This C7 Release focuses on the implementation of the Next Generation of ETD contracts. Eurex is implementing an enhanced Exchange Traded Derivatives (ETD) contract concept to allow more than one expiration per month on product level (sub-monthly contracts).
Simulation start: 6 December 2021 (limited testing) & February 2022 (full scope testing)
Production start: 27 June 2022
The simulation phase has already started. The introduction of some contracts in simulation are being introduced on the following days:
Sub-monthly expiring contracts
09 Feb 2022
Integration of all weekly expiring contracts in option NOA3
11 Feb 2022
Daily expiring contracts in SSF AXAP, BAYP, NOAE
18 Feb 2022
Daily expiring contracts in MSCI Futures FMEA, FMWN
Daily expiring contracts in MSCI Futures FMWO, FMJP, FMEF
Integration of all weekly expiring contracts in option OESX
Daily expiring contracts in SSF ADSP, BMWP, ROGP, UBSP
We kindly ask all Clearing Members to submit the Readiness Statement for C7 Release 8.1 by Friday, 17June 2022 latest.
Please note, that all Clearing Members are required to provide the Readiness Statement. The online Readiness Statement for C7 Release 8.1 is here available: Readiness Statement. Please enter your dedicated Eurex Clearing PIN in the online questionnaire. The PIN for your company has been sent to the Central Coordinator.
The Contract ID is a numerical ID that define a uniquely contract, however not defined by Eurex as a key field. The following fields are defined by Eurex as key fields: ProdId, Contract Date, Strike, Version No, Call/Put indicator, Settlement method, Exercise style, and Contract Type.
The contract date is used as a key field to identify a uniquely contract, whereas the expiration date is a non-key. Both fields exist in parallel. Dates can be identical for both fields in most contracts but can differ for some contracts (eg. SARON futures and MSCI futures).
It is not. The last trading is equal to the Contract Date.
The sub-monthly contract follows the rules for a standard contract creation based on product settings. Particularly, the settlement method and exercise style remain the same for all standard contracts within a product. Flexible contract specifications can differ from a standard contract. Furthermore, not all products offer flexible contracts for trading.
No, tick sizes will not change for the existing contracts. Additionally, there will not be such a thing as multiple tick sizes for one contract.
KOSPI has a different mechanism as those products don't have daily expiries but rather daily delivery cycles. There won't be a change in KOSPI products.
Release Items/Participants Requirements
Technical release go-live without activation of sub monthly expiring contracts
Next Generation ETD will introduce new contract attributes that will be added to the instrument component. By changing the contract key, key fields which make a contract unique will be adjusted.
With the launch of the C7 Release 8.1, new fields (Contract Date and Contract Frequency) will be introduced in C7 interfaces, however the activation of sub-monthly products with the new logic (contract date format DDMMYYYY) will not take place at this time, but on 6 February 2023. This means that as long as no sub-monthly contracts are setup the current contract identification (contract date format MMYYYY) can be used in all interfaces, and the new logic (contract date format DDMMYYY) is optional from 27 June 2022 until Feb 2023.
Please note the changes that impact clearing members with C7 Release 8.1:
FIXML messaging requests and broadcast can be used with the current logic (backwards compatible) as long as the xml schema configuration is based on the industry standard “key- value pairs”.
Eurex Clearing Reports containing contract information (approx. 22 reports) will include the new fields (Contract Date and Contract type). Please note the change for the contract data is the same in every report.
C7 Clearing GUI will also include the new fields. Implementation is required for usage of file upload templates in csv format in order to adjust to the new layout.
Please note that none of the current contract data attributes in any of the C7 interfaces are being removed. All features are available in simulation environment and can be tested.
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