C7 Release 10.0 update: New date for product delisting at Fair Value Price (FVP)

1.   Introduction

As already communicated with Eurex Clearing Circular 037/23, C7 Release 10.0 will be launched on the following dates:

Simulation start: 12 September 2023

Production start: 20 November 2023

With this circular, Eurex Clearing would like to announce that the introduction of the new approach for product delisting at Fair Value Price (FVP) will take place with any product delisting events after 15 January 2024.

Please note that this approach has already been implemented in simulation.

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 is available there for you.

2.   Required action

Clearing participants holding positions on impacted products need to be aware that the new method will be used with any product delisting occurring after 15 January 2024.

Please note there is no action required from Clearing participants.

3.   Details

As announced, the product delisting and fair value settlement will be enhanced 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.

The introduction of this new approach in production will take place with any product delisting events after 15 January 2024. 

This approach is already in place in the simulation environment. In order to facilitate Clearing participants to test the new process, a focus day was recently offered in simulation and an additional focus day will be announced shortly.

The element of the delisting will be shown in the following interfaces:

• C7 GUI will display in the “Orig Trade Type” dropdown the new value “R - Product De-listing” and in the “TranType” filter the new value “134 - CLOSING TRANSACTION”.

• In FIXML, closing transactions due to product delisting will be marked with a new value for trade type (FIX tag 828 TrdType = “1060”) and a new value for transaction type (FIX tag 830 TransferReason = “134”).

• Clearing report CB012 “Account Statement” with contain the new value “R” (Product De-listing) in existing field trdTyp and a new valid value “134” (Closing Transaction) in field “trnTyp”.

In addition to the change of date mentioned above, please note that the “C7 Clearing GUI - User Manual” has been updated to reflect the changes coming with C7 Release 10.0.

Detailed documentation is available on the Eurex Clearing website under the path:

Support > Initiatives & Releases > C7 Releases > C7 Release 10.0 > 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 or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Further information