With the EurexOTC Clear Release 16.0, Eurex Clearing will introduce the following enhancements:
Simulation start: 11 October 2023
Production start: 20 November 2023
Cross-margining Focus Day
Release Items/Participants Requirements
Introduction of OIS on DKK-DESTR (Denmark Short-Term Rate)
Clearing of OIS (Overnight Index Swap) trades on the Danish DKK-DESTR (Denmark Short-term Rate) index will be introduced with maturities of up to and including 11 years supported.
Clearing Members, who want to clear this product, need to evaluate the impact on their side. If further assistance is required, please contact your Clearing Key Account Manager or firstname.lastname@example.org
Automated Position Offset Function through Trade Entry API
The automation of position offset function will be introduced allowing clients to send a request via Approved Trade Source (ATS) and receive the trade economic details of their open trades at Eurex which they wish to offset by sending corresponding offsetting trades.
With the go-live, this functionality will be enabled by default for all Clearing Members and their clients.
Introduction of Trade Refactoring Compression
TriOptima portfolio compression services will be enhanced to support Trade Refactoring compression algorithm allowing the residual trades with not only the changes in trade revision (notional, coupon, spread, direction), but also changes in the start and the end date of the trade.
There is no action required.
A new field 'UPI' for OTC trades
The new optional field 'UPI' will be introduced, which will be provided by Approved Trade Source (ATS). Eurex will include the field information in Trade Notification messages and reports with the format of 12-character alphanumeric code. This field will result in changes to EurexAPIXML XSD and Report XSDs.
Clearing Members should evaluate the impact of consuming new trade notification messages and member reports.
The following report changes will be made in the reports of EurexOTC Clear:
We kindly ask all Eurex Clearing Members to ensure that the relevant report changes are reflected in their internal processes.
The following enhancements will be implemented in MC GUI:
The following enhancements will be implemented in OTC GUI:
With the introduction of two account parameters in the netting Parameter window, the new fields will be set to “Y” by default. The clearing members can disable the parameters if they wish so.
There is no other action required for GUI changes.
The following enhancements will be implemented in API modules:
We kindly ask all Eurex Clearing Members to ensure that relevant API changes are reflected in their internal processes.
Further information about EurexOTC Clear can be found here.
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