Introduction of C7 Release 11.1

1.  Introduction

With this circular, Eurex Clearing announces the production launch of C7 Release 11.1, which is scheduled for Monday, 19 May 2025. The simulation environment will be available from 31 March 2025.  

Learn more about C7 Release 11.1 on the dedicated initiative page on the Eurex Clearing website  www.eurex.com/ec-en/ under the following link:  

Support > Initiatives & Releases > C7 Releases > C7 Release 11.1. 

System documentation, circulars, timeline and much more information will be available there for you. 

Simulation start: 31 March 2025  
Production start: 19 May 2025   

Important: 
This Release is a mandatory Release for all Clearing Members and ISA Direct Clearing Members of Eurex Clearing AG and vendors. 

With the introduction of the C7 Release 11.1, Eurex Clearing will implement several key features, including the Total Return Futures (TRF) Strategy, support for Negative Trade/Settlement Prices and Cross-Product Margining (CPM) for U.S. FCM Clients.

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. 

All Clearing Participants are kindly requested to ensure that all relevant contacts have subscribed for Eurex Clearing Circulars and Newsflashes on the Eurex Clearing website under the following path:  Find > Circulars & Newsflashes Subscriptions. 

We recommend clients to participate in the simulation phase.

3.  Details of the initiative

3.1 Total Return Futures (TRF) Strategy 

T7 will technically introduce a new instrument type called Total Return Futures (TRF) Strategy, where new strategies may or may not have different products in the legs. The first leg will be a TRF, and the second leg may be any type of future (regular, TRF, MOC). This new instrument type (TRF Strategy=14) will have different instrument subtypes associated with it (fix tag 29010 - Security Sub Types). 

C7 will support the full range of clearing activities for the transactions created out of TRF Strategy trading and will be technically ready with introduction of C7 Release 11.1 in May 2025.  

The official start of trading will be announced by Eurex Trading well in advance.  

3.2 Negative transaction (trade) and settlement prices  

C7 will allow negative transaction (trade) prices, daily settlement prices and final settlement prices for Futures products.  

In a first step, selected ECC products will be supported, but Eurex Clearing AG Members nevertheless must consider some format changes to some report fields definition.  

3.3 Cross-Product Margining (CPM) for U.S. FCM Clients 

Eurex Clearing aims to extend the benefits of Cross-Product Margining (CPM) to U.S.-based FCM Clearing Members and their clients. This initiative seeks to optimize and automate functionalities to maximize margin efficiencies under the LSOC clearing model.  

By automating the identification of optimal positions for margin benefits and enabling automated position transfers between FCM and U.S. Clearing Memberships, Eurex Clearing intends to streamline the process.  

In the initial phase, the scope will encompass EUR and CHF denominated IRS, OIS and FRAs, as well as CFTC approved-ETD short, mid, and long-term interest rate futures.

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