Introduction of C7 Release 11.0

1. Introduction

With this circular, Eurex Clearing announces the production launch of C7 Release 11.0, which is scheduled for Monday, 18 November 2024. The simulation environment will be available from 11 September 2024.

Learn more about C7 Release 11.0 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 11.0.

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

Simulation start: 11 September 2024
Production start: 18 November 2024

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

To increase the transparency of software usage, Eurex Clearing will implement a new process for registering Independent Software Vendors (ISVs). Additionally, Eurex will introduce a new process for registering third-party software offered by ISVs and in-house software developed by Clearing Participants, which is used to connect FIXML and FpML accounts. Consequently, each Clearing Participant and ISV will have to enhance the details on software usage in the Member Section on an account level for FIXML and FpML accounts. Further details will be announced separately. 

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 > Circulars & Newsflashes Subscriptions.

We recommend clients to participate in the simulation phase. Clearing Members are requested to submit their Readiness Statement by Friday, 8 November 2024.

3. Details of the initiative

3.1 Value based average pricing enhancements

Broadcast VBAP Sub-group details through FIXML interface

The FIXML Allocation Instruction Alert (AIA) message will provide a fee type specific sub-quantity breakdown for remaining allocation quantities. 

This message will contain the following information at the sub-group level:

• Total sub-group quantity
• Remaining sub-group quantity
• Offset quantity
• Allocation sub-group. 

The sub-group will be identified through a combination of "Trade Type", "Trade Publish Indicator" and "Customer Order Handling Instruction". 

Customer Order Handling Instruction (Rate ID) for VBAP Grouping/Allocations

Customer Order Handling Instruction information will be retained in scenarios of VBAP grouping and will be considered during the allocation process and relevant pro-rata calculations. 

C7 will maintain VBAP sub-group transactions for all possible combinations of "Trade Type", "Trade Publish Indicator" and "Customer Order Handling Instruction". 

A new field named "rateIdentifier" will be added to the Clearing Report RPTCB716.

Add validation during allocation cancellation

While processing cancel allocations, the application first calculates forecasted (post-cancellation) average price (SCAP: System Calculated Average Price). 

If the group's forecasted SCAP falls outside the Group's High/Low Price range, then the Cancel Allocation request will be rejected with an appropriate message. 

Additional text fields in AllocInst on Allocation + Account transfer

Members can use the FIXML AIA message to specify target text fields when requesting Account Transfer for average price transaction(s) out of the VBAP group, aligning GUI and FIXML behavior. 

The existing text fields in the AllocGrp of the AIA message could be used in the future for the account transfer. To achieve this, the nested parties for the Target Member and Target Accounts have been moved to the AllocGrp in the FIXML AIA message. 

Make entry field "Ref O/C" mandatory via GUI

The field "Ref O/C" will be mandatory when giving up the trade out of VBAP group on "Create Average Price Transaction GUI Window", then being in line with "Give-Up Maintenance" screen. It will be prefilled with the value "O" but can be changed to "C" by Members.

3.2 ARP: E-mail notification in case of level 3 breaches

C7 ARP Members can choose to receive e-mail notifications in addition to the current GUI pop-up and FIXML message. Please note that the e-mail service will not be considered as a legally binding form of communication. Due to data protection rules governing the C7 service, only generic mailbox addresses will be permitted, no personal e-mail addresses.

If you' would like to opt in for this service, you can contact your Key Account Manager or send an e-mail to client.services@eurex.com.

The notification e-mail will include the following details:

• Type of breach (soft/hard)
• Timestamp of the breach
• Maintenance Member ID
• Affected Member ID

3.3 Exercise/Assignment overview window changes - additional information on Illogical Exercises

Eurex plans to improve the C7 GUI window by adding new fields. These fields will show whether the results are completely or partially exercised/assigned against the position held at expiry. Additionally, an IOA indicator column will be implemented. This column will display: 1) in the money 2) out of the money or 3) at the money based on the FSP (Final Settlement Price), EDSP (Exchange Delivery Settlement Price), or USP (Underlying Stock Price) for OSTK. 

This will help to identify illogical expectations.

3.4 GUI User Account Clean up (2nd Step)

As already stated in the C7 10.1 Release Notes (released in December 2023), Eurex plans to perform a system clean-up.

All accounts that have not been used for more than two years will be deleted, except for the following:

• All users listed in the “Outsourcing Relationship Overview”
• All users flagged as “Initial User”
• Users which were created in the last 2 years but were not active

(Admin) Users with role "Service Administrator" and privilege "A001INQ Internal User Inquire" are able to see all users on the "User Entitlement Maintenance window".

Deletion of the accounts will become effective with C7 Release 11.0.

3.5 Type of Money (ToM) Quota

With Eurex Clearing Circular 023/23, the right for Eurex Clearing to introduce a mandatory Cash Ratio has been announced. Transactions (deposit/withdrawal) with ToM "Quota" will be generated to fulfil permanent cash ratio requirements.

The decision to activate and introduce a mandatory cash ratio will be taken by the Eurex Clearing Executive Board in its reasonable discretion and only in case the economic incentive, i.e. the Securities Collateral Concentration Add-on, does not fulfill its purpose to ensure a sufficiently high and stable cash ratio.

The cash transaction amounts to meet the permanent cash ratio will be calculated on a daily basis (EoD values) at the collateral pool level. 

This calculation will determine the difference between the actual delivered cash collateral (Types of Money "Blocked", "Term" and "Quota") and the required cash collateral (total/applicable margin requirements times permanent cash ratio). 

Also, a new valid value "Q" will be used for the "typeOfMoney'" field in Clearing reports CD020, CD080, CD100, CD230, CD231, CI720, and CI731.

Outlook C7 Releases in 2025 

Eurex plans to launch two Releases in 2025. In order to ease the planning of Members, Eurex already provides the intended dates for the Releases in the C7 Release announcement 11.0. C7 Release 11.1 is planned to be introduced on 19 May 2025, whereas C7 Release 12.0 is scheduled for 10 November 2025. 


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