With the EurexOTC Clear Release 18.0, Eurex Clearing will introduce the following enhancements:
Simulation start: 16 October 2024
Production start: 18 November 2024
Release Items/Participants Requirements
Feature/Enhancement | Details | Action Item |
Enhancement of Inflation Linked Asset Swaps | The following improvements:
will be introduced for the Inflation Linked Asset Swaps offering. Moreover, partial Post-Trade Events (PTEs) will be allowed for SCIS trades with the same notional amounts in both legs. | For more information regarding the product, please reach out to your respective sales contact. |
Clearing of “Linked Trades” submitted via MarkitWire | With this release, the submission of linked trades via MarkitWire with a common linker identifier, to be cleared on an All-or-Nothing basis, will be enabled. The incremental risk assessment and novation will be carried out at a group level for the linked trades. | Clearing Members, who would like to enable this functionality at Eurex Clearing, should contact their respective Clearing Key Account Manager. |
Introduction of “MtM Adjustment” | The current EurexOTC Clear Account, Trade, and Portfolio transfer functionalities will be enhanced with the introduction of the optional feature “MtM Adjustment”, which will enable Clearing Members to request the automated compensation of the trade values during the transfer. The “MtM Adjustment” amount will be automatically determined by the system if requested and cannot be changed by the parties involved in the transfer. | Clearing Members, who are interested in this feature, can request it via the OTC GUI. |
Variation Margin calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound | The calculation of intraday Variation Margin calculation for trades referencing GBP-SONIA-OIS Compound and EUR-EuroSTR-OIS Compound indices and having intraday coupon settlement, will be enhanced The calculation of intraday Variation Margin will be enhanced on the day of the intraday coupon settlement. If there is any intraday coupon payment on T, then before the intraday settlement, the coupon payment will be considered in the intraday Variation Margin calculation. There will also be an intraday Variation Margin payment that mainly offsets the coupon payment. | Clearing Members with OIS trades in GBP and EUR currencies in their portfolio should evaluate the implication of the additional payment for Intra-day Variation Margin which offsets the coupon payments. |
Change in the timing to mature the trades | The broadcast messages for matured trades will be sent during start of business on the value date of the last coupon payment. The broadcast message for matured trades referencing GBP-SONIA-OIS Compound index and having a payment lag of '0' BD on the floating leg or any other trade with intra-day coupon settlement of the last coupon will be sent during intra-day processing. | There is no action required. |
Report Changes | The following report changes will be made with this release:
| We kindly ask all Clearing Members to ensure that the relevant report changes are reflected in their internal processes. |
API Changes | The following enhancements will be implemented in API modules:
| We kindly ask all Clearing Members to ensure that relevant API changes are reflected in their internal processes. |
GUI Changes | The following enhancements will be implemented in the OTC GUI:
The following enhancements will be implemented in the MC GUI:
| There is no action required for GUI changes |
Further information about EurexOTC Clear can be found here.
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Contacts
Eurex Frankfurt AG
Customer Technical Support / Technical Helpdesk
Service times from Monday 01:00 – Friday 22:00 CET
(no service on Saturday and Sunday)
T +49-69-211-VIP / +49-69-211-1 08 88 (all)
Eurex Frankfurt AG
Key Account Management
Service times from 09:00 - 18:00 CET