Announcement of C7 Release 7.0

1.   Introduction

With this circular, Eurex Clearing announces the production launch of C7 Release 7.0 which is scheduled for Monday, 23 November 2020. The simulation environment is planned to be available from 21 September 2020.

With C7 Release 7.0, the following functional and technical changes are envisaged:

• FIXML broker migration
• Product tag in FIXML messages
• Clearing House validation in TID
• Default account rule change for initial trade booking
• Change of Maintainability of Rate Identifier in C7
• TED spreads
• Report updates

Further details about functional and technical changes will be made available via the functional and technical Release documents as per the attached “C7 Member Communication Calendar”. The Communication Calendar is also available on the Eurex Clearing website www.eurexclearing.com under the following link:

Tech > C7 > System documentation

• Planned simulation start: 21 September 2020
• Planned production start: 23 November 2020

2.   Required action

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 under the following link: 

Find > Subscriptions > Circular & Newsletter Subscription

This is essential, since any further communication regarding C7 Release 7.0 will only be distributed via Circulars and Newsflashes to the e-mails for which the relevant subscriptions have been registered. For the purpose of C7 Release 7.0, please select at least Circular/Newsflash category “Derivatives Clearing – Releases & Technology”.

3.   Details of the initiative

A.    Timeline

A detailed Communication Calendar will be made available on the Eurex Clearing website under the following path:

Tech > C7 > System documentation > Overview and Functionality

B. Overview of functional enhancements

The following sections provide an overview of the technical enhancements which will be introduced with C7 Release 7.0:

FIXML broker migration

Eurex Clearing FIXML broker will be migrated from qpid C++ to qpid Java. 

Clearing Members and ISVs are required to upgrade the AMQP libraries in their software to the latest available versions. The new FIXML Java broker allows to define flow control only on queues, whereas Eurex only supports a discard or reject policy for un-routable messages. This means that if the queue is full, the sender will receive an error. In addition, the new FIXML Java broker strictly requires a unique client ID to establish connection.

Clearing Members and ISVs are required to carry out the necessary implementation to support the new Java broker. 

More details can be found in the document “Eurex Clearing Messaging Interfaces – Connectivity E: AMQP Setup & Internals” under the following link:

Tech > C7 > System documentation > Eurex Clearing Interfaces

Product tag in FIXML messages

Eurex Clearing will provide this optional feature to Participants who wish to distribute their large volume across multiple FIXML accounts and use a split via product. For this purpose, the product will be attached as a property to the FIXML messages in the same way as the MLID (message level identifier).

All product-specific messages will be filled with the respective Product ID and messages that are not product-specific (e.g. as risk control messages) will be filled with a space in the property.

For details, please refer to the “C7 Eurex Clearing FIXML Interface Specification” under the following link:

Tech > C7 > System documentation > Eurex Clearing Interfaces

Clearing House validation in TID field

With introduction of C7 Release 7.0 a validation on correct values for the mandatory field TID (TargetCompID) in incoming messages will be installed. The valid values are “ECAG” or “ECC” for inbound messages, Member ID (e.g. ABCFR or ABCEX) for outbound messages. Messages containing “CCP” will be rejected.

For details please refer to the “C7 - Eurex Clearing FIXML Interface Specification - Volume 4: Transaction & Position Maintenance” planned for publication in June 2020 and then available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Eurex Clearing Interfaces

Default rule change for initial trade booking

With the current behaviour, the clearing account is taken by C7 without checking if the trading capacity provided a correct valid value for the respective clearing account on the T7 trading platform. 

With C7 Release 7.0, the trading capacity field will have a higher priority than the selected clearing account. By introducing a check in C7 it will be ensured that consistency between trading capacity and clearing account exists. In case the clearing account is missing, not supported or inconsistent with the trading capacity, the trade will be booked into the default clearing account belonging to the provided trading capacity.

Detailed information about the booking logic will be provided in the “Eurex Clearing C7 – Derivatives Clearing Functional Reference Guide”, planned for publication in September 2020 and then available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Overview and Functionality

Change of Account Maintainability of Rate Identifier in C7

The field rate identifier, as contained in “CustOrderHandlingInstr” (tag 1031), will not be maintainable anymore starting with Release 7.0. Consequently, the field will be removed from Transaction Adjustment and Average Pricing Requests in GUI and in FIXML requests. Valid Values entered in T7 are available in C7 and can be inquired.

TED spreads

Eurex Exchange is planning to introduce new inter-product spread (IPS) Fixed Income Futures denominated in euro in T7. These spreads are based on the fixed-income Schatz Futures (FGBS) and the two-year bundle of the Euribor Futures (FEU3), consisting of eight consecutive maturities covering a time frame of two years.

The introduction of these new strategy types requires new values on the existing fields “strategy type” and “strategy sub type”. Clearing Members are required to make the necessary adjustments to FIXML feed and reports in order to support these changes. C7 GUI will show the strategy type and strategy sub type new values, as usual in the transaction overview window.

For details of the respective fields in FIXML, please refer to the “C7 – Eurex Clearing FIXML Interface Specification - Volume 3: Transaction & Position Confirmation”, planned for publication in June 2020 and then available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Eurex Clearing Interfaces

C. Report updates

Please be reminded that the following report updates will become effective with C7 Release 7.0. The relevant member documentation has already been updated to reflect the below changes.

Strategy details

Strategy details on post trade adjustment events (account transfer, O/C indicator, give-up, take-up, etc) are being added to clearing and intraday reports: CB012, CB013, CB715, CB750, CB751 and CI012. The values introduced are: Strategy type, strategy sub type, strategy link ID and Multi-leg report type. These attributes can be used for reconciliation purposes as members will be able to keep track of the strategy details throughout the entire lifecycle of a transaction.

Please note that these strategy details have been added to FIXML and GUI with C7 Release 6.1 in June 2020.

Further details can be found in the documents “Eurex Clearing XML Reports - Reference Manual v.6.1.3” and “Eurex Clearing XML Reports - Modification Notes v. 6.1.3”, published on 7 May 2020, and additionally “Eurex Clearing XML Reports - Reference Manual v.7.0” and “Eurex Clearing XML Reports - Modification Notes v.7.0”, planned for publication in August 2020, and available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Eurex Reports

Non-disclosure Flag

FIXML field “TradePublishedIndicator” (Tag 1390) already exists in C7 to identify disclosed and not-disclosed trades. Eurex Clearing is now adding the non-disclosure flag to clearing reports CB012, CB013, CB750, CB751 and CB715 as well as billing reports CB165 and CB001. This flag can be used as fee differentiation for certain non-disclosed TES trades (single stock futures, and options OESX, ODAX, OESB and OSMI).

Further details can be found in the documents “Eurex Clearing XML Reports - Reference Manual v.6.1.3” and “Eurex Clearing XML Reports - Modification Notes v. 6.1.3” published on 7 May 2020 and additionally “Eurex Clearing XML Reports - Reference Manual v.7.0” and “Eurex Clearing XML Reports - Modification Notes v.7.0” planned for publication in August 2020 and available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Eurex Reports

Equity Basket Trades

With the extension of the Basket Trade functionality, the fields PackageID and FirmTrdID are being added to additional reports CB167, CB731, CA752 and CE775.

Further details can be found in the documents “Eurex Clearing XML Reports - Reference Manual v.6.1.3” and “Eurex Clearing XML Reports - Modification Notes v. 6.1.3 published on 07 May 2020 and additionally Eurex Clearing XML Reports - Reference Manual v.7.0” and “Eurex Clearing XML Reports - Modification Notes v.7.0” planned for publication in August 2020 and available for download on the Eurex Clearing website under the following link:

Tech > C7 > System documentation > Eurex Reports
 

Attachment:

• C7 Member Communication Calendar

Further information