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Dec 14, 2017

Eurex Clearing

LDX IRS Constant Maturity Futures and Rolling Spot Futures: Enhancements to technical trade processing

Currently, for the LDX IRS Constant Maturity Futures and Rolling Spot Futures, Eurex Clearing issues technical trades in order to realign variation margins at open position account level on a daily basis. In order to enhance the processing and identification of technical trades, Eurex Clearing will make the following changes:

FIXML

  • TransferReason (tag 830). New value: 131 Price Correction
  • TrdType (tag 828). New value: 63 Technical Trade

C7 Clearing GUI

  • Tran Type. New value: 131 Price Correction
  • Orig Trade Type. New value: D – Technical

CRE Reports

  • Trn Typ. New Value: 131 Price Correction
  • Trd Typ. New Value: D Technical Transaction

The changes will be active in simulation from 17 January 2018 and in production from 1 March 2018.