This release contains enhancements such as change in logic in the ETD cash flows rounding convention, FIXML new attributes requested by Clearing Particpants, report changes and the technical launch of the initiative “Buy Side Trading Disclosure”. In addition, new fields are being introduced on “Position transfer with cash” and “Value Based Average Price”.
Simulation start: 12 September 2023
Production start: 20 November 2023
The new values on trade types resulting from VBAP for exchange and off-exchange trades (currently 1009, 1010 and 1011) will become 1050, 1051 and 1052 respectively.
The new values 1053, 1054 and 1055 for buy-side disclosed trades described in the release notes are technically introduced for this service, but will not be used since the Buy-Side-Trading-Disclosure program will not be activated with C7 R10.0.
It is highly recommended to test in simulation. Clearing Members should ensure their rounding convention matches ours to avoid reconciliation breaks. For the testing, any cash flow resulting from ETD trades will do.
No, no further activities allowed after the close out take place at EOD on the day of the product delisting. Product is set to "HALT".
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.||This is a change in the calculation logic, no implementation required in C7 FIXML, C7 GUI and/or Clearing reports.|
|Buy-Side Trading Disclosure||Technical launch of 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
Position transfer with cash
C7 requires additional information to be entered on “Position Transfer with Cash” and/or “Cash Only Transfer”.
Effective in simulation on 28 November and in production on 4 December
Impact on GUI only.
FIXML not impacted as this type of transfers are only allowed via C7 GUI
Changes to clearing report CB730 will not become effective with this release
Value Based Average Price enhancements
New FIXML fields related to existing Value Based Average Price added to the Allocation instruction and trade capture report.
Allocation ID (Tag 70) will be generated based on request and added to the TrdCapRptSideGrp
FIXML impact only. Clearing Participants can request the new field AllocInstrctn (Tag 70).
No impact to clearing reports or GUI.
|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. In addition, “Haircut Percentage” is being broken down into “Haircut Percentage Debit” and “Haircut Percentage Credit” and increasing number of decimals from 1 to 2.
|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.
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.
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
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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