Eurex Clearing has migrated the repo clearing service to the Securities Clearing platform as part of C7 Securities Clearing Service C7 SCS Release 2.0. With this release, all transactions that are concluded at Eurex Repo (MIC: XERE) and accepted by Eurex Clearing via either open offer or novation, have been migrated to the C7 SCS platform.
The migration of Xemac has also an impact on any Xemac user that provides margin collateral and/or Default Fund contributions in favor of Eurex Clearing via this channel. All holdings have been migrated by Clearstream to CmaX if the relevant legal documentation has been duly executed, and new accounts were set up and enabled for CmaX in due time.
Simulation start: 20 June 2022
Production start: 24 October 2022
Circulars
Newsflash
The front leg of those trades will be always settled on Gross basis; therefore, those trades will not be netted. The provision of collateral and/or for these trades must be done on Gross basis.
The main difference is the usage of DvP instructions by Cmax and the necessity to provide the cash on DCA accounts until end of settlement time by cash provider and monitoring for incoming cash on cash taker side.
The T2S business day foresees an optional cash sweep out at 4:30 p.m. CET, which can disturb the GC Pooling settlement as the GC Pooling settlement is performed at T2S until 5:40 PM CET, therefore the cash sweep out must be aligned with the trading activities.
Collateral and/or cash must be delivered within 30 minutes.
No. As Trade Date Netting is not applied for repo market, the Net Clearing report is not applicable.
Yes. The Settlement Date Netting (SDN) replaces the current Actual Settlement Day Netting (ASDN). The pending delivery instructions will not be cancelled by Eurex Clearing and will not be considered again for netting. The delivery instructions will stay pending at the (I)CSD until settlement is fulfilled.
The difference is with regards to how the cash only obligation out of the offset block is handled by C7 SCS. For SIN model, the cash only obligation out of the offset block is included in the DvP/RvP delivery instruction or in the exposure adjustment from the surplus and is not instructed separately. For DIN model, the cash only obligation out of the offset block is always instructed separately by C7 SCS.
Services | Values | Comment | |||
Processing Method | Netting (DEFAULT) Gross | Gross: not applicable for GC Pooling | |||
Netting Method | Single Instruction Netting (DEFAULT) Dual Instruction Netting | ||||
Default Hold/Release | Released (DEFAULT) On-Hold | On-Hold: not applicable for GC Pooling |
The settlement accounts and related cash accounts will be migrated from the current CCP system to C7 SCS with default settings.
The Clearstream requires a new account structure for all GC Pooling participants in CmaX for GC Pooling settlement. The clearing of GC Pooling trades can be ensured only after the relevant legal documentation is duly executed and new accounts are set up and enabled for CmaX. Clearstream has already published the preliminary release notes to enable customers to be prepared for these changes and are available at the following links:
The settlement instructions can be released directly at the respective (I)CSD. It is recommended that the details about Hold/Release service should be checked directly at the respective (I)CSD.
All C7 SCS Reports will be provided in XML format via the Common Reporting Engine (CRE). Moreover, the participants can opt for some reports in text version. Most C7 SCS reports will be provided at the end of each business day for repo transactions. No intraday Pending Delivery and Settled Delivery reports will be offered. The field level details as well as more detailed information will be made available in the updated C7 SCS Report Reference Manual.
The current report selection will be migrated from the current CCP system to C7 SCS if applicable. Any change to the existing report selection can be instructed via a dedicated C7 SCS Order Form for C7 SCS Settlement Report Selection. These forms can be found on the Eurex Clearing website www.eurex.com/ec-en/ under the following link: Eurex Clearing > Find > Forms
The complete open repo trade book will be migrated to C7 SCS at once.
Release Items/Participants Requirements
Features/Enhancements | Details | Action Item |
Special/GC Repo and GC Pooling Market: | Netting takes place at level: | No action required. |
Special/GC Repo Market: Processing method | For the processing method Clearing Members have the following settings: Netting (default) and Gross Processing. | Clearing Members are requested to provide the Processing Method for settlement accounts, which shall not be processed with the default “net” parameter. |
Special/GC Repo Market: | Settlement Date Netting is offered, a trade is considered for netting only once. Late failed trades are not cancelled and stay pending at (I)CSD. | Please check the delivery instructions on the (I)CSD (Central Securities Depository) side. |
Special/GC Repo Market: | Delivery instructions can be sent out as released (default) or on hold on the same level of netting parameters. | Clearing Members are requested to provide the processing set-up for settlement accounts, which shall not be processed with the default “released” parameter. |
Special/GC Repo Market: | 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. | Please check the possibilities to modify the hold/ release status of delivery instructions directly at the (I)CSD. |
Special/GC Repo Market: | Eurex Clearing will not offer a routing service for change of hold/release status and partial release of pending delivery instructions resulting out of repo transactions. | Please check the possibilities to execute Hold/Release actions directly at the (I)CSD. |
Special/GC Repo Market: | Manufactured coupon payments will be compensated by debiting the Repo buyer and crediting the Repo seller based on in-house Clearstream CA service. | No action required. |
GC Pooling Market: | Clearstream will migrate the Collateral Management for GC Pooling from Xemac to CmaX and the timeline is aligned with C7 SCS Release 2.0. | Setup of new collateral accounts for GC Pooling transactions for Repo business is needed. |
GC Pooling Re-use | Collateral Management will be supported by Clearstream Banking Luxembourg’s system CmaX, while underlying accounts with Clearstream Banking Luxembourg and/or Clearstream Banking Frankfurt can be used. | Please ensure the required account set-up for CmaX. |
Provision of margin and Default Fund contributions Collateral Mobility Project | Collateral Management will be supported by Clearstream Banking Luxembourg’s system CmaX, while underlying accounts with both Clearstream Banking Luxembourg and/or Clearstream Banking can be used. | Please ensure there is required account set-up for CmaX. |
GC Pooling Market: | Settlement Date Exposure Netting (SDEN) is a new mechanism offered with C7 SCS for GC Pooling trades. All trades are considered for Settlement Date Exposure Netting. Exposure adjustment instructions are always sent out as released. | No action required. |
GC Pooling Market: | Corporate actions are handled by Triparty Collateral agent. If necessary, either automatic substitutions of allocated securities are performed prior to a mandatory corporate action or securities stay allocated and the proceeds are compensated back to the original collateral provider. | Please check for subscriptions for relevant reporting by CmaX. |
Special/GC Repo and GC Pooling Market: | Most C7 SCS reports will be provided at the end of each business day for repo transactions. No intraday Pending Delivery and Settled Delivery reports will be offered. All reports are offered in xml-based format. | Please adapt your internal systems to process the new layout of the reports. |
Special/GC Repo and GC Pooling Market: | No specific Member GUI for C7 SCS will be provided to Clearing Members. The Securities Clearing GUI will be decommissioned for repo transaction. | Please adapt your internal operational processes accordingly. |
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Contacts
Eurex Frankfurt AG
Customer Technical Support / Technical Helpdesk
Service times from Monday 01:00 – Friday 22:00 CET
(no service on Saturday and Sunday)
T +49-69-211-VIP / +49-69-211-1 08 88 (all)
Eurex Frankfurt AG
Key Account Management
Service times from 09:00 - 18:00 CET
