This release offers improvements in the Advance Risk Protection context, in the exercise of options based on non-approved prices as well as segregation in product assignments for cash settled and physical settled products in EUR and CHF which will enable cash only settled products maintenance. Additionally, the cash collateral management will be enhanced with the introduction of a new “Type of Money” for intraday margin calls.
Value Based Average Pricing (VBAP) is no longer included in the C7 Release 9.0 in production based on market demand. Simulation of VBAP starts with the C7 Release 9.0 simulation phase to give clients enough time for testing.
Simulation start: 12 September 2022
Production start: 21 November 2022
Release Items/Participants Requirements
New Type of Money “Call”
This new Type of Money (“Call”) will provide clients more flexibility when managing cash positions created by intraday margin calls and will allow to enter cash withdrawal instructions in CHF and EUR later than the existing cut-off time (extended cut off time on certain currency).
New values will be displayed in CMS GUI and in the clearing reports.
No implementation is required for FIXML.
Advanced Risk Protection (ARP) enhancement
Two ARP enhancements will be introduced with this release:
No implementation is required from Clearing Members.
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.
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.
The following column names will be updated on the “Margin Requirement Information” C7 GUI window:
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:
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:
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.
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).
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