C7 Releases

Advanced Risk Protection (ARP) enhancement

Two ARP enhancements will be introduced with this release: 
 

• optional deletion of orders/quotes for level 3 soft breaches (simulation starting 12 Sep 2022) 
• automatic release triggered as soon as the risk requirement falls below the maintained risk limit (simulation starting 10 Oct 2022) 

No implementation is required from Clearing Members.

No FIXML or report impact.

Capacity split for physical/cash EUR and CHF products 

Separate capacities for cash only settled products will be created and assigned for EUR and CHF. Simulation for this feature will be available from 31 October 2022.

No manual activity is required by Clearing Members. The correct assignment and conversion will be performed by C7.

Enhancement non-approved prices on option exercise

This enhancement on manual option exercises in C7 GUI will make the Clearing Member aware that the price is based on non-approved (“N”) price. 

Current (“C”) and previous (“P”) price flag values will be removed and replaced by a new non-approved (“N”) value on the C7 GUI´s “Exercise Overview” window. Simulation for this feature will be available starting 31 October 2022.

No FIXML or report changes. GUI changes only prompting new checkbox on the C7 GUI´s “Exercise Overview” window. 

There is no action required from Clearing Members.

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 the simulation phase for this feature will be available as of 31 October 2022.

Clearing Members using upload and download templates in C7 GUI need to adjust the new names accordingly.

No FIXML or report impact.
 

Rename “Capacity Product Assignment Inquire” to “Product Inquire”

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”.

Minor impact, however Clearing Members should be aware of this GUI change. 

Please note that there will be no changes in the role assignment.

No FIXML or report impact.

Value Based Average Pricing (VBAP)

This functionality will enable clients to create average priced transactions in a more flexible manner. This functionality will be introduced on top of the existing Average Price functionality. VBAP will be introduced in:
 

• simulation on 28 October 2022
• production on 22 May 2023

VBAP leads to changes in C7 FIXML, GUI and reports. FIXML and XML reports are only affected if the functionality is used. CSV reports are impacted in all cases

Report changes in: 
 

• simulation take effect on 28 October 2022 
• production will become effective in May 2023

Production-like csv report testing for C7 Release 9.0 is only possible until 27 October 2022 and no longer production-like from 28 October 2022.
 

Clearing Members are required to adjust csv reports and GUI. FIXML and xml reports require adjusting only if the functionality is used.

Report changes 

A number of clearing reports will be updated or deleted.

For the list of affected reports, please have a look under System Documentation > Overview and Functionality > Release Notes (Chapter 2.6).