The new C7 Securities Clearing Service (C7 SCS) was introduced in September 2021, for all transactions involving CCP-eligible instruments concluded at the Frankfurt Stock Exchange (MICs: XETR and XFRA) and for all transactions concluded at Eurex Deutschland (MIC: XEUR) that result in securities transactions.
Eurex Clearing applied Trade Date Netting (TDN) as the main supported netting model in C7 SCS. The netting model Actual Settlement Day Netting (ASDN) for cleared transactions is not be available in C7 SCS.
New features, changes and improvements:
Simulation start: 29 March 2021
Production start: 27 September 2021
Release Items/Participants Requirements
Trade Date Netting
Trade Date Netting (TDN) is a new mechanism optimizing the delivery obligations resulting from trading offered within C7 SCS.
Familiarize the Back-office staff with the C7 SCS basic concepts.
The selection of Processing Set-up must be performed per:
Provide the processing set up for settlement accounts, which shall not be processed with default “net” parameter.
Delivery instructions can be sent out as released (default) or on hold on the same level of netting parameters.
Provide the processing set up for settlement accounts, which shall not be processed with default “released” parameter.
Net Position Trade
For every Net Position Trade, a delivery instruction is sent to the respective settlement location (CBF/T2S, CBL and SIX SIS) already on the trading day.
Please check the delivery instructions on (I) CSD (Central Securities Depository) side.
For the processing method Clearing Members have the following setting choice: Netting (default), Aggregation or Gross Processing.
Prepare and execute the test scenarios for processing methods.
C7 SCS Processing results
At the end of the trading day, netting, aggregation or gross processing is performed combining single trades to Net Position Trades depending on the processing method.
Please check if the end of day netted positions corresponds to the trading activities of the day.
Net Clearing Report
A Net Clearing Report is provided on the end of each trading day containing single trades, resulting Net Position Trades and delivery instructions.
Check the if report results reflects the chosen processing method.
Changes to Gross Delivery Management Interface
Instead of today’s Gross Delivery Management on single trades, Members can modify the Hold/Release status on delivery instructions at the (I)CSD. T2S members can use partial release at CBF/T2S.
Check the possibilities to execute GDM actions on the (I)CSD site.
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Eurex Frankfurt AG
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