EurexOTC Clear Releases

Package Trade Clearing

With EurexOTC Clear Release 15.0, Eurex Clearing will expand its services by offering a new feature for loading and clearing grouped trades, which are called package trades. The new feature will initially be offered for the in-house trade loading interface (Trade Entry API).

Clearing Members can employ this functionality only if the Approved Trade Source (ATS) through which the member is submitting the package for clearing is:
 

• connected to Eurex Clearing via its Trade Entry API and 
• supports this functionality from their end, through this channel. 

We recommend, Clearing Members to get in contact with these ATSs.

Maximum Maturity Extension from 30 to 50 years for EUR-HICPxT

The maturity of Euro HICPxt (Non-revised Eurozone Harmonized Index of Consumer Prices excluding Tobacco or relevant Successor Index) is being extended from a current eligibility of 30 years + 10 days to 50 years + 10 days.

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 client.services@eurex.com.

Offsetting IR risk from IRS and Inflation Swaps in LA calculation

This change is relevant for the Liquidity Add-On (LA) calculation within the Initial Margin (IM). Currently, the Interest Rate risk (IR) of Interest Rate Swaps is not netted with the Interest Rate risk of Zero-Coupon Inflation Swaps (ZCISIR). With the introduction of Release 15.0, the offsetting/netting effects between those two sources of IR risk are recognized by aggregating them and by thus treating them as a whole. 

If there are such offsetting effects within a portfolio, the Initial Margin for that portfolio will decrease. If there are no such offsetting effects within a portfolio, the Initial Margin for that portfolio will be the same as with the current methodology.

There is no action required.

Eurex Clearing will calculate IM with this methodology change with the introduction of EurexOTC Clear Release 15.0 for all members.

FpML upgrade to version 5.7

With the EurexOTC Clear Release 15.0, Eurex will upgrade the FpML version from 5.6 to 5.7. 

This upgrade of FpML will not affect the process of loading a single IRS or NDF transaction via existing interfaces such as via Trade Entry API, TraderServ or MarkitWire. However, it will affect the generation of new trade notification messages and member reports as well as the simulation of the margin for a given portfolio via the MC-API interface. 

With this release, FpML 5.7 will be the standard for all EurexOTC Clear xsd schema.

Members should evaluate the impact of consuming new trade notification messages and member reports in FpML version 5.7.

Improvement of ZCIS handling for sensitivity-based Margin Calculator requests

A more sophisticated formula will be used for the handling of Zero-Coupon Inflation Swaps (ZCIS) within sensitivity-based Margin Calculator requests. 

As before, the Initial Margin contribution of ZCIS will be estimated based on the sensitivities with respect to the break-even inflation rate (as provided by the user). Within this estimation, the Margin Calculator internally uses a slightly adapted formula for the transformation of the break-even rate sensitivities to risk factor sensitivities. The new formula is more accurate, especially in the case of large inflation rates (as observed in the recent years).

The change of the formula happens automatically with deployment of Release 15.0. There is no action required by Clearing Members, and the sensitivities are to be provided in the same way as before.

There is no impact on productive margins, and there is also no impact on the “regular” (i.e. trade-based) Margin Calculator requests.

Report Changes

With this release the following EurexOTC Clear report changes will be introduced:

• Decommissioning of Intraday Variation Margin Report (CI203) 
• Introduction of Package Trade Clearing 
• Maximum Maturity Extension from 30 to 50 years for EUR-HICPxT 
• Offsetting IR risk from IRS and Inflation Swaps in LA calculation 
• Format change of field “Event Processing Id” used in TriOptima Compression Runs 
• FpML upgrade from version 5.6 to version 5.7 
• New labelling for settlement amounts in Intraday Settlement Report (CI280)

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

GUI Changes

The following enhancements will be implemented in the MC GUI:

• USD LIBOR index selections removal
• Changes to the Detailed Result csv-file
• Maximum Maturity Extension from 30 to 50 years for EUR-HICPxT
• Removal of sub-sampling calculation results
• New button “Tutorials” 

The following enhancements will be implemented in the OTC GUI:

• Take-Up of package client trades
• New “Member ID” search field
• Changes to Account Transfer and Trade Transfer Take-Up Windows
• Displaying the Source System CM ID field in the OTC GUI for trades with EB WFRole

There is no action required for any of the GUI changes.

API Changes

The API modules of EurexOTC Clear will be enhanced with the following changes:

• Introduction of Package Trade Clearing for Trade Entry API
• FpML upgrade from version 5.6 to version 5.7 (relevant for TE API, MC API, and FpML API)
• Format change of field “Event Processing Id” used in TriOptima Compression Runs
• Removal of sub-sampling from initial margin calculation – Impact on MC API

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