With the introduction of the C7 Release 9.1, a new fee code will be available to provide Clearing Members with relevant fee information in real time and in a comprehensive manner. Additionally, Eurex Clearing will introduce the optional enhancement Value Based Average Pricing (VBAP).
Simulation start: 04 April 2023
Production start: 22 May 2023
Release Items/Participants Requirements
Fee identification code
C7 FIXML: the new field “FeeIdntCode” will be added to the Trade Capture Report, Position Maintenance Report and Allocation Report.
C7 Clearing GUI: the new “Fee Identification Code” field will be added to the relevant overview windows.
Clearing reports: CB012, CB165, CB715, CB716, CB750, CB751 and new report CB002.
A transition period is planned until the Fee Identification Code is fully supported on T7 and C7 side, therefore the new code will only be valid in simulation from 6 April and in production from 29 May. The new report CB002 will become available in simulation on 6 April and in production on 05 June.
This is an optional feature; however Clearing Members need to ensure to implement the new field In the csv files.
Value Based Average Pricing (VBAP)
The optional VBAP functionality will be introduced in addition to the existing average price functionality and will enable average pricing based on notional values.
Please note, that the GUI changes apply to all Clearing Members. FIXML changes apply only to Clearing Members, that actively use the functionality.
Xml and csv reports are impacted as well. There are new fields in the reports: CB012, CB750, CB751 and the new report CB716. Please note changes to csv reports are mandatory. Clearing Members are requested to make the necessary adjustments.
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