, this new value '529900LN3S50JPU47S06' will be populated as of Monday, 5 December 2022. If this field value is consumed, we kindly ask all Eurex Clearing Members to make sure that relevant changes are reflected in their internal processes. 

GUI changes 

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 max 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. 

For the GUI changes, there is no action required. 

Report changes 

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). 

We kindly ask all Eurex Clearing Members to make sure that relevant report changes are reflected in their internal processes. 

Termination of OTC currency Clearing Services 

As announced via Eurex Clearing Circular 043/22, clearing services for OTC FX Spot, OTC FX Swaps, OTC FX Forwards and OTC Cross-Currency Swap Transactions was terminated. Due to the termination, some of the fields will be removed from member reports, and further changes on MC-API, OTC & MC GUI are expected.  
 

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

If members built various interfaces/systems for clearing services for OTC FX Spot, OTC FX Swaps, OTC FX Forwards and OTC Cross-Currency Swap Transactions, the necessary actions for termination should be implemented. 

Members are advised to check the Functional Release Notes of OTC Clear Release 14.0 for further details.

CRE

The CRE is Eurex Group’s central solution for reports. The CRE allows a greater flexibility and meets the needs of today’s high frequency.
Find out more!

Eurex Initiatives Lifecycle

From the announcement till the rollout, all phases of the Eurex initiatives outlined on one page! Get an overview here and find other useful resources.
Find out more!

Further information about EurexOTC Clear can be found here.

Are you looking for information on a previous initiative? We have stored information about our previous initiatives in our Archive for you!   

Contacts

Eurex Frankfurt AG
Customer Technical Support / Technical Helpdesk

Service times from Monday 01:00 – Friday 23:00 CET
(no service on Saturday and Sunday)

Please contact your Technical Account Manager via your personal VIP number which can be found in the Member Section.

T +49-69-2 11-VIP / +49-69-2 11-1 08 88 (all)

cts@deutsche-boerse.com

Eurex Frankfurt AG
Key Account Management

Service times from 09:00 - 18:00 CET

T +49-69-211-10 333

client.services@eurex.com