Eurex Clearing
1. Introduction
With this circular, Eurex Clearing announces the production launch of C7 Release 10.0, which is scheduled for Monday, 20 November 2023. The simulation environment will be available from 12 September 2023.
Learn more about C7 Release 10.0 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 10.0
System documentation, circulars, timeline and much more information will be available there for you.
Simulation start: 12 September 2023
Production start: 20 November 2023
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 www.eurex.com/ec-en/ under the following path:
Find > Subscriptions
We recommend clients to participate in the simulation phase. Clearing Members are requested to submit their Readiness Statement by Friday, 10 November 2023.
3. Details of the initiative
3.1 New rounding rules for cash flows
Based on client demand, Eurex Clearing AG will change the rounding convention for cash flows resulting from ETD business. This will affect variation margin, premium, position transfer with cash, final cash settlement of options (including the cash settlement of capital adjusted stock options and cash settlement subsequent to spin-off) and residual calculations in case of Classic Average Pricing/Value Based Average Pricing.
Currently, the above cash flows are rounded on contract level and subsequently multiplied with the number of contracts.
VM = number of contracts * ROUND ((current day settlement price – transaction price) * trading unit)
With this new rule, the rounding will be applied after the amounts are calculated on transaction level respective the position level.
VM = ROUND (number of contracts * (current day settlement price – transaction price) * trading unit)
In addition to the general processing described above, “in the money” calculations displayed as “ITM per contract” in the “Exercise Overview” C7 GUI window will now change to display 5 decimals.
3.2 Buy-Side Trading Disclosure
Following the European regulations recommendation of installing a process for end client disclosure for regulatory compliance and monitoring purposes, Eurex is launching an initiative for Trading Participants to voluntarily disclose the owner of end client transactions within the T7 infrastructure.
The Trading platform will contain the buy-side trade disclosure information. The only information passed onto Eurex Clearing C7 systems is for billing purposes and that is achieved by including in the “Fee Identification Code” a flag “D” in case the buy-side end client information is disclosed, and “N” in case the buy-side end client information is not disclosed to the exchange.
C7 FIXML
There will be changes to existing “TrdType” (FIX tag 828) relevant for Value Based Average Pricing processing and Buy-side trading disclosure. Current values “1009”, “1010” and “1011” will be replaced by new valid values “1050”, “1051”, “1052”, and additional values for disclosed trades “1053”, “1054” and “1055” will be introduced.
C7 Clearing GUI
There will be changes to the existing “VBAP (Value based Average Pricing) Group Overview” window in C7 GUI. The existing Group Data information will be replaced by a new pop-up window “View Group Data” showing the overall group data and the sub-group quantity details, such as total transaction quantity and total un-allocated transaction quantity based on the Original Trade Type and Trade Publish Indicator. It will also be possible to download (in csv/xml/xls format) group/sub-group details shown on this window.
Clearing Reports
The following new valid values for the existing “TrdTyp” field will become available:
In addition, there will be a change in the description for some of the existing values:
3.3 Currency Haircut File
The existing Currency Haircut file with currency haircut parameters and adjusted exchange rates information will be replaced by a streamlined file version in a flexible csv format. In the Common Report Engine (CRE) the new .csv format will be made available in parallel to the legacy version which will be decommissioned in Q2 2024.
The website will only have the csv version in the current location: Eurex > Data > Clearing files > Haircut and adjusted exchange rate
No changes will be made to C7 GUI and FIXML.
3.4 Product Delisting/Fair Value Settlement
Eurex intends to improve the process of product delisting and fair value settlement by increasing transparency and introducing automated proceedings.
With the new process, during the EOD processing of the product delisting date, C7 will automatically generate closing transactions for every open position in the delisted product. The closing transactions will be booked at a Fair Value Price (FVP) entered as settlement price.
FIXML changes
Closing transactions due to product delisting will be identified in FIXML. Trade type (FIX tag 828 “TrdType”) will have new value “1060” for product delisting and transaction type (FIX tag 830 “TransferReason”) will have new value “134” for closing transaction.
C7 GUI
The C7 GUI will be enhanced with the new valid value “R - Product De-listing” in the “Orig Trade Type” and with a new valid value of “134 - CLOSING_TRANSACTION” in the “Tran Type” on all applicable windows.
Report changes
Closing transactions resulted from product delisting will be included in Clearing Report CB012 “Account Statement” with new valid value “R” (Product De-listing) in existing field “trdTyp” and new valid value “134” (Closing Transaction) in trnTyp. There is no format change to this report.
3.5 Additional Broker information
In response to Eurex Participants’ requirements, C7 will start providing additional broker-specific information at transaction level.
TES Initiator
C7 will forward the “TES Initiator” information (i.e. the participant who initiated the off-book trade on the trading platform) in the FIXML transaction confirmation messages (TradeCaptureReport) and workflow messages (AllocationReport).
The “TES Initiator” information will be carried over for the remaining lifecycle of the transaction and therefore is available in the FIXML messages following any kind of transaction adjustments. The “TES Initiator” information will also be shown on the relevant C7 GUI transaction overview windows and relevant C7 transaction reports.
Initial Broker
Currently the FIXML transaction and workflow messages do not contain the initial give-up participant details. With this enhancement, C7 will include the “Initial Broker” information (which is the executing member of the transaction on the trading platform) in the FIXML transaction confirmation messages (TradeCaptureReport) and workflow messages (AllocationReport).
This information will be provided in the initial transaction confirmation message sent by C7 and will persist for the remaining lifecycle including transaction adjustments (e.g., Account transfer, Trade reversals, Classic Average Price/Value Based Average Price, Give-up/Take-up etc.). This information will also be shown on the relevant C7 GUI transaction overview windows.
FIXML changes
The following changes will be done to the FIXML messages:
C7 GUI
The new GUI fields “TES Initiator” and “Initial Broker” will be added to the following transaction overview windows:
These new fields are only available for view and will be included in the “Hidden List” by default. This change will impact download file contents (csv, xml and xls) in the related GUI windows if the user explicitly chooses to show this field.
Report changes
Two new optional fields “tesInitiator” and “initialBroker” will be added to the following reports.
3.6 Registered Participant Sub-Role changes
There will be entitlement changes in C7 GUI. Within the Account Owner admission type, two new sub-roles will be introduced:
In addition, the existing sub-role “Basic Disclosed Client with Reports” will be renamed to “Basic Disclosed Client”.
3.7 Other FIXML Changes in Allocation messages
Following Clearing Participants’ requirements, new fields “Original Trade MatchID” and “Original Order ID” will be provided in the give up and take up FIXML workflow messages.
3.8 Admissible Securities File changes
The “Admissible Securities” file for margin collateral is available in .txt format on the Eurex website and in both .csv and .txt format in the public area of the Common Report Engine. In order to ensure consistency, the versions available in the public area of the Common Report Engine will be enhanced by additional header information.
3.9 Report changes
In addition to the report changes mentioned above, there are further report changes not related to C7 Release 10.0 that will be introduced at the same time. For extensive information on the report changes, please see the “Release Notes C7 Release 10.0” and “Eurex Clearing XML Reports – Modification Notes 10.0.”
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 or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > C7 Releases > C7 Release 10.0 | |
Authorized by: | Jens Janka |
