30 May 2022

Eurex Clearing

Introduction of C7 Release 9.0

Eurex Clearing Circular 041/22 Introduction of C7 Release 9.0

1.   Introduction

With this circular, Eurex Clearing announces the production launch of C7 Release 9.0, which is scheduled for Monday, 21 November 2022. The simulation environment will be available from 12 September 2022.

Learn more about C7 Release 9.0 on our dedicated initiative page on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Support > Initiatives & Releases > C7 Releases > C7 Release 9.0

System documentation, circulars, timeline and much more information will be available there for you.

On the dedicated initiative page, under System Documentation > Overview and Functionality, Eurex Clearing provides a description of the changes that are introduced with C7 Release 9.0 in the Release Notes.

Simulation start: 12 September 2022
Production start: 21 November 2022
 

2.   Required action

Clearing participants are required to adjust their systems. Clearing Members and vendors will be impacted on C7 GUI, FIXML and report changes.

Please prepare for the Release and make sure that all your Release Contacts have subscribed for Eurex Clearing Circulars and Newsflashes on the Eurex Clearing website under the following link:

Find > Subscriptions

We recommend clients to participate in the simulation phase. Clearing Members are requested to submit their Readiness Statement by Friday, 11 November 2022.

3.   Details of the initiative

3.1  Value Based Average Pricing (VBAP)

Eurex Clearing plans to offer a Value Based Average Pricing functionality (VBAP) which will allow Clearing Members to create average priced transactions in a very flexible manner. The new functionality is offered optionally and in addition to the existing Average Price functionality in C7. The main features of Value Based Average Pricing are grouping and allocation of tailor-made average price transactions.

C7 Entitlement: The following three new entitlement privileges will be implemented and assigned to the Position & Transaction Manager and Clearing Operations roles:

  • Grouping (Assignment, De-Assignment and Re-Assignment of transactions to/from a group as well as cancellation of a group)
  • Allocate Average Price transaction out of the group
  • Cancel Average Price transaction

An implementation of the Value Based Average Pricing leads to changes in C7 FIXML, GUI and reports.

C7 FIXML: The following six additional transaction attributes will be implemented in “TradeCaptureReport” and in “AllocationReport” messages:

  • “AvgPxInd”
  • “AvgPxGrpID”
  • “GrpID”
  • “PrevGrpID”
  • “ID2”
  • “GrossTrdAmt”

C7 Clearing GUI: The following windows will be enhanced to display additional transaction attributes and to support the new average price functions:

  • Transaction Overview
  • Give-Up Overview
  • Take-Up Overview

In addition, a new window “Value Based Average Price – Group Overview” will be introduced to support the maintenance of average priced transactions.

The following windows will be enhanced to display additional position attributes:

  • Position Overview
  • Exercise Overview
  • Notification Overview

Clearing reports: To display the new transaction attributes, the following six new fields: “GroupName”, "Group ID”, "AveragePriceIndicator”, “VBAP Allocation ID”, “Previous Group ID” and “NotionalValue” will be included in the following clearing reports:

  • CB012: Account Statement
  • CB013: Account Statement ECC
  • CI012: Account Statement

Also, the following four fields “GroupName”, “Group ID”, “AveragePriceIndicator” and "NotionalValue” will be included in the following clearing reports:

  • CB750: Give-Up Trades Overview
  • CB751: Take-Up Trades Overview

Additionally, a new report CB716 “Value-Based Average Pricing – Group Overview” will be implemented.

3.2  Advanced Risk Protection (ARP) enhancement

The C7 ARP application maintains and manages Clearing Member and Trading Participant risk limits. With this release, C7 offers the following two enhancements:

3.2.1 Optional Deletion of Orders/Quotes for Level 3 Limit Breach:

Level 3 sets the Clearing Member and Trading Participant to state “HALT” on every trading and clearing activities and all open orders/quotes are deleted. With the introduction of this enhancement, Clearing Members can filter by margin type and request a hard breach by setting the flag “Del. Orders/Quotes” on C7 ARP to “TRUE”.

  • Level 3 soft breach: no deletion of open orders and quotes
  • Level 3 hard breach: deletion of orders and quotes 

3.2.2 Automatic release:

Currently, the release of limit breaches is manually actioned by the user via C7 GUI. With this enhancement, an automatic release will be triggered on C7 ARP as soon as the risk requirement falls below the maintained risk limit.

Please note that simulation for this feature will become available as of 10 October 2022. *

* Disclaimer: Production launch date subject to legal approval.

3.3  New Type of Money “Call”

The existing “Type of Money” (ToM) functionality within the CMS GUI allows management of cash positions in the same currency within one collateral pool.

This new Type of Money ‘INTRADAY_MARGIN_CALL’ (“Call”) will provide Clearing Members more flexibility in management of the cash positions created by intraday margin calls and allow to enter cash withdrawal instructions in CHF and EUR later than the existing cut-off time.

All intraday margin calls in cash collateral currencies CHF, EUR, GBP and USD will automatically create a respective cash position in the same currency with Type of Money “Call”. This enhancement will allow Clearing Members to withdraw cash positions in CHF and EUR, if they wish to do so, closely to the cut-off times (CHF 13:30 CET/CEST, EUR 17:30 CET/CEST) via CMS GUI.

Cash positions with Type of Money “Call” which are not withdrawn on the same business day will automatically be rebalanced to Type of Money “Own” once the cut-off time is reached. Therefore, there will be no changes to the End of Day processing, nor to the calculation of the cash handling fee.

No implementation is required for FIXML. New values will be displayed in the CMS GUI and in clearing reports.

New Transaction Types ‘213’ and ‘215’ will be displayed on all CMS reports: 

  • CI720: Intraday Collateral Transaction Report
  • CD020: Collateral Movement/Coverage
  • CD080: Monthly Collateral Movement

Positions or transactions with Type of Money ‘INTRADAY_MARGIN_CALL’ will be displayed on clearing reports: 

  • CD230: Monthly Interest Report
  • CD231: Daily Preliminary Interest Report
  • CI720: Intraday Collateral Transaction Report
  • CI731: Intraday Collateral Position Report

Additionally, the new field "typeOfMoney" will be introduced in the following reports: 

  • CD020: Collateral Movement/Coverage
  • CD080: Monthly Collateral Movement
  • CD100: Audit Trail Coll Transactions

3.4  Renaming of privilege “Product Inquire” (B006INQ)

The main privilege for product inquire “Capacity Product Assignment Inquire” (B006INQ) provides information about products and assignment of products to capacities. This privilege will be renamed from “Capacity Product Assignment Inquire” to “Product Inquire”. Please note that there will be no change in role assignment.

3.5  C7 GUI changes

The following column names will be updated on the “Margin Requirement Information” C7 GUI window:

  • “Account” will be renamed to “Risk Netting Unit”
  • “Account Details filter group” will be renamed to “Risk Netting Unit Data”
  • “Account filter” will be renamed to “RNU”

Please note that simulation for this feature will become available as of 31 October 2022.

3.6  Report changes

A comprehensive list of report changes included with this release can be found in the C7 Release Notes and Eurex Clearing XML Reports – Modification Notes documents.

All documentation about C7 Release 9.0 is available under the following path:

Support > Initiatives & Releases > C7 Releases > C7 Release 9.0 > System Documentation


Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions, the FCM Regulations or the FCM Default Rules, as applicable.


Further information

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Contact:

client.services@eurex.com

Web:

Support > Initiatives & Releases > C7 Releases > C7 Release 9.0

Authorized by:

Jens Janka