Eurex Clearing
1. Introduction
As announced with Eurex Clearing Readiness Newsflash as of 17 August 2022, the activation of Value Based Average Pricing (VBAP) in production has been removed from the C7 Release 9.0 scope based on market demand, and will be introduced with C7 Release 9.1. Simulation of this functionality will start within C7 Release 9.0 simulation phase in order to provide Clearing Members and vendors ample development and testing time.
The new dates for the activation of this feature are as follows:
Simulation start: 28 October 2022
Production start: 22 May 2023
C7 Release 9.0 documentation contains the description of the new VBAP functionality. Documentation for C7 Release 9.1 will be published in December 2022.
All documentation on C7 Release 9.0 including circulars, timeline and much more information is available on our dedicated initiatives page under the following path:
Support > Initiatives & Releases > C7 Releases > C7 Release 9.0 > System Documentation
2. Required action
This is an optional feature in addition to the existing Average Price functionality in C7. Clearing Members who wish to use this functionality or are subject to receive take up trades with these characteristics are required to adjust their systems. C7 GUI, FIXML and report will be affected.
In addition, all Clearing Members should be aware of the mandatory .csv report layout changes. Please note that .csv reports will display the new layout containing the new fields. On the contrary, xml reports will only be modified if a Clearing Member makes use of this functionality.
Please prepare for the C7 Releases 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.
3. Details of the initiative
Eurex Clearing will offer a Value Based Average Pricing functionality (VBAP) which will allow Clearing Members to create average priced transactions in a very flexible manner. The new functionality is offered optionally and in addition to the existing Average Price functionality in C7.
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, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target group: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related newsflash: | Eurex Clearing Readiness Newsflash as of 17 August 2022 | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > C7 Releases > C7 Release 9.0 | |
Authorized by: | Jens Janka |
