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.
Simulation start: 31 March 2025
Production start: 19 May 2025
Release Items/Participants Requirements
Feature/Enhancement | Details | Action Item |
Negative transaction (trade) and settlement prices | With the introduction of this release, C7 will support negative transaction (trade) prices, daily settlement prices, and final settlement prices for certain ECC-Future product classes only. | Eurex Clearing clients nevertheless must consider some format changes to some report fields' definitions. The report fields will be updated to accommodate negative prices, and Eurex Clearing clients will only be impacted if they validate against schema files. |
Updates to RPTCD710 and RPTCD712 Report Formats | Following member requests, ECAG will enhance reports “RPTCD710 Daily Cash Account CM” and “RPTCD712 Daily Cash Account NCM/RC” by adding an additional attribute “Asset Source” to support their daily cash reconciliation process. This new attribute gives an indication on cash transaction type level which asset class "triggered" the corresponding cash transaction. | Clients should read the Eurex Clearing XML Reports Modification Notes in order to assess if they are impacted by the new fields "assetSource" and "IBAN" as well as by the updated field lenghts for "trnDebAmnt," "trnCrdAmnt," and "cshStlRun7" to ensure compatibility with the revised report formats. |
Total Return Futures (TRF) Strategy | T7 will introduce a new complex 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 complex instrument type (TRF Strategy=14) will have different instrument subtypes associated to it (fix tag 29010 - Security Sub Types). | Clients interested in this functionality should test the new value “14=TRF Strategy” for field 28587 (Related Product Complex) in FIXML, the inclusion of the “Strategy Type” filter in C7 GUI windows, and the addition of the 'TRF Strategy' field to relevant C7 reports. |
Cross-Product Margining for U.S. FCM Clients | Eurex Clearing intends to provide this service to include all U.S.-based FCM Clearing Members and their clients so they can also benefit from margin efficiencies under the LSOC clearing model and is subject to regulatory approval by CFTC. | Clients interested in this functionality should test the new value “109” for the field '830 - TransferReason' in FIXML and the ability to inquire linked RNUs of U.S. Clearing Members and FCM Clearing Members via the C7 GUI window "Risk Netting Unit Overview". Additionally, the new C7 report CB732 LSOC CPM Target Position Status Report will display ETD target portfolios for cross-product margining. |
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