Eurex Clearing
1. Introduction
With this circular, Eurex Clearing announces the production launch of C7 Release 9.1, which is scheduled for Monday, 22 May 2023. The simulation environment will be available from 29 March 2023.
Learn more about C7 Release 9.1 on our dedicated initiative page on the Eurex Clearing website www.eurex.com/ec-en/ under the following link: Support > Initiatives & Releases > C7 Releases > C7 Release 9.1. System documentation, circulars, timeline and much more information will be available there for you.
On the dedicated initiative page, Eurex Clearing provides a description of the changes that are introduced with C7 Release 9.1. in the Release Notes, under System Documentation > Overview and Functionality.
Further details can be found in the document “C7 Derivatives Clearing Functional Reference Guide” and all report changes are explained in the “Eurex Clearing XML Reports – Modification Notes (C7 Release 9.1)”, which are available for download under the following path: Support > Initiatives & Releases > C7 Releases > C7 Release 9.1 > System Documentation > Overview and Functionality.
Simulation start: 29 March 2023
Production start: 22 May 2023
2. Required action
Clearing participants are required to adjust their systems. Clearing Members and vendors will be impacted on C7 GUI, FIXML and report changes.
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 www.eurex.com/ec-en/ 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 May 2023.
3. Details of the initiative
A. Value Based Average Pricing (VBAP)
The Value Based Average Pricing functionality (VBAP) 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. This functionality has been available in simulation with C7 Release 9.0 in C7 GUI and FIXML, whereas reports will be activated with C7 Release 9.1. The whole functionality will be made available in production with C7 Release 9.1.
The main features of VBAP are grouping and allocation of tailor-made average price transactions.
C7 Entitlement: The following three new entitlement privileges will be implemented and assigned to the Position and Transaction Manager and Clearing Operations roles:
An implementation of the Value Based Average Pricing leads to changes in C7 FIXML, GUI and reports.
C7 FIXML: The following six additional transaction attributes will be implemented in “TradeCaptureReport” and in “AllocationReport” messages:
C7 Clearing GUI: The following windows will be enhanced to display additional transaction attributes and to support the new average price functions:
In addition, a new window “Value Based Average Price - Group Overview” will be introduced to support the maintenance of average-priced transactions.
The following windows will be enhanced to display additional position attributes:
Clearing reports: To display the new transaction attributes, the following six new fields: “GroupName”, Group ID”, "AveragePriceIndicator”, “VBAP Allocation ID”, “Previous Group ID” and “NotionalValue” will be included in the following clearing report:
Also, the following four fields “GroupName”, “Group ID”, “AveragePriceIndicator” and "NotionalValue” will be included in the following clearing reports:
Additionally, a new report CB716 “Value-Based Average Pricing - Group Overview” will be implemented.
B. Fee identification code enhancement
Eurex Clearing AG will introduce a new field in the FIXML interface, GUIs and reports which provides fee relevant information. The field aims to provide fee information real time and in a transparent/ comprehensive manner to be used for the fee calculation.
This new field is denoted as “Fee Identification Code” with a 15-character length string. Each character in this string is called “Fee Qualifier” and will indicate fee specific information with respect to the transaction or position event.
C7 FIXML
The new FIXML field “FeeIdntCode” is a user-defined field added to the Trade Capture Report (TrdCaptRpt), Position Maintenance Report (PosMntRpt) message and Allocation Report message (AllocRpt) layout.
Here are the characteristics of this new field:
C7 Clearing GUI
The new “Fee Identification Code” GUI field will be added to the following windows:
In all the above windows, the Fee Identification Code information will be available for ECAG transactions only.
This new field will be added as part of the “Hide Columns” list. This change will also impact download file formats in the related windows, if the field is chosen to be shown on the GUI Window.
Clearing Reports
The new field “feeIdntCode” will be added in the following C7 Transaction reports:
The new field will be optional, but values will be always reported for ECAG transactions. Additionally, new report “Product and Price Report - Fee Code” (CB002) will be created containing the fee identification code information for all Eurex products and prices, as defined in the Price List of Eurex Clearing AG.
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 groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > C7 Releases > C7 Release 9.1 | |
Authorized by: | Jens Janka |
