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. Simulation of VBAP starts with the C7 Release 9.0 on 28 October 2022. Reports with the VBAP will not be activated at this time.
Simulation start: 12 September 2022
Production start: 21 November 2022
We kindly ask all Clearing Members to submit the Readiness Statement for C7 Release 9.0 by Friday, 11 November 2022 latest.
For your convenience a online submission process has been published. The online Readiness Statement 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.
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.Production start is on 14 November 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 be introduced in addition to the existing Average Price functionality. VBAP will be introduced in:
Please note the report VBAP related changes in simulation are postponed to 2023.
In simulation: GUI changes apply to all Clearing Members. FIXML changes apply to members actively using this functionality. No activation to reports.
Production: this functionality is not introduced with this release.
A number of clearing reports will be updated or deleted.
C7 SCS reports will go live with C7 SCS Release 2.0. VBAP related reports are not activated in simulation with this release.
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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Eurex Frankfurt AG
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Eurex Frankfurt AG
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