Eurex Clearing
1. Introduction
With this circular, Eurex Clearing announces the production launch of C7 Release 8.0 which is scheduled for Monday, 22 November 2021. The simulation environment is planned to be available from 20 September 2021.
With C7 Release 8.0, the following functional and technical changes are envisaged:
A. Harmonization of corporate action processing
B. Cash settlement of exercised/assigned options contracts (OSTK)
C. Deliverable Bonds report: CE038 text version will be decommissioned
D. Report "TA711" All Active/Inactive Series: Certain fields will be deleted
E. Collateral reports: Enhancements for additional security information
F. Introduction of optional four-eyes processing for selected attributes
G. FIXML Broker migration
Eurex Clearing provides a description of the changes that are introduced with C7 Release 8.0 in the Release Notes. This document is available on the Eurex Clearing website under the following location:
Support > Initiatives & Releases > C7 Releases > C7 Release 8.0 > Overview & Functionality
Simulation start: 20 September 2021
Production start: 22 November 2021
Learn now more about C7 Release 8.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > C7 Releases > C7 Release 8.0. System documentation, circulars, timeline and much more information will be available there for you.
... and on the go via the personalized Eurex App.
Information on the implementation and roll-out details of the NextGen ETD Contracts initiative will be communicated separately in due time.
2. Required action
Please prepare for the release and make sure that all your Release Contacts have subscribed for Eurex Clearing Circulars and Newsflashes on the Eurex Clearing website under the following path:
Find > Subscriptions
We recommend clients to participate in the simulation phase. Clearing Members are requested to submit their Readiness Statement by Friday, 12 November 2021.
3. Details of the initiative
A. Harmonization of corporate action processing
Upon adjustment of equity options, the capital adjustment ratio (R-factor) applied to the strike price will continue to adjust the strike price and trading unit, and the version number will continue to be increased by 1. However, with the new behavior, if the adjustment of the trading unit results in a lot size that is not an increment of one share (i.e. in case it is a fractional trading unit), the adjusted lot size will be rounded to the nearest whole share. An equalization payment will be made to neutralize the effect of rounding.
Upon exercise/assignment of the options contract, the Trading Unit Share is physically settled, and a cash settlement is done for Trading Unit cash.
The following reports are impacted:
B. Cash settlement of exercised/assigned options contracts (OSTK)
In December 2021 (exact date to be confirmed), Eurex Clearing plans to harmonize its corporate action processing of pure cash transactions resulting from exercise/assignment of equity options contracts (OSTK) and simultaneously change the processing of pure cash settlements, as C7 will take over this processing (currently processed via the CCP system). Cash transaction types “294 CASH SETTLEMENT PAID” and “296 CASH SETTLEMENT RCV” will be generated and processed with a value date T+1.
The following reports are impacted (only content changes):
C. Deliverable Bonds report: CE038 text version will be decommissioned
The text version of the “RPTCE038” Deliverable Bonds report will be decommissioned. Only the xml version and the csv format of the report will be generated and provided.
D. Report “TA711” All Active/Inactive Series: Certain fields will be deleted
Certain fields will be deleted in order to enhance the data quality in the newly introduced report “RPTTA711” All Active/Inactive Series.
E. Collateral reports: Enhancements for additional security information
Collateral reports will be affected by the removal of obsolete fields and smaller enhancements providing additional security information such as Country Code and additional parameters (pool/inflation factor) for a transparent representation of the collateral value calculation.
F. Introduction of optional four-eyes processing for selected attributes
Attributes such as Maintenance of Automatic Close Out and Zero Cost Quantity (ZCQ) will support an optional four-eyes principle processing.
The following reports are affected:
G. FIXML Broker migration
Eurex Clearing FIXML broker will be migrated from qpid C++ to qpid Java. Members are suggested to upgrade their AMQP libraries to the latest version. Please note that Java Broker is only supported with AMQP v.1.0 and clients will not be able to connect with legacy AMQP v.0.10.
Clearing Members and ISVs are required to carry out the necessary implementation to support the new Java broker. Since Java Broker behaves slightly different compared to C++, participants are asked to check their applications' behavior.
Please note that FIXML Broker Java is already available in simulation.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > C7 Releases > C7 Release 8.0 | |
Authorized by: | Jens Janka |
