EurexOTC Clear Releases

OTC IRS Stub Enhancement

IRS Fixed/Float and OIS trades will be able to have front and back stubs on one leg and no stub on the other leg.

There is no action required.

Enhanced validation for VNS Bunched Order Workflow

For the notional schedules of Variable Notional Swaps (VNS), additional validation will be implemented to check whether the notional amount of the trade and the notional schedule of the block trade are fully offset against the allocations.

There is no action required.

Postponed settlement of USD OIS coupons

For USD OIS coupons, if the first TARGET business day after period end date equals the initial payment date, the coupon payment linked to an OIS floating leg in USD will be postponed to the next business date (postponed payment). Additionally, if both legs have the same initial payment date, the fixed leg's coupon payment will also be postponed to the next business day.

There is no action required.

Report Changes

The following report changes will be made:

• The “CCP Status” field in the Trade Daily Summary Report (CI201) will be updated to show VERIFIED and TERMINATED at the trade level.
• Enhancement of the OTC Incremental Risk Report (CI205) to include details on failed portfolio transfers. 

We kindly ask all Clearing Members to ensure that the relevant report changes are reflected in their internal processes.

GUI Changes

The following enhancements will be available in the OTC GUI:

• The new menu item, “Portfolio Transfer,” providing access to the relocated “Portfolio Transfer Overview” and “Portfolio Transfer Entry.
• Enhancement of the “Portfolio Transfer Entry” window with two entry types: “Portfolio Upload” and “Full Portfolio Transfer.”
• Addition of two new columns, “Full Transfer” and “Collateral Transfer,” in the “Portfolio Transfer Results” table within the “Portfolio Transfer Overview” window.
• Introduction of a new “Act as” dropdown field in the application header, visible only to master users, allowing them to select any user ID from the dropdown list and perform actions on behalf of the selected user ID.
• Updates of the OTC GUI and MC download file to support the display and processing of front and back stubs on the same leg.
• Default setting of the Mark-to-Market (MtM) adjustment flag for transfers to “Yes.”

The following changes will be implemented in the Margin Calculator  (MC) GUI:

• Enhancement of MC GUI Trade Template and Trade Insert Tool to allow entering two stubs per leg. Hence, all stub combinations which are supported for clearing as per the current valid product list can be entered using MC-GUI Trade Template as well.
• Enhancement of Clearing Eligibility Checker to allow entering two stubs per leg for the trade eligibility checks.

There is no action required.