Eurex C7 Derivatives Clearing Functional Reference

Eurex Clearing C7
Derivatives Clearing Functional Reference
Release: 3.0
Document version: 3.1
Change History
Date
Ver.
Change
15 June 2015
3.0
Initial version for C7 3.0
25 September 2015
3.1
- Updated Four-Eyes principle processing logic
- Additional samples for Transaction management
- Updated give-up/take-up principle
© Eurex 2015
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
As of September 25, 2015
Version 3.1
Table of Contents
1
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.1
Audience . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2
Backward compatibility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.3
Conventions used in this document . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4
Release history. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2
Interfaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.1
System overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.2
Clearing GUIs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3
Eurex Clearing FIXML Interface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.4
Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3
Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.1
Account structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.1.1
Requesting the extension of agent accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.1.2
Usage of extended agent accounts on the trading layer . . . . . . . . . . . . . . . . . . . . 10
3.1.3
Eurex Trade Entry Service (TES). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4
Entitlement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.1
Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.2
Roles and privileges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.3
General setup and maintenance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.4
Four-Eyes principle processing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
4.4.1
Four-Eyes principle processing for entitlement settings. . . . . . . . . . . . . . . . . . . . . 13
4.4.2
Four-Eyes principle processing for position management features . . . . . . . . . . . . 13
4.5
Simplified outsourcing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
5
Position and transaction management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1
General overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1.1
Purpose of position keeping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1.2
Information on position balance and movements. . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1.3
Order ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1.4
Transaction ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.1.5
Position ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
5.1.6
Applicable product phases for transaction management . . . . . . . . . . . . . . . . . . . . 16
5.1.7
Product phases and feasible transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
5.1.8
Applicable product phases for position management. . . . . . . . . . . . . . . . . . . . . . . 17
5.2
Transaction management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
5.2.1
Available adjustments and booking logic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
5.2.2
Booking logic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
5.2.3
Position-neutral booking. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
5.2.4
Transaction separation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
5.2.5
Transaction adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
5.2.5.1
Text field adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Version 3.1
5.2.5.2
Cooperation product Member information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
5.2.5.3
eGAINS rate identifier adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
5.2.5.4
Making a transaction available on T+x. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
5.2.6
Transaction open/close adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
5.2.7
Transaction account transfer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
5.2.8
Give-up/take-up . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
5.2.9
Trade reversals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
5.3
Position management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.3.1
Position close-out/re-opening. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.3.1.1
Manual close-out/re-open. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.3.1.2
Zero Cost Quantity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.3.2
Position account transfer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
5.3.2.1
Internal position account transfer between accounts . . . . . . . . . . . . . . . . . . . . . . . 27
5.3.2.2
External position transfer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
5.3.2.3
Cash only transfer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5.3.3
Automatic exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5.3.4
Manual exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5.3.5
Assignment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5.3.6
Abandon/Unabandon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
5.3.7
Notification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
5.3.8
Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
6
Handling of preliminary variance futures trades. . . . . . . . . . . . . . . . . . . . . . . . 31
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Version 3.1
Introduction
1
Introduction
This document provides an overview of the functionality provided by C7 release 3.0. The launch
of C7 release is planned for May 2016. Release simulation is scheduled to start on 26 October
2015.
Important
The market launch of the new features may not necessarily be the same as the release date of
C7 3.0. The individual dates will be announced in separate Eurex Clearing circulars.
1.1
Audience
This document is intended for all Members and Vendors intending to make use of the C7
functionality and serves as an overview of how to use the service. It assumes that the reader has
a basic understanding of the clearing functionality and the systems offered by Eurex Clearing.
1.2
Backward compatibility
C7 release 3.0 is not backward-compatible to previous C7 or other Eurex Clearing releases.
1.3
Conventions used in this document
Cross-references to other chapters within this document are always clickable, but not marked
separately.
Hyperlinks to websites are underlined.
Changes applied to this document after the last version has been published (other than grammar/
spelling corrections) are marked with a change bar in the left margin as demonstrated in this
paragraph. Old change bars will be removed from version to version.
1.4
Release history
Release 1.0 of C7 introduced the following services and interfaces:

Individual segregation of client transactions and positions into a practically unlimited number
of Flexible Accounts

A new, browser-based GUI – the C7 Derivatives Clearing GUI

The Eurex Clearing FIXML Interface has been enhanced to support Flexible Accounts
Release 2.0 of C7 introduced the following enhancements:

Settlement of cash originating from premium and variation margin obligations is done on pool
level

The margin requirement for pending security delivery transactions is calculated on pool level

The cash settlement for options is on pool level

Reports have been enhanced or newly introduced to show settlement information on the Flexible Account level
Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Version 3.1
Introduction
Release 3.0 of C7 introduces the following enhancements:

Migration of transaction and position management functionality for derivatives (listed and
Flexible Contracts) from Eurex Clearing Classic system to C7

The transaction and position management functionality is additionally enhanced by the following functions:


New: Transactions are directly adjustable for up to 2 days, making historical trade transfers
(HiTT) obsolete

New: Unique transaction and position IDs

New: Enhanced workflow for give-up/take-up

Enhancement: Mis-trade reversal along the entire adjustment chain

Enhancement: Changed logic for Zero Cost Quantity (late closing fee calculation)

Enhancement: Improved linking between trading layer (T7 on-exchange and off-book) and
C7 transaction confirmation in the Eurex Clearing FIXML Interface
Accounts

Accounts A1-A9, P1, P2, M1, and M2 are available on C7

Members can optionally extend the number of their agent accounts; these account names
can be up to 20 characters long

Entitlement: A new entitlement model will replace the Resources Access Level model for position and transaction management activities

Products

All listed derivatives products available at Eurex Exchange, including KRX and TAIFEX
products and FX

Flexible Contracts fully integrated in transaction and position management, as well as in
reports
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Version 3.1
Interfaces
2
Interfaces
2.1
System overview
Clearing
Trading
Eurex onexchange
trades
Derivatives
Clearing GUI
C7
Common Report
Engine
T7
Clearing reference data
Eurex TES
off-book
trades
Eurex Clearing
FIXML Interface
(reports/files)
Eurex Clearing Classic system
Eurex TES
off-book
trades
Collateral Management
User Maintenance
2.2
@X-tract GUI
Clearing GUIs
Members can use the C7 Derivatives Clearing GUI for all transaction and position management
functionality in all accounts.
For detailed information on the C7 Derivatives Clearing GUI, please refer to the C7 Derivatives
Clearing GUI User Guide, which will be made available for download on the Eurex Clearing
website:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
@X-tract is accessible via WebTrading. Windows mentioned in this document refer to the C7
Derivatives Clearing GUI, unless stated extra.
2.3
Eurex Clearing FIXML Interface
The Eurex Clearing FIXML Interface fully supports transaction and position management on all
accounts. Additionally, the interface carries public broadcasts (e.g. settlement prices) and
collateral update information. For further information on the FIXML Clearing Interface, please
refer to the interface documentation available for download on the Eurex Clearing website:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
2.4
Reports
Reports are solely distributed via the Common Report Engine. Reports newly introduced with C7
release 3.0 are available in XML and CSV file formats. Flexible Contracts are integrated with C7
release 3.0. Full details on report structures and XSD schema files are available on the Eurex
Clearing website in the Eurex XML Report Reference Manual. For further information on the
Common Report Engine, please refer to the Common Report Engine User Guide. All documents
are available at:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
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Version 3.1
Accounts
3
Accounts
With release 3.0, accounts A1-A9, P1, P2, M1, and M2 will be moved to C7, where applicable,
and will be available for full transaction and position management. Additionally, C7 provides
Members with the option to extend the number of their agent accounts. The account names of
these additional accounts are alphanumeric and can be up to 20 uppercase characters long.
For detailed information on Eurex Member type and account relationships, please refer to the
Eurex Clearing website under the following path:
www.eurexclearing.com  Risk Management  Client Asset Protection
3.1
Account structure
Clearing House
Root Account
Client
Clearing Member
House
P1
Client
P2
M1
M2
Non-Clearing Member/
Registered Customer
A1
...
A362
A834
House
P1
3.1.1
A9
Client
P2
M1
M2
A1
... A9
A362
A834
Requesting the extension of agent accounts
Members have the option to extend the number of their agent accounts (A1 - A9). The names for
these accounts can be freely chosen by Members subject to the condition that the account name
is unique across all the accounts of the Member. The account names of these agent accounts
have to be alphanumeric, valid characters are all capital letters and all numbers. Those account
names can further be up to 20 character long (uppercase), special characters and spaces are not
allowed. The following names are reserved by the system and may not be used:

G# (#=0-9)

P# (#=0, 3-9)

M# (#=0, 3-9)

PP

CLIENT

HOUSE

ALL
Account availability is limited by the status of Members (and their clearers). The names of the
original agent accounts (A1 - A9), of the principal accounts (P1, P2), and of the market maker
accounts (M1, M2) can not be changed. The request to setup additional accounts must be
submitted by the Clearing Members for their Non-Clearing Members and their Registered
Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Eurex Clearing C7 3.0 – Derivatives Clearing Functional Reference
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Version 3.1
Accounts
Customers. The application form is available on the Eurex Clearing website under the following
path:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
3.1.2
Usage of extended agent accounts on the trading layer
Eurex’s T7 supports the entry of orders for additional agent accounts for on-exchange trades. For
further detail, please consult the T7 documentation under the following path:
www.eurexchange.com  Technology  Eurex Exchange’s T7
Should a record arrive on the clearing layer with an unknown account name, the trade will be
booked to the respective default account (usually A1 or P1).
3.1.3
Eurex Trade Entry Service (TES)
Eurex Trade Entry Service (TES) off-book trades, including Flexible Contracts, can only be
entered on Eurex Clearing Classic accounts (A1 - A9, P1, P2, M1, M2). This applies for the entry
on the C7 Derivatives Clearing GUI and for the entry via the FIXML Interface. Once these trades
are successfully approved by all sides and booked on the clearing layer, they can be moved to
any available account via transaction account transfer.
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Entitlement
4
Entitlement
4.1
Overview
The entitlement mechanism is used to grant Members and Users access to functionality in the C7
system, such as transaction and position management. This chapter gives an overview of the
main principles of the entitlement model and describes setup and configuration options.
4.2
Roles and privileges
The entitlement model uses roles as a basis. The roles are assigned to a Member and the
Member’s Service Administrator can assign the roles to the other Users.
The roles themselves contain privileges. Every privilege defines access to a specific activity. E.g.
a Member could have the privilege to “Add Give-up”. A request entered by a User can only be
processed if the corresponding privilege is assigned to the User/Member.
The following roles are supported:






4.3
Position and Transaction Manager
This role represents the rights to perform transaction and position management related activities (e.g. “Add Give Up”, “Approve Give Up”)
Position and Transaction Manager View Only
This role provides the right to perform inquiries related to transaction and position management (e.g. “Clearing Transaction Inquire”)
Clearing Manager
This role represents the rights for a User of a Clearing Member to perform clearing activities
(e.g. “Notification Manage”)
Clearing Manager View Only
This role provides the right to perform Clearing Member exclusive inquiries only (e.g. “Notification Inquire”)
Service Administrator
This role represents the necessary entitlement for administration activities (e.g. “User Entitlement Update”)
Service Administrator View Only
This role provides the right to perform inquiries related to administration activities (e.g., “User
Entitlement Inquire”)
General setup and maintenance
The C7 Entitlement Model follows a hierarchical approach. This approach uses top-down logic
for the allocation of access rights.
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Entitlement
Definition of default roles
(maximum rights applicable within
clearing organization)
Clearing House
CH
Member
P1
P2
...
PN
User
U1
U2
U3
U1
U2
U3
...
Individual max.
rights per User
(assigned by
Service Administrator
of Member)
To provide a User with a right, this right must be initially assigned to the Member to which the
User belongs. Eurex Clearing defines the maximum entitlements of a Member (e.g. based on the
Member type) and assigns the roles to the Members accordingly. The Member (Service
Administrator) can define and maintain the entitlements for the other Users.
While assigning roles to Users, the Member can modify the settings of the privileges contained in
it with regards to entitlement level and account.
The following four entitlement levels are available in the system:
3
Execute alone/Approve
2
1
Initiate and Approve
0
No access
Initiate only
Two-eyes principle (2EP)
Four-eyes principle (4EP)
Neither functionality nor
approval right are assigned.

Entitlement Level 3 indicates that the User is allowed to initiate a transaction alone and no
second User is required for approval. The User can additionally approve or reject transactions
entered by another User.

Entitlement Level 2 indicates that the User is allowed to initiate a transaction while requesting a Four-Eyes approval and approve or reject a transaction entered by another User.

Entitlement Level 1 indicates that the User is allowed to initiate a transaction requesting a
Four-Eyes approval.

Entitlement Level 0 indicates that the User has no access to any privilege at all. This means
that the User can neither initiate nor approve or reject a transaction.
A privilege can be configured for an account or for all client or house accounts. Products are not
considered when a privilege is assigned to a User.
As the entitlement concept follows a hierarchical approach, the entitlement of a User can never
exceed the maximum entitlements of the Member. Consequently, reductions in these maximum
entitlements of a Member are automatically applied to the entitlement settings of the affected
Users.
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Entitlement
For detailed information on the entitlement mechanism, please refer to the C7 - Release 3.0
Member Access, User Maintenance and Entitlement Guide, available for download on the Eurex
Clearing website:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
4.4
Four-Eyes principle processing
Entitlement levels define how a certain activity can be performed by a User, and whether it can
be performed by the User at all. If an activity requires a Four-Eyes principle check for a specific
action, a User cannot perform the action on his own, but needs a second User to approve the
action. The User initiating the action for which the Four-Eyes principle is required needs to have
at least the entitlement level 1. For the approval of any Four-Eyes principle request the User
requires an entitlement level of at least 2. Four-Eyes principles can be applied to a range of
activities as listed in the C7 - Release 3.0 Member Access, User Maintenance and Entitlement
Guide available for download on the Eurex Clearing website under the following path:
www.eurexclearing.com  Technology  Eurex Clearing’s C7  System Documentation
4.4.1
Four-Eyes principle processing for entitlement settings
If an activity is executed that requires a Four-Eyes approval, it remains as a pending Four-Eyes
principle request as long as the approval/rejection is outstanding. The Four-Eye Principle Entitlement window displays an overview of all pending Four-Eye principle requests for approval/
rejection. This allows members to configure Four-Eyes approval per activity according to their
individual needs.
4.4.2
Four-Eyes principle processing for position management features
The activities related to Manual Exercise, Abandon and Position Transfer with cash (entry and
approval) may be subject of the Four-Eye principle process and thereby require the approval of
the approving User at the time of initiation of request. The identification of the approving User has
to happen directly by entering the User Name and Password on the C7 Derivatives Clearing GUI
of the initiating User. The system will validate the details entered and check the entitlement levels
of the Users. After a successful validation the activity is being executed.
4.5
Simplified outsourcing
With C7 Release 3.0, Eurex Clearing offers simplified outsourcing of back office functions via
FIXML and via the C7 Derivatives Clearing GUI. FIXML simplified outsourcing is already
available since 2013.
The simplified outsourcing mechanism is only available for Clearing Members (CMs) insourcing
back-office functions of their Registered Customers (RCs) and Non-Clearing Members (NCMs).
Simplified outsourcing is not available to other insourcing firms or in case of CMs outsourcing to
other CMs or their NCMs. In this case outsourcing will only be available through the existing
procedure of a Member providing his certificate (AMQP or GUI) to the insourcing firm.
In order to apply for simplified outsourcing, the outsourcing NCM/RC has to provide a dedicated
technical User ID prefixed with IOU1. This can be done via the Announcement of Outsourcing of
Back-Office Functions of Eurex Clearing Non-Clearing Members (NCMs).
1. IOU stands for “Improved Outsourcing”
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Entitlement
The technical User ID's entitlement will be checked for every request. Irrespective of the interface
used for sending requests (GUI or FIXML). If the outsourcing NCM/RC wants to limit the scope of
outsourced back office functions, he can do so by limiting the privileges assigned to the technical
User ID.
With C7 Release 3.0, simplified outsourcing will be introduced as a new functionality in the C7
Derivatives Clearing GUI. A User on the Clearing Member side can log into the GUI using his
own Member ID and his own User ID. Position Accounts including all transactions and positions
of NCMs are visible to the Clearing Member already. If simplified outsourcing has been set up
and if the privilege to perform insourcing activities has been assigned to the logged in User, he
can initiate requests for transaction or position management out of the NCM's position account.
Four-Eye checks on the NCMs side are not supported for simplified outsourcing. For the approval
of the position transfers with cash, Four-Eye checks can be established at the Clearing Member's
side, if required. In this case two CM Users have to approve a pending position transfer to fulfill
the Four-Eye requirement.
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Position and transaction management
5
Position and transaction management
5.1
General overview
5.1.1
Purpose of position keeping
The position keeping of options and futures contracts enables Members to inquire their current
positions, enter adjustments on transactions, and to enter adjustments to positions (position
adjustments). Eurex Clearing rules and regulations explain the limitations on transaction and
position adjustments.
For further information on Eurex Clearing rules and regulations, please refer to the Eurex
Clearing website under the following path:
www.eurexclearing.com  Resources  Rules and Regulations
The parties involved in a trade receive a transaction confirmation via the Eurex Clearing FIXML
Interface as soon as the trade is successfully booked in the relevant position account
(proprietary, market maker or agent account) on the clearing layer. Members can also inquire
their position on the C7 Derivatives Clearing GUI.
5.1.2
Information on position balance and movements
Exchange Members can inquire and alter their positions and position movements during the day,
but alterations can only be made until the start of the post-trading-restricted period. The Position
Overview window on the C7 Derivatives Clearing GUI allows Members to see the daily position
movements and the current positions in an options series or a futures contract. From the Position
Overview window, the User can call the Transaction Overview window on the C7 Derivatives
Clearing GUI. Starting from the initial position, this window shows the position movements on a
transaction level. This window also shows the resulting positions.2
The position balance at the start of the booking cut, as well as all preceding position movements,
are documented in the RPTCB012 ACCOUNT STATEMENT report.
5.1.3
Order ID
In contrast to previous releases, C7 3.0 does not require the order ID to make a record unique.
GUI, FIXML Interface and XML Reports (where applicable) display the T7 order ID as reference
to the trading layer, but the clearing system no longer assigns an additional order ID for technical
purposes.
5.1.4
Transaction ID
Transactions are identified by a unique transaction ID. The ID is a variable length alphanumeric
string with up to 19 characters. The ID is globally unique across the clearing system, will not be
changed for the lifetime of the transaction and will not be re-issued3. Each transaction also
carries a 10 digit numeric suffix which increases with each adjustment.
Note that the transaction ID is entirely independent of IDs issued by other systems, such as the
T7 trading system. Key IDs used on the trading layer – T7 on-exchange trading or off-book trades
2. The Eurex Clearing FIXML Interface delivers the same level of detail. For information on the FIXML interface please
refer to the FIXML interface documentation available on the Eurex Clearing website.
3. In the foreseeable future, i.e. until all possible combinations for the 19 character alphanumeric string have been used.
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Position and transaction management
entered via Eurex’s Trade Entry Service (TES) – will be made available in C7 for reconciliation
purposes between systems, but can not be used to trigger any transaction adjustments.
5.1.5
Position ID
For regulatory reporting purposes, C7 assigns an unique, variable-length, alphanumeric ID to
each position. The ID is up to 11 characters long. Each transaction in the same instrument and
account is booked to the position ID established when the first such transaction is reported. Note
that a position amount of “0” (e.g. due to exercise) does not delete the position ID. Once
additional transactions in the same instrument are booked to the account (i.e. the amount is
greater than 0 again) the same position ID will be referenced. For further information on the
usage of the position ID, please refer to the EMIR reporting documentation available in the
Member Section under
https://member.eurexclearing.com/  Clearing Resources  EMIR Reporting
5.1.6
Applicable product phases for transaction management
All transaction adjustments are available during the Pre-Trading Phase, Trade Acceptance
Phase, Post Full Phase, Post Trading Full Late -1 Phase, and Phase Holid. In the Post Trading
Full Late -2 Phase, take-up is not possible. During the Post-Restricted-Trading Phase and Batch
Phase no position and transaction management is possible.
Transactions are adjustable for a limited period of time, known as the transaction duration. The
limit is set to allow adjustments on T=trade date, T+1 and T+2. The base date for the calculation
of the transaction duration is the trade date, as set by the trading system. These adjustments are

Account Transfer

Transaction Separation

Give-up

Take-up

Open / Close Adjustment

Transaction Adjustments
Transaction adjustments possible during the different phases are illustrated in the following table.
As indicated, transaction adjustments for a trade recorded on day T are possible on the next day
(T+1) and on the next but one day (T+2).
Adjustments
Day T-1
Day T
Day T+1
Day T+2
Day T+3
A B C D E F G H A B C D E F G H A B C D E F G H A B C D E F G H A B C D E F G H
Transaction Account Transfer
× × × × ×
×
× × × × ×
×
× × × × ×
×
Transaction Separation
× × × × ×
×
× × × × ×
×
× × × × ×
×
Give-up
× × × × ×
×
× × × × ×
×
× × × × ×
×
Take-up
× × × ×
×
× × × ×
×
× × × ×
×
Transaction Open / Close Adjustment
× × × × ×
×
× × × × ×
×
× × × × ×
×
Transaction Adjustment
× × × × ×
×
× × × × ×
×
× × × × ×
×
A Pre-Trading Phase
E Post Trading Full Late -2 Phase
B Trade Acceptance Phase
F Post-Restricted-Trading Phase
C Post Full Phase
G Phase Holid
D Post Trading Full Late -1 Phase
H Batch phase
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5.1.7
Product phases and feasible transactions
C7 supports different product phases. The following product phases are differentiated by the
system.
1. Start phase (START)
After the previous day’s booking cut process completion the product is available in the START
phase in which no position and transaction management is possible.
2. PRE Trading phase (PRETR)
In Pre-Trading phase, transaction and position management is possible on previous day’s
transactions and opening positions.
3. Trade Acceptance phase (TRDAC)
In this phase trades are accepted from the trading layer. During this phase transaction and
position management on all transactions are possible.
4. Post Full Phase (POSTF)
In this phase Members can use back office functions such as “Give-up/Take-up” or position
adjustments.
5. Post Trading Full Late -1 phase (POST1)
In this phase Members can use back office functions such as “Give-up/Take-up” or position
adjustments. No TES is possible in POST1.
6. Post Trading Full Late -2 phase (POST2)
In this phase certain transaction adjustments, like “Take-up” and external position transfers, are
restricted.
7. Post Restricted phase (POSTR)
In this phase transaction adjustments and position adjustments are restricted.
8. Phase Holid (HOLID)
When a product is in phase Holid certain position management activities are restricted.
9. HALT phase (HALT)
During the HALT phase all transaction and position management activities are restricted.
5.1.8
Applicable product phases for position management
Not all position management activities are possible in every product phase. During the PreTrading Phase, the Trade Acceptance Phase, the Post Full Phase, and the Post Trading Full Late
-1 Phase all position management activities are available.
In the Post Trading Full Late -2 Phase a Member External Position Transfer (with or without cash)
is not possible.
During the phase Holid there is no Exercise, no Abandonment from Automatic Exercise and no
Notification possible. Is a product in Batch Phase no position management actions are available
for the Member.
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5.2
Transaction management
5.2.1
Available adjustments and booking logic
This document uses the terms “transaction”, “transaction adjustment” and “transaction
management” for any transaction in clearing. The term “trade” is only used in the context of a
new on-exchange-trade or a new TES trade4. Release 3.0 will fully integrate standard and
Flexible Contracts, i.e. there will be no difference in processing any transaction adjustment.
C7 provides the following transaction adjustments for transactions:


Transaction separation
Transaction adjustment (to adjust text fields5, Member and beneficiary information for cooperation products (KRX & TAIFEX), and the eGAINS rate identifier)

Transaction open/close adjustment

Transaction account transfer

Give-up/take-up
Clearing Members can only perform transaction adjustments for their own transactions, not for
those of their Non-Clearing Members, unless an outsourcing agreement is in place.
Please note: Transactions that are part of a pending give-up process cannot be adjusted, and the
respective quantity is blocked from position adjustments such as exercise or close-out. Reversed
transactions cannot be adjusted.
5.2.2
Booking logic
C7 processes transaction adjustments in two steps. In a first step, the transaction is generated
that inverse-books the original transaction. This record receives the next available suffix and
references the parent suffix ID. On the GUI, the inverted transaction is marked with status
“inverse”. The original record will be marked with the status “adjusted”, which signifies that the
record cannot be adjusted further.
The next step is an adjusted transaction, which is then booked. This record receives the next
available suffix (or suffixes, in case of separation) and references the parent suffix.
The following table shows an example for a transaction adjustment.
Booking quantity
Transaction
Management
Clg Mbr
Account
Tran ID
Suffix ID
Original
Transaction
ABCFR
A1
456789
0000000000
Account
Transfer
ABCFR
A1
456789
Account
Transfer
ABCFR
EXY
Transaction
Separation
ABCFR
Transaction
Separation
ABCFR
Parent
Suffix ID
O/C
Flag
Status
B/S
Tran Type Tran Qty
Long Qty
Short Qty
O
adjusted
B
000
100
100
0
0000000001 0000000000 O
inverse
B
004
-100
-100
0
456789
0000000002 0000000000 O
adjusted
B
004
100
100
0
EXY
456789
0000000003 0000000002 O
inverse
B
006
-100
0
0
EXY
456789
0000000004 0000000002 O
adjustable
B
006
50
0
0
4. ‘TES Trade’ refers strictly to off-book business being entered/approved via T7 and/or the Eurex Clearing FIXML Interface, i.e. (Strategy) Block Trades, EFP-Fin Trades, EFP-Index Futures Trades, EFS Trades, Vola Trades, Flexible Contracts.
5. Note that text field changes are also supported with all other adjustments.
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Position and transaction management
Booking quantity
Transaction
Management
Clg Mbr
Account
Tran ID
Suffix ID
Transaction
Separation
ABCFR
EXY
456789
Transaction
Separation
ABCFR
EXY
456789
Parent
Suffix ID
O/C
Flag
Status
B/S
Tran Type Tran Qty
Long Qty
Short Qty
0000000005 0000000002 O
adjustable
B
006
25
0
0
0000000006 0000000002 O
adjustable
B
006
25
0
0
C7 allows a practically unlimited number6 of adjustments to one transaction and rejects
adjustments that would lead to errors.
If the transaction quantity of a trade to be closed in a given account (A and P) exceeds the
current open long or current open short quantity in the respective account a closing error will
occur. The system will close out as much quantity as possible and convert the quantity that can
not be closed out into a new opening trade, which is marked as a trade with closing error. In the
FIXML interface this is indicated in the field PositionEffectAction.
The following table shows an example for a trade that is market as a closing error (252525),
indicated by the Transaction Type 010:
Booking quantity
Tran ID
Suffix ID
B/S
O/C Flag
Tran Qty
Tran Type
Long Qty
Short Qty
Trade
323232
0000000000
B
O
100
000
100
0
Trade
789102
0000000000
S
O
120
000
0
120
Trade with
closing error
252525
0000000000
B
C
150
010
30
-120
The following table shows an example where the first buy-to-close trade leads to a closing error
as there exists no open short position:
Booking quantity
Tran ID
Suffix ID
B/S
O/C Flag
Tran Qty
Tran Type
Long Qty
Short Qty
616161
0000000000
B
C
100
010
100
0
Start of day
position
Trade with
closing error
5.2.3
Position-neutral booking
Transaction adjustments that do not change the position are booked position-neutral. This is the
case for transaction adjustments, like text field adjustments, adjustments of the Member/
beneficiary information for cooperation product trades, for adjustments of the eGAINS rate
identifier, transaction separations, and the final price adjustment of variance futures trades.
The following table shows an example for a position neutral booking (text adjustment):
Booking Quantity
Transaction Text1
Management
Tran ID
Suffix ID
Parent
Suffix ID
Status
B/S
Tran Type
Tran Qty
Long Qty
Short Qty
adjusted
B
000
100
100
0
Original
Transaction
TRADETEXT
565656
0000000000
Transaction
Adjustment
TRADETEXT
565656
0000000001 0000000000 inverse
B
005
-100
0
0
Transaction
Adjustment
NEWTEXT
565656
0000000002 0000000000 adjustable
B
005
100
0
0
6. Technically, the limit is determined by the number of available suffixes.
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Position and transaction management
5.2.4
Transaction separation
Members may split one transaction into several smaller ones via transaction separation.
Separations are booked as position-neutral adjustments, i.e. the long/short quantities are “0”.
Technically, the amount of splits is unlimited, functionally the amount of splits is naturally limited
by the transaction quantity. The whole quantity of the original transaction has to be distributed
among the new transactions. That means that the separation process can only be processed if
there is no remaining quantity after the separation.
The following table shows an example for a transaction separation:
Booking Quantity
Transaction Tran ID
Management
5.2.5
Suffix ID
Parent Suffix Status
ID
B/S
Tran Qty
Tran Type
Long Qty
Short Qty
adjusted
B
100
000
100
0
Original
Transaction
787878
0000000000
Transaction
Separation
787878
0000000001
0000000000
inverse
B
-100
006
0
0
Transaction
Separation
787878
0000000002
0000000000
adjustable
B
50
006
0
0
Transaction
Separation
787878
0000000003
0000000000
adjustable
B
30
006
0
0
Transaction
Separation
787878
0000000004
0000000000
adjustable
B
20
006
0
0
Transaction adjustment
The general transaction adjustment is used to modify

text fields

Member and beneficiary information for cooperation products (KRX & TAIFEX)

the eGAINS rate identifier
All of these adjustments are booked position-neutral, i.e. both the long and short booking
quantities are 0.
5.2.5.1
Text field adjustments
Each transaction carries three text fields. C7 supports 36 characters per text field. The character
set is ASCII characters 32-126 with the exception of the exclamation mark (!) and the pipe
symbol (|). The asterisk sign (*) is fully supported. Leading spaces are fully supported, trailing
spaces will be automatically truncated.
Text fields for off-book trades via Eurex’s Trade Entry Service (TES) or for trades entered on T7
are size-limited to 12 characters per field. Once the trade has been reported in C7, the full 36
characters per field are available (via transaction adjustment).
The following table shows an example for a text adjustment
Booking quantity
Transaction Text1
Management
Text2
Text3
Tran ID Suffix ID
Parent
Suffix ID
Status
B/S
Tran
Qty
Tran
Type
Long Qty
Short Qty
adjusted
B
100
000
100
0
B
-100
005
0
0
Original
Transaction
TRDTEXT1
TRDTEXT2 TRDTEXT3 858585 0000000000
Transaction
Adjustment
TRDTEXT1
TRDTEXT2 TRDTEXT3 858585 0000000001 000000000 inverse
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Booking quantity
Transaction Text1
Management
Transaction
Adjustment
5.2.5.2
Text2
Text3
Tran ID Suffix ID
Parent
Suffix ID
Status
B/S
NEWTEXT1 NEWTEXT2 NEWTEXT3 858585 0000000002 000000000 adjustable B
Tran
Qty
Tran
Type
Long Qty
Short Qty
100
005
0
0
Cooperation product Member information
Trades in cooperation products, such as the Eurex/KRX and Eurex/TAIFEX cooperation require
both Member and beneficiary information. In previous releases, this information was contained in
the free text fields. C7 3.0 features the dedicated fields Link Member ID and Link Beneficiary for
Member and beneficiary, which can be modified via transaction adjustment.
The following table shows an example for a change in the Member information for cooperation
products
Booking Quantity
Transaction Tran ID
Management
5.2.5.3
Suffix ID
Parent
Suffix ID
Status
B/S
Tran Qty
Tran Type
Long Qty
Short Qty
Link
Link
Member ID Beneficiary
adjusted
B
100
000
100
0
1234567
ABCDLM
Original
Transaction
232323
0000000000
Transaction
Adjustment
232323
0000000001 000000000 inverse
B
-100
005
0
0
1234567
ABCDLM
Transaction
Adjustment
232323
0000000002 000000000 adjustable
B
100
005
0
0
5678901
ABCDLM
eGAINS rate identifier adjustments
With C7, each transaction can optionally carry a – 1 character long7 – FIA eGAINS rate identifier.
The identifier is reported in C7 as entered on T7 and can be changed or deleted via transaction
adjustment.
The following table shows an example for a change in the eGAINS rate identifier:
Booking Quantity
Transaction
Management
5.2.5.4
Tran ID
Suffix ID
Original
Transaction
456789
Transaction
Adjustment
Transaction
Adjustment
Parent
Suffix ID
Status
B/S
Tran Qty
Tran Type
Long Qty
Short Qty
Rate ID
0000000000
adjusted
B
100
000
100
0
X
456789
0000000001 000000000
inverse
B
-100
005
0
0
X
456789
0000000002 000000000
adjustable
B
100
005
0
0
Y
Making a transaction available on T+x
C7 supports the direct adjustment of transactions during the transaction duration, i.e. for multiple
days after the trade date. For Users of the C7 Derivatives Clearing GUI, this means that they may
inquire and directly modify any transaction throughout its availability. In order to make a “historic”
transaction visible in third party systems, C7 supports non-adjustments, i.e. the adjustment of a
transaction without changing any data with the Transaction Adjustment functionality on the C7
Derivatives Clearing GUI. When a User selects a transaction from T-1 or T-2 on the C7
Derivatives Clearing GUI and enters a “non-adjustment” the suffix is increased and the
appropriate broadcasts are sent via the FIXML Interface, thus making the transaction available
7. Possible characters are upper-case letters, numbers (0 - 9) and special characters.
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again for adjustment in third party systems. Note that – in contrast to previous releases – there is
no “historical trade” indicator on either GUI or FIXML interface. In the RPTCB012 ACCOUNT
STATEMENT report, however, these transactions will be marked as historic transactions.
5.2.6
Transaction open/close adjustment
Members may change the open/close flag for a specific transaction by performing a transaction
open/close adjustment, i.e. a Member can adjust an opening transaction into a closing
transaction and vice versa. Adjustments that would lead to errors are rejected by the system.
The following table shows an example for a transaction open/close adjustment:
Booking Quantity
Transaction
Management
5.2.7
Tran ID
Suffix ID
Original
Transaction
656565
Open/Close
Adjustment
Open/Close
Adjustment
Parent
Suffix ID
Status
B/S
O/C
Tran Qty
Tran Type
Long Qty
Short Qty
0000000000
adjusted
B
O
100
000
100
0
656565
0000000001 000000000
inverse
B
O
-100
002
-100
0
656565
0000000002 000000000
adjustable
B
C
100
002
0
-100
Transaction account transfer
Members can transfer transactions to another account. However, this transfer is only possible
within their own position accounts. The re-booking of a transaction to a net account is not
possible.
General Clearing Members (GCM) can transfer transactions between their own accounts and
those of their Registered Customers (RC). These transfers do not require any approvals. Note
that in contrast to “regular”, Member-internal account transfers the reversal message for the
original transaction is sent to the Source Member, whereas the new transaction message is sent
to the Receiving Member. As for all transaction confirmation messages, the Clearing Member
receives a drop-copy of the new transaction booking message.
The following table shows an example for a transaction account transfer (FLX to A1):
Booking Quantity
5.2.8
Transaction Tran ID
Management
Account
Name
Suffix ID
Original
Transaction
717171
FLX
Account
Transfer
717171
Account
Transfer
717171
Parent
Suffix ID
Status
B/S
O/C
Tran Qty
Tran Type
Long Qty
Short Qty
0000000000
adjusted
B
O
100
000
100
0
FLX
0000000001 000000000
inverse
B
O
-100
004
-100
0
A1
0000000002 000000000
adjustable
B
O
100
004
100
0
Give-up/take-up
Members can transfer transactions to other Members via a give-up. The following conditions
must be met for a transaction to be available for give-up:

The transaction is “to open”

The source account is not held net (i.e. give-up from an M account is not possible)

The transaction duration has not expired

The contract has not expired
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Each give-up process receives an unique process ID, which is independent of the transaction ID.
All give-up/take-up requests by Exchange Members require the approval of their respective
Clearing Member. Clearing Members may specify auto-approval per Exchange Member.
The give-up Clearing Member can approve at any time (i.e. it can be the first, second, or third
action in the process). The take-up Clearing Member can only approve after the take-up
Exchange Member has claimed or taken-up the transaction. If the data entered by the take-up
Clearing Member is not correct the take-up acceptance will be rejected by the system.
Automatic Give-up
Give-up
Pending
Take-up
Cancel
Approve
Give-up*
Cancelled
Reject
Rejected
Approve
Take-up*
Taken-up
*Take-up approval only available pursuant take-up action. Give-up approval can be performed at any time.
The initiating Member can cancel the give-up process as long as the status is “pending”.
“Pending” in a sense that not all approvals have been entered yet, and it has not been rejected
by any of the Clearing Members. Give-up processes are not modifiable pursuant entry. Should a
modification become necessary, the process needs to be cancelled first and submitted anew8.
Note that the system will assign a new, unique process ID. Approvals are only valid for a given
process ID. When a new process is started, approvals need to be submitted again. Take-ups can
only be processed for accounts that are held gross.
Pending give-up processes are not cancelled during a booking cut (EOD processing), but will
automatically be reallocated on the next business day if the conditions for give-up (see above)
are still met and additionally the following is true:

No capital adjustment took place for the product.

The respective position is larger or equal than the number of designated contracts. That might
not be the case if short positions have been reduced due to an assignment or if a position
transfer was processed.
Transactions that are part of a pending give-up process cannot be adjusted.
Trades can be marked for automatic give-up processing upon order entry/off-book trade approval
by specifying account “G2” and the take-up Member on the trading layer. C7 processes incoming
“G2” trades in two steps: First, it books the trade to the A1 or P1 account, as available. In a
second step, the system will automatically trigger a give-up process. Note that this is subject to
the same validations and entitlement checks as any give-up initiated by the Member (i.e. it may
fail if incorrect information was provided, e.g. a wrong take-up Member ID). Workflow broadcasts
8. On the C7 Derivatives Clearing GUI, this can be triggered with a single click on the Cancel+New button
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will be sent as for any other give-up process and the process can be cancelled by the give-up
side if required.
5.2.9
Trade reversals
If a transaction becomes subject to mistrade reversal, C7 will reverse the transaction and all
adjustments that have been applied to the same. Note that mistrade reversals can only occur for
transactions that originated on the current business day. Should the transaction in question be
part of any pending adjustment/workflow, such as give-up/take-up, this workflow will be cancelled
by the system.
The following transaction adjustments will be considered during reversal processing:

Transaction adjustment (text, rate identifier, cooperation product information)

Account transfer

O/C adjustment

Transaction separation

Give-up/take-up
If transaction adjustment activities A  B  C  D have been performed before a transaction
becomes subject to mistrade reversal, first adjustment D will be reversed, then C  B  A. All
reversals receive an increased suffix number. Reversed transactions are not adjustable. Note
that the final reversal, which reverses the original transaction that became a mistrade, will
reference the original parent suffix, and carry transaction type 007 Trade Reversal, making it
distinguishable from a regular inverse booking.
The following table shows an example for the transaction chain of a trade reversal following a
give-up/take-up. Transaction 456789 is reversed by Market Supervision due to mistrade
application:
Transaction
Management
Clg Mbr
Account
Tran ID
Suffix ID
Original
Transaction
ABCFR
A1
456789
0000000000
Manual O/C
Adjustment
ABCFR
A1
Manual O/C
Adjustment
ABCFR
Give-up by
ABCFR
Parent
Suffix ID
O/C Flag
Status
B/S
Tran Type
Qty
C
reversed
B
000
100
456789
0000000001 0000000000 C
reversed
B
002
-100
A1
456789
0000000002 0000000001 O
reversed
B
002
100
ABCFR
A1
456789
0000000003 0000000002 O
reversed
B
020
-100
Take-up by
XYZFR
XYZFR
A2
456789
0000000004 0000000003 O
reversed
B
030
100
Reversal of
Take-up
XYZFR
A2
456789
0000000005 0000000004 O
reversed
B
007
-100
Book in
ABCFR; Giveup cancelled
ABCFR
A1
456789
0000000006 0000000003 O
reversed
B
007
100
Reverse O/C
Adjustment
ABCFR
A1
456789
0000000007 0000000002 O
reversed
B
007
-100
Reverse O/C
Adjustment
ABCFR
A1
456789
0000000008 0000000001 C
reversed
B
007
100
Reverse
Transaction
ABCFR
A1
456789
0000000009 0000000000 C
reversed
B
007
-100
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5.3
Position management
C7 provides the following position management features for positions:

Position close-out/re-opening

Position account transfer

External position transfer (with/without cash)

Exercise/assignments

Automatic exercise

Abandon/Unabandon

Notification/Allocation
Note that position management functionality is not available for cooperation products (Eurex/
KRX and Eurex/TAIFEX).
5.3.1
Position close-out/re-opening
5.3.1.1
Manual close-out/re-open
Members can close-out and re-open positions manually. Closing-out positions reduces the long
and the short side of the position equally. Previously closed-out positions can be re-opened. The
maximum amount available for re-opening cannot exceed the amount of previously closed-out
positions.
Note that the re-opening of positions is not indefinitely available. The period for re-opening is
currently configured to 4 business days by Eurex Clearing.
5.3.1.2
Zero Cost Quantity
The Zero Cost Quantity (ZCQ) is the potential number of contracts that can be closed-out without
late closing fees being charged. The ZCQ is calculated and displayed for all products. Flexible
Contracts are not considered for late closing fees. Only futures and future-style products are
considered for late closing fee. Quantity traded on the actual trading day can be closed-out
immediately (when available the previous ZCQ will be reduced, when no previous quantity is
available the current ZCQ will be reduced instead). Consequently, close-outs entered between
start of day and 13:30 CET will not necessarily influence the previous ZCQ and will never bring
the previous ZCQ to a negative value. After 13:30 CET close-out will always reduce the current
ZCQ only.
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5.3.1.2.1
Historical transaction events
Regarding transactions from previous business days (e.g. take-up of a transaction traded on
T-1), the following logic is applied:

Adjustments to transactions from T-1 are considered when the ZCQ increases (take-up,
received transaction account transfer and transaction open adjustment)

Adjustments to “historical” transaction are not considered when the ZCQ is decreased (giveup, sending transaction account transfers and transaction closing adjustment)

Adjustments to transactions from T-2 (and older) are not considered

The current ZCQ instead of the previous ZCQ will be increased
5.3.1.2.2
Calculation logic
5.3.1.2.3
Current ZCQ
The current ZCQ is calculated as follows:
Current ZCQ
=
trades to open (long and short)
+
transactions booked to open after closing error
+
taken-up to open
+
transactions booked to open after take-up with closing error
-/+ transaction account transfers for transactions to open
5.3.1.2.4
+
transactions to open adjustments
-
transactions to close adjustments
-
current give-ups which were taken-up
-
position close-outs
+
take-ups on transactions from T-1
+
transaction transfers (for destination account) on transactions from T-1
+
transactions to open adjustments on transactions from T-1
+
futures positions created after exercise of options on futures
Previous ZCQ
During the booking cut at EOD, the current ZCQ is transferred to the previous ZCQ. The logic is:

If the current ZCQ > 0, the value is set to the previous ZCQ

If the current ZCQ ≤ 0, the value of previous ZCQ is set as 0
Close-outs until 13:30 CET on T+1 will be calculated against the previous ZCQ as long as
quantity is available. Remaining close-outs will be set off against the current ZCQ.
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In general the following events are not considered for the ZCQ quantity:

Position transfers

Re-open

Trade reversals

Trade to close

Exercise or notification

A give-up of trades from T-2 is treated as neutral
If the ZCQ is negative due to close outs, a late closing fee will be charged at the end of the day.
That is the case if the previous or current ZCQ, respectively, is not sufficient for the amount of
close outs during the day.
The following tables shows a sample calculation of the current and previous ZCQ:
T
Events
Current ZCQ
Previous ZCQ
09:00
start of day
1000
0
11:00
close out (100)
900
0
EOD
The ZCQ is positive, hence no late closing fees are charged.
T
Events
Current ZCQ
Previous ZCQ
09:00
start of day
0
900
11:00
close out (100)
0
800
EOD
The ZCQ is positive, hence no late closing fees are charged.
T
Events
Current ZCQ
Previous ZCQ
09:00
start of day
0
900
11:00
close out (950)
-50
0
14:00
close out (100)
-150
0
0
0
EOD
The ZCQ is negative, late closing fees are charged.
5.3.2
Position account transfer
5.3.2.1
Internal position account transfer between accounts
Positions can be transferred to a different account and partial transfers are supported. Internal
position transfers are executed immediately.
5.3.2.2
External position transfer
Positions can be transferred to another Member (external position transfer). All external position
transfers are real-time and can optionally carry a cash amount. Just as give-up/take-up for
transactions, external position transfers require the approval/acceptance of the initiating and
receiving Member, as well as their respective Clearing Members.
External transfers are currently not supported for accounts held net.
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The total position quantity will only be reduced pursuant successful external transfer, i.e. when all
approvals have been submitted. As long as the transfer process is pending, the designated
quantities will be marked as such and displayed accordingly in the GUI, in addition to the total
quantity.
When the Clearing Member of the source and target accounts is the same, the Clearing Member
will need to approve only once. Multiple approvals will not be required. Similarly, when the
Exchange Member of the source or target account and the Clearing Member of that account are
the same entity, the required approvals will be auto-populated, and the Member will not be
required to approve multiple times.
As long as there are outstanding approvals, the transfer will stay pending until the end-of-day
processing or until the request is canceled by the initiator or rejected/denied by one of the related
parties.
When transferring a position, Members have the choice to adjust the position transfer price and/
or to transfer a cash amount. The system will display the position transfer price which is the price
at which the position transfer is processed:

Previous night’s settlement price for future styled products

Zero for premium styled products
The User can adjust that price by entering a Cash Adjustment Price, which will lead to a
calculated cash adjustment for the position transfer based on the difference between the entered
price and the position transfer price. When this field is not filled the adjustment calculation will not
be performed and the position transfer price will be used unadjusted.
In addition to the adjusted position price, the User can enter a cash amount. The system will
display in addition the total cash amount, which is the sum of the entered cash amount and the
calculated cash from Transfer Price Adjustment.
The calculated cash is = Value per cleared instrument (per lot)9 × Number of contracts, where:

Value per cleared instrument (if long positions are transferred) =
Tick value
-------------------Tick size

 Trading Unit   Previous Nights Settlement Price – Transfer Price Adjustment 
Value per cleared instrument (if short positions are transferred) =
Tick value
---------------Tick size
 Trading Unit   Transfer Price Adjustment – Previous Nights Settlement Price 
This calculation will also apply to the position transfer of premium styled options, where the
previous night’s settlement price will be set to zero. Only cash amounts up to a Clearing House
defined limit (defined per currency) can be transferred. A cash amount can only be transferred for
a specific instrument.
The total cash amount is calculated by the sum of the Entered Cash Amount and the calculated
cash amount from Cash Adjustment Price. A positive amount indicates a credit of the
corresponding amount to the inquiring participant; a negative amount indicates a debit. Please
note that the entry field Cash Transfer Amount does not support the entry of a negative amount.
The User must use the radio buttons Sent respectively Receive instead. For a newly created
9. Rounded to the currency decimals
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future-styled contract, a partial position transfer is not allowed because no previous settlement
price is available.
5.3.2.3
Cash only transfer
Members can also use a position transfer request to transfer cash only. The cash will be booked,
after approval for external position transfers, to the destination account with the next booking cut.
Only cash amounts up to a Clearing House defined limit (defined per currency) can be
transferred. A cash amount can only be transferred for a specific instrument.
5.3.3
Automatic exercise
The automatic exercise of positions in all types of option products is supported. The ITM for
Automatic Exercise – Maintenance window on the C7 Derivatives Clearing GUI allows the
Member to inquire and maintain rules for the automatic exercise processing. Members can set inthe-money (ITM) amounts per product and account. Upon processing of the automatic exercise
all positions that are sufficiently in-the-money and not abandoned are exercised. Note that
automatic exercise only applies on the expiration day, regardless of the option style (American/
European).
Important
During the migration process from Eurex 14 to C7 release 3.0, ITM amounts/settings are not
automatically migrated, but must be set manually by Members. The initial setup will be to ECAG
defaults, which are:

5.3.4
0.01 for currencies with 2 decimal places
Manual exercise
The Exercise Overview window on the C7 Derivatives Clearing GUI allows Members to manually
exercise open long positions and to enter exercise adjustments. The window offers a filter
functionality allowing the User to filter for unexercised, exercised and abandoned positions using
the appropriate checkboxes.
The window offers a deferred underlying price feed to calculate the in-the-money amount.
The checkboxes In-the-Money and Out-of-the-Money allow the User to filter based on the
reference price.
A dialog box informs the User in case he tries to exercise an out-of-the money option. If this
warning is confirmed, the option is exercised anyway. The exercise of cash settled options that
are out-of-the-money is rejected.
Open long positions can be exercised via the Exercise request in the Eurex Clearing FIXML
Interface. The request message is confirmed by a PositionMaintenanceReport response and a
broadcast (see below) is sent upon successful processing.
The Eurex Clearing FIXML Interface sends a PositionMaintenanceReport message once a
position has been updated due to manual/automatic exercise, exercise adjustment or
assignment. This applies to exercise requests entered either via GUI or FIXML.
5.3.5
Assignment
During the daily assignment procedure all exercised contracts are randomly assigned to the
holders. The exercised positions and assigned positions per option contract are displayed on the
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C7 Derivatives Clearing GUI in the Exercise Assignment Overview window as well as
communicated via reports.
5.3.6
Abandon/Unabandon
In order to exclude an option position (total or partial) from automatic exercise, Members can use
the Exercise Overview window (Abandon tab) on the C7 Derivatives Clearing GUI. The quantity
to be abandoned can be adjusted by filling in the Abandon Qty Change field. It can be increased
or decreased by entering a positive or a negative value. If a positive value is entered, it may
exceed the current open long position. However, a negative value must not exceed the
previously abandoned quantity. Note that only expiring positions can be abandoned on expiration
day.
5.3.7
Notification
Holders of short positions in physically settled products indicate their choice of deliverable from a
basket via notification on the expiry date. Notification is done by Clearing Members only. The
notification process is only available for open short positions that have a basket of deliverables
and needs to be performed on the C7 Derivatives Clearing GUI. A single position can be notified
by using multiple securities out of the basket of deliverables (partial notifications), e.g. a position
of 100 can have 2 securities notified for delivery with a quantity of 50 each.
Once the notification process is completed, the Clearing House allocates the deliverable to the
holders of the other side of the respective position – the allocation process (see below).
Deletion of a notification can be achieved by entering a new notification request with a negative
value of the already requested quantity on the day of the notification entry and before allocation.
Also, quantity changes can be done by entering new notification requests with either a positive or
negative quantity to add to the already requested one.
5.3.8
Allocation
The securities nominated in the notification process are randomly allocated by the Clearing
House to the holders of the long position in physically settled products. Clearing Members are
informed of the allocations on the same business day. The notified and allocated securities are
displayed on the C7 Derivatives Clearing GUI as well communicated via reports.
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Handling of preliminary variance futures trades
6
Handling of preliminary variance futures trades
Variance futures trades executed on T7 are reported both in their preliminary and final states on
C7. Once the trade is final, the preliminary trade is automatically inverse booked and the final
trade will be re-booked with the final price. The final trade booking is position-neutral. Note that
only final trades are available for transaction adjustments, preliminary priced trades cannot be
adjusted. Position adjustments are available for variance future positions.
The following example shows the booking handling of a preliminary variance future trade:
Transaction
Management
Clg Mbr
Account
Tran ID
Trade Price Suffix ID
ABCFR
A1
456789
800
0000000000
Automatic inverse
booking of
ABCFR
preliminary
transaction
A1
456789
800
0000000001
Rebooking with
final price
A1
456789
850
0000000002
Initial
preliminary
transaction
ABCFR
Parent Suffix
ID
Status
B/S
Tran
Type
Qty
Cleared
Indicator
not
adjustable
B
000
100
4
0000000000
not
adjustable
B
013
-100
4
0000000000
adjustable
B
013
100
The initial transaction with a preliminary price is booked with a cleared indicator “4”. This
preliminary transaction is “not adjustable”. In this example the trade has a suffix ID
“0000000000”. With the final trade the preliminary transaction gets automatically inverse booked
with the preliminary price. The inverse booking receives in this example the next available suffix
ID “0000000001” and carries the parent suffix ID “0000000000”. In a final step the transaction
gets rebooked with the final price. This transaction is now in the status “adjustable”. The suffix ID
is again increased, to “0000000002”, and carries the parent suffix ID “0000000000”.
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