This release contains enhancements such as change in logic in the ETD cash flows rounding convention, FIXML new attributes requested by Clearing Members, report changes and the new trading initiative “Buy Side Trading Disclosure”.
Simulation start: 12 September 2023
Production start: 20 November 2023
Release Items/Participants Requirements
|New rounding rules for cash flows||Change in the rounding convention for cash flows such as 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 Average Price |
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 change to display 5 decimals.
|This is a change in the calculation logic, no implementation required in C7 FIXML, C7 GUI and/or Clearing reports.|
|Buy-Side Trading Disclosure||Eurex is launching an initiative for trading participants to voluntarily disclose the owner of end client transactions within the T7 infrastructure.||C7 FIXML |
There will be changes to existing “TrdType” (FIX tag 828) relevant for VBAP 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 Group Overview” window in C7 GUI.
Existing “TrdTyp” field will support the following new values:
“U” VBAP On-Exch Buyside disclosed
“X”: VBAP TES1 Buyside disclosed
“Y”: VBAP TES2 Buyside disclosed
|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 csv format.||Clearing Members should be aware of the new report format in C7 GUI in case of automation.|
|Product Delisting/ Fair Value Settlement ||Automation of the EOD processing of the product delisting, 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 closing transactions will have a new dedicated transaction type and trade type.||FIXML Changes |
Closing transactions due to product delisting will be marked with a new value of trade type (FIX tag 828 TrdType) and new value of transaction type (FIX tag 830 TransferReason).
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.
Clearing report CB012 “Account Statement” will enhance the closing transactions information resulted from product delisting with the 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.
Additional Broker information
C7 will forward the “TES Initiator” information (i.e., the participant who initiated the off-book trade on the trading platform) and 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).
The new GUI fields “TES Initiator” and “Initial Broker” will be added to the following transaction overview windows.
Two new optional fields “tesInitiator” and “initialBroker” will be added to the following reports.
Registered Participant sub-role changes
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”.
C7 GUI change only, no technical implementation required from Clearing Members.
FIXML changes in allocation messages
New fields “Original Trade MatchID” and “Original Order ID” will be provided in the give up and take up FIXML workflow messages.
Implementation required in FIXML.
Admissible Securities file changes
The “Admissible Securities” file for margin collateral is available in .txt format in the Eurex website and in both .csv and .txt format in the public area of the Common Report Engine. To ensure consistency, the versions available in the public area of the Common Report Engine will be enhanced by additional header information.
Clearing Members should be aware of the report format change in case of automation.
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