eurex circular 067/00

e u r e x circular 067/00
Date:
Recipients:
Frankfurt, 15 August 2000
All Eurex members and vendors
Authorised by:
Jürg Spillmann
U
Action Required
U
High Priority
Eurex Release 4.1/EEX and IC Release 2000 – Further Information
Related Eurex Circulars: 041/00, 043/00
Contact: Eurex Functional Member Readiness: Tel. +49 (0)69-2101-1700
Content may be most important for:
Ü
Ü
Ü
Ü
Front Office / Trading
Middle + Back Office
IT / System Administration
Auditing / Security Administration
Attachments:
1. Eurex 4.1/EEX Functional Release Notes
2. Eurex 4.1/EEX Technical Release Notes
3. IC Release 2000 Functional Release Notes
4. IC Release 2000 Technical Release Notes
5. Eurex Release 4.1 Simulation Guide
6. Simulation Registration Fax Reply
7. List of Published Member Manuals
You will find attached the final version of the Release Notes for the forthcoming Eurex release, to be introduced in two
phases in October/ November 2000. Separate Functional and Technical Release Notes are issued for Eurex 4.1/EEX
and for IC Release 2000 (Attachments 1 to 4).
We also attach the guide to Eurex Release 4.1 Simulation (Attachment 5) which will be carried out in two phases. The
first phase begins on 04 September, 2000, and all members are requested to register for simulation using the fax reply
attached (Attachment 6).
The Simulation versions of the majority of the Release 4.1 Member Manuals will be published on the restricted part of
our web-site ‘www.eurexchange.com’ at ‘info for members / manuals’ later today. This area of the web-site has been
restructured, but is self-explanatory. The manuals describing the Eurex Financial Data Disseminator interfaces have
now been added. Attachment 7 gives a list of updated manuals to be published and expected publication dates for the
remainder. You will be informed via circular if there are any further delays to the publication dates of these manuals.
In addition to the member manuals the Final version of the Release 4.1 Member Front End Development Guide giving
details of the VALUES API will also be published on August 15, 2000. These documents can be found on our web-site
under ‘entrance hall / access to Eurex / programming to Eurex ‘. At the same location you will also find updated header
files for the VALUES API Developer’s kit conforming to the Final version of the interface specifications. There are no
changes to the files of the developer’s kit itself, but the version descriptor has been updated from ‘Programming’ to
‘Final’.
Eurex Deutschland
Börsenplatz 7 - 11
D-60313 Frankfurt am Main
www.eurexchange.com
Eurex Member Readiness
Tel. +49 (0)69-2101-1700
Fax +49 (0)69-2101-1701
Alternative
Tel. +49 (0)69-9770-1700
Fax +49 (0)69-9770-1701
Management Board:
Dr. Jörg Franke, Otto E. Nägeli
Andreas Preuß, Jürg Spillmann
Eurex Release 4.1/EEX
Functional Release Notes
© Eurex 2000
All proprietary rights and interest in this publication shall be vested in Eurex Administration
and Management (”Eurex”) and all other rights including, but without limitation, patent,
registered design, copyright, trade mark, service mark, connected with this publication shall
also be vested in Eurex.
Whilst all reasonable care has been taken to ensure that the details contained in this
publication are accurate and not misleading at the time of publication, no liability is accepted
by Eurex for the use of information contained herein in any circumstances connected with
actual trading or otherwise. Neither Eurex, nor its servants nor agents, is responsible for any
errors or omissions contained in this publication which is published for information only and
shall not constitute investment advice. This brochure is not intended for solicitation purposes
but only for the use of general information.
All descriptions, examples and calculations contained in this publication are for guidance
purposes only and should not be treated as definitive. Eurex reserves the right to alter any of
its rules or contract specifications, and such an event may affect the validity of information in
this publication.
_® Eurex is a registered trademark
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Table of Contents
Page 1
Table of Contents
1
General Information
3
2
Functional Changes for Eurex Release 4.1
5
2.1
Product State HOLIDAY
5
2.2
New Duration Formula for OTC Basis Trades
5
2.3
OTC Block Trades for Futures
6
2.4
Multiple Entry Functionality for OTC Block Trade Entry Window
7
2.5
File Export Function Enhancement
7
3
Introduction of European Energy Exchange (EEX) Derivatives Market
9
3.1
Characteristics of EEX Derivatives Market compared to Eurex
9
3.2
3.2.1
3.2.2
New Reports for EEX Derivatives Market
Liquidating Values Report for EEX Products (RPTCC042)
Additional Margin Report for EEX Products (RPTCC047)
10
10
11
3.2.3
EEX Open Delivery Positions Report (RPTCE120)
11
4
Modified Screens/Windows and Reports
12
4.1
New Graphical User Interface for Trading: @X-ceed
12
4.1.1
4.1.2
4.1.3
Printing
Audio Signaling
Sorting
12
12
13
4.1.4
4.1.5
4.1.6
Additional Filtering
Columns Freeze
Maintenance of the Last Order
13
13
13
4.1.7
4.1.8
Update Button
File Export
13
13
4.2
Graphical User Interface for Clearing
14
4.2.1
4.2.2
4.2.3
Printing
Update Button
File Export
14
14
14
4.3
Changes in the Exercise Overview Window
14
5
Appendix A – List of Modifications
15
5.1
Screens
15
5.2
Windows – Trading System X-ceed
16
5.3
Windows – New Trading System @X-ceed
16
5.4
Windows – Clearing System X-tract
18
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
General Information
As of: 10/30/2000
Page 2
5.5
Reports
19
6
Appendix B – Eurex Documentation
22
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
General Information
1
Page 3
General Information
This document contains the functional release notes for Eurex Release 4.1 and EEX Derivatives
Market Release 1.0.
The focus of Eurex Release 4.1 is the introduction of the following features:
•
Product state HOLIDAY
•
New Duration formula for OTC Basis Trades
•
System support for OTC Block trading for Futures
•
Multiple entry functionality for OTC Block Trade Entry Window for the new graphical user
interface (GUI) for trading @X-ceed
Another focus is the introduction of the Derivatives Market of the European Energy Exchange
(EEX). EEX Derivatives Market provides a facility to trade commodity derivatives where the
underlying commodity is electricity. Technically, EEX Derivatives Market will run as a part of the
technical environment of the Eurex system.
Eurex/EEX Derivatives Market is providing a new additional graphical user interface (GUI) for
Trading: @X-ceed. Only changes related to business functionality are described in detail in this
document. Other enhancements concern the following areas:
•
Printing
•
Audio signaling
•
Sorting
•
Additional filtering
•
Columns freeze (Trading GUI only)
•
Last Order Maintenance
•
Update button
•
File export
For further detailed information about the changed Trading GUI functionality please refer to the
new @X-ceed Eurex Trading Users Guide, to be published in September 2000. The existing
graphical user interface for Trading will also be supported for Eurex Release 4.1 but not made
available for EEX Derivatives Market members.
Eurex/EEX Derivatives Market is providing enhancements for the graphical user interface (GUI)
for Clearing (X-tract). Only changes related to business functionality are described in detail in
this document. Other enhancements concern the following areas:
•
Print functionality
•
Update button
•
File export
•
Changes in Exercise Overview
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
General Information
Page 4
For further detailed information about the changed Clearing GUI functionality please refer to the
Eurex Clearing System User Guide, to be published in August 2000.
The system changes for Eurex Release 4.1/EEX Derivatives Market Release 1.0 are rolled out
in two steps. The first part will be rolled out on 30.10.2000. The second part will be rolled out on
27.11.2000. It is stated at the respective places in this document when the system capabilities
for a specific functionality will become available. The following table gives an overview:
Changed/New Functionality
Availability
Product state HOLIDAY
30.10.2000
New Duration formula for OTC Basis Trades
30.10.2000
OTC Block trading for Futures
To be announced1
Enhancements for the Graphical User Interface for
Clearing X-tract
30.10.2000
New Graphical User Interface for Trading @X-ceed
(including multiple entry functionality for OTC Block
Trade Entry Window)
27.11.2000
European Energy Exchange (EEX) Derivatives Market
27.11.20002
A list of new and updated documentation is attached in Appendix B. It will be provided in August
2000.
In this document the term ‘Eurex Release 4.1’ refers to the electronic system that serves both
organizations Eurex and EEX Derivatives Market in common.
1
2
Technically available on all front-end platforms from 27.11.2000 (for details, please refer to chapter 2.3).
EEX is technically available as of 27.11.2000, but the exact introduction date will be announced by EEX. Amendments
to screens and reports for later support of EEX Derivatives Market will be introduced on 30.10.2000.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Functional Changes for Eurex Release 4.1
2
Functional Changes for Eurex Release 4.1
2.1
Product State HOLIDAY
Page 5
With Eurex Release 4.1 a new product state HOLIDAY (HOLID) is introduced to indicate that a
product is not traded, for example due to a country-specific holiday, although the respective
date is in general an exchange business day.. All trading associated transactions are disabled
for products in the product state HOLIDAY. This includes give-ups/take-ups, posting, position
maintenance, trade adjustments and exercise/notification.
Historical trade transfer and historical give ups / take ups are not possible for a product on the
day after the holiday.
Margining calculation for products in the product state HOLIDAY is not changed (except the
settlement price from the previous day is used).
The functionality for the product state HOLIDAY will become available on 30.10.2000.
2.2
New Duration Formula for OTC Basis Trades
With Eurex Release 4.1 a new Duration formula in the Eurex OTC- Basis Trade Facility is
introduced in order to calculate the correct Hedge Ratio (Cash Bond/Future). The Duration
Method is the most commonly used hedge type to adjust the sensitivity of the bond on the yield
curve.
The new duration formula will become available on 30.10.2000.
The hedge ratio is calculated as follows:
(1) First Step: Calculation of the Duration formula:
CF t
M
MacaulyDuration
=
∑ T * (1 + y )
t
t =1
M
Tt
CF t
∑ (1 + y)
t =1
t
Tt
= Period when cash flow received
CFt
= value of cash flow at time t
Tt = time in years to cash flow t
M = total numbers of cash flows
y = yield to maturity
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Functional Changes for Eurex Release 4.1
Page 6
(2) Second Step: Calculate the Modified Duration
ModifiedDuration =
MacaulyDuration
y

1 + 
k

k = number of coupons per year
(3) Third Step: Calculate the Hedge Ratio
HedgeRatio =
2.3
FaceAmount CB ModD CB Dirty Pr ice CB
*
*
* PF CTD
NotionalSizeFut ModD CTD Dirty Pr ice CTD
FaceAmount CB =
Nominal Value of the Cash Bond
NotionalSizeFut =
Contract Value
ModDCB
=
Modified Duration Cash Bond
ModDCTD
=
Modified Duration CTD
DirtyPriceCB
=
CashPriceCB+AccruedInterestCB
DirtyPriceCTD
=
CashPriceCTD +AccruedInterestCTD
PFCTD
=
Price factor CTD
OTC Block Trades for Futures
OTC Block Trade Entry enables Eurex members to clear OTC contracts through the clearing
system of Eurex. This feature allows members to trade large orders without the risk of several
partial executions.
Currently OTC Block Trades are only supported for Options. With Release 4.1 the Eurex trading
system will support an OTC Block Trade Entry for Futures. Price-time matched Futures as well
as pro-rata matched Futures are supported.
The functionality to trade OTC Block Trades of Futures will be released individually per product.
The introduction date will be announced in time. The system support for this functionality on all
front-end platforms will become available on 27.11.2000.
An OTC Block Trade Entry for Futures requires the same steps as for Options. The basic steps
are outlined as follows:
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Functional Changes for Eurex Release 4.1
Page 7
First, the buyer of the contract enters a request for an OTC Block Trade. After a successful
entry, he receives a transaction number from the system that he must transmit to the seller.
Second, to complete the OTC Block Trade, the seller of the contract must approve the request.
For that purpose he uses the transaction number that he has received from the buyer to retrieve
the transaction.
With Eurex Release 4.1 the trade types ‘O’ for OTC Block Trades and ‘B’ for OTC Basis Trades
will be displayed additionally on several screens and windows. The trade type is introduced as
filter criteria on several windows.
2.4
Multiple Entry Functionality for OTC Block Trade Entry Window
Currently with the graphical user interface for Trading OTC Block Trades must be submitted or
approved separately. With Eurex Release 4.1 the new graphical user interface for trading @Xceed includes an OTC Block Trade Entry window that allows to specify multiple OTC Block
Trades. The handling is analogous to the Mass Quote Entry Window. The buyer may enter
multiple OTC Block Trades and submit them afterwards with one action. The seller is allowed to
retrieve several Block Trades, collecting them in the list box and to approve them afterwards
with one action.
Multiple entry functionality for OTC Block Trade entry will become available on 27.11.2000.
2.5
File Export Function Enhancement
The users of the X-tract Clearing GUI are enabled to export screens or selections of a screen as
tables in CSV format. The contents of such a table can be handled with a third-party-tool like
Windows Excel.
The export menu item is incorporated for the following windows:
-
Position Overview
-
Position Detail Overview
-
Position Transfer Overview
-
Give up Overview
-
Take up Overview
-
Exercise Overview
-
Exercise Assignment Summary Overview
-
Notification Overview
-
Notification Allocation Summary Overview
-
Delivery Overview
-
Settlement Price Overview
-
Main Message Log
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Functional Changes for Eurex Release 4.1
-
Page 8
Market Supervision Messages
When the user clicks the Export menu item, the Export window pops up. The text field "File
name" shows an appropriate name for the table the user wants to select.
When exporting data to files, the file selection dialogue is used which allows browsing of the file
system and to select a file. Using the dialogue one may browse the file system to check other
directories as well. The filename gets the extension ".txt". The exported data will be stored in the
csv - comma seperated values format.If the file already exists a confirmation dialogue pops up.
A preselected path can be defined in the file ecl.cfg with the key "exportpath".
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Introduction of European Energy Exchange (EEX) Derivatives
3
Page 9
Introduction of European Energy Exchange (EEX) Derivatives Market
The EEX (European Energy Exchange) Derivatives Market is a separate legal exchange entity
using the Eurex system infrastructure. Products of the EEX Derivatives Market are commodity
derivatives (Futures) where the underlying commodity is energy (i.e. Electricity). During EEX
Derivatives Market trading hours, EEX exchange members can trade Futures of the EEX
Derivatives Market and create open positions. An open position represents the quantity of the
underlying energy commodity that an exchange member has to deliver (short position) or accept
delivery (long position) upon expiration of the Futures contract.
The system capabilities for EEX Derivatives Market will become available on 27.11.2000.
Amendments to screens and reports supporting EEX Derivatives Market will be introduced
earlier on 30.10.2000.
3.1
Characteristics of EEX Derivatives Market compared to Eurex
•
EEX Derivatives Market and Eurex will share the same hardware, system software and
business application software infrastructure.
•
The trading and clearing front-ends that are provided for EEX Derivatives Market are the
new GUI-based trading application of the Eurex system and the GUI-based clearing
application of the Eurex system. EEX Derivatives Market trading and clearing is not
supported via the UD application of the Eurex. EEX Derivatives Market members are
provided with the GUI front end (Trading and Clearing) and the Ported FMS screens. The
current functionality provided by the Trading and Clearing API will be available to EEX
Derivatives Market members.
•
Futures for EEX Derivatives Market are incorporated in the Eurex system as products.
Normally they are not processed differently from Eurex products by the trading engine, the
clearing interfaces or reports.
•
EEX Derivatives Market members will be allowed to trade products of the EEX Derivatives
Market only. EEX Derivatives Market members are provided with an own member ID. In
case that a legal entity being member at Eurex and EEX Derivatives Market it has two
different member IDs, one member ID for EEX Derivatives Market allowing to trade and clear
products of EEX Derivatives Market only and one member ID for Eurex allowing to trade and
clear Eurex products only.
•
Futures on energy are traded like financial Futures in the current Eurex system. A new type
of “Over the Counter” (OTC) trade, called “Exchange of Futures for Physicals” (EFP), is
supported for products of EEX Derivatives Market. For OTC Block Trades the order number
will be left blank.
•
Due to the introduction of the EFP functionality for EEX Derivatives Market the following
areas/functionality are enhanced to support EFP trades:
-
Give Up / Take Up functionality
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Introduction of European Energy Exchange (EEX) Derivatives
Page 10
•
The trading unit of a contract of EEX Derivatives Market varies based on the number of
delivery days within a delivery month according to the EEX Derivatives Market contract
specifications.
•
A delivery month is assumed to be identical to the appropriate calendar month, according to
the EEX Derivatives Market contract specifications.
•
For all products of EEX Derivatives Market master data and public market data of the EEX
Derivatives Market are distributed via Financial Data Dissemination (FDD) and are available
as for Futures. The variable contract unit for the products of EEX Derivatives Market is sent
as contract size information where applicable.
•
The following enhancements/amendments in the margining area are provided for products of
EEX Derivatives Market:
-
Additional Margin calculation is based on a contract level and not margin class level. This
means that the long and short positions for different expiration months will not be netted
against each other at the margin class level.
-
No spread margin will be calculated for products of EEX Derivatives Market, i.e., no
position netting (long and short position) between different contracts within a product is
done, as futures contracts on electricity do not correlate in the same way as financial
derivatives.
-
A new delivery margin will be introduced, to cover the financial risk during the phase of
physical delivery of a contract.
•
Some new reports are introduced and several existing reports are enhanced (refer to the
following section and appendix A)
•
Several windows and screens are enhanced (refer to appendix A)
3.2
New Reports for EEX Derivatives Market
3.2.1
Liquidating Values Report for EEX Products (RPTCC042)
A new Liquidating values report will be created to show the “Variation” per contract and not per
margin class for products of EEX Derivatives Market. This is necessary in order to prevent
netting between contracts.
EUREX
RPTCC042
LIQUIDATING VALUES FOR EEX PRODUCTS
(DOWNSIDE)
PAGE:
149
AS OF DATE: 08-11-00
RUN DATE: 08-11-00
CLEARING MEMBER: TUBDU HSBC TRINKAUS & BURKHARDT KGAA
ACCOUNT: PP
CURRENCY: EUR
EXCHANGE MEMBER: TRD001 TRADER 1
MARGIN GROUP: FELX
MARGIN CLASS: EEX - ELECTRICITY
PRODUCT/
NET
UNIT
CURRENT
MINIMUM
RISK
CONTRACTS
POS
VAL
VALUE
VALUE
VALUE
VARIATION
---------------------------- ---------- ------------------------------------------------------- --------------FEX1
99.50
98.80
98.80
FEX1 DEC 00
FEX1 JAN 01
FEX1 FEB 01
10 L
20 S
30 L
1000.0000
1000.0000
1000.0000
995,000.002,000,000.00
3,045,000.00-----------------
988,000.001,986,000.00
3,024,000.00----------------
988,000.001,986,000.00
3,024,000.00-----------------
7,000.0014,000.0021,000.00
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Introduction of European Energy Exchange (EEX) Derivatives
3.2.2
Page 11
Additional Margin Report for EEX Products (RPTCC047)
A new Additional Margin Report will be created to show the margin requirement for products of
EEX Derivatives Market on a contract basis.
EUREX
RPTCC047
ADDITIONAL MARGIN FOR EEX PRODUCTS
CLEARING MEMBER: TUBDU HSBC TRINKAUS & BURKHARDT KGAA
EXCHANGE MEMBER: ALLHH ALLERS BÖRSENHANDEL GMBH
MARGIN GROUP: FELX
PRODUCT/
CLS
UPSIDE
CONTRACTS
CUR
CLASS CURR
------------------ --- --------------FEX1 DEC 00
EUR
7,000.00
FEX1 JAN 01
EUR
14,000.00
FEX1 FEB 01
EUR
21,000.00FELX
3.2.3
DOWNSIDE
CLASS CURR
--------------7,000.0014,000.0021,000.00
TOTAL:
ACCOUNT: PP
OFFSET
FACTOR
-----0.00
0.00
0.00
PAGE:
8
AS OF DATE: 08-11-00
RUN DATE: 08-11-00
CLEARING CURRENCY: EUR
ADJUSTED
ADJUSTED
ADDITIONAL
EXCHANGE RATE
UPSIDE (EUR)
DOWNSIDE (EUR)
MARGIN
---------------- ---------------- ---------------- ---------------1.000000
7,000.00
0.00
7,000.00
1.000000
14,000.00
0.00
14,000.00
1.000000
0.00
21,000.00
21,000.00
---------------- ---------------21,000.00
21,000.00
EEX Open Delivery Positions Report (RPTCE120)
The EEX Open Delivery Positions Report (RPTCE120) is a new report tailored for products of
EEX Derivatives Market. The report lists all open positions for expired contracts of EEX
Derivatives Market after the last trading day per exchange member and differentiated by agent
accounts (both long and short open positions) and the proprietary accounts (netted open
positions). The listed open positions will be delivered physically. The report is distributed to the
EEX Derivatives Market Exchange Members and EEX Derivatives Market Clearing Members.
Eurex
RPTCE120
EEX OPEN DELIVERY POSITIONS REPORT
PAGE:
1
AS OF DATE: 18-10-00
RUN DATE: 18-10-00
CLEARING MEMBER: DEFEX DEF BANK (1)
PRODUCT TYPE
: FENE FUTURE ON ENERGY (2)
CONTRACT
: FEN1 NOV 00 (3)
TRADING UNIT
:
285 (5)
(6)
(7)
(8)
(9)
EXC MBR ID LONG (A1) SHORT (A1) NET POSITIONS (PP)
---------- --------- ---------- -----------------DEFEX
150
-50
-50
CURRENCY: EUR (4)
(10)
(11)
(12)
INV AMT LONG (A1) INV AMT SHORT (A1) INV AMT NET (PP)
----------------- ------------------ ---------------150,000.00
-50,000.00
-50.000.00
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Modified Screens/Windows and Reports
4
Page 12
Modified Screens/Windows and Reports
A list of all modified and added screens and reports including a brief description of the changes
can be found as follows.
Detailed descriptions will be published in Eurex Member User Manual Clearing (X0004000),
Eurex Member User Manual Trading (X0003900), Eurex Clearing System User Guide
(X0006100), Eurex Trading System User Guide (X0003800) and the new @X-ceed Eurex
Trading Users Guide (X0006900).
4.1
New Graphical User Interface for Trading: @X-ceed
Based on the VALUES interface, Eurex provides a new graphical user interfaces (GUI) for
trading: @X-ceed. For a detailed description of @X-ceed, please refer to the @X-ceed Eurex
Trading Users Guide (X0006900).
Technical enhancements compared to the old GUI X-ceed concern the following areas:
4.1.1
•
Printing
•
Audio signaling
•
Sorting
•
Additional filtering
•
Columns freeze
•
Maintenance of the last order
•
Update button
•
File Export
Printing
With @X-ceed the users have the possibility to make print-outs of the table contents for several
screens. Header and footer lines are printed on each side with informational data. The printer
can be selected for each print transaction. The standard printer is used as default.
4.1.2
Audio Signaling
This functionality provides the signaling of events by sounds for the following events:
•
Trade executions for the own Trader ID
•
Transition of the Trading Phase for a certain product or certain set of products (Profile)
The actual sound to be played is user defined to differentiate the signal with other applications.
A new window is created in the Settings menu to map the event to a profile and to select a
specific sound file, that is played once the event is triggered.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Modified Screens/Windows and Reports
4.1.3
Page 13
Sorting
This functionality provides the possibility to define the sort order of data rows in several
windows. The sort functionality is similar to the sorting in Microsoft-Excel.
4.1.4
Additional Filtering
This functionality provides additional filter criteria on several windows. The following filter criteria
may be used: Trader ID, Account, Customer, Text, MIOrdNo, Price, Order Number, TradeNo .
Additionally it is possible to filter by Date, Time and TradeType.. One filter window is used for all
windows.
4.1.5
Columns Freeze
With this functionality the users have the possibility to “freeze” leading columns. This columns
will stay at their place when scrolling to the right. The columns freeze functionality is only
implemented in the Trading GUIs.
4.1.6
Maintenance of the Last Order
This functionality provides the possibility to quickly modify or delete the order that has been
entered last. A new item in the menu bar is introduced on the main menu. From all other
windows (Fast Order Entry, Rapid Order Entry, Order Entry, Own Order Overview) access is
possible via a shortcut. By selecting this item or the respective short-cut a window is displayed
that is filled with the previously entered order data. A deletion is performed by submitting the
request.
4.1.7
Update Button
For @X-ceed an update button is introduced for several windows.
4.1.8
File Export
With Eurex Release 4.1 on several screens the users are enabled to export screens or
selections of a screen as tables in CSV format. The contents of such a table can be handled
with a third-party-tool like Windows Excel. The export is triggered when the export menu item is
selected. The export menu item is part of the menu "Window". One can browse the file system
and choose the name of the exported file.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
Modified Screens/Windows and Reports
4.2
As of: 10/30/2000
Page 14
Graphical User Interface for Clearing
The following enhancements for the graphical user interface (GUI) for Clearing. are introduced:
4.2.1
•
Print functionality
•
Update button
•
File export
•
Changes in Exercise Overview
Printing
With Eurex Release 4.1 the users have the possibility to make print-outs of the table contents
for several screens. Header and footer lines are printed on each side with informational data.
The printer can be selected for each print transaction. The standard printer is used as default.
4.2.2
Update Button
An update button is introduced for several windows of the Graphical User Interface for Clearing.
4.2.3
File Export
With Eurex Release 4.1 on several screens the users are enabled to export screens or
selections of a screen as tables in CSV format. The contents of such a table can be handled
with a third-party-tool like Windows Excel. The export is triggered when the export menu item is
selected. The export menu item is part of the menu "Window". One can browse the file system
and choose the name of the exported file.
4.3
Changes in the Exercise Overview Window
The filter functionality of the Exercise Overview Window is enhanced. It is additionally possible
to filter a profile plus the expiration month/year, to inquire on all expiring positions.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
5
Page 15
Appendix A – List of Modifications
The screens, windows and reports are listed that have been modified for Eurex Release 4.1 are
as follows:.
Modifications to the layouts of screens, windows and reports will be introduced on 30.10.2000
with the exception of the new graphical user interface (GUI) for Trading that will become
available on 27.11.2000.
New field entries for Eurex will become available on 27.11.2000 with the exception of the new
product state HOLIDAY that will become available on 30.10.2000. New field entries for EEX
Derivatives Market will become available with the start of EEX Derivatives Market.
5.1
Screens
ID
Screen long name
Org.
Short description of change
A047
USER SETUP - GUI
INQUIRY
EEX
This screen is enhanced to include an entry for
the resource of the new EFP Trading VALUES
application requests.
C075
BLOCK TRADE
ENTRY
Eurex
The OTC Block Trade Entry Screen is enhanced
to support Block Trades for Futures.
C080
ONLINE TIME AND
SALES SHEET
Eurex,
EEX
The Online Time and Sales Sheet screen (C080)
is enhanced to accept the trade types “E” and “O”
to distinguish OTC Block Trades (“O”), OTC Basis
Trades (“B”), EFP Trades (“E”) and on-exchange
trades.
F020
POSITION DETAIL
INQUIRY SCREEN
EEX
The Position Detail Inquiry screen (F020) is
enhanced to support EFP trades. The trade type
indicator column (TT) is enhanced to identify also
EFP Trades by displaying an “E” in the respective
column.
F050
CLEARING
INSTRUCTION
SELECTION
EEX
The Clearing Instruction Screen (F050) is
enhanced to display trade separations of EFP
Trades with trade type “E”.
J010
MEMBER REPORT
SELECTION
EEX
The selection on this screen is enhanced to
include Open Delivery Positions report
(RPTCE120)
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
5.2
5.3
Page 16
ID
Screen long name
Org.
Short description of change
N020
GIVE-UP
DESIGNATION BY
ORDER
Eurex
The Give Up Designation by Order screen (N020)
is enhanced to display the trade type to
distinguish between OTC Basis Trades (“B”) and
on-exchange trades.
N030
GIVE-UP
DESIGNATION BY
TRANSACTION
EEX
The Give Up Designation by Transaction screen
(N030) is enhanced to distinguish EFP Trades
from other on-exchange trades. The prompt field
TRADE TYPE is enhanced to accept the new type
“E” for retrieving EFP Trades.
N050
TAKE-UP
ACCEPTANCE BY
ORDER
Eurex
The Take-up Acceptance by Order (N050) is
enhanced to display the trade type to distinguish
OTC Basis Trades (“B”) and on-exchange trades.
N060
TAKE-UP
ACCEPTANCE BY
TRANSACTION
EEX
The Take-up Acceptance by Transaction (N060)
is enhanced to distinguish EFP Trades from onexchange trades. The prompt field TRADE TYPE
is enhanced to accept the new type “E” for
retrieving EFP Trades.
G010
DAILY MARGIN
INQUIRY
EEX
The Daily Margin Inquiry screen (G010) is
enhanced to display the new delivery margin.
Windows – Trading System X-ceed
Window name
Org.
Short description of change
MARKET
OVERVIEW
Eurex
The Market Overview Window displays the indicator HOLID
for the new product state HOLIDAY.
Windows – New Trading System @X-ceed
For the windows of the new graphical user interface for Trading only modifications compared to
the corresponding windows of the existing graphical user interface for Trading are listed.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
Page 17
Window name
Org.
Short description of change
ONLINE TIME AND
SALES SHEET
Eurex,
EEX
The Online Time and Sales Sheet window is enhanced to
distinguish OTC Block Trades (“O”), OTC Basis Trades
(“B”), EFP Trades (“E”) and on-exchange trades.
OWN TRADE
OVERVIEW
EEX
The Own Trade Overview window is enhanced to
distinguish EFP Trades from on-exchange trades. The
following changes are done for EFP trades:
•
For the trade type an “E” will be displayed
•
For the order type an “F” will be displayed
MAIN MENU
WINDOW
Eurex,
EEX
A new menu item “OTC” is included. The “OTC Block/Basis
Trade” menu items are moved from “Trading” to the “OTC”
menu item. A new menu item “EFP Trade Entry” is placed
under the “OTC” menu item.
MARKET
OVERVIEW
EEX,
Eurex
An additional column TrdUnit is introduced that displays the
contract size. In case of EEX products the contract size is
represented by the variable contract unit.
The Market Overview Window displays the indicator HOLID
for the new product state HOLIDAY.
CONTRACT
OVERVIEW
Eurex,
EEX
An additional column TrdUnit is introduced that displays the
contract size. In case of EEX products the contract size is
represented by the variable contract unit.
TRADING FILTER
Eurex,
EEX
NEW: The new Trading Filter window replaces the Trade
Contract Filter and Trade Profile Filter windows. The
Trading Filter window supports all trade types including the
new type “E” for EFP Trades.
OTC BLOCK TRADE
ENTRY
Eurex
With Eurex Release 4.1 a new list box is introduced that
allows to specify multiple OTC Block Trades. The handling
is analogous to the Mass Quote Entry Window. The buyer
may enter multiple OTC Block Trades and submit them
afterwards with one action. The seller is allowed to retrieve
several Block trades, collecting them in the list box and to
approve them afterwards with one action.
OTC Block Trades are now available also for Futures.
EFP TRADE ENTRY
EEX
NEW: The EFP Trade Entry window is used to enter
“Exchange of Futures for Physicals” (EFP) trades into
system for clearing and settlement purposes. EFP Trades
can only be entered for EEX Futures products traded on the
exchange.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
5.4
Page 18
Window name
Org.
Short description of change
DATE/NUMBER
FORMAT
Eurex
NEW: This is a new window for the Eurex Trading System
to configure the format used to display numbers and to
choose between European and American date formats.
Note that delimiters if enabled are only shown when
numbers are displayed. As soon as users start to edit
numbers the delimiters are removed and later added again
once editing is finished.
Last Order
Maintenance
Eurex
NEW: The new Last Order Maintenance window displays
order details of the order most recently sent to the back end
and allows traders to delete or modify this order.
Windows – Clearing System X-tract
Window name
Org.
Short description of change
POSITION DETAIL
OVERVIEW
EEX
The Position Detail Overview window is enhanced to
distinguish EFP Trades from on-exchange trades. For EFP
Trades, an “E” will appear for the trade type.
POSITION DETAIL
MAINTENANCE
EEX
The Position Detail Maintenance window is enhanced to
distinguish EFP Trades from on-exchange trades. For EFP
Trades, an “E” will appear for the trade type.
GIVE-UP
MAINTENANCE
EEX
The Give Up Maintenance window is enhanced to
distinguish EFP Trades from on-exchange trades. For EFP
Trades, an “E” will appear for the trade type.
GIVE UP FILTER
EEX
The Give Up Filter window supports all trade types
including the new type “E” for EFP Trades.
TAKE UP
MAINTENANCE
EEX
The Take Up Maintenance window is enhanced to
distinguish EFP Trades from on-exchange trades. For EFP
Trades, an “E” will appear for the trade type.
TAKE UP FILTER
EEX
The Take Up Filter window supports all trade types
including the new type “E” for EFP Trades.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
5.5
Page 19
Reports
Report ID
Report Short
Name
Org.
Short Description of Change
RPTTC540
DAILY ORDER
MAINTENANCE
EEX
The Daily Order Maintenance report is enhanced
to include EFP Trades. The following changes
are introduced:
•
In the column “MNT COD” the following
convention is used for EFP Trades:
“AE” EFP Trade order add
“ME” EFP Trade order match
OTC Block Trades do not appear on this
report.
•
The order type field contains “EFP” for EFP
Trades.
RPTTC545
DAILY BLOCK
TRADE
MAINTENANCE
Eurex
The Daily Block Trade Maintenance report
additionally contains Block Trades on Futures.
RPTTC810
DAILY TRADE
CONFIRMATIO
N
EEX
The Daily Trade Confirmation report is enhanced
to include EFP Trades. The following changes
are introduced for EFP trades:
•
The column “TRAD TYP” shows the code “E”
in case of an EFP trade.
•
The column “ORDER TYPE CODE” shows
the code “EFP” in case of an EFP trade.
RPTTD975
TRADING
VOLUME &
MARKET
SHARE
FUTURES
Eurex,
EEX
The Trading Volume and Market Share Futures
report additionally contains Block Trades on
Futures.
RPTTD976
YEAR-TODATE
TRADING
VOLUMES BY
MEMBERFUTURES
Eurex,
EEX
The Year-to-Date Trading Volumes by MemberFutures report is enhanced to additionally
contain Block Trades on Futures.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
Page 20
Report ID
Report Short
Name
Org.
Short Description of Change
RPTCB010
POSITION
DETAIL
EEX
The Position Detail report is enhanced to include
EFP Trades. The column “Movement” shows
“EFP Trade” in case of EFP Trades; the trading
unit will be left blank.
RPTCB110
ACCOUNT
TRANSFER
EXCEPTION
EEX
The Account Transfer Exception report is
enhanced to include EFP Trades. The column
“TRD TYP” shows the code “E” in case of an
EFP trade.
RPTCB120
MEMBER
EXCEPTION
PART A:
POSITIONS
EEX
The Member Exception Part A: Positions report
is enhanced to include EFP Trades. The column
“ORD TYP” shows the code “F” in case of an
EFP trade. For EFP Trades, the order number
will be left blank.
RPTCB130
GIVE-UP
TRADE
HISTORY
EEX
The Give-up Trade History report is enhanced to
include EFP Trades. The column “ORD TYP”
shows the code “F” in case of an EFP trade. For
EFP Trades, the order number will be left blank.
RPTCB140
ACCEPTED
GIVE-UP
TRADES
EEX
The Accepted Give-up Trades report is
enhanced to include EFP Trades. The column
“TRD TYP” shows the code “E” in case of an
EFP trade. For EFP Trades, the order number
will be left blank.
RPTCB150
TAKE-UP
TRADE
HISTORY
EEX
The Take-up Trade History report is enhanced to
include EFP Trades. The column “TRD TYP”
shows the code “E” in case of an EFP trade. For
EFP Trades, the order number will be left blank.
RPTCB160
ACCEPTED
TAKE-UP
TRADE
EEX
The Accepted Take-up Trade report is enhanced
to include EFP Trades. The column “TRD TYP”
shows the code “E” in case of an EFP trade. For
EFP Trades, the order number will be left blank.
RPTCC042
LIQUIDATING
VALUES FOR
EEX
PRODUCTS
EEX
NEW: A new Liquidating values report is created
to display the “Variation” per contract and not per
margin class for EEX products. This is necessary
in order to prevent netting between contracts.
RPTCC047
ADDITIONAL
MARGIN FOR
EEX
PRODUCTS
EEX
NEW: A new Additional Margin Report is created
to display the margin requirement for EEX
products on a contract basis.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix A – List of Modifications
Page 21
Report ID
Report Short
Name
Org.
Short Description of Change
RPTCC060
DAILY MARGIN
SUMMARY
EEX
This Daily Margin Summary Report is enhanced
to include Delivery Margin. A new column for
“Delivery Margin” is inserted into the current
layout of the report. Delivery Margin is converted
to the displayed currency.
RPTCE120
EEX OPEN
DELIVERY
POSITIONS
REPORT
EEX
NEW: Report RPTCE120 is only generated on
the expiration day (last day of trading) for the
currently expiring EEX contracts only. The EEX
Open Delivery Positions Report (RPTCE120) is a
new report tailored for EEX products. The report
lists all open positions for expired EEX contracts
after the last trading day per exchange member
differentiated by agent accounts (both long and
short open positions) and the proprietary
accounts (netted open positions). The open
positions indicate the outstanding physical
delivery. The report is distributed to the EEX
Exchange Members and EEX Clearing
Members.
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Functional Release Notes
As of: 10/30/2000
Appendix B – Eurex Documentation
6
Page 22
Appendix B – Eurex Documentation
The new and updated documentation will be available in August 2000, with the exception of the
@X-ceed Eurex Trading Users Guide that will be available in September 2000. Final versions
will be distributed in October 2000.
New Eurex Documentation
Document
ID
Name of the Document
X0006800
Member Interface – File Interface Layouts
X0006900
@X-ceed Eurex Trading Users Guide
Updated Eurex Documentation
Document
ID
Name of the Document
X0001200
Eurex Financial Data Disseminator
X0003400
Member Interface Specification File Interface
X0003600
Eurex Programmable Interfaces
X0003800
Eurex Trading System User Guide
X0003900
Eurex Member User Manual Trading
X0004000
Eurex Member User Manual Clearing
X0004100
Eurex User Manual Information Manual/System Overview/ System
Security
X0004300
Financial Data Disseminator Interface Specifications
X0005700
Eurex Front End Installation Guide
X0005900
Eurex Front End Operations Guide
X0006100
Eurex Clearing System User Guide
X0006600
Common MISS Based Front End Technical Overview
X0006700
Eurex Member Network Setup
Attachment 1 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
© Eurex 2000
All proprietary rights and interest in this publication shall be vested in Eurex Administration
and Management (”Eurex”) and all other rights including, but without limitation, patent,
registered design, copyright, trade mark, service mark, connected with this publication shall
also be vested in Eurex.
Whilst all reasonable care has been taken to ensure that the details contained in this
publication are accurate and not misleading at the time of publication, no liability is accepted
by Eurex for the use of information contained herein in any circumstances connected with
actual trading or otherwise. Neither Eurex, nor its servants nor agents, is responsible for any
errors or omissions contained in this publication which is published for information only and
shall not constitute investment advice. This brochure is not intended for solicitation purposes
but only for the use of general information.
All descriptions, examples and calculations contained in this publication are for guidance
purposes only and should not be treated as definitive. Eurex reserves the right to alter any of
its rules or contract specifications, and such an event may affect the validity of information in
this publication.
_® Eurex is a registered trademark
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Table of Contents
Page 2
Table of Contents
1
Introduction
4
1.1
Operating Systems
5
1.2
Backward Compatibility for VALUES Interface
6
2
Release Installation Notes
7
2.1
User Device Front End
7
2.2
MISS-based Front End
7
3
General Information
8
3.1
Product State HOLIDAY
8
3.2
OTC Block Trades for Futures
8
3.3
Introduction of European Energy Exchange (EEX) Derivatives Market
8
4
MISS-based Front End
10
4.1
X-ceed User Profile
10
4.2
4.2.1
New Graphical User Interface for Trading: @X-ceed
Printing
10
11
4.2.2
4.2.3
4.2.4
Audio Signaling
Sorting
Additional Filtering
11
11
11
4.2.5
4.2.6
4.2.7
Columns Freeze
Last Order Maintenance
Update Button
11
12
12
4.2.8
File Export
12
4.3
4.3.1
Graphical User Interface for Clearing
Printing
12
12
4.3.2
4.3.3
Update Button
File Export
13
13
4.4
Changes in the Exercise Overview Window
13
5
User Device Interfaces
14
5.1
BackOffice Interface (BOF)
14
5.2
Pricing Model Input (PMI)
14
6
Raw Data Interface
16
6.1
NEW – Raw Data File RAWCC042
16
6.2
NEW – Raw Data File RAWCE120
21
6.3
Raw Data File RAWCB010
23
7
Financial Data Disseminator (FDD)
24
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Introduction
Page 3
7.1
Maintenance Message
24
7.2
Market Messages
25
8
Eurex Software Introduction in Production – Part 1
8.1
8.2
8.3
26
th
26
Friday, October 27 , 2000
26
Wednesday, October 25 , 2000
th
th
Saturday, October 28 , 2000
27
th
8.4
Monday, October 30 , 2000
27
9
Eurex Software Introduction in Production – Part 2
28
9.1
nd
Wednesday, November 22 , 2000
th
28
9.2
Monday, November 27 , 2000
28
10
EEX Software Introduction in Production
29
11
Appendix A – Eurex Technical Documentation
30
12
Appendix B – Operating System Versions
32
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Introduction
1
Page 4
Introduction
This document describes the changes to member interfaces, which are introduced as part of
Eurex Release 4.1 and EEX Derivatives Market Release 1.0. Changes of the VALUES interface
are not described in this document.
The following interfaces (excluding VALUES) change as a result of functional enhancements:
•
User Device Interfaces
•
BackOffice Interface (BOF)
•
Pricing Model Input (PMI)
•
Raw Data Interface
•
Financial Data Disseminator (FDD)
For changes regarding the VALUES interface, please refer to the related announcements:
•
VALUES API – Modification Announcements Overview and Volume 1 – Call Interface
•
VALUES API – Modification Announcements Volume 2 – Eurex Application Requests,
Responses and Subscriptions
Detailed descriptions will be published in the forthcoming documentation. The latest version can
be found on the Eurex web-site (www.eurexchange.com) under “Entrance Hall / Access to
Eurex / Programming to Eurex ”.
For changes regarding GATE, please refer to the related GATE documentation – GATE 2.1
Technical Release Notes (to be published in August 2000).
For changes to Operating Systems of the UD and SAT refer to the Appendix. Sizing Information
will be provided as a separate document.
Familiarity with the Eurex MEMPI Programmable Interface Specifications (Document
X0003600), Eurex Member Interface Specifications – File Interfaces (Document X0003400),
Member Interface Specifications – File Interface Layouts (X0006800) and Eurex Financial Data
Disseminator (Document X0001200) is assumed.
The technical changes described in this document result from the following Eurex Release 4.1
functional enhancements (refer to the Functional Release Notes):
•
Introduction of Product State HOLIDAY,
•
Introduction of system support for OTC Block trading of Futures
and from the introduction of the European Energy Exchange (EEX) Derivatives Market.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Introduction
Page 5
The system changes for Eurex Release 4.1/EEX Derivatives Market Release 1.0 are rolled out
in two steps. The first part will be rolled out on 30.10.2000. The second part will be rolled out on
27.11.2000. It is stated at the respective places in this document when the system capabilities
for a specific functionality will become available. The following table gives an overview:
Changed/New Functionality
Availability
Product state HOLIDAY
30.10.2000
New Duration formula for OTC Basis Trades
30.10.2000
OTC Block trading for Futures
To be announced1
Enhancements for the Graphical User Interface for
Clearing
30.10.2000
New Graphical User Interface for Trading: @X-ceed
(including multiple entry functionality for OTC Block
Trade Entry Window)
27.11.2000
European Energy Exchange (EEX) Derivatives Market
27.11.20002
In this document the term ‘Eurex Release 4.1’ refers to the electronic system that serves both
organizations Eurex and EEX Derivatives Market in common.
1.1
Operating Systems
The Eurex Front End is provided on a variety of platforms:
•
Compaq AXP / OpenVMS (UD only)
•
IBM RS/6000 / AIX
•
Intel PC / WindowsNT
•
Sun / Solaris
For details on the supported operating system versions and hardware requirements for MISSs
and WSs, please refer to the Deutsche Börse Front End Sizing Guidelines (XC006100) and
Appendix B – Operating System Versions.
User Device / Satellite technology continues to be supported with Eurex Release 4.1. Details
on software and hardware requirements are provided by the User Device / Satellite Technical
Overview (Document X0005200) and by the User Device / Satellite Operation and
Administration User Guide (Document X0005300) for UDs / Satellites.
1
2
Technically available on all front-end platforms on 27.11.2000 (for details, please refer to chapter 3.2).
EEX is technically available as of 27.11.2000, but the exact introduction date will be announced by EEX. Amendments
to screens and reports for later support of EEX Derivatives Market will be introduced on 30.10.2000.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
Introduction
1.2
As of: 10/30/2000
Page 6
Backward Compatibility for VALUES Interface
The following is a short description of the compatibility layer which allows running applications
based on Release 4.0 VALUES API functionality after introduction of Release 4.1:
1.
New fields of inquiry responses/broadcasts are suppressed.
2.
New broadcast stream types are suppressed.
3.
New valid values for an existing field are not suppressed.
4.
New combinations of VALUES fields are not suppressed.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Release Installation Notes
2
Release Installation Notes
2.1
User Device Front End
Page 7
Release Installation Notes for simulation and production will be distributed 2 days before
distribution of the installation kits via Eurex-MAIL (simulation and production).
Note: It is necessary that the "Eurex-MAIL" job on the Production User Device is started to
receive the “Release Installation Notes“.
2.2
MISS-based Front End
Release Installation Notes for simulation and production together with the Eurex Software Kit
will be distributed 2 days before installation and connection test via FTP.
Further information on the installation of the new Front End can be found in the Eurex Front End
Installation Guide (X0005700).
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
General Information
3
Page 8
General Information
This chapter gives a short overview of changes that affect the technical environment of the
Eurex and EEX Derivatives Market system.
3.1
Product State HOLIDAY
A new product state HOLIDAY (HOLID) is introduced to indicate that a product cannot be traded
due to a holiday in the country where its underlying security is listed. All trading associated
transactions are disabled for products in the product state HOLIDAY. This includes giveups/take-ups, posting, position maintenance, trade adjustments, and exercise/notification.
Historical trade transfer and historical give-ups / take-ups are not possible for a product on the
day after the holiday.
The functionality for the product state HOLIDAY will become available on 30.10.2000.
3.2
OTC Block Trades for Futures
Currently OTC Block Trades are only supported for Options. With Release 4.1 the Eurex trading
system supports OTC Block trading for Futures.
The system support for OTC Block Trades of Futures will become available on 27.11.2000. The
decision to release this functionality will be done individually per product.
3.3
Introduction of European Energy Exchange (EEX) Derivatives Market
Products of the European Energy Exchange (EEX) Derivatives Market are commodity
derivatives where the underlying commodity is electricity. During EEX Derivatives Market
trading hours, EEX exchange members can trade Futures of EEX Derivatives Market and create
open positions. An open position represents the quantity of the underlying energy commodity
that an exchange member has to deliver (short position) or accept delivery (long position) upon
expiration of the Futures contract.
The system capabilities for EEX Derivatives Market will become available on 27.11.2000.
Amendments to screens and reports supporting EEX Derivatives Market will be introduced
earlier on 30.10.2000. EEX Derivatives Market is only available to MISS users. EEX
Derivatives Market is not supported on UD configurations.
The raw data interface changes due to the introduction of EEX Derivatives Market.
The Financial Data Disseminator (FDD) interface is supported for EEX Derivatives Market. The
variable contract unit for the products of EEX Derivatives Market is sent as contract size
information where applicable.
The following interfaces are not supported for EEX Derivatives Market:
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
General Information
•
BackOffice Interface (BOF)
•
Pricing Model Interface (PMI)
•
Trading Interface (TRAD)
As of: 10/30/2000
Page 9
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
MISS-based Front End
4
Page 10
MISS-based Front End
In the following the changes to the MISS-based Front End on the platforms Solaris, IBM
RS/6000 / AIX and Intel PC / Windows NT are described.
The Eurex Front End uses the open standardized interface VALUES API. For changes
regarding the VALUES interface, please refer to the related announcements:
•
VALUES API – Modification Announcements Overview and Volume 1 – Call Interface
•
VALUES API – Modification Announcements Volume 2 – Eurex Application Requests,
Responses and Subscriptions
Detailed descriptions will be published in the forthcoming documentation. The latest version can
be found on the Eurex web-site (www.eurexchange.com) under “Entrance Hall / Access to
Eurex / Programming to Eurex ”.
For changes regarding GATE, please refer to the related GATE documentation – GATE 2.1
Technical Release Notes (to be published in August 2000).
Retransmission Handling
On the MISS the retransmission handling is enhanced to allow access to recoverable broadcast
data (ROB) on the front-end (MISS) independent of the state of the Eurex Xervice or the backend. This will allow access to the ROB data any time.
4.1
X-ceed User Profile
For Eurex Release 4.1 the name of the X-ceed user profile is changed due to CBOT/Eurex Joint
Venture Release implementation.
4.2
Old Name:
<user>.X-ceed.vr
New Name:
<user>X-ceed.XEUR.vr
New Name for CBOT:
<user>X-ceed.XCBT.vr
New Graphical User Interface for Trading: @X-ceed
Based on the VALUES interface, Eurex provides a new graphical user interfaces (GUI) for
trading: @X-ceed, which is a Java-based GUI. For a detailed description of @X-ceed, please
refer to the @X-ceed Eurex Trading Users Guide (X0006900).
Technical enhancements compared to the existing GUI X-ceed concern the following areas:
•
Printing
•
Audio signaling
•
Sorting
•
Additional filtering
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
MISS-based Front End
•
Columns freeze (Trading GUI only)
•
Last Order Maintenance the
•
Update button
•
File Export
Page 11
There is also the ability to turn on and off Broadcast Updates to listbox contents.
4.2.1
Printing
With @X-ceed the users have the possibility to make print-outs of the table contents for several
screens. Header and footer lines are printed on each side with informational data. The printer
can be selected for each print transaction. The standard printer is used as default.
4.2.2
Audio Signaling
This functionality provides the signaling of events by sounds for the following events:
•
Trade executions for the own Trader ID
•
Transition of the Trading Phase for a certain product or certain set of products (Profile)
The actual sound to be played is user defined to differentiate the signal with other applications.
A new window is created in the Settings menu to map the event to a profile and to select a
specific sound file, that is played once the event is triggered.
4.2.3
Sorting
This functionality provides the possibility to define the sort order of data rows in several
windows. The sort functionality is similar to the sorting in Microsoft-Excel.
4.2.4
Additional Filtering
This functionality provides additional filter criteria on several windows. The following filter criteria
may be used: Trader ID, Account, Customer, Text, MIOrdNo, Price, Order Number, TradeNo .
Additionaly it is possible to filter by Date, Time and TradeType. One filter window is used for all
windows.
4.2.5
Columns Freeze
With this functionality the users have the possibility to “freeze” leading columns. This columns
will stay at their place when scrolling to the right. The columns freeze functionality is only
implemented in the Trading GUIs.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
MISS-based Front End
4.2.6
Page 12
Last Order Maintenance
This functionality provides the possibility to quickly modify or delete the order that has been
entered last. A new item in the menu bar is introduced on the main menu. From all other
windows (Fast Order Entry, Rapid Order Entry, Order Entry, Own Order Overview) access is
possible via a shortcut (F7). By selecting this item or the respective short-cut (F7) a window is
displayed that is filled with the previously entered order data. A deletion is performed by
submitting the request.
4.2.7
Update Button
For @X-ceed an update button is introduced for several windows.
4.2.8
File Export
With Eurex Release 4.1 on several screens the users are enabled to export screens or
selections of a screen as tables in CSV format. The contents of such a table can be handled
with a third-party-tool like Windows Excel. The export is triggered when the export menu item is
selected. The export menu item is part of the menu "Window". One can browse the file system
and choose the name of the exported file.
4.3
Graphical User Interface for Clearing
The following enhancements for the graphical user interface (GUI) for Clearing X-tract are
introduced:
4.3.1
•
Print functionality
•
Update button
•
File export
•
Changes in Exercise Overview
Printing
With Eurex Release 4.1 the users have the possibility to make print-outs of the table contents
for several screens. Header and footer lines are printed on each side with informational data.
The printer can be selected for each print transaction. The standard printer is used as default.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
MISS-based Front End
4.3.2
As of: 10/30/2000
Page 13
Update Button
An update button is introduced for several windows of the Graphical User Interface for Clearing.
4.3.3
File Export
With Eurex Release 4.1 on several screens the users are enabled to export screens or
selections of a screen as tables in CSV format. The contents of such a table can be handled
with a third-party-tool like Windows Excel. The export is triggered when the export menu item is
selected. The export menu item is part of the menu "Window". One can browse the file system
and choose the name of the exported file.
4.4
Changes in the Exercise Overview Window
The filter functionality of the Exercise Overview Window is enhanced. It is additionally possible
to filter a profile plus the expiration month/year, to inquire on all expiring positions.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
User Device Interfaces
Page 14
5
User Device Interfaces
5.1
BackOffice Interface (BOF)
The BackOffice Interface is provided on designated Eurex User Devices to enable member
applications to update their BackOffice accounting systems. Information resulting from trading
and position maintenance is sent by BOF messages to the member BackOffice systems. The
transferred data can be divided into member-specific data (mainly position transactions) and
broadcast information (capital adjustment, contract changes, settlement prices, status
messages and margining parameters). The transferred data is then processed by memberspecific BackOffice applications. The BackOffice Interface provides information to members
using different transaction record layouts.
BOF Status Message Transaction
With the introduction of Eurex Release 4.1 a special handling is necessary to ensure sending of
specific BOF messages for products on holiday. A back-office message will be sent out with the
new product state HOLIDAY. A new status code for the BOF Status Message Transaction is
introduced for that purpose:
This functionality will become available on 30.10.2000.
Field
Name
Type
Description
Lengt
h
(Byte)
status
character
array
This field contains a code that identifies the status
message. With Eurex Release 4.1 a new value is
added:
3
006 – Product in state HOLIDAY
5.2
Pricing Model Input (PMI)
The Pricing Model Input interface (PMI) provides market data of Options, Futures and their
underlying instruments for use by Member Pricing Model Systems. Additionally the Pricing
Model Input interface (PMI) provides quote request, cross request data and status messages.
A change is necessary to the member application that uses the PMI interface. With the
introduction of Eurex Release 4.1 a new status transition message will be generated to
incorporate the transition into the product state HOLIDAY. A new status code will be introduced
for that purpose:
This functionality will become available on 30.10.2000.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
User Device Interfaces
Page 15
Pricing Model Input Status Transaction:
Field Name
Type
Description
Lengt
h
(Byte)
status
long
integer
This field contains a code that identifies the status
message. With Eurex Release 4.1 a new value (11)
is added:
4
PMI_PROD_STS_HOLID – 11
<product> set to HOLIDAY
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
6
Page 16
Raw Data Interface
The RAW DATA INTERFACE provides a specified set of reports in a structure that can be
processed by in-house applications.
With the roll out of the system enhancements for EEX Derivatives Market new raw data files are
provided for EEX Derivatives Market Exchange Members and EEX Derivatives Market Clearing
Members additionally. The raw data files will not contain data before the start date of the EEX
Derivatives Market.
6.1
Report No.
Report Name
RAWCC042
Liquidating Values for EEX Products
RAWCE120
EEX Open Delivery Positions
NEW – Raw Data File RAWCC042
This new raw data file is generated and sent to EEX Derivatives Market Exchange Members
and EEX Derivatives Market Clearing Members. It is used as input to calculate the additional
margin amount required for members holding open positions in a Futures contract on electricity.
Only the last 4 fields have been added to RAWCC040 to form RAWCC042.
The functionality for producing the raw data file RAWCC042 will be available on 30.10.2000, but
it is not provided with data until November 27, 2000.
FIELD
DESCRIPTION
RAW-ID-COD-RWCC042
This field contains the identification code of the raw
data-stream. Values include:
RAWCC042 - valid data-record
ENDCC042 - end of raw data-stream
RAW-EFF-DAT-RWCC042
This field identifies the business day of which the raw
data-stream is created.
The format of this field is: YYYYMMDD
RAW-CRT-PROC-DATRWCC042
This field identifies the creation-day of the raw datastream.
The format of this field is:YYYYMMDD
ENV-NO-TXT-RWCC042
This field identifies the environment this raw-data file
belongs to.
00 - production environment
01 - simulation environment
MBR-CLG-ID-COD-RWCC042
This field contains the identification code of the Clearing
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
FIELD
Page 17
DESCRIPTION
Member
MBR-EXC-ID-COD-RWCC042
This group field contains the identification code of the
Exchange Member
ACCT-TYP-COD-GRP-RWCC042
This group field contains the account.
MGN-GRP-COD-RWCC042
This field contains the margin-group which consists of
two or more margin-classes
MGN-CLS-COD-RWCC042
This field contains an alphanumeric code which
represents the margin-class
CURR-TYP-COD-RWCC042
This field contains the identification code of the currency
UD-IND-RWCC042
This field contains an indicator showing whether the
projected underlying price is less than (downside) or
greater than (upside) the closing price of the underlying.
Field values include: U – Upside, D - Downside
SECU-ID-COD-RWCC042
This field contains the unique identification code that
EEX has assigned to the product
SERI-CLAS-COD-RWCC042
This field contains the class of an options series. Field
values include: C – Call, P – Put
This field will be formatted with a space for futures
contracts.
SERI-EXP-DAT-RWCC042
This field contains the year and month when an options
series expires or a futures contract is settled. The format
of this field is: YYMM
EXER-PRC-RWCC042
This field contains the price at which an options series
can be exercised. This field will be formatted with zeros
for futures contracts.
SERI-VERS-NO-RWCC042
This field contains the version number assigned to each
options series at creation. A non-zero value in this field
indicates that the series has been changed as a result of
a capital adjustment. A zero value in this field is
reserved for futures.
SECU-LST-CLS-PRC-RWCC042
This field contains the closing price of the underlying
instrument.
MAX-MIN-UNDER-VALRWCC042
This field contains the lowest or highest price of the
underlying
NET-LNG-SHT-POS-RWCC042
This field contains the net position of the options series
or futures contract.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
Page 18
FIELD
DESCRIPTION
LNG-SHT-IND-RWCC042
This field contains the net indicator.
Field values include:
L – Long
S – Short
E – Exercised
A - Assigned
TRD-UNT-VAL-RWCC042
This field contains the contract size.
SERI-CURR-VALUE-RWCC042
This field contains either the current value of the
underlying or the liquidating values of the net position
per series or per contract at the liquidation of the
position.
The liquidating values are calculated as follows:
Net Position * Trade Unit Value * Current Options or
Futures Price
Note: This field is filled only for series records.
MAX-MIN-SERI-VAL-RWCC042
This field contains either the lowest or highest value of
the underlying or the liquidating values of the net
position per series or per contract at the liquidation of
the position. The values are calculated as follows:
Net Position * Trade Unit Value * Theoretical Options
series or Futures Contract Price.
Note: This field is filled only for series records.
RISK-VALUE-RWCC042
This field contains the risk value per series or contract.
Note: This field is filled only for series records.
THEO-VALUE-RWCC042
This field contains the theoretical value per series or
contract. This value is calculated as follows:
Net position * Trade Unit Value * Theoretical Options
series or Futures Contract Price.
Note: This field is filled only for series records.
COMP-SHT-RWCC042
This field states the Short Option Compensation
Potential for each expiry.
Note: This field is not used for futures.
USED-FOR-COMP-RWCC042
This field describes the out-of-the-money short positions
covered by existing long positions with the same or
longer time to expiration and corresponding strike
values.
Note: This field is not used for futures.
NET-FUT-POS-RWCC042
Number of net futures positions per account within a
margin class with days to maturity > 1.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
Page 19
FIELD
DESCRIPTION
OPT-EQU-TRD-UNT-VALRWCC042
Options equivalent trading unit value of the future. The
value is calculated as follows: Trading Unit Value of
future / Trading Unit Value of options within the same
margin class.
Note: This field is not used for futures.
MINMAX-THEO-VAL-RWCC042
Theoretical Value of compensated part of not fully
compensated short position for Minimum/Maximum
Liquidating Value.
Note: This field is not used for futures.
RISK-THEO-VAL-RWCC042
Theoretical Value of compensated part of not fully
compensated short position for Risk Liquidating Value.
Note: This field is not used for futures.
01
RWCC042-WS-REC.
05 RAW-KEY-GRP-RWCC042.
10 RAW-ID-COD-RWCC042
10 RAW-DAT-GRP-RWCC042.
15 RAW-EFF-DAT-RWCC042
15 RAW-CRT-PROC-DAT-RWCC042
10 ENV-NO-TXT-RWCC042.
15 ENV-NO-TXT-1-RWCC042
15 ENV-NO-TXT-2-RWCC042
10 MBR-CLG-ID-COD-RWCC042
10 MBR-EXC-ID-COD-RWCC042.
15 MBR-IST-ID-COD-RWCC042
15 MBR-BRN-ID-COD-RWCC042
10 ACCT-TYP-COD-GRP-RWCC042.
15 ACCT-TYP-COD-RWCC042
15 ACCT-TYP-NO-RWCC042
10 MGN-GRP-COD-RWCC042
10 MGN-CLS-COD-RWCC042
10 CURR-TYP-COD-RWCC042
10 UD-IND-RWCC042
10 SERI-GRP-ID-COD-RWCC042.
15 SECU-ID-COD-RWCC042
15 SERI-CLAS-COD-RWCC042
15 SERI-EXP-DAT-RWCC042.
20 EXPI-YR-DAT-RWCC042
20 EXPI-MTH-DAT-RWCC042
15 EXER-PRC-RWCC042
15 SERI-VERS-NO-RWCC042
05 REPT-DATA-GRP-RWCC042.
10 REPT-REC-1-GRP-RWCC042.
15 SECU-LST-CLS-PRC-RWCC042
15 MAX-MIN-UNDER-VAL-RWCC042
10 REPT-REC-2-GRP-RWCC042.
15 NET-LNG-SHT-POS-RWCC042
15 LNG-SHT-IND-RWCC042
15 TRD-UNT-VAL-RWCC042
15 SERI-CURR-VALUE-RWCC042
15 MAX-MIN-SERI-VAL-RWCC042
10 REPT-REC-1-VALUE-RWCC042.
15 RISK-VALUE-RWCC042
10 REPT-REC-2-VALUE-RWCC042.
15 THEO-VALUE-RWCC042
15 COMP-SHT-RWCC042
15 USED-FOR-COMP-RWCC042
PIC X(8).
PIC 9(8).
PIC 9(8).
PIC X(1).
PIC X(1).
PIC X(5).
PIC X(3).
PIC X(2).
PIC
PIC
PIC
PIC
PIC
PIC
X(1).
X(1).
X(5).
X(5).
X(3).
X(1).
PIC X(4).
PIC X(1).
PIC
PIC
PIC
PIC
9(2).
9(2).
9(5).
9(1).
PIC X(11).
PIC X(11).
PIC
PIC
PIC
PIC
PIC
-----9.
X(1).
9(9).9(4).
-------------9.9(2).
-------------9.9(2).
PIC X(11).
PIC -------------9.9(2).
PIC -----9.
PIC -----9.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
15
15
15
15
Page 20
NET-FUT-POS-RWCC042
OPT-EQU-TRD-UNT-VAL-RWCC042
MINMAX-THEO-VAL-RWCC042
RISK-THEO-VAL-RWCC042
PIC
PIC
PIC
PIC
-----9.
9(5).9(4).
------------9.9(6).
------------9.9(6).
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
6.2
Page 21
NEW – Raw Data File RAWCE120
This new raw data file is generated and sent to EEX Derivatives Market Exchange members
and EEX Derivatives Market Clearing Members. It lists the open positions of expired contracts
of EEX Derivatives Market per exchange member that will go into physical delivery. The raw
data file RAWCE120 corresponds to the EEX Open Delivery Positions report (RPTCE120).
This file is only sent to members on the expiration day of for the currency expiring EEX
contracts only.
The functionality for producing the raw data file RAWCE120 will become available on
30.10.2000.
FIELD
DESCRIPTION
RAW-ID-COD-RWCE120
This field contains the identification code of the raw
data-stream. Values include:
RAWCE120 - valid data-record
ENDCE120 - end of raw data-stream
RAW-EFF-DAT-RWCE120
This field identifies the business day of which the raw
data-stream is created.
The format of this field is: YYYYMMDD
RAW-CRT-PROC-DATRWCE120
This field identifies the creation-day of the raw datastream.
The format of this field is:YYYYMMDD
ENV-NO-TXT-RWCE120
This field identifies the environment this raw-data file
belongs to.
00 - production environment
01 - simulation environment
MEMB-CLG-ID-COD-RWCE120
This field contains the identification code of the Clearing
Member
MEMB-EXC-ID-COD-RWCE120
This group field contains the identification code of the
Exchange Member
CURR-TYP-COD-RWCE120
This field contains the identification code of the currency
PROD-TYP-COD-GRPRWCE120
This field contains the product type code
SECU-ID-COD-RWCE120
This field contains the unique identification code that
Eurex has assigned to the product
SERI-CLAS-COD-RWCE120
This field contains the class of an options series. Field
values include: C – Call, P – Put
This field will be formatted with a space for futures
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
FIELD
Page 22
DESCRIPTION
contracts.
SERI-EXP-DAT-RWCE120
This field contains the year and month when an options
series expires or a futures contract is settled. The format
of this field is: YYMM
EXER-PRC-RWCE120
This field contains the price at which an options series
can be exercised. This field will be formatted with zeros
for futures contracts.
SERI-VERS-NO-RWCE120
This field contains the version number assigned to each
options series at creation. A non-zero value in this field
indicates that the series has been changed as a result of
a capital adjustment. This field set to zero for futures.
SECU-TRD-UNT-NO-RWCE120
Variable Trading unit per contract
POST-LNG-TOT-A1-RWCE120
Open long positions for agent account A1
POST-SHT-TOT-A1-RWCE120
Open short positions for agent account A1
POST-NET-TOT-PP-RWCE120
Open net positions for proprietary account PP
INV-AMNT-LNG-TOT-A1RWCE120
Invoice amount for long positions for agent account A1
INV-AMNT-SHT-TOT-A1RWCE120
Invoice amount for short positions for agent account A1
INV-AMNT-NET-TOT-PPRWCE120
Invoice amount for net positions for proprietary account
PP
01
RWCE120-WS-REC.
05 RAW-KEY-GRP-RWCE120.
10 RAW-ID-COD-RWCE120
10 RAW-DAT-GRP-RWCE120.
15 RAW-EFF-DAT-RWCE120
15 RAW-CRT-PROC-DAT-RWCE120
10 ENV-NO-TXT-RWCE120.
15 ENV-NO-1-TXT-RWCE120
15 ENV-NO-2-TXT-RWCE120
10 MEMB-CLG-ID-COD-RWCE120
10 MEMB-EXC-ID-COD-RWCE120.
15 MEMB-IST-ID-COD-RWCE120
15 MEMB-BRN-ID-COD-RWCE120
10 CURR-TYP-COD-RWCE120
10 PROD-TYP-COD-GRP-RWCE120.
15 PROD-LINE-COD-RWCE120
15 PROD-TYP-COD-RWCE120
10 SERI-GRP-ID-COD-RWCE120.
15 SECU-ID-COD-RWCE120
15 SERI-CLAS-COD-RWCE120
15 SERI-EXP-DAT-RWCE120.
20 EXPI-YR-DAT-RWCE120
20 EXPI-MTH-DAT-RWCE120
15 EXER-PRC-RWCE120
15 SERI-VERS-NO-RWCE120
PIC X(8).
PIC 9(8).
PIC 9(8).
PIC X(1).
PIC X(1).
PIC X(5).
PIC X(3).
PIC X(2).
PIC X(3).
PIC X(1).
PIC X(3).
PIC X(4).
PIC X(1).
PIC
PIC
PIC
PIC
9(2).
9(2).
9(6).
9(1).
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Raw Data Interface
05
6.3
Page 23
REPT-DATA-GRP-RWCE120.
10 REPT-REC-1-GRP-RWCE120.
15 SECU-TRD-UNT-NO-RWCE120
15 POST-LNG-TOT-A1-RWCE120
15 POST-SHT-TOT-A1-RWCE120
15 POST-NET-TOT-PP-RWCE120
15 INV-AMNT-LNG-TOT-A1-RWCE120
15 INV-AMNT-SHT-TOT-A1-RWCE120
15 INV-AMNT-NET-TOT-PP-RWCE120
PIC
PIC
PIC
PIC
PIC
PIC
PIC
9(4).9(4).
--------9.
--------9.
--------9.
----------9.99.
----------9.99.
----------9.99.
Raw Data File RAWCB010
The raw data file RAWCB010 corresponds to the Position Detail report (RPTCB010).
With the introduction of Eurex Release 4.1 the raw data file is enhanced to indicate EFP Trades.
The field BASIS-TRADE-FLAG-RWCB010 has been changed to TRADE-TYPE-FLAGRWCB010 and this functionality will become available on 30.10.2000, but will be used for EFP
trades earliest by 27.11.2000.
FIELD
DESCRIPTION
TRADE-TYPE-FLAGRWCCB010
EFP trade Type “E” is displayed as well.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Financial Data Disseminator (FDD)
7
Page 24
Financial Data Disseminator (FDD)
The Eurex Financial Data Disseminator (FDD) Service provides an electronic interface for
customer computers to receive real-time data about the financial instruments traded on the
exchange.
7.1
Maintenance Message
A Maintenance Message is sent when a contract is added, deleted, or changed.
With the introduction of Eurex Release 4.1 the existing data field called
SHARES_PER_CONTRACT is renamed to CONTRACT_SIZE. The new field name is
necessary to cover the enlarged scope of the field. For products of the EEX Derivatives Market
the variable contract unit is sent as contract size information. For other products than product of
EEX Derivatives Market the data content is not changed, i.e. the number of shares per contract
is sent as contract size information. The structure of the message is not changed.
The EEX Derivatives Market data will become available after the start date of EEX Derivatives
Market.
The data section is structured as follows:
DATA_SECTION Maintenance Message
Field
Bytes Type
STRIKE_PRICE:
6
Alphanumeric
VERSION_NUMBER:
1
Alphanumeric
EXPIRATION_DATE:
6
Alphanumeric
MAINTENANCE_TEXT:
6
Alphanumeric
9
Alphanumeric
INTEGER_PART:
4
Alphanumeric
DECIMAL_POINT:
1
Alphanumeric
FRACTION_PART:
4
Alphanumeric
CONTRACT_SIZE
(old name:
SHARES_PER_CONTRACT)
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Financial Data Disseminator (FDD)
7.2
Page 25
Market Messages
Market Messages contain information on Exchange trading activity, daily open interest quantity,
settlement prices, and product state transitions for an instrument.
Market Messages for State Transitions (State Transition Messages)
With the introduction of Eurex Release 4.1 a state transition message is generated for the
transition into the product state HOLIDAY. A new Product State Transition Identifier is
introduced for that purpose.
This functionality will become available on 30.10.2000.
New Product State Transition Identifier
Value
Description
Interpretation of DATE_OR_TIME field
Hex 56
Product State HOLIDAY
Time
All state transition messages indicate the start of the respective period.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Eurex Software Introduction in Production – Part 1
8
Page 26
Eurex Software Introduction in Production – Part 1
The software introduction of the first part of Eurex Release 4.1 is described in the following
section. Times correspond to the Central European Time (CET).
8.1
Wednesday, October 25th, 2000
Eurex will send the software to the members. The software will be sent to each UD and MISS.
For MISSes, members will receive the Windows NT version of the software in addition to the
platform-specific software.
Please check the file transfer for completeness.
Disk Space Requirements - The following table shows the necessary disk space for the
installation kits:
Platform
8.2
Disk Space Required
Sun Solaris (MISS)
120 MB
IBM AIX (MISS)
120 MB
Intel Windows NT (MISS)
50 MB
IBM AIX (UD)
70 MB
Compaq/DEC OpenVMS (UD)
110 MB
Friday, October 27th, 2000
Batch Processing
The Eurex batch will be executed with Software Release Eurex 4.0. Therefore, no specific
actions need to be taken by the Eurex member. BOF messages, PTCs and reports are sent out
as usual. Eurex will delete all outstanding BOF messages and PTCs after this batch run at
approximately 11.00 p.m.
¢
If the BOF messages and PTCs are required, qualified personnel should be available to
be able to receive them. BOF messages and PTCs not received cannot be resent at a
later time.
Historical report availability
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
Eurex Software Introduction in Production – Part 1
As of: 10/30/2000
Page 27
After Eurex has introduced software version Eurex 4.1, no historical reports prior to the business
th
day Friday, October 27 , 2000 can be retrieved via screen J010 and selected historical reports
might be empty. It should be checked whether the selected reports have been received before
th
th
Friday, October 27 , 2000. After batch processing on Friday, October 27 , 2000, it will not be
possible to recreate historical reports created by software version Eurex 4.0.
Through installation of Eurex Release 4.1 software on the UD/SAT all BOF and PMI data will be
deleted, in particular the files FPBOFINT and FPPMIINT will be deleted.
Installation
After receiving all BOF messages, PTCs and reports the installation of Eurex 4.1 can be started
at any time.
8.3
Saturday, October 28th, 2000
Connection Test
The connection test applies to all members.
The Eurex architecture will be available from 15.00 p.m. to 18.00 p.m. It is necessary to verify
that all systems are upgraded. The upgrade is mandatory in order to be able to trade at Eurex
th
on Monday, October 30 , 2000 after introduction of Eurex 4.1 software.
To verify the set-up, it is recommended that all systems (including back-up devices) are
connected to the Eurex architecture and a logon with an arbitrary trader account is
recommended. To check the setups of broadcast subscriptions the exchange will send public
broadcasts via the newsboard.
8.4
Monday, October 30th, 2000
Eurex Rel. 4.1 first trading day
Starting this day access to Eurex is only possible with the new Release 4.1 software for part 1.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Eurex Software Introduction in Production – Part 2
9
Page 28
Eurex Software Introduction in Production – Part 2
The software introduction of the second part of Eurex Release 4.1 is described in the following
section.
9.1
Wednesday, November 22nd, 2000
Eurex will send the software to the members. The software will be sent as an update Kit
distribution to each MISS. For MISSes, members will receive the Windows NT version of the
software in addition to the platform-specific software.
Please check the file transfer for completeness.
9.2
Monday, November 27th, 2000
Eurex Rel. 4.1 first trading day including the functionality of part 2
Starting this day access to Eurex is only possible with the new Release 4.1 software for part 2.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
EEX Software Introduction in Production
10
As of: 10/30/2000
Page 29
EEX Software Introduction in Production
The official start will be after the introduction of part 2 of the Eurex software. The start date will
be communicated.
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Appendix A – Eurex Technical Documentation
11
Page 30
Appendix A – Eurex Technical Documentation
The new and updated technical documentation will be available in August 2000, with the
exception of the @X-ceed Eurex Trading Users Guide that will be available in September 2000.
Final versions will be distributed in October 2000.
New Eurex Technical Documentation
Document
ID
X0006800
Name of the Document
Member Interface – File Interface Layouts
Updated Eurex Technical Documentation
Document
ID
Name of the Document
X0001200
Eurex Financial Data Disseminator
X0003400
Member Interface Specification File Interface
X0003600
Eurex Programmable Interfaces
X000430a
Eurex Financial Data Disseminator File Service Interface
Specification
X000430b
Eurex Financial Data Disseminator Infoboard Service Interface
Specification
X0005300
Eurex User Device / Satellite Operation and Administration
X0005700
Eurex Front End Installation Guide
X0005900
Eurex Front End Operations Guide
X0006100
Eurex Clearing System User Guide
X0006600
Common MISS Based Front End Technical Overview
X0006700
Eurex Member Network Setup
XC006100
Deutsche Börse Front End Sizing Guidelines
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Appendix A – Eurex Technical Documentation
Page 31
The following technical documents can be found on the Eurex web-site
(www.eurexchange.com) under “Entrance Hall / Access to Eurex / Programming
to Eurex“.
VALUES API developer’s documentation (MISS)
Member Front End Development Guide - Overview
Member Front End Development Guide - Volume 1 - Call Interface
Member Front End Development Guide - Volume 2 - Eurex Application
Requests, Responses and Subscriptions
Attachment 2 to Eurex Circular 067/00
Eurex Release 4.1/EEX
Technical Release Notes
As of: 10/30/2000
Appendix B – Operating System Versions
12
Page 32
Appendix B – Operating System Versions
The following table shows which operating system versions of the UD and the SAT will be
supported with Eurex Release 4.1. Patch levels for the operating systems will be described in
the Sizing Guidelines. For changes regarding the Operating System Versions for the MISSbased Front End refer to the VALUES API – Modifications Announcements Overview and
Volume 1 – Call Interface.
Product name
Release 4.1
OpenVMS UD/SAT
7.1-2 & 7.2.-1
FMS Runtime
2.4
AIX UD/SAT
4.3.3
Microfocus Cobol *
13.10
*
Will be delivered by Eurex with the Eurex software.
Attachment 2 to Eurex Circular 067/00
X-pand into the Future
Eurex Clearing AG
Functional Release Notes
IC Release 2000
© Eurex 2000
All proprietary rights and interest in this publication shall be vested in Eurex
Administration and Management (”Eurex”) and all other rights including, but without
limitation, patent, registered design, copyright, trade mark, service mark, connected
with this publication shall also be vested in Eurex.
Whilst all reasonable care has been taken to ensure that the details contained in this
publication are accurate and not misleading at the time of publication, no liability is
accepted by Eurex for the use of information contained herein in any circumstances
connected with actual trading or otherwise. Neither Eurex, nor its servants nor agents,
is responsible for any errors or omissions contained in this publication which is
published for information only and shall not constitute investment advice. This brochure
is not intended for solicitation purposes but only for the use of general information.
All descriptions, examples and calculations contained in this publication are for
guidance purposes only and should not be treated as definitive. Eurex reserves the
right to alter any of its rules or contract specifications, and such an event may affect the
validity of information in this publication.
® Eurex is a registered trademark
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
Page 1
Table of Contents
1
General Information
2
2
Functional Changes
3
2.1
2.1.1
Trading Locations & Products
Coupon Compensations
3
3
2.2
Membership
4
2.3
Central Counterparty Role
4
2.4
Trade Management
4
2.5
2.5.1
2.5.2
2.5.2.1
2.5.2.2
2.5.2.3
2.5.3
2.5.3.1
2.5.3.2
2.5.3.3
2.6
2.6.1
2.6.2
2.6.3
2.6.4
Risk Management
Objectives
Detailed Description of Position Valuation Methods
Risk Positions
Calculation of Current Liquidating Value (CLV)
Calculation of Worst Case Losses
Calculation of Margin Requirements
Current Liquidating Margin of a Margin Class
Additional Margin
Overall Margin Requirement
Delivery Management
Interface to Settlement Locations
Cross Border Settlement
Partial Deliveries
Cash Transactions
4
4
5
5
8
12
12
13
13
13
13
14
14
15
15
3
Reports
16
4
Appendix – Description of Reports
17
4.1
Pending Trades
17
4.2
Daily Trade Maintenance
19
4.3
Open Repo Trades
21
4.4
Repo Coupon Compensation
23
4.5
4.5.1
4.5.2
4.5.3
4.6
4.6.1
4.6.2
4.6.3
4.6.4
4.6.5
Delivery / Settlement
Pending Delivery
Settled / Cancelled Deliveries
Daily Cash Account Statement
Margin
Current Liquidating Margin
Theoretical Values II
Liquidating Value II
Daily Margin
Daily Margin Summary
25
25
28
31
32
32
35
37
40
41
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 2
Functional Release Notes
1
General Information
This document describes the planned expansion of Eurex Clearing AG (the “Clearinghouse”)
activities. The introduction of the new Integrated Clearer (IC) functionality is planned in October
2000.
The focus of the new release is
•
to extend the Clearinghouse’s clearance capabilities to include spot, forward and repo
(repurchase agreement) transactions in fixed income securities (referred to as “bond trades”)
•
to add new settlement locations for the settlement of bond trades
•
to include bond trades in the risk based margining system of the Clearinghouse, allowing
cross margining and cross collateralisation between the products of the Eurex Exchanges
and bond trades
•
to open Eurex Clearing AG’s membership structure to include Clearing and Non-Clearing
memberships for Participants who are not Eurex Exchange Participants but who wish to have
Eurex Clearing AG clear their bond trades.
The release has been structured so that Clearinghouse members who engage only in business
on the Eurex exchanges will not need to alter their systems to accommodate the changes in this
release.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 3
Functional Release Notes
2
Functional Changes
2.1
Trading Locations & Products
The Clearinghouse currently provides clearing functionality for the Eurex Exchanges. With the
new release, the Clearinghouse will be able to provide clearing services for
•
existing Derivatives trades from the Eurex exchange
•
cash and forward trades (up to maximum 364 days) in certain highly liquid fixed rate
government bonds
•
repo trades on the above mentioned bonds which comply with the following conditions:
•
exclusively fixed term repos
•
fixed price repos, i.e. without rate resets during the life of the repo
•
one security per repo
•
there are no substitutions (underlying bond traded in both legs of a repo cannot be
changed during the life of the repo)
The Clearinghouse will announce at a later date the trading locations from which it can receive
cash and forward bond and repo trades.
2.1.1
Coupon Compensations
Repo Transactions:
In the event of a coupon payment on a security for which there is an outstanding repo closing leg
position, the Clearinghouse will process a transfer of the coupon amount from the buyer to the
seller under the repo. The Clearinghouse will collect the coupon amount from the buyer by
debiting its account (or the account of the buyer's Clearing Member) at the LZB. The
Clearinghouse will transfer the same amount to the seller at its account (or the account of the
seller's Clearing Member) at the LZB.
Late Settlements:
Coupon compensation payments are also made in the event of a late settlement obligation where
the seller was meant to deliver securities prior to the coupon payment date but does not do so
until on or after the coupon payment date. Unless such coupon compensation payments are
performed automatically by the settlement location, the Clearinghouse on actual settlement date
will debit the account of the member that is late delivering to the Clearinghouse and will credit the
account of the member who is late in receiving from the Clearinghouse.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
2.2
Page 4
Membership
Market Participants need not be Eurex Exchange Participants in order to become NCMs, GCMs
or DCMs of the Clearinghouse and to utilize its clearing services for bond trades (GCMs and
DCMs together are referred to as Clearing Members, or CMs ). A NCM may choose only one
Clearing Member to clear its trades.
2.3
Central Counterparty Role
The Clearinghouse will be interposed between the primary counterparties and consequently take
over the role as central counterparty. The following benefits will be realized for members:
2.4
•
reduction of counterparty risk, as each market participant will have the Clearinghouse as its
counterparty in place of the market participant with whom the trade was concluded
•
trade anonymity will be extended through the settlement process. All Clearing Members will
clear and settle their trades against the Clearinghouse
•
consolidation of risk positions, allowing for a maximum of margin offset by applying the
existing collateralization process
Trade Management
Trades on electronic trading locations using the Clearinghouseas its central counterparty will be
routed automatically to the Clearinghouse for processing.
Clearing Members will not have direct access to the trade management functionality. If
applicable, access to trade management functionality will be provided by the respective trading
locations.
2.5
Risk Management
2.5.1
Objectives
With the extension of its activities into the clearing bond trades, the risk based margining system
of the Clearinghousewill be extended to cover such transactions. The extension of the risk based
margining system has been conceived to achieve the following objectives
•
to incorporate positions arising from bond trades
•
to maintain the same degree of risk coverage for Eurex Clearing AG as is presently the case
•
to require no systems changes for Eurex Exchange Participants that do not engage in bond
trades to be cleared by the Clearinghouse
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 5
Functional Release Notes
•
to require no changes in amounts of margin to be provided by Eurex Exchange Participants
that do not engage in bond trades to be cleared by Eurex Clearing AG
•
to leave intact the margining system as it applies to Non-Clearing Members, Direct Clearing
Members and General Clearing Members
•
to allow cross margining between derivative positions and related positions resulting from
bond trades
•
to provide members with electronic information necessary to reconcile all calculations
performed in the risk based margining system
Timeframe:
yesterday to today
Clearinghouse Products
Premium
Margin
Variation
Margin
Timeframe:
today to tomorrow
Current
Liquidating
Value
Additional
Margin
Equities and Index Options
+
Futures
+
Options on Futures
+
Bond and Repo Trades
Diagram: Types of Margin
NEW
for
non-spreads
+
Futures
Spread
Margin
for
spreads
NEW
Relevant margin type for the respective product
Margin type not relevant for the respective product
2.5.2
Detailed Description of Position Valuation Methods
2.5.2.1
Risk Positions
First, repo transactions are split into separate bond trade positions, one opening leg and one
closing leg of the repo. Then, all bond trade positions are split for calculation purposes into
1
separate cash and bond positions. Additionally, coupon compensation payments that will be
processed under repo transactions are also identified and set up as cash positions. Notifications
and allocations will continue to be considered as futures positions until they successfully settle,
i.e. they will not be treated as bond positions in the margin calculations. The following table
shows, from a member point of view, the positions that are created according to different bond
trade types.
1
Future coupon payments on repo transactions during the repo period.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 6
Functional Release Notes
Bond Positions
Cash Positions
Bond selling trade
Short
Long
Bond buying trade
Long
Short
Opening leg for a seller of a
repo
Short
Long
Closing leg for a seller of a repo
Long
Short
Opening leg for a buyer of a
repo
Long
Short
Closing leg for a buyer of a repo
Short
Long
Repo Coupon Compensation for
buyer of a repo
-
Short
Repo Coupon Compensation for
a seller of a repo
-
Long
The bond long and short positions are kept per member (CM and NCM) account, security (ISIN),
and settlement date. The cash long and short positions are kept per member (CM and NCM),
2
account, security (ISIN) , currency, and settlement date.
Signs
The following sign convention is used in risk based margining calculations and reports. For
member short positions, where the Clearinghouse is due to receive cash or bonds, the associated
value will be assigned a positive sign, consistent with the fact that this position is of positive value
to the Clearinghouse. For member long positions, where Eurex Clearing AG is due to deliver cash
or bonds, the associated value will be assigned a negative sign. When summed together,
positions with a total net value that is positive represent net positive value from the perspective of
the Eurex Clearing AG and will give rise to positive margin requirements. The opposite is true for
positions whose total net value is negative. Please note that different sign conventions are used
in certain other (i.e. non risk based margining) calculations and reports.
Examples
Example 1:
.
A bond trade for a member, to buy 107,000 120 EUR nominal amount of bond X at price
99 00000% to be settled at day d in the proprietary account P leads for this member to
.
2
Having the security (ISIN) as a grouping parameter allows linking of cash positions to bond
positions at the level of classes.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 7
Functional Release Notes
•
bond long positions 107,000.120 EUR nominal amount for
•
account P,
•
bond X, and
•
settlement date d,
and
•
cash short positions 105,930.1188 EUR (percentage multiplied by nominal amount)
for
•
account P,
•
currency EUR,
•
corresponding to bond X, and
•
settlement date d.
Example 2:
On day T, a member has made following trades with bond B (nominal value 100,000):
1) Purchase nominal amount 1,000,000 of bond B at price 110% with delivery in T+3.
2) Sell 200,000 nominal amount of bond B at price 111% with delivery in T+3.
3) Sell repo (based on bond B) with 500,000 nominal amount with opening leg at price 109% in
T+2 and closing leg at price 111% in T+10.
Risk positions in bond B as of day T are as follows:
Day
Bond short
Bond long
Bond net
T+2
500,000
0
500,000
T+3
200,000
1,000,000
-800,000
T+10
0
500,000
-500,000
Day
Cash short
Cash long
Cash net
T+2
0
545,000
-545,000
T+3
1,100,000
222,000
878,000
T+10
555,000
0
555,000
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 8
Functional Release Notes
2.5.2.2
Calculation of Current Liquidating Value (CLV)
CLV of a Cash Position
The current liquidating value of a cash position will be its value as of valuation date after
performing a time value of money adjustment. For cash positions to be paid in the future, the CLV
will be lower than the nominal amount of the cash position. Money market interest rates will be
used to make these adjustments.
More specifically, the CLV of a cash payment will be calculated by the following formulae
CLV = C / (1+ r ∗ t /365) for cash payments in the future or
CLV = C for past due cash payments, where
•
C is the size of the cash payment,
•
t is the number of days from the valuation date to the payment date, and
•
r is a money market rate for the time period from the valuation date to the payment date
In order to protect Eurex Clearing AG against shifts in market rates, the CLV of a cash payment
will be calculated with a degree of conservatism to protect Eurex Clearing AG against any default.
The rate used to discount positive cash positions (rD ) will be below market rates, thereby
overstating the value to the Eurex Clearing AG of the expected cash receipt (called “Risk adapted
market interest rate – down”). The rate used to discount negative cash positions (rU ) will be above
market rates, thereby understating the cost of the cash flow to Eurex Clearing AG (called “Risk
adapted market interest rate – up”). The combined effect of the above is to overstate the value to
Eurex Clearing AG of its net cash positions, resulting in a higher current liquidating value of
transactions and therefore a higher margin requirement, i.e. providing greater protection to the
Eurex Clearing AG. RD and rU will be set by Market Supervision to create the appropriate level of
protection against market movements in short term rates.
The formulae for valuing a cash position will therefore be:
CLV cash = C / (1+ rD ∗ t /365), for positive Cs, i.e. for member cash short positions
CLV cash = C / (1+ rU ∗ t /365), for negative Cs, i.e. for member cash long positions
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 9
Functional Release Notes
CLV of a Bond Position
Bond values will be calculated by reference to market prices as of the valuation date. With the
exception of cases where there are coupon payments between valuation date and settlement
date, bond valuation will not (and need not) take account of the settlement date of the bond
position.
The approach to bond valuation will be (i) to ascertain the spot market price of the bond as
quoted on the valuation date, (ii) to determine the amount of cash that would be exchanged for
the bond based on such price, (iii) to determine the date on which the bond would be exchanged
for cash at such price (e.g. on trade date plus 2 days for T+2 securities), and (iv) to discount the
cash amount back to the current valuation date.
For securities that are quoted on a clean price basis, the amount of cash that would be
exchanged for bond on the spot settlement date, as a percentage of nominal, would be:
MVSpotSettlement Date = P + A
where
•
P is the clean price, i.e. a price quote exclusive of accrued interest, expressed as a
percentage of nominal, and
•
A is the amount of accrued interest (expressed as a percentage of nominal) on the bond as of
the spot settlement date. Accrued interest will be calculated according to the convention
adopted for the bond in question, e.g. on an actual/actual basis for German government
bonds
This market value is as of the settlement date for a spot transaction in the bond and must,
therefore, be adjusted back to the current valuation date. The market price of the bond as of
valuation date is therefore:
MVvaluation date = (P + A)/ (1+r ∗ t’ /365), where
•
t’ is the number of days between (i) the valuation date and (ii) the settlement date of a spot
transaction concluded on the valuation date for the relevant security (please note that t’ is not
the number of days between valuation date and settlement date of the position), and
•
r is the relevant interest rate for the period between the valuation date and the date of
3
settlement of a spot transaction
The value of a bond position can be calculated from the above by taking into account the nominal
size of the bond position and by adjusting for any coupons that may fall due between the
valuation date and the settlement date of the position (this is described in detail below). The full
formula is
CLV bond = X ∗ {(P+ A) / (1+r ∗ t’ /365) +/− Coupon Adjustments}, where
3
Note that we do not use the rU and rD rates as for cash. This is because the additional margin for
bonds covers the risk of price movements in bonds.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
•
Page 10
X is the nominal size of the position, with a positive sign for member short positions and a
negative sign for member long positions
Coupon Adjustments
Coupon adjustments are required when the bond position includes different coupons than those
reflected in the spot price for the bond and the calculations performed above. Two examples
where there is a discrepancy between the two are shown below.
Example 1 (”missing coupon”)
Assumptions: The settlement date for a closing leg of a 1-month repo transaction is one day
prior to coupon payment date, valuation date is 2 days prior to coupon payment date,
settlement period for a spot transaction in the security is T+3. In this case, the valuation
formula would include only one day of accrued interest because settlement of a spot
transaction would be one day after the upcoming coupon date. This generates a valuation of
the bond excluding the upcoming coupon. On the other hand, the bond position assumes
settlement one day prior to coupon, i.e. the bond position represents a right to receive the
upcoming coupon. In this case the value of the upcoming coupon needs to be added to the
result of the standard computation.
Example 2 (“extra coupon”)
Assumptions: Position settlement date is one week after coupon payment date, valuation date
is 1 week prior to coupon payment date, settlement period for a spot transaction in the security
is T+3. In this example, the valuation formula would yield a price consistent with the
assumption that a buyer of a security is purchasing the upcoming coupon as well as all
remaining coupons and bond principal. Computationally, this is represented by fact that almost
an entire interest period’s accrued interest would be added to the clean price in the valuation
formula. On the other hand, the settlement date for the position is subsequent to the coupon
date. This means that the actual bond obligation between the Clearinghouse and the member
involves the bond without the upcoming coupon. Looking at this in terms of present value, the
position represents the right, on the position’s settlement date, to purchase the principal
payment and the coupons remaining as of the settlement date, i.e. excluding the upcoming
coupon. Due to its settlement date, this position is less valuable than that of a spot transaction,
which necessitates a downward adjustment of the result of the standard computation.
The calculation of the coupon adjustment proceeds in four steps.
1. Identify the coupon discrepancies, i.e. determine the differences, if any, between the coupons
valued in the standard valuation formula and the coupons that are covered by the bond position in
question. For longer term transactions in bonds with coupons paid more frequently than annually,
the discrepancy could be more than one coupon. This is performed as follows.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 11
Functional Release Notes
•
Find the coupons that should be valued in the position: all coupons that are due on a date
after the settlement date for the position
•
Find all coupons that are included in the normal valuation (i.e. prior to making any coupon
adjustment) for the bond: These will be all coupons that are due on a date after the valuation
date plus the standard settlement cycle
•
Identify: (i) “extra” coupons in normal bond valuation and/or coupons “missing” therefrom
Extra and missing coupons give rise to a coupon adjustment, calculated for each individual
“missing” or “extra” coupon.
2. For each coupon requiring adjustment, determine whether the adjustment is a “+” or a “−“
adjustment
•
“extra” coupons è “−“
•
“missing” coupons è “+”
3. Determine whether the coupon adjustment should be performed using the present value or the
future value formula
•
If coupon payment date >= Valuation Date è use the “present value formula”
•
If coupon payment date < Valuation Date è use “future value formula”
4. Add together the coupon values calculated immediately above.
Present value calculation
In most cases, the adjustment will involve adding or subtracting the present value of a future
coupon. In case of settlement delays extending beyond the coupon date, the adjustment could
relate to a past coupon, necessitating a future value calculation.
In the case of future coupons, the expression used is
d / (1 + r ∗ t /365)
In the case of past coupons, the expression used is
d ∗ (1 + r ∗ t /365)
where,
•
d is the coupon, expressed as a percentage of nominal
•
t is the number of days from the valuation date to the coupon payment date
•
r is the money market interest rate applicable for this period
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
2.5.2.3
Page 12
Calculation of Worst Case Losses
Worst case losses are calculated for bond positions only. Eurex Clearing AG is protected against
movements in short term rates and their impact on cash payments by the choice of rU and rD, as
described above.
Worst case losses in bond positions can result from upward or downward movements in prices,
depending on whether a position is long or short. For this reason, it is necessary to calculate the
change in the CLV of a bond position that would result from a worst case upward or downward
movement in the price of the bond. The change in CLV is calculated by adjusting the current
clean price upward and downward by a volatility factor. These modified clean prices are then
inserted into the CLV formula presented above to arrive at the CLV for the position for the worst
case upward and downward price movement in the bond. Mathematically, the calculations are
performed as follows.
The highest and lowest possible clean price, PU and PD, is predicted for each underlying bond
using the current clean bond price P and the largest relative movement, δ, in percent. δ is set by
the Clearinghouse and is based on current volatility assessments and on historical volatility.
Projected prices:
upside-price
PU = P ∗ (1 + δ),
downside-price
PD = P ∗ (1 − δ)
The upside and downside change in value for a net bond position is computed for each net bond
position for each settlement date by computing the liquidating value of the bond position based on
the clean upside-price and down-side price and using the CLV formula. In the notation below, LV
and ∆LV, denote liquidating value and change in liquidating value, respectively.
∆LVup = [LVbond / net ( PU ) − CLVbond / net ]
∆ LV down = [LV bond / net ( PD ) − CLV bond / net ]
These calculated value changes are then used at the class level building up to the Additional
Margin requirement as described in the next section.
2.5.3
Calculation of Margin Requirements
The calculation of Current Liquidating Margin (CLM) and of Additional Margin (AM) is performed
according to established Eurex Clearing AG calculation logic, utilizing margin classes and groups.
Having performed the specific value calculations for positions arising from bond trades, it remains
to feed these values into the existing methodology, as will be described below.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
2.5.3.1
Page 13
Current Liquidating Margin of a Margin Class
The CLM of a margin class is equal to the sum of the CLVs of all bond and related cash positions
in such margin class. Because the CLVs of the cash and the bond sides of a transaction are
included in the same class, the impact of a single transaction on the CLM of a margin class is at
most equal to the difference between the CLVs of the bond and cash sides of the transaction.
2.5.3.2
Additional Margin
Additional Margin will be calculated for each margin class. It is important to note that margin
classes containing positions from bond trades and margin classes containing Eurex trades may
be assigned to the same margin group.
Margin classes for existing Eurex products will be treated in the AM calculations as they are
currently. The ∆LV calculations for margin classes for bond trades will be included in the existing
calculations as follows:
∆LV up for a class will be inserted into the column titled “Upside Class Curr” in report RPTCC045
and ∆LV down will be inserted into the column titled “Downside Class Curr” in the same report.
Report RPTCC045 also includes margin classes for Eurex products, whose upside and downside
value changes continue to be inserted into the same columns. Offset factors will be applied as
currently to all upside and downside value changes for margin classes in the same margin group
in order to calculate the AM for the margin classes in a margin group.
2.5.3.3
Overall Margin Requirement
The calculation of the overall margin requirement is performed by (i) treating the Current
Liquidating Margin for each margin class analogously to the treatment of Premium Margin and (ii)
otherwise completing the calculations as currently performed.
2.6
Delivery Management
Settlement of existing Eurex Derivatives will be unchanged (Clearstream Banking AG / SIS
SEGAINTERS ETTLE AG). Accordingly, the functionalities for Delivery Management described in the
subchapters below are only valid for bond and repo transactions.
With the new release, eligible bond and repo transactions (see section 2.1) can be settled
through at Clearstream Banking AG or at other relevant settlement locations based on member
needs.
Members are responsible for ensuring that they have the cash and securities necessary in order
to successfully settle all transactions. Settlement instructions that remain unsettled at the end of
one settlement day will remain in the settlement locations for settlement for during the next
subsequent settlement process.
Settlement of repo transactions will not be subject to special procedures. Each leg of the repo
will be settled as would any single bond trade due on such date and in such amount.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
Page 14
The Clearinghouse will confirm the upcoming settlements in form of reports (see 4.5) transmitted
to each member.
2.6.1
Interface to Settlement Locations
For bonds and repo transactions the Clearinghouse will have accounts in Clearstream Banking
and other relevant settlement locations based on member needs and will participate directly in
batch and real time settlement processes as necessary to ensure full settlement. According to the
options offered by trading locations, the member may select different settlement locations for
different products.
The Clearinghouse will submit settlement instructions to the relevant settlement locations for itself
and for its members. Members must authorize the settlement location to accept settlement
instructions submitted on their behalf by the Clearinghouse. The procedures for submission of
settlement instructions to settlement locations on behalf of members are currently under
development and will be communicated to members at a subsequent date. The Clearinghouse
will monitor the status of settlement instructions pre-matching and settlement at the relevant
settlement location. Settlement instructions will be submitted to settlement locations in the
evening of Settlement Day - 3.
2.6.2
Cross Border Settlement
Normally, each member’s deliveries and receipts will be settled through the Clearinghouse’s
account in the member’s chosen settlement location. Due to the fact that underlying trades may
be concluded between members preferring different settlement locations, settling in each
member’s preferred settlement location generally would lead to imbalances between deliveries
from, and receipts into, the Clearinghouse’s accounts in each settlement location. In order to
balance its settlement accounts, the Clearinghouse will determine net cross border settlement
transactions for each security for each involved settlement location per settlement day. These
calculated settlement transactions will be randomly assigned to members who originally were
involved in cross border trades. A member receiving an assignment of such a settlement
transaction will be required to deliver from its preferred settlement location to the Clearinghouse
at a different location.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
2.6.3
Page 15
Partial Deliveries
In case of failure by Clearing Members to deliver a security timely on settlement date to the
Clearinghouse, the Clearinghouse (i) will not be able to fulfil all of its settlement obligation on the
scheduled settlement date and (ii) could, if it took no further action, be forced to carry a long
security position from one day to the next. In such a case, the Clearinghouse will make a partial
delivery in order to reduce its long security position to zero. The partial delivery will be assigned
to the Clearing Member whose unsettled receipt from the Clearinghouse is the smallest. If there is
more than one such receipt, the partial delivery will be assigned randomly. The Clearinghouse will
inform the Clearing Member of the pending delivery selected for partial settlement and will, for
itself and on behalf of the relevant Clearing Member, submit instructions to cancel the pending
delivery in question and to replace it with two new settlement instructions in the amount of the
desired partial delivery and the resulting remaining amount.
2.6.4
Cash Transactions
All repo coupon compensation cash payments will be incorporated in the summary report “Daily
Cash Account Statement”. Coupon compensation payments related to late deliveries will not be
included in this report.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 16
Functional Release Notes
3
Reports
The following changed and new reports will be available by the new release 2000. They can be
selected on screen J010 – Member Report Selection.
REPORT NAME
CODE
RAW DATA
CHANGE
Pending Trades
RPTTC700
Daily Trade Maintenance
RPTTC710
Open Repo Trades
RPTTC750
X
X
Coupon Compensation
RPTCD190
X
X
Pending Deliveries
RPTCE200
X
X
Settled / Cancelled Delivery
RPTCE210
X
X
Daily Cash Account Statement
RPTCD010
Current Liquidating Margin
RPTCC011
Theoretical Values II
RPTCC031
Liquidating Value II
RPTCC041
Daily Margin
RPTCC050
X
Daily Margin Summary
RPTCC060
X
X
NEW
X
X
X
X
X
X
X
X
Detailed field descriptions and layouts of the changed/ new reports can be found in the Appendix.
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 17
Functional Release Notes
4
Appendix – Description of Reports
4.1
Pending Trades
Report Name: Pending Trades (new)
Report Code: RPTTC700
Purpose:
This report lists all Non-Derivatives pending trades until settlement. Additionally, the trades
settled or deleted during the relevant day are shown.
Notes on format:
This report is also available as a raw data file (RAWTC700)
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
MEMBER ID
Code of the Exchange Member
3
ACCOUNT
TYPE
Code of the Account Type
4
ISIN
Security identification
5
SETTLEMENT
DATE
Date the trade is scheduled to be settled
6
SETTLEMENT
CURRENCY
Currency of the Product
7
TRADING
LOCATION
Identification of the Trading Location
8
TRADE
NUMBER
Unique trade identification
9
TRADE DATE
Date the trade occurred
10
TRADE TIME
Time the trade occurred
11
EXTERNAL
TRADE
Trade identification at Trading Location
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 18
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
NUMBER
12
B/S
Buy / Sell indicator
13
QUANTITY
Nominal amount of the trade to be received (positive) or to be
delivered (negative)
14
PAY/ RECEIVE
AMOUNT
Payable (negative)/ Receivable (positive) Amount (including
accrued interest; including repo interest, if applicable)
15
ACCRUED
INTEREST
Accrued interest to be received (positive) or to be paid (negative)
belonging to the trade
16
STATUS
“PEN” if either the trade is not passed to Delivery Management
or some deliveries of the trade are not settled
“SET”
if all deliveries of the trade are settled on the current
business day
“DEL”
if all deliveries of the trade are deleted on the current
business day
“S/L” if all deliveries of the trade are either settled or deleted on
the current business day
17
FREE TEXT
External Free Form Text
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
PENDING TRADES
PAGE:
1
02|RPTTC700
AS OF DATE: 23-10-00
03|
RUN DATE: 23-10-00
04|CLEARING MEMBER
: ABCFR (1)
05|MEMBER
: ABCFR (2)
06|ACCOUNT TYPE
: PP (3)
07|ISIN
: DE0001170165 (4)
08|SETTLEMENT DATE
: 26-10-2000 (5)
09|SETTLEMENT CURRENCY: EUR (6)
10|TRADING LOCATION
: XYZABC (7)
11|
12|TRADE
TRADE
TRADE
EXTERNAL TRADE
B
QUANTITY
PAY/RECEIVE
ACCRUED
STS
FREE TEXT
13|NUMBER
DATE
TIME
NUMBER
S
AMOUNT
INTEREST
14|------------ ---------- ----- ------------------- - -------------------- ------------------- ----------------- --- ----------------15| (8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
16|123456789012 23-10-2000 11:22 0234567890123456789 B
25,000,000.000
18,552,500.0041,095.89- PEN 95180-WP
17|123456701234 23-10-2000 15:31 1123456789123456799 S
10,000,000.0007,412,000.00
16,438.36 PEN DEP-01234599445
18|
19|
20|
21|
22|
23|
24|
25|
26|
27|
28|
29|
30|
31|
32|
33|
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 19
Functional Release Notes
4.2
Daily Trade Maintenance
Report Name: Daily Trade Maintenance (new)
Report Code: RPTTC710
Purpose:
This report lists all non-derivatives pending trades that have been entered by Market Supervision
on behalf of the Clearing Member.
Notes on format:
None
Fields:
REF
FIELD NAME
DESCRIPTION
1
MEMBER
Exchange Member’s code
2
ISIN
Security identification
3
SETTLEMENT
CURRENCY
Currency of the Product
4
TRADING
LOCATION
Identification of the Trading Location
5
TRADE
NUMBER
Unique internal trade identification
6
MAINT TIME
Time the trade was added, deleted, modified by EUREX
MAINT CODE
“ADD” (new trade)
“DEL” (existing trade)
“ORG”/ (modification of a trade, e.g.: change of CSD and
settlement “MOD” account
8
TYP
Indication of the trade type:
“S” = spot trade
“R” = repo trade
“B” = spot leg of basis trade
9
LEG
Leg number. Spot trade has one leg, repo has two legs
“1” for first leg
“2” for second leg
7
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 20
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
10
B/S
Buy / Sell indicator
11
QUANTITY
Nominal amount of the trade
12
PAY/ RECEIVE
AMOUNT
Payable/ Receivable Amount (including accrued interest; including
repo interest, if applicable)
13
SETTLEMENT
DATE
Date the trade is scheduled to be settled
14
ACCOUNT
TYPE
Code of the account type
“A1” = Agent Account 1
“PP” = Combined Proprietary and Market Maker Account
15
CLEARING
MEMBER
Member ID of the Clearing Member
16
CSD
Identification of the settlement location
“CBF” = Clearstream
“EOC” = Euroclear
17
SETTL ACC
Identification of the settlement account of the Clearing Member
18
ON BEHALF
ID of the Eurex Market Supervision user who entered the trade on
behalf of the member
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
DAILY TRADE MAINTENANCE
02|RPTTC710
03|
04|
05|MEMBER
: ABCFR (1)
06|ISIN
: DE0001170165 (2)
07|SETTLEMENT CURRENCY: EUR (3)
08|TRADING LOCATION
: XEUR (4)
09|
10|
T L
11|
MAINT
MAINT Y E B
12| TRADE NUMBER TIME
CODE P G S
QUANTITY
PAY/RECEIVE AMOUNT
13|-------------- -------- ----- - - - -------------------- ------------------|
(5)
(6)
(7) (8)(9)(10)
(11)
(12)
14|12345670123456 15:16:24 DEL
S 1 S
140,000,000.000100,856,237.69
15|12345670123457 15:18:51 DEL
S 1 S
8,300,000.0005,267,179.27
16|
17|13345670123456 15:21:24 ADD
B 1 S
155,000,000.000
110,558,313.5218|
19|14345670123577 15:32:24 ORG
B 1 S
139,000,000.000
100,856,237.6920|14345670123577 15:33:47 MOD
21|28345670123456 15:41:11 ORG
B 1 S
33,000,000.000
23,834,189.2722|28345670123456 15:43:56 MOD
23|28345670123456 15:55:36 ORG
B 1 S
33,000,000.000
23,834,189.2724|28345670123456 16:01:41 MOD
PAGE:
1
AS OF DATE: 23-10-00
RUN DATE: 23-10-00
SETTLEM ACC
DATE
TYP
-------- --(13)
(14)
26-10-00 PP
26-10-00 PP
CLG
MEMBER CSD
------ --(15) (16)
ABCFR CBF
ABCFR CBF
26-10-00 A1
ABCFR
CBF 7099
26-10-00 A1
ABCFR
CBF
EOC
CBF
EOC
EOC
26-10-00 A1
ABCFR
26-10-00 A1
PP
ABCFR
SETTL ACC
---------(17)
7099
7099
ON
BEHALF
-----(18)
USER01
USER02
USER01
7099
USER01
8899001127
7099
USER02
1234567890
8899001129 USER02
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 21
Functional Release Notes
4.3
Open Repo Trades
Report Name: Open Repo Trades (new)
Report Code: RPTTC750
Purpose:
Open repo trades are shown on this report from trade date until both legs are settled. The
settlement status of each leg is shown.
Notes on format:
This report is also available as a raw data file (RAWTC750)
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
MEMBER
Code of the Exchange Member
3
ACCOUNT
TYPE
Code of the Account Type
4
ISIN
Security identification
5
SETTLEMENT
CURRENCY
Currency of the Open and Close Leg Payable Amounts
6
TRADE DATE
Date the trade occurred
7
OPEN LEG
TRADE NO
Unique trade identification of the opening leg of the repo
8
CLOSE LEG
TRADE NO
Unique trade identification of the closing leg of the repo
9
OPEN LEG
SETTL. DATE
Settlement Date of the opening leg of the repo
10
CLOSE LEG
SETTL. DATE
Settlement Date of the closing leg of the repo
11
B/S
Buy / Sell indicator of the opening leg of the repo
12
QUANTITY
Nominal amount of the securities in the repo trade
13
OPEN LEG
PAYABLE
AMOUNT
Payable Amount for the opening leg
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 22
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
14
CLOSE LEG
PAYABLE
AMOUNT
Payable Amount for the closing leg
15
REPO RATE
Repo interest rate
16
STS
O/C
Settlement Status of the opening/ closing leg:
“P” for pending, “S” for settled, “D” for deleted
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
OPEN REPO TRADES
PAGE:
1
02|RPTTC750
AS OF DATE: 23-10-00
03|
RUN DATE: 23-10-00
04|CLEARING MEMBER
: ABCFR (1)
05|MEMBER
: ABCFR (2)
06|ACCOUNT TYPE
: PP (3)
07|ISIN:
: DE0001135135 (4)
08|SETTLEMENT CURRENCY : EUR (5)
09|TRADE DATE
: 17-10-2000 (6)
10|
11|OPEN LEG
CLOSE LEG
OPEN LEG
CLOSE LEG B
QUANTITY
OPEN LEG
CLOSE LEG
REPO RATE STS
12|TRADE NO
TRADE NO
SETTL.DATE SETTL.DATE S
PAYABLE AMOUNT
PAYABLE AMOUNT
O/C
13|------------ ------------ ---------- ---------- - -------------------- ------------------ ------------------ ----------- --| (7)
(8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
14|123456789012 987654321012 19-10-2000 19-01-2001 B
50,000,000.000
52,150,000.00
52,638,906.00
3.750000 S P
15|123456789020 987654321020 20-10-2000 20-11-2000 B
25,000,000.000
26,195,000.00
26,274,677.00
3.650000 S P
16|123456789013 987654321013 20-10-2000 20-04-2001 B
120,000,000.000
125,190,000.00
127,548,580.00
3.768000 S P
17|
18|
19|
20|
21|
22|
23|
24|
25|
26|
27|
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 23
Functional Release Notes
4.4
Repo Coupon Compensation
Report Name: Repo Coupon Compensation (new)
Report Code: RPTCD190
Purpose:
This report reflects all future coupon payments on repo transactions during the repo period.
Members are able to see at any time all future coupon transfers for all concerned repos. The total
amount per member and per clearing member is shown.
Fields:
REF
FIELD NAME
DESCRIPTION
1
DENOMINATION Settlement Currency of the Product
CURRENCY
2
COUPON
Coupon Payment Date
PAYMENT DATE
3
CLEARING
MEMBER
Member ID of Clearing Member
4
MEMBER
Code of the Exchange Member
5
ACCOUNT
TYPE
Code of the Account Type
6
ISIN
Security identification
7
COUPON RATE
Coupon Rate
8
CLOSE LEG
SETTL. DATE
Settlement Date of the closing leg or settlement date of the late
pending trade
9
OPEN LEG
TRADE NO
Unique trade identification of the opening leg
10
CLOSE LEG
TRADE NO
Unique trade identification of the closing leg
11
B/S
Buy Sell indicator
12
QUANTITY
Nominal amount of securities
13
COUPON
AMOUNT
RECEIVE /
Indicator for whether the member will receive (positive) or pay
(negative) the coupon amount
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 24
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
(PAY)
14
CSD
Settlement location of trade (member view)
15
-
Total coupon amount per NCM, per currency, per date
16
-
Total coupon amount per CM, per currency, per date
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
REPO COUPON COMPENSATION
02|RPTCD190
03|
04|DENOMINATION CURRENCY: EUR (1)
05|COUPON PAYMENT DATE : 04-01-2001 (2)
06|CLEARING MEMBER
: ABCFR (3)
07|MEMBER
: ABCFR (4)
08|ACCOUNT TYPE
: PP (5)
09|
10|
COUPON CLOSE LEG
OPEN LEG
CLOSE LEG
B QUANTITY
11|
ISIN
RATE
SETTL.DATE TRADE NO
TRADE NO
S
12|------------ ------- ---------- ------------ ------------ - -------------------|
(6)
(7)
(8)
(9)
(10)
(11)
(12)
13|DE0001135135
5.375 19-01-2001 123456789012 987654321012 B
50,000,000.000
14|DE0001135135
5.375 20-04-2001 123456789013 987654321013 B
120,000,000.000
15|
16|TOTAL COUPON AMOUNT PER MEMBER AND DATE: (15)
17|
18|
19|TOTAL COUPON AMOUNT PER CLEARING MEMBER AND DATE: (16)
20|
21|
22|
23|
24|
25|
PAGE:
1
AS OF DATE DATE: 23-10-00
RUN DATE: 23-10-00
COUPON AMOUNT
RECEIVE/(PAY)
------------------(13)
2,687,500.006,450,000.00------------------9,137,500.00-
CSD
--(14)
EOC
EOC
------------------9,137,500.00===================
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 25
Functional Release Notes
4.5
Delivery / Settlement
4.5.1
Pending Delivery
Report Name: Pending Delivery (new)
Report Code: RPTCE200
Purpose:
This report lists all Pending Deliveries per member.
Notes on format:
This report is also available as a raw data file RAWCE200
Restrictions:
Non-Clearing Members (NCM) do not get this report
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
CSD
Central Securities Depository / Settlement Location
3
MEMBER
ACCOUNT
Settlement Account code of member at the settlement location
4
SETTLEMENT
CURRENCY
Settlement currency
5
ISIN
Security identification
6
ISIN
CURRENCY
Currency associated with security nominal
7
TRAN DATE
Date when the pending delivery transaction was created
8
SETTLEMENT
DATE
Settlement date of the pending delivery transaction
9
B/S
Buy Sell indicator
10
NOMINAL /
Nominal amount to be received (positive) or to be delivered
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 26
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
QUANTITY
(negative)
11
SETTLEMENT
AMOUNT
Settlement amount to be received (positive) or to be delivered
(negative)
12
TRADE REFER
Reference Number to Pending Trade ID
13
CSD
Settlement location of counterpart member
14
ACCOUNT
Settlement Account code of counterpart member at the settlement
location
15
REMARK
Free Text field, reference to trade ID for coupon payments
16
TOTAL
SETTLEMENT
DATE
Total amount per settlement date
17
TOTAL ISIN
Total amount ISIN
18
TOTAL CSD
Total amount per CSD
19
TOTAL
CLEARING
MEMBER
Total amount per clearing Member
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 27
Functional Release Notes
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
PENDING DELIVERY
02|RPTCE200
03|
04|
05|CLEARING MEMBER: (1)
06|CSD: SIS (2)
07|MEMBER ACCOUNT: CH1234567891 (3)
08|
09|
ISIN
TRAN
SETTLMNT B
10|
ISIN
CURR
DATE
DATE
S
NOMINAL/QUANTITY
SETTLEMENT AMOUNT
11|------------ ---- -------- -------- - --------------------- -------------------|
(5)
(6)
(7)
(8)
(9)
(10)
(11)
12|CH1234567890 CHF 18-10-00 23-10-00 S
250,000.000255,000.00
13|CH1234567890 CHF 18-10-00 23-10-00 S
500,000.000540,000.00
14|CH1234567890 CHF 19-10-00 23-10-00 B
(500,000.000 )
(540,000.00-)
15|
--------------------- -------------------16|TOTAL SETTLEMENT DATE: (16)
795,000.00
17|
-------------------18|
19|CH1234567890 CHF 18-10-00 24-10-00 S
250,000.000255,000.00
20|CH1234567890 CHF 19-10-00 24-10-00 S
500,000.000540,000.00
21|
--------------------- -------------------22|TOTAL SETTLEMENT DATE:
795,000.00
23|
-------------------24|TOTAL ISIN:(17)
1,590,000.00
25|
====================
26|
27|CH0987654321 CHF 20-10-00 23-10-00 S
500,000.000540,000.00
28|CH0987654321 CHF 20-10-00 23-10-00 B
500,000.000
540,000.0029|
--------------------- -------------------30|TOTAL SETTLEMENT DATE:
0.00
31|
-------------------32|TOTAL ISIN:
0.00
33|
====================
34|TOTAL CSD: (18)
1,590,000.00
35|
====================
36|
37|TOTAL CLEARING MEMBER: (19)
1,590,000.00
38|
====================
39|
40|
41|
42|CLEARING MEMBER: ABCFR
43|CSD: CBF
44|MEMBER ACCOUNT: 7199
45|
46|
ISIN
TRAN
SETTLMNT B
47|
ISIN
CURR
DATE
DATE
S
NOMINAL/QUANTITY
SETTLEMENT AMOUNT
48|------------ ---- -------- -------- - --------------------- -------------------29|DE0001030005 EUR 20-10-00 24-10-00 B
500,000.000
540,000.0050|
--------------------- -------------------51|TOTAL SETTLEMENT DATE:
540,000.0052|
-------------------53|TOTAL ISIN:
540,000.0054|
====================
55|TOTAL CSD:
540,000.0056|
====================
57|
58|TOTAL CLEARING MEMBER:
540,000.00====================
PAGE:
1
AS OF DATE: 23-10-00
RUN DATE: 23-10-00
SETTLEMENT CURRENCY: CHF (4)
- COUNTERPART -TRADE REFER CSD
ACCOUNT
REMARK
------------ --- ------------ -----(12)
(13)
(14)
(15)
612345123645 SIS 123456789012 MANUAL
612345234567 SIS 23497
MANUAL
SIS 23497
CANCEL
SIS
SIS
134567
AA1234
SIS
SIS
112345
987AA4321
SETTLEMENT CURRENCY: EUR
- COUNTERPART -TRADE REFER CSD
ACCOUNT
REMARK
------------ --- ------------ -----123456789012 EOC BBBBBBBBBBBB
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 28
Functional Release Notes
4.5.2
Settled / Cancelled Deliveries
Report Name: Settled / Cancelled Deliveries (new)
Report Code: RPTCE210
Purpose:
This report reflects all deliveries which are settled and “cancelled confirmed” during the day.
Notes on format:
This report is also available as a raw data file RAWCE210
Restrictions:
Non-Clearing Members (NCM) do not get this report
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
CSD
Central Securities Depository / Settlement Location
3
MEMBER
ACCOUNT
Settlement Account code of member at the settlement location
4
“SECTION”
Settled Delivery or Cancelled Delivery
5
SETTLEMENT
CURRENCY
Settlement Currency
6
EFFECTIVE
DATE
Date when settlement / cancellation is effective.
7
ISIN
Security identification
8
ISIN CURR
Associated currency to security nominal
9
TRAN DATE
Date when the pending delivery transaction has been created
10
SETTLMNT
DATE
Settlement date of the pending delivery transaction
11
B/S
Buy Sell indicator
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 29
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
12
NOMINAL /
QUANTITY
Nominal amount to be received (positive) or to be delivered
(negative)
13
SETTLEMENT
AMOUNT
Settlement amount to be received (positive) or to be delivered
(negative)
14
TRADE REFER
Reference Number to Pending Trade ID
15
CSD
Central Securities Depository / Settlement Location of
counterparty
16
ACCOUNT
Settlement Account code of counterparty member at the
settlement location
17
REMARK
Free Text field, reference to trade ID for coupon payments
18
TOTAL
SETTLEMENT
DATE
Total amount per Settlement Date
19
TOTAL ISIN
Total amount per ISIN
20
TOTAL CSD
Total amount per CSD
21
TOTAL
CLEARING
MEMBER
Total amount per Clearing Member
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
Page 30
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
SETTLED / CANCELLED DELIVERIES
PAGE:
1
02|RPTCE210
AS OF DATE: 20-10-00
03|
RUN DATE: 20-10-00
04|
05|CLEARING MEMBER: ABCZH ABC BANK CORPORATION (1)
(5) SETTLEMENT CURRENCY: CHF
06|
(6) EFFECTIVE DATE: 23-10-00
07|CSD: SIS (2)
08|MEMBER ACCOUNT: CH1234567891 (3)
09|
10|SETTLED DELIVERIES (4)
11|
12|
ISIN
TRAN
SETTLMNT B
- COUNTERPART -13|
ISIN
CURR
DATE
DATE
S
NOMINAL/QUANTITY
SETTLEMENT AMOUNT
TRADE REFER CSD
ACCOUNT
REMARK
14|------------ ---- -------- -------- - --------------------- -------------------- ------------ --- ------------ -----|
(7)
(8)
(9)
(10) (11)
(12)
(13)
(14)
(15) (16)
(17)
15|CH1234567890 CHF 18-10-00 22-10-00 S
250,000.000255,000.00 612345123456 SIS 123456789012 MANUAL
16|CH1234567890 CHF 18-10-00 22-10-00 S
500,000.000540,000.00 612345123456 SIS 456678901234 MANUAL
17|
--------------------- -------------------18|TOTAL SETTLEMENT DATE: (18)
795,000.00
19|
-------------------20|
21|CH1234567890 CHF 19-10-00 23-10-00 S
500,000.000540,000.00 343434343434 SIS 11234534455
22|CH1234567890 CHF 19-10-00 23-10-00 B
500,000.000
540,000.00- 454545454545 SIS 987AA432156
23|
--------------------- -------------------24|TOTAL SETTLEMENT DATE:
0.00
25|
-------------------26|TOTAL ISIN: (19)
795,000.00
27|
-------------------28|TOTAL CSD: (20)
795,000.00
29|
====================
30|
31|TOTAL CLEARING MEMBER: (21)
795,000.00
32|
====================
33|
34|
35|CLEARING MEMBER: ABCFR ABC BANK CORPORATION
SETTLEMENT CURRENCY: EUR
36|
EFFECTIVE DATE: 23-10-00
37|CSD: CBF
38|MEMBER ACCOUNT: 7199
39|
40|SETTLED DELIVERIES
41|
42|
ISIN
TRAN
SETTLMNT B
- COUNTERPART -43|
ISIN
CURR
DATE
DATE
S
NOMINAL/QUANTITY
SETTLEMENT AMOUNT
TRADE REFER CSD
ACCOUNT
REMARK
44|------------ ---- -------- -------- - --------------------- -------------------- ------------ --- ------------ -----45|DE0001030005 EUR 20-10-00 25-10-00 B
500,000.000
540,000.00- 987654321098 CBF BBBBBBBBBBBB
46|
--------------------- -------------------47|TOTAL SETTLEMENT DATE:
540,000.0048|
-------------------49|TOTAL ISIN:
540,000.0050|
-------------------51|TOTAL CSD:
540,000.0052|
====================
53|
54|TOTAL CLEARING MEMBER:
540,000.0055|
====================
56|
57|
58|
SETTLED / CANCELLED DELIVERIES
PAGE:
2
59|RPTCE210
AS OF DATE: 20-10-00
60|
RUN DATE: 20-10-00
61|
62|CLEARING MEMBER: ABCFR ABC BANK CORPORATION
SETTLEMENT CURRENCY: EUR
63|
EFFECTIVE DATE: 23-10-00
64|CSD: CBF
65|MEMBER ACCOUNT: 7199
66|
67|CANCELLED DELIVERIES
68|
69|
ISIN
TRAN
SETTLMNT B
- COUNTERPART -70|
ISIN
CURR
DATE
DATE
S
NOMINAL/QUANTITY
SETTLEMENT AMOUNT
TRADE REFER CSD
ACCOUNT
REMARK
71|------------ ---- -------- -------- - --------------------- -------------------- ------------ --- ------------ -----72|DE0001030005 EUR 20-10-00 25-10-00 B
500,000.00
540,000.00- 123456789012 CBF BBBBBBBBBBBB CANCEL
73|
--------------------- -------------------74|TOTAL SETTLEMENT DATE::
540,000.0075|
-------------------76|TOTAL ISIN:
540,000.0077|
-------------------78|TOTAL CSD:
540,000.0079|
====================
80|
81|TOTAL CLEARING MEMBER:
540,000.0082|
====================
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 31
Functional Release Notes
4.5.3
Daily Cash Account Statement
Report Name: Daily Cash Account Statement (change)
Report Code: RPTCD010
Purpose:
This report contains the details of balances and transactions amounts on the cash account.
Change:
If applicable, one line with two new (transaction) types will be added to that report in order to
include the results of report RPTCD190 “Repo Coupon Compensation”.
Type
190
192
Description
IC CSH FLOW RECEIVED
IC CSH FLOW PAID
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
DAILY CASH ACCOUNT STATEMENT
02|RPTCD010
03|
04|
05|CLEARING MEMBER: AARFR ABN AMRO BANK (DEUTSCHLAND) AG
06|
07| TXN
VALUE
08| DATE
DATE
REF
TYPE
DESCRIPTION
DEBIT
09|------------------------------------------------------- ----------------10|
11|30-10-00
OPENING BALANCE
12|30-10-00
31-10-00
063576
226
PREMIUM RECEIVED
0.00
13|30-10-00
31-10-00
063577
235
VAR MARGIN RCV
0.00
14|30-10-00
31-10-00
063603
190
IC CSH FLOW RECEIVED
4,214,427.50
15|30-10-00
31-10-00
063603
206
CASH WITHDRAWAL
7.40
16|30-10-00
ENDING BALANCE
PAGE:
1
AS OF DATE: 30-10-00
RUN DATE: 30-10-00
CURRENCY: EUR
CREDIT
-----------------
BALANCE
----------------0.00
259,567.40
3,954,867.50
0.00
0.00
0.00
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 32
Functional Release Notes
4.6
Margin
4.6.1
Current Liquidating Margin
Report Name: Current Liquidating Margin (new)
Report Code: RPTCC011
Purpose:
This Report shows current liquidating values for a specific bond and cash position for different
dates, as well as the sum of those values.
Notes on format:
This report is also available as a raw data file RAWCC011
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
EXCHANGE
MEMBER
Code of the Exchange Member
3
ACCOUNT
Code of the Account
4
CURRENCY
Currency of the Product
5
MARGIN CLASS
Margin Class
6
CASH
INTEREST
RATE
Market Cash Interest Rate of the Currency
7
RISK ADAPTED
INTEREST
RATE-UP
Currency’s Risk Adapted Interest Rate - Up
8
RISK ADAPTED
INTEREST
RATE-DOWN
Currency’s Risk Adapted Interest Rate - Down
9
ISIN
ISIN of the security for which the risk positions and the current
liquidating margin is shown
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 33
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
10
-
Security Short Name
11
CURRENT
CLOSING
PRICE
Clean market price
12
COUPON RATE
Coupon rate of the bond
13
SETTLMNT
DATE
Settlement Date of the risk positions
14
SECURITY NET
POSITION
Security net risk positions as nominal amount
15
CASH NET
POSITION
Cash net risk positions belonging to the security
16
Coupon Adjustments of Current Liquidating Value:
D/U
“D” for downward adjustment
“U” for upward adjustment
P/F
“P” for adjustment with present value
“F” for adjustment with future value
Both columns a space (“ “) if no coupon adjustment.
17
CURRENT LIQ
VALUE
SECURITY
Current liquidating value of the security net positions of the
settlement date
18
CURRENT LIQ
VALUE CASH
Current liquidating value of the cash net positions of the
settlement date
19
-
Total current liquidating value of all security positions for the ISIN
20
-
Total current liquidating value of all cash positions per security
21
TOTAL
CURRENT
Total current liquidating value per class and account
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
Page 34
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
CURRENT LIQUIDATING MARGIN
PAGE:
1
02|RPTCC011
AS OF DATE: 23-10-00
03|
RUN DATE: 23-10-00
04|
05|CLEARING MEMBER: ABCFR BANK CORPORATION
(1)
ACCOUNT: PP (3)
CURRENCY: EUR (4)
06|EXCHANGE MEMBER: ABCFR BANK CORPORATION
(2)
07|
(7)
(8)
08|MARGIN CLASS: BD10 (5) CASH INTEREST RATE: 3.00 (6) RISK ADAPTED INTEREST RATES – UP: 3.50 DOWN: 2.50
|
(9)
(10)
09|ISIN: DE0001135135 – BUNDANL V.99/10
CURRENT CLOSING PRICE: 100.56 (11)
COUPON RATE: 5.375 (12)
|
(13)
(14)
(15)
(16)
(17)
(18)
10|
SETTLMNT
SECURITY NET
CASH NET
DP
CURRENT LIQ.
CURRENT LIQ.
11|
DATE
POSITION
POSITION
UF
VALUE SECURITY
VALUE CASH
12|
-------- -------------------- ------------------- -- ------------------- ------------------13|
19-01-01
50,000,000.000
52,638,906.00- DP
49,765,820.00
52,323,531.0014|
20-04-01
120,000,000.000
127,548,580.00- DP
119,437,969.00
126,003,739.00–
15|
------------------- ------------------16|
(19) 169,203,789.00
178,327,270.00-(20)
17|
=================== ===================
18|
19|ISIN: DE0001170165 – BD.FDSV90 VIII(96-10)LS
CURRENT CLOSING PRICE: 74.00
COUPON RATE: 3.000
20|
21|
SETTLMNT
SECURITY NET
CASH NET
DP
CURRENT LIQ.
CURRENT LIQ.
22|
DATE
POSITION
POSITION
UF
VALUE SECURITY
VALUE CASH
23|
-------- -------------------- ------------------- -- ------------------- ------------------24|
26-10-00
25,000,000.00018,552,500.00
18,542,928.0018,547,165.00
25|
27-10-00
10,000,000.000
7,412,000.007,417,171.00
7,410,477.0026|
15-12-00
5,000,000.000
3,695,000.003,708,586.00
3,681,635.0027|
------------------- ------------------28|
7,417,171.007,455,052.00
29|
=================== ===================
30|
31|TOTAL CURRENT LIQUIDATING MARGIN FOR CLASS AND ACCOUNT
9,085,600.00– (21)
32|
===================
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 35
Functional Release Notes
4.6.2
Theoretical Values II
Report Name: Theoretical Values II (new)
Report Code: RPTCC031
Purpose:
This report derives from RPTCC030 (Theoretical Values (I)) and shows the theoretical liquidating
value for bonds. Possible maximum up and down price movements are shown here. Additional
information required for the risk based margining is also shown. All figures are displayed in the
product currency.
Fields:
REF
FIELD NAME
DESCRIPTION
1
MARGIN CLASS
Margin Class
2
MARGIN
PARAMETER
Parameter for the expected maximum up and down movement of
the security
3
CASH
INTEREST
RATE
Market cash interest rate of the security
4
ISIN
ISIN of the security for which the information is shown
5
COUPON
Coupon rate of the bond
6
CURRENT
CLOSING
PRICE
Current closing price of the security
7
MAX UP
MOVEMENT
Maximal expected price
MAX DOWN
MOVEMENT
Minimal expected price
9
CPN DATE
Coupon date
10
CPN ADJ
Coupon adjustment expressed as a percentage per annum
8
For bonds it is the expected clean price as a percentage
For bonds it is the expected clean price as a percentage
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 36
Functional Release Notes
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
02|RPTCC031
03|
04|
05|MARGIN CLASS:
06|CASH INTEREST
07|
08|
ISIN
09|-----------10| (4)
11|DE0001135135
12|
13|DE0001170165
14|
15|
16|
17|
18|
19|
20|
THEORETICAL VALUES II
BD10 (1)
MARGIN PARAMETER:
RATE: 3.000 (3)
COUPON
-----(5)
5.375
3.000
1.60 (2)
CURRENT CLOSING PRICE MAX UP MOVEMENT
--------------------- ----------------(6)
(7)
100.56
102.16
74.00
PAGE:
1
AS OF DATE: 23-10-00
RUN DATE: 23-10-00
75.18
CURRENCY: EUR
MAX DOWN MOVEMENT
----------------(8)
98.95
72.82
CPN DATE
-------(9)
04-01-00
04-01-01
03-10-00
03-10-01
CPN ADJ
-------(10)
5.504
5.342
3.005
2.916
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 37
Functional Release Notes
4.6.3
Liquidating Value II
Report Name: Liquidating Value II (new)
Report Code: RPTCC041
Purpose:
This report is presented for bond products. It shows “positions” for every day and product (ISIN),
where all transactions (buy/sell) of single product will be summed up. Liquidating value up and
down and the difference to the current liquidating value will then be shown for these “positions”.
Only up and down maximums and no strikes in between (as there are no options in the margin
classes) are used for the calculation of liquidating values.
Notes on format:
This report is also available as a raw data file RAWCD041
Fields:
REF
FIELD NAME
DESCRIPTION
1
CLEARING
MEMBER
Member ID of Clearing Member
2
EXCHANGE
MEMBER
Code of the Exchange Member
3
ACCOUNT
Code of the Account
4
CURRENCY
Currency of the Product
5
MARGIN
GROUP
Margin Group
6
MARGIN CLASS
Margin Class
7
CASH
INTEREST
RATE
Market Cash Interest Rate of the Currency
8
RISK ADAPTED
INTEREST
RATE - UP
Currency’s Risk Adapted Interest Rate - Up
9
RISK ADAPTED
INTEREST
Currency’s Risk Adapted Interest Rate - Down
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 38
Functional Release Notes
REF
FIELD NAME
DESCRIPTION
RATE - DOWN
10
ISIN
ISIN of the security for which the risk positions and the liquidating
value is shown
11
-
Security Short Name
12
COUPON RATE
Coupon rate of the bond
13
CURR PRICE
Current Security Price. For bonds the clean market price as a
percentage price
MAX UP PRICE
Maximal expected price, respectively minimal expected price
14/15
MAX DOWN
PRICE
16
SETTLEMENT
DATE
Settlement Date of the risk positions
17
SECURITY
POSITION NET
Net security risk positions as nominal amount
18
CURRENT LIQ
VALUE
SECURITY
Current liquidating value of the security net positions of the
settlement date
19
LIQUIDATING
VALUE UP
Liquidating value of the net positions, assuming the maximal
expected price
20
LIQUIDATING
VALUE DOWN
Liquidating value of the net positions, assuming the minimal
expected price
21
LIQUIDATING
VALUE DIFF UP
Difference between Current Liquidating value and Liquidating
value of the net positions, assuming the maximal expected price
22
LIQUIDATING
VALUE DIFF
DOWN
Difference between Current Liquidating value and Liquidating
value of the net positions, assuming the minimal expected price
23
-
Total “liquidating value difference up” of net positions per
security
24
-
Total “liquidating value difference down” of net positions
25/26
TOTAL
Total “liquidating value difference up/ down” per class and
LIQUIDATING
account
VALUE DIFF UP/
DOWN FOR
CLASS
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Functional Release Notes
Page 39
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
LIQUIDATING VALUE II
PAGE:
1
02|RPTCC041
AS OF DATE: 23-10-00
03|
RUN DATE: 23-10-00
04|
05|CLEARING MEMBER: ABCFR BANK CORPORATION (1)
ACCOUNT: PP (3)
CURRENCY: EUR (4)
06|EXCHANGE MEMBER: ABCFR BANK CORPORATION (2)
07|
(8)
(9)
08|MARGIN GROUP: BND1 (5) MARGIN CLASS: BD10 (6) CASH INTEREST RATE: 3.000 (7) RISK ADAPTED INTEREST RATES – UP: 3.500 DOWN: 2.500
|
(10)
(11)
09|ISIN: DE0001135135 – BUNDANL.V. 99/10
COUPON RATE: 5.375 (12)
10|CURR/ MAX UP/ MAX DOWN PRICE: 100.56
102.16
98.95 (13/14/15)
| (16)
(17)
(18)
(19)
(20)
(21)
(22)
11|SETTLEMENT
SECURITY POSITION
CURRENT LIQ.
LIQUIDATING VALUE LIQUIDATING VALUE
LIQUIDATING VALUE
LIQUIDATING VALUE
12| DATE
NET
VALUE SECURITY
UP
DOWN
DIFF. UP
DIFF. DOWN
13|---------- -------------------- ------------------- ------------------- ------------------- ------------------- ------------------14| 19-01-01
50,000,000.000
49,765,820.00
50,570,069.00
48,961,572.00
804,248.00
804,248.0015| 20-04-01
120,000,000.000
119,437,969.00
121,368,165.00
117,507,773.00
1,930,196.00
1,930,196.0016|
------------------- ------------------17|
(23) 2,734,444.00
2,734,444.00(24)
18|
19|ISIN: DE0001170165 – BD. FDSV 90 VIII (96-10)
COUPON RATE: 3.000
20|CURR/ MAX UP/ MAX DOWN PRICE:
74.00
75.18
72.82
21|
22|SETTLEMENT
SECURITY POSITION
CURRENT LIQ.
LIQUIDATING VALUE
LIQUIDATING VALUE
LIQUIDATING VALUE
LIQUIDATING VALUE
23| DATE
NET
VALUE SECURITY
UP
DOWN
DIFF. DOWN
DIFF. UP
24|---------- -------------------- ------------------- ------------------- ------------------- ------------------- ------------------25| 26-10-00
25,000,000.00018,542,928.0018,838,859.0018,246,997.00295,931.00295,931.00
26| 27-10-00
10,000,000.000
7,417,171.00
7,535,543.00
7,298,799.00
118,372.00
118,372.0027| 15-12-00
5,000,000.000
3,708,586.00
3,767,772.00
3,649,399.00
59,186.00
59,186.0028|
------------------- ------------------29|
118,373.00118,373.00
30|
31|
------------------- ------------------32|TOTAL LIQUIDATING VALUE DIFF. UP/DOWN FOR CLASS:
(25) 2,616,071.00 (26) 2,616,071.0033|
=================== ===================
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 40
Functional Release Notes
4.6.4
Daily Margin
Report Name: Daily Margin (change)
Report Code: RPTCC050
Purpose:
Report RPTCC050 deals with the daily margin requirements (or margin credit) of each Market
Member Account. The margin requirement is calculated based on the Option Premium Margin,
Futures Spread Margin and Additional Margin; all margin components are shown here. All figures
are displayed in the product currency. No changes for bonds positions and corresponding cash
positions are required, bond products are treated like any other product.
Change:
Column “Options premium margin” is renamed to Premium / Current Liquidating Margin.
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
02|RPTCC050
03|
04|
05|CLEARING MEMBER: ABCFR ABC BANK CORPORATION
06|EXCHANGE MEMBER: ABCFR ABC BANK CORPORATION
07|
08|
09|
PREMIUM / DELIVERY /
10|MARG
MARG
CURR. LIQ.
11|GROUP
CLASS
MARGIN
12|-----------------------------13|
14|
AUA
30,000.0015|BND1
BD01
16|
-------------------17|
18|ACCOUNT TOTAL:
30,000.0019|
====================
20|
21|
22|
DAILY MARGIN
PAGE:
1
AS OF DATE: 23-10-00
RUN DATE: 23-10-00
ACCOUNT: PP
FUTURES
SPREAD
MARGIN
--------------------
CURRENCY: EUR
ADDITIONAL
MARGIN
--------------------
UNADJUSTED
MARGIN
REQUIREMENT
------------------------
--------------------
199,881.30
10,234.00
--------------------
169,881.30
10,234.00
------------------------
0.00
====================
210,115.30
====================
180,115.30
========================
0.00
Attachment 3 to Eurex Circular 067/00
Eurex Clearing AG
Version: 1.0
IC Release 2000
As of 30.10.2000
Page 41
Functional Release Notes
4.6.5
Daily Margin Summary
Report Name: Daily Margin Summary (change)
Report Code: RPTCC060
Purpose:
Report RPTCC060 gives the daily margin requirements for all Exchange and Clearing Members.
All figures are displayed in the margin currency.
Change:
The total margin requirement for all risk positions are shown (i.e. for Eurex derivative positions,
bond positions, and cash positions). No other changes presented.
Layout:
1
2
3
4
5
6
7
8
9
10
11
12
13
0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012
01|EUREX
02|RPTCC060
03|
04|
05|CLEARING
06|
07|
08|EXCHANGE
09|MEMBER
10|-------11|ALLHH
12|
13|
14|EXCHANGE
15|
16|ALLHH
17|
18|
19|EXCHANGE
20|
21|
22|
23|CLEARING
24|
25|
26|
DAILY MARGIN SUMMARY
PAGE:
1
AS OF DATE: 23-10-00
RUN DATE: 23-10-00
MEMBER: ABCFR ABC BANK CORPORATION
ACCT
---A1
PREMIUM/ DELIVERY /
CURR.LIQ.
MARGIN
----------------00.0
CURRENCY: EUR
FUTURES
SPREAD
MARGIN
----------------0.00
ADDITIONAL
MARGIN
----------------12,350.00
UNADJUSTED
MARGIN
REQUIREMENT
----------------750,000.000
MEMBER TOTAL:
PP
MEMBER TOTAL:
TOTAL
MARGIN
REQUIREMENT
----------------762,350.00
----------------762,350.00
0.00
0.00
42,000.00
9,950,000.000
9,992,000.00
----------------9,992,000.00
-----------------
MEMBER TOTAL:
10,754,350.00
=================
Attachment 3 to Eurex Circular 067/00
X-pand into the Future
Eurex Clearing AG
Technical Release Notes
IC Release 2000
© Eurex 2000
All proprietary rights and interest in this publication shall be vested in Eurex
Administration and Management (”Eurex”) and all other rights including, but
without limitation, patent, registered design, copyright, trade mark, service
mark, connected with this publication shall also be vested in Eurex.
Whilst all reasonable care has been taken to ensure that the details
contained in this publication are accurate and not misleading at the time of
publication, no liability is accepted by Eurex for the use of information
contained herein in any circumstances connected with actual trading or
otherwise. Neither Eurex, nor its servants nor agents, is responsible for any
errors or omissions contained in this publication which is published for
information only and shall not constitute investment advice. This brochure is
not intended for solicitation purposes but only for the use of general
information.
All descriptions, examples and calculations contained in this publication are
for guidance purposes only and should not be treated as definitive. Eurex
reserves the right to alter any of its rules or contract specifications, and such
an event may affect the validity of information in this publication.
® Eurex is a registered trademark
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 1
Technical Release Notes
Table of Contents
1
Introduction
2
2
General Information
3
2.1
Trade Management
3
2.2
Risk Management
3
2.3
Delivery Management
4
3
File Transfer Interface
5
3.1
3.1.1
3.1.2
3.1.3
Risk Management
File FPMGBPRM - Security Margin Class and Group Information File
File FPTHEB - Theoretical Values II
File FPTHEC - Bond Coupon Parameters
5
5
6
8
4
Raw Data Interface
9
4.1
4.1.1
4.1.2
Trade Management
Raw Data File RAWTC700 - Pending Trades
Raw Data File RAWTC750 - Open Repo Trades
9
9
11
4.2
4.2.1
4.3
Daily Settlement
Raw Data File RAWCD190 – Coupon Compensation
Risk Management
14
14
16
4.3.1
4.3.2
4.4
4.4.1
4.4.2
Raw Data File RAWCC011 – Current Liquidating Margin
Raw Data File RAWCC041 – Liquidating Values II
Delivery Management
Raw Data File RAWCE200 - Pending Delivery
Raw Data File RAWCE210 - Settled / Cancelled Deliveries
16
18
21
21
23
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 2
Technical Release Notes
1
Introduction
This document describes the changes to Member Back Office Systems interfaces which will be
introduced as part of the IC Release 2000 release in October 2000. Familiarity with the Eurex Member
Interface Specifications – File Interfaces (Documents XCB03400 and XCB06800) is assumed.
All changes necessary to Back Office systems are only necessary for Members (or their non-clearing
members) that participate in Eurex as well as the bond trading platform. In general, the changes to be
made on the Back Office Systems for new Raw Data and other files are only relevant for clearing
members.
The release does not contain of any Front End changes, nor any changes to the Operating Systems.
The implementation of the clearing release does not affect the Sizing Guidelines.
The technical changes described in this document result from the following functional enhancements
(for further information refer to the Functional Release Notes):
•
Trade Management (Bond Trades)
•
Risk Management (Cross Margining of Bond and Derivatives positions)
•
Delivery Management (Bond Trades)
The interfaces listed below will change as a result of the above-mentioned functional enhancements:
•
File Interface
•
Raw Data Interface
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Technical Release Notes
2
Page 3
General Information
This chapter provides a short overview of the functional changes which will affect the technical
environment of Eurex Clearing AG (“the Clearinghouse”). The functional descriptions below provide
the context for the subsequent technical changes.
The focus of the new release is
2.1
•
to extend Eurex Clearing AG’s clearance activities to include spot, forward and repo (repurchase
agreement) transactions in fixed income securities (referred to as “bond trades”)
•
to add new settlement locations for the settlement of bond trades
•
to include bond trades in the risk based margining system of Eurex Clearing AG, allowing cross
margining and cross collateralization between Eurex products and bond trades
•
to extend Eurex Clearing AG’s membership structure to include Clearing and Non-Clearing
memberships for Participants who are not Eurex Exchange Participants but who wish to have
Eurex Clearing AG clear their bond trades
Trade Management
The Clearinghouse currently provides clearing functionality for Eurex derivatives. With the new
release, the Clearinghouse will be able to receive trades from other trading systems and will provide
clearing services for the existing derivatives trades from the Eurex exchanges as well as cash, basis
and repo trades.
The interface from the existing Eurex trading to the Eurex clearing system will remain unchanged.
Trades on electronic trading platforms using Eurex Clearing AG as its central counterpart will be
routed automatically to the Clearinghouse for processing.
2.2
Risk Management
With the extension of the Clearinghouse’s activities into the clearing of Bond Trades, the risk based
margining system of the Clearinghouse will be extended to cover such transactions. Bond Trades will
be set up as new products in the Clearinghouse and will be assigned to new margin classes that will
only include positions arising from Bond Trades.
The Clearinghouse will calculate the profits and losses in the positions from Bond Trades. Each Bond
Trade position will be valued according to current market prices resulting in a “Current Liquidating
Value” (CLV), for each position. The CLVs of positions will be aggregated at the level of margin
classes and margin groups and will contribute to the overall level of collateral margin, “Current
Liquidating Margin” (CLM), required from the Member.
As for other Eurex products, the Clearinghouse will perform a “worst case loss” calculation in order to
properly integrate price change risk in Bond Trade positions into the overall Additional Margin
requirement of the Member.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Technical Release Notes
Page 4
Further adjustments are made to take into account the benefit of an upcoming coupon payment or
deduction of a of a coupon payment if it should not be included. Further details on the changes and
calculations for risk based margining can be found in the Functional Release Notes.
2.3
Delivery Management
Settlement of existing Eurex derivatives will be unchanged (Clearstream Banking AG / SIS
SEGAINTERS ETTLE AG).
For cash bonds and repurchase agreement transactions settlement, the Clearinghouse will have
settlement accounts in Clearstream Banking Frankfurt AG and other relevant settlement locations
based on member needs and will participate directly in batch and real time settlement processes as
necessary to ensure maximal settlement. As mentioned above, the settlement of Repo transactions
will not be subject to special procedures. Each leg of the Repo will be settled as would any single
bond trade due on such date and in such amount.
The Clearinghouse will confirm the upcoming settlements in the form of a settlement Report
transmitted to each member. The Clearinghouse will submit settlement instructions for itself and for its
members to the settlement locations selected by the members.
Members and the Clearinghouse are each responsible for ensuring that they have the cash and
securities necessary to successfully settle all transactions. The Clearinghouse will be responsible for
timely delivery only to the extent members deliver to it on a timely basis. Failed settlement instructions
will remain in the settlement locations for settlement in a subsequent settlement process.
In the event of settlement fails, the Clearinghouse might be forced to carry a long securities position
from one day to the next. In such a case the Clearinghouse will modify unsettled instructions in order
to make partial deliveries. The partial deliveries will be assigned to the Clearinghouse participant
whose unsettled receipt from the Clearinghouse is the smallest and, should there be more than one
such Eurex Clearing AG member, the partial will be assigned on a random basis. In this case, the
Clearinghouse will inform the member of the modified and new settlement instructions, and the
Clearinghouse will submit the associated settlement instructions and for itself to the relevant
settlement locations.
The current Eurex penalty mechanism will apply to all fails.
For a detailed description on the functional changes and implications, see the Functional Release
notes.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 5
Technical Release Notes
3
File Transfer Interface
3.1
Risk Management
3.1.1
File FPMGBPRM - Security Margin Class and Group Information File
To enable Clearing Members to calculate additional margining, the Back Office Systems are provided
with information on the new margin class mapping for bond securities resulting from the Bonds trading
platform. The information is sent to the Members via the Security Margin Class and Group Information
File (FPMGBPRM).
Similar to the current procedure for the FPMGPARM file, this file is created during the End of day
processing, before the Eurex batch starts its margin calculation, and is published on the internet. The
layout of the FPMGBPRM file is as follows:
Field
Format
Description
10 MGN-GRP-COD-RMMGBPRM
X(5).
Margin Group Code
10 GRP-OFF-SET-RMMGBPRM
–9(3).
Offset Factor
X(5).
Margin Class Code
X(12).
ISIN of the security
9(3).9(3).
Margin Parameter. This is the maximum
01 RMMGBPRM-WS-REC
05 DATA-GRP-RMMGBPRM
05 DATA-CLS-RMMGBPRM
10 MGN-CLS-COD-RMMGBPRM
05 SECU-ISIN-RMMGBPRM
05 DATA-VOL-RMMGBPRM
10 MGN-PAR-RMMGBPRM
fluctuation which a security can be
expected to have during the next day.
Based on the historical volatility.
10 MGN-PAR-FLG-RMMGBPRM
PIC X
Indicator, if the margin parameter is given
in absolute (A) or percentage (P).
05 DATA-CURR-RMMGBPRM
10 CURR-TYP-COD-RMMGBPRM
X(3).
10 DCML-SHFT-NO-RMMGBPRM
9(1).
10 FORX-EXC-RAT-RMMGBPRM
9(3).9(9).
05 DATA-BOND-RMMGBPRM
10 STD-STL-PERIOD-RMMGBPRM
Currency Code
Exchange Rate
Bond parameters
9(3).
Standard settlement Period in days per
Bond
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 6
Technical Release Notes
3.1.2
File FPTHEB - Theoretical Values II
The Theoretical Values II file provides Members with the security parameters used for the current
liquidating margin calculation and parameters for additional margin evaluation.
Similar to the current procedure for the FPTHEA file, this file is sent during the End of day processing,
before the Eurex batch starts its margin calculation, and is also published on the internet. The file will
be sent to all Eurex clearing members. The layout of the FPTHEB file is as follows:
Field
Format
Description
PIC X(12).
ISIN of the security for which the
01 RMTHEB-WS-REC.
05 KEY-GRP-RMTHEB.
10 SECU-ISIN-RMTHEB
information is shown
05 DATA-CLS-RMTHEB.
10 MGN-GRP-COD-RMTHEB
PIC X(5).
Margin group code.
10 MGN-CLS-COD-RMTHEB
PIC X(5).
Margin class code. Identification of the
margin class
10 MGN-PAR-RMTHEB
PIC 9(3).9(3).
Margin Parameter. This is the
maximum fluctuation which a security
can be expected to have during the
next day. Based on the historical
volatility.
10 MGN-PAR-FLG-RMTHEB
PIC X.
Indicator, if the margin parameter is
given in absolute (A) or percentage
(P).
05 DATA-SECU-RMTHEB.
10 SECU-PRC-RMTHEB
PIC 9(10).9(5).
Security price used for risk based
margining.
10 SECU-MAX-UP-PRC-RMTHEB
PIC 9(10).9(2).
Maximum expected price
For bonds it is the expected clean
price as percentage
10 SECU-MAX-DWN-PRC-RMTHEB
PIC 9(10).9(2).
Minimum expected price
For bonds it is the expected clean
price as percentage
10 SECU-NEAR-STL-DATE-RMTHEB
PIC 9(8).
Nearest settlement date (Actual date
plus standard settlement period for a
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 7
Technical Release Notes
Field
Format
Description
bond).
YYYYMMDD
10 SECU-AI-METHOD-RMTHEB
PIC X(2).
Accrued interest method.
“01” 30/360 days/year,
“02” 30/365 days/year,
“03” 30/360 days/year, including Italian
tax, and
“04” actual/actual (ICMA standard).
10 SECU-ACCRU-INT-RMTHEB
PIC 9(3).9(9).
Accrued interest for next coupon p.a.
10 SECU-FREQ-RMTHEB
PIC 9(3).
Number of coupon payments per year.
10 SECU-CDAYS-ACCRU-RMTHEB
PIC 9(5).
Number of days since last coupon –
counted according to specific accrued
interest method
10 SECU-CDAYS-IN-PER-RMTHEB
PIC 9(5).
Number of days between last and next
coupon – counted according to
specific accrued interest method
05 DATA-CURR-RMTHEB.
10 CURR-TYP-COD-RMTHEB
PIC X(3).
Currency Type Code (ISO Code), e.g.:
EUR, CHF
10 CURR-INTR-RATE-RMTHEB
PIC 9(2).9(3).
Market Cash Interest Rate of the
Currency
10 RSK-ADPT-INTR-RATE-RMTHEB
15 UP-ADPT-INTR-RATE-RMTHEB
Risk Adapted Interest Rates
PIC 9(2).9(3).
Currency’s Risk Adapted Interest Rate
– Up
15 DWN-ADPT-INTR-RATE-RMTHEB
PIC 9(2).9(3).
Currency’s Risk Adapted Interest Rate
– Down
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 8
Technical Release Notes
3.1.3
File FPTHEC - Bond Coupon Parameters
The Bond Coupon Parameters file contains coupon dates and rates for all bond securities. It serves as
an additional source for the evaluation of the current liquidation margin.
Similar to the current procedure for the FPTHEA file, this file is sent during the End of day processing,
before the Eurex batch starts its margin calculation, and is also published on the internet. The file will
be sent to all clearing members. The layout of the FPTHEC file is as follows:
Field
Format
Description
10 SECU-ISIN-RMTHEC
PIC X(12).
ISIN of the security
10 SECU-CPN-DATE-RMTHEC
PIC 9(8).
Issue / Maturity / Coupon Date –
01 RMTHEC-WS-REC
depending on the flag below
Format: YYYYMMDD
10 SECU-CPN-RATE-RMTHEC
PIC 9(2).9(3).
Coupon Rate
(0 for Issue Date)
10 SECU-CPN-ADJ-RMTHEC
PIC 9(3).9(5).
Coupon Adjustment
10 SECU-CPN-FLAG-RMTHEC
PIC X(1).
Issue / Maturity / Coupon Flag – The
coupon rate and date fields are set for
-
Issue of the bond if the flag is set
to: ‘I’
-
Maturity of the bond if the flag is
set to: ‘M’
-
Regular Coupon if the flag is set
to: ‘C’
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 9
Technical Release Notes
4
Raw Data Interface
4.1
Trade Management
For Trade Management, the following new raw data reports will be generated daily by Eurex and sent
to clearing members that participate in the Bond trading platform, either through their own participation
or their non-clearing members’ participation:
RAWTC700 (Pending Trades)
RAWTC750 (Open Repo Trades)
4.1.1
Raw Data File RAWTC700 - Pending Trades
The raw data file RAWTC700 contains all pending trades (including the repo trade legs). Additionally,
the trades settled or deleted during the day are shown. I.e. a trade is shown during its lifetime as
“pending” until it is either shown on the day of the settlement as “settled” or the day of the deletion of
the corresponding deliveries as “deleted”. Remark: all numbers are positive and have to be interpreted
with the buy/ sell indicator.
The copybook layout for the file is as follows:
Field
Format
Description
PIC X(8).
This field contains the identification code
01 RWTC700-WS-REC.
05 RAW-KEY-RWTC700
10 RAW-ID-COD-RWTC700
of the raw data-stream.
Values include:
RAWTC700 – valid data-record
ENDTC700 – end of raw data-stream
10 RAW-DAT-GRP-RWTC700.
15 RAW-EFF-DAT-RWTC700
PIC 9(8).
This field identifies the business-day of
which the raw data-stream is created:
The format of this field is: YYYYMMDD
15 RAW-CRT-PROC-DAT-RWTC700
PIC 9(8).
This field identifies the creation-day of
the raw data-stream.
The format of this field is: YYYYMMDD
10 ENV-NO-TXT-RWTC700
PIC X(2)
This field identifies the environment this
raw data file belongs to.
Possible values are:
00 – production environment
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 10
Technical Release Notes
Field
Format
Description
01 – simulation
10 MBR-CLG-ID-COD-
PIC X(5).
This field contains the identification code
of the Clearing Member (IC)
10 MBR-EXC-ID-COD-RWTC700
PIC X(5)
This field contains the identification code
of the Exchange Member (IC).
10 ACCT-TYP-COD-RWTC700
This group field contains the account.
Field values include:
“A1” – Agent accounts
“PP” – Proprietary accounts
15 ACCT-TYP-COD-RWTC700
PIC X(1).
15 ACCT-TYP-NO-RWTC700
PIC X(1).
10 SECU-ISIN-RWTC700
PIC X(12).
ISIN of the security
10 STL-DATE-RWTC700
PIC 9(8).
Settlement date. The format of this field
is: YYYYMMDD
10 STL-CURR-TYP-COD-RWTC700
PIC X(3).
Settlement currency type code.
Identification of settlement currency
(ISO).
10 TRD-LOC-RWTC700
PIC X(4).
Trading location code. Identification of
trading location. (MIC Code)
05 RAW-DATA-GRP-RWTC700
10 TRD-NUM-RWTC700
PIC 9(12).
Internal trade number.
10 TRD-DATE-RWTC700
PIC 9(8).
Trade date.
10 TRD-TIME-RWTC700
PIC 9(6).
Trade time
10 EXT-TRD-NUM-RWTC700
PIC 9(19).
External Trade number.
10 BUY-SELL-FLG-RWTC700
PIC X(1).
Buy / Sell flag.
10 TRD-QTY-RWTC700
PIC ------------
Trade quantity. Positive for buy and
9.9(3).
negative for sell
PIC ------------
Payable / Receivable amount. Negative
9.9(2).
for buy and positive for sell.
PIC ----------
Accrued interest amount. Negative for
9.9(2).
buy and positive for sell.
10 PAY-RCV-AMOUNT-RWTC700
10 ACC-INTR-RWTC700
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 11
Technical Release Notes
Field
10 TRD-STS-RWTC700
Format
Description
PIC X(7).
Status of the trade in the pending trade
book. ‘Pending‘ if some deliveries of the
trade are not settled.
‘Settled‘ if all deliveries of the trade are
settled.
‘Deleted‘ if all deliveries of the trade are
deleted.
‘Set/Del‘ if all deliveries of the trade are
either settled or deleted.
10 FREE-TXT-RWTC700
PIC X(20).
External Free Form Text.
10 LEG-NO-RWTC700
PIC 9(2).
For repo trades the leg number (1 for
opening and 2 for closing leg).
1 for spot trades.
10 MOD-ID-RWTC700
PIC X(10).
Modification identification. The trading
locations, together with the external trade
number, the buy/ sell indicator, the leg
number, and the modification
identification uniquely identify a trade.
4.1.2
Raw Data File RAWTC750 - Open Repo Trades
The raw data file RAWTC750 contains the open repo trades. The trades will appear in this report from
the trade day until both legs are settled. The settlement status of each leg is shown. Remark: all
numbers are positive and have to be interpreted with the buy/ sell indicator.
The copybook layout for the file is as follows:
Field
Format
Description
PIC X(8).
This field contains the identification code
01 RWTC750-WS-REC.
05 RAW-KEY-RWTC750
10 RAW-ID-COD-RWTC750
of the raw data-stream.
Values include:
RAWTC750 – valid data-record
ENDTC750 – end of raw data-stream
10 RAW-DAT-GRP-RWTC750.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 12
Technical Release Notes
Field
15 RAW-EFF-DAT-RWTC750
Format
Description
PIC 9(8).
This field identifies the business-day of
which the raw data-stream is created:
The format of this field is: YYYYMMDD
15 RAW-CRT-PROC-DAT-RWTC750
PIC 9(8).
This field identifies the creation-day of
the raw data-stream.
The format of this field is: YYYYMMDD
10 ENV-NO-TXT-RWTC750
PIC X(2).
This field identifies the environment this
raw data file belongs to.
Possible values are:
00 – production environment
01 – simulation
10 MBR-CLG-ID-COD-RWTC750
PIC X(5).
This field contains the identification code
of the Clearing Member.
10 MBR-EXC-ID-COD-RWTC750
PIC X(5)
This field contains the identification code
of the Exchange Member.
10 ACCT-TYP-COD-RWTC750
This group field contains the IC internal
account.
Field values include:
“A1” – Agent accounts
“PP” – Proprietary accounts
15 ACCT-TYP-COD-RWTC750
PIC X(1).
15 ACCT-TYP-NO- RWTC750
PIC X(1).
10 SECU-ISIN-RWTC750
PIC X(12).
ISIN of the security
10 STL-CURR-TYP-COD-RWTC750
PIC X(3).
Settlement Currency Type Code (ISO
Code), e.g.: EUR, CHF
10 TRD-DATE-RWTC750
PIC 9(8).
Trade date.
10 OPN-LEG-TRD-NUM-RWTC750
PIC 9(12).
Internal trade number of the opening leg.
10 CLS-LEG-TRD-NUM-RWTC750
PIC 9(12).
Internal trade number of the closing leg.
10 OPN-LEG-STL-DATE-RWTC750
PIC 9(8).
Settlement date of the opening leg of the
05 RAW-DATA-GRP-RWTC750
repo. The format of this field is:
YYYYMMDD
10 CLS-LEG-STL-DATE-RWTC750
PIC 9(8).
Settlement date of the closing leg of the
repo. The format of this field is:
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 13
Technical Release Notes
Field
Format
Description
YYYYMMDD
10 BUY-SELL-FLG-RWTC750
PIC X(1).
Buy / Sell indicator.
10 TRD-QTY-RWTC750
PIC ------------
Trade Quantity without sign.
9.9(3).
10 OPN-PAY-AMOUNT-RWTC750
PIC ------------
Payable amount for opening leg. without
9.9(2).
sign.
PIC ------------
Payable amount for closing leg. without
9.9(2).
sign.
10 REPO-RATE-RWTC750
PIC 9(4).9(6)
Repo interest rate (percentage).
10 REPO-INTR-AMT-RWTC750
PIC ----------
Repo interest amount without sign.
10 CLS-PAY-AMOUNT-RWTC750
9.9(2)
10 FREE-TXT-RWTC750
PIC X(20).
Free text of the opening leg
10 STL-STATUS-OPN-LEG-RWTC750
PIC X(1).
Settlement status of the opening leg. ‘S‘
for settled or ‘P‘ for pending.
10 STL-STATUS-CLS-LEG-RWTC750
PIC X(1).
Settlement status of the closing leg. ‘S‘
for settled or ‘P‘ for pending.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 14
Technical Release Notes
4.2
Daily Settlement
4.2.1
Raw Data File RAWCD190 – Coupon Compensation
The following new raw data report will be generated daily by Eurex and sent to clearing members that
participate in the Bond trading platform, either through their own participation or their non-clearing
members’ participation:
Field
Format
Description
PIC X(8).
This field contains the identification code of
01 RWCD190-WS-REC
05 RAW-KEY-GRP-RWCD190
10 RAW-ID-COD-RWCD190
the raw data-stream.
Values include:
RAWCD190 – valid data-record
ENDCD190 – end of raw data-stream
10 RAW-DAT-GRP-RWCD190
15 RAW-EFF-DAT-RWCD190
PIC 9(8).
This field identifies the business-day of
which the raw data-stream is created:
The format of this field is:
YYYYMMDD
15 RAW-CRT-PROC-DAT-RWCD190
PIC 9(8).
This field identifies the creation-day of the
raw data-stream.
The format of this field is:
YYYYMMDD
10 ENV-NO-TXT-RWCD190
PIC X(2).
This field identifies the environment this raw
data file belongs to.
Possible values are:
00 – production environment
01 – simulation environment
10 CURR-TYP-COD-RWCD190
PIC X(3).
Currency Type Code (ISO Code), e.g.:
EUR, CHF
10 SECU-CPN-DATE-RWCD190
PIC 9(8).
Coupon payment date.
The format of this field is:
YYYYMMDD.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 15
Technical Release Notes
Field
10 MBR-CLG-ID-COD-RWCD190
Format
Description
PIC X(5).
This field contains the identification code of
the Clearing Member.
10 MBR-EXC-ID-COD-RWCD190
PIC X(5).
This group field contains the identification
code of the Exchange Member.
10 ACCT-TYP-COD-GRP-RWCD190.
This group field contains the account.
Field values include:
“A1” – Agent accounts
“PP” – Proprietary accounts
15 ACCT-TYP-COD-RWCD190
PIC X(1).
15 ACCT-TYP-NO-RWCD190
PIC X(1).
05 RAW-DATA-GRP-RWCD190
10 SECU-ISIN-RWCD190
PIC X(12).
ISIN of the security.
10 SECU-CPN-RATE-RWCD190
PIC 9(2).9(3).
Coupon rate of the bond.
10 CLS-LEG-STL-DATE-RWCD190
PIC 9(8).
Settlement date of the closing leg.
The format of this field is:
YYYYMMDD.
10 OPN-LEG-TRD-NUM-RWCD190
PIC 9(12).
Internal trade number of the open leg.
10 CLS-LEG-TRD-NUM-RWCD190
PIC 9(12).
Internal trade number of the closing leg or
late pending trade.
10 BUY-SELL-FLAG-RWCD190
PIC X(1).
Buy/ Sell indicator.
10 TRD-QTY-RWCD190
PIC ------------
Trade Quantity. Positive for payer and
9.9(3).
negative for receiver
PIC ------------
Coupon transfer amount for the repo trade.
9.9(2).
Positive for receiver and negative for payer.
PIC X(3).
Central Securities Depository/ Settlement
10 CPN-AMOUNT-RWCD190
10 CSD-RWCD190
Location of Member
“CBF” for Clearstream Banking, Frankfurt
“EOC” for Euroclear
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 16
Technical Release Notes
4.3
Risk Management
For Risk Based Margining, the following new raw data reports will be generated daily by Eurex and
sent to clearing members that participate in the Bond trading platform, either through own participation
or their non-clearing members participation:
RAWCC011 (Current Liquidating Margin)
RAWCC041 (Liquidating Values II)
4.3.1
Raw Data File RAWCC011 – Current Liquidating Margin
The raw data file RAWCC011 provides members with their bond and cash positions in securities, the
current liquidation margin evaluation and several parameters required for the calculation thereof. The
copybook layout for the file is as follows:
Field
Format
Description
PIC X(8).
This field contains the identification
01 RWCC011-WS-REC.
05 RAW-KEY-GRP-RWCC011.
10 RAW-ID-COD-RWCC011
code of the raw data-stream.
Values include:
RAWCC011 – valid data-record
ENDCC011 – end of raw data-stream
10 RAW-DAT-GRP-RWCC011.
15 RAW-EFF-DAT-RWCC011
PIC 9(8).
This field identifies the business-day of
which the raw data-stream is created:
The format of this field is:
YYYYMMDD
15 RAW-CRT-PROC-DAT-RWCC011
PIC 9(8).
This field identifies the creation-day of
the raw data-stream.
The format of this field is:
YYYYMMDD
10 ENV-NO-TXT-RWCC011.
PIC X(2).
This field identifies the environment
this raw data file belongs to.
Possible values are:
00 – production environment
01 – simulation environment
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 17
Technical Release Notes
Field
10 MBR-CLG-ID-COD-RWCC011
Format
Description
PIC X(5).
This field contains the identification
code of the Clearing Member.
10 MBR-EXC-ID-COD-RWCC011.
PIC X(5).
This group field contains the
identification code of the Exchange
Member.
10 ACCT-TYP-COD-GRP-RWCC011.
This group field contains the account.
Field values include:
“A1” – Agent accounts
“PP” – Proprietary accounts
15 ACCT-TYP-COD-RWCC011
PIC X(1).
15 ACCT-TYP-NO-RWCC011
PIC X(1).
10 CURR-TYP-COD-RWCC011
PIC X(3).
Currency Type Code (ISO Code), e.g.:
EUR, CHF
10 MGN-CLS-COD-RWCC011
PIC X(5).
Margin class code. Identification of the
margin class
05 RAW-DATA-GRP-RWCC011.
10 CURR-INTR-RATE-RWCC011
PIC 9(2).9(3)
Market Cash Interest Rate of the
Currency
10 RSK-ADPT-INTR-RATE-RWCC011
15 UP-ADPT-INTR-RATE-RWCC011
Risk Adapted Interest Rates
PIC 9(2).9(3)
Currency’s Risk Adapted Interest Rate
– Up
15 DWN-ADPT-INTR-RATE-RWCC011
PIC 9(2).9(3)
Currency’s Risk Adapted Interest Rate
– Down
10 SECU-ISIN-RWCC011
PIC X(12).
ISIN of the security for which the risk
positions and the current liquidation
margin is shown
10 SECU-PRC-RWCC011
PIC 9(10).9(2)
Security price used for risk based
margining.
10 SECU-CPN-RATE-RWCC011
PIC 9(2).9(3).
Coupon Rate of the bond
10 STL-DAT-RWCC011
PIC 9(8).
Settlement Date of the risk positions.
The format of this field is:
YYYYMMDD
10 POST-SECU-NET-RWCC011
PIC ------------
Security net risk positions as nominal
9.9(3).
amount
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 18
Technical Release Notes
Field
10 CASH-POS-NET-RWCC011
Format
Description
PIC ------------
Cash net risk positions belonging to
9.9(2).
the security
10 CLV-COUPON-ADJ-RWCC011.
Coupon Adjustments of Current
Liquidation Value:
Both columns have a space (“ “) if no
coupon adjustment.
15 CLV-DU-ADJ-RWCC011.
PIC X(1).
“D” for downside adjustment
“U” for upside adjustment
15 CLV-PF-ADJ-RWCC011.
PIC X(1).
“P” for adjustment with present value
“F” for adjustment with future value
10 AMT-CLV-SECU-RWCC011
PIC ------------
Current liquidation value of the
9.9(2).
security net positions of the settlement
date
10 AMT-CLV-CASH-RWCC011
4.3.2
PIC ------------
Current liquidation value of the cash
9.9(2).
net positions of the settlement date
Raw Data File RAWCC041 – Liquidating Values II
The raw data file RAWCC041 provides members, per security, with positions for every day, with all
transactions (buy/sell) summed. In the report, liquidating values up and down and the difference from
the current liquidating value is shown. The necessary parameters needed for the calculation are also
provided with this file. Only up and down maximums and no strikes in between (as there are no
options in the margin classes) are used for the calculation of liquidating values. The copybook layout
for the file is as follows:
Field
Format
Description
PIC X(8).
This field contains the identification
01 RWCC041-WS-REC.
05 RAW-KEY-GRP-RWCC041.
10 RAW-ID-COD-RWCC041
code of the raw data-stream.
Values include:
RAWCC041 – valid data-record
ENDCC041 – end of raw data-stream
10 RAW-DAT-GRP-RWCC041.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 19
Technical Release Notes
Field
15 RAW-EFF-DAT-RWCC041
Format
Description
PIC 9(8).
Raw data date. Effective date of the
Raw data. The format of this field is:
YYYYMMDD
15 RAW-CRT-PROC-DAT-RWCC041
PIC 9(8).
Raw data date. Creation date of the
Raw data. The format of this field is:
YYYYMMDD
10 ENV-NO-TXT-RWCC041
PIC X(2).
This field identifies the environment
this raw data file belongs to.
Possible values are:
00 – production environment
01 – simulation environment
10 MBR-CLG-ID-COD-RWCC041
PIC X(5).
This field contains the identification
code of the Clearing Member.
10 MBR-EXC-ID-COD-RWCC041.
PIC X(5).
This group field contains the
identification code of the Exchange
Member.
10 ACCT-TYP-COD-GRP-RWCC041.
This group field contains the account.
Field values include:
“A1” – Agent accounts
“PP” – Proprietary accounts
15 ACCT-TYP-COD-RWCC041
PIC X(1).
15 ACCT-TYP-NO-RWCC041
PIC X(1).
10 MGN-GRP-COD-RWCC041
PIC X(5).
Margin group code. Identification of
the margin group.
10 MGN-CLS-COD-RWCC041
PIC X(5).
Margin class code. Identification of the
margin class
10 CURR-TYP-COD-RWCC041
PIC X(3).
Currency Type Code (ISO Code), e.g.:
EUR, CHF
05 RAW-DATA-GRP-RWCC041.
10 CURR-INTR-RATE-RWCC041
PIC 9(2).9(3).
Market Cash Interest Rate of the
Currency
10 RSK-ADPT-INTR-RATE-RWCC041
15 UP-ADPT-INTR-RATE-RWCC041
PIC 9(2).9(3).
Currency’s Risk Adapted Interest Rate
– Up
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 20
Technical Release Notes
Field
15 DWN-ADPT-INTR-RATE-RWCC041
Format
Description
PIC 9(2).9(3)
Currency’s Risk Adapted Interest Rate
– Down
10 SECU-ISIN-RWCC041
PIC X(12).
ISIN of the security for which the risk
positions and the liquidation value is
shown
10 SECU-CPN-RATE-RWCC041
PIC 9(2).9(3)
Coupon Rate of the bond
10 SECU-PRC-RWCC041
PIC 9(10).9(2)
Security price used for risk based
margining.
10 SECU-MAX-UP-PRC-RWCC041
PIC 9(10).9(2)
Maximum expected price
10 SECU-MAX-DWN-PRC-RWCC041
PIC 9(10).9(2).
Minimum expected price
10 STL-DAT-RWCC041
PIC 9(8)
Settlement Date of the risk positions.
The format of this field is:
YYYYMMDD
10 SECU-POS-NET-RWCC041
10 AMT-CLV-SECU-RWCC041
PIC ------------
Net security risk positions as nominal
9.9(3).
amount
PIC ------------
Current liquidation value of the
9.9(2).
security net positions of the settlement
date
10 AMT-LV-MAX-UP-RWCC041
PIC ------------
Liquidating value of the net positions,
9.9(2).
assuming the maximum expected
price
10 AMT-LV-MAX-DWN-RWCC041
10 AMT-LV-UP-DIFF-RWCC041
PIC ------------
Liquidating value of the net positions,
9.9(2).
assuming the minimum expected price
PIC ------------
Difference between Current
9.9(2).
Liquidating value and Liquidating
value of the net positions, assuming
the maximum expected price
10 AMT-LV-DWN-DIFF-RWCC041
PIC ------------
Difference between Current
9.9(2).
Liquidating value and Liquidating
value of the net positions, assuming
the minimum expected price
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 21
Technical Release Notes
4.4
Delivery Management
For Delivery Management, the following new raw data reports will be generated daily by Eurex and
sent to clearing members that participate in the Bond trading platform, either through their own
participation or their non-clearing members’ participation:
RAWCE200 (Pending Delivery)
RAWCE210 (Settled / Cancelled Deliveries)
4.4.1
Raw Data File RAWCE200 - Pending Delivery
The raw data file RAWCE200 provides the Member with a list of all pending deliveries. For the raw
data CE200 and CE210 the same file layout will be used. The copybook layout for the file is as follows:
Field
Format
Description
PIC X(8)
This field contains the identification
01 RWCE200-WS-REC
05 RAW-KEY-GRP-RWCE200
10 RAW-ID-COD-RWCE200
code of the raw data-stream.
Values include:
RAWCE200/ RAWCE210 - valid datarecord
ENDCE200/ ENDCE210 - end of raw
data-stream
10 RAW-DAT-GRP-RWCE200
15 RAW-EFF-DAT-RWCE200
PIC 9(8)
This field identifies the business-day of
which the raw data-stream is created:
The format of this field is:
YYYYMMDD
15 RAW-CRT-PROC-DAT-RWCE200
PIC 9(8)
This field identifies the creation-day of
the raw data-stream.
The format of this field is:
YYYYMMDD
10 ENV-NO-TXT-RWCE200
PIC X(2)
This field identifies the environment
this raw data file belongs to.
Possible values are:
00 - production environment
01 - simulation environment
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 22
Technical Release Notes
Field
10 MBR-CLG-ID-COD-RWCE200
Format
Description
PIC X(5)
This field contains the identification
code of the Clearing Member.
10 STL-CURR-TYP-COD-RWCE200
PIC X(3).
Settlement Currency
10 CSD-RWCE200
PIC X(3).
Central Securities Depository/
Settlement Location of Member
10 EFF-DAT-RWCE200
PIC 9(8).
Empty for RAWCE200.
For RAWCE210: Date the delivery
was effectively settled/cancelled. The
format of this field is: YYYYMMDD
05 RAW-DATA-GRP-RWCE200
10 SECU-ISIN-RWCE200
PIC X(12).
ISIN of the security
10 ISIN-CURR-TYP-COD-RWCE200
PIC X(3).
Associated Currency to Security
Nominal
10 TRAN-DAT-RWCE200
PIC 9(8).
Date when the Pending Delivery
Transaction was created. The format
of this field is: YYYYMMDD
10 STL-DAT-RWCE200
PIC 9(8).
Settlement Date of the Pending
Delivery Transaction. The format of
this field is: YYYYMMDD.
10 STL-ACCOUNT-RWCE200
PIC X(12).
Settlement Account Code of the
Member at the Settlement Location
10 BUY-SEL-RWCE200
PIC X(1).
Buy/Sell indicator
10 QTY-RWCE200
PIC ------------
Nominal Amount to be Received
9.9(3).
(positive) or to be Delivered (negative)
PIC ------------
Settlement Amount to be Received
9.9(2).
(positive) or to be Delivered (negative)
PIC 9(12).
Reference Number to Internal Trade
10 AMT-RWCE200
10 REF-TRD-ID-RWCE200
ID
10 CPTY-CSD-RWCE200
PIC X(3).
Settlement Location of Counterparty
10 CPTY-STL-ACCOUNT-RWCE200
PIC X(12).
Settlement Account Code of
Counterparty at the Settlement
Location
10 REMARK-RWCE200
PIC X(6).
Text field ie MANUAL for manual
creation of partial deliveries or
CANCEL for a manual cancellation.
Attachment 4 to Eurex Circular 067/00
Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 23
Technical Release Notes
Field
10 REF-DELV-ID-RWCE200
Format
Description
PIC 9(8).
For partial deliveries the cancelled
original delivery ID
4.4.2
10 DELV-ID-RWCE200
PIC 9(8).
10 DELV-STS-COD-RWCE200
PIC X(2).
Delivery ID
Status of the delivery. The status
codes will be mapped in the following
manner:
'01' - 'New'
'02' - 'Sent'
'03' - 'Settled'
'04' - 'Cancelled'
'05' - 'Cancellation Sent'
'06' - 'Cancel Confirmed'
'07' - 'Late'
Raw Data File RAWCE210 - Settled / Cancelled Deliveries
The raw data file RAWCE210 provides the Member with a list of all pending deliveries, which are
settled and “cancelled confirmed” during the day (same effective settlement completion date). CE210
will use the same file layout as that used for the raw data file CE200.
Attachment 4 to Eurex Circular 067/00
X-pand into the Future
Simulation Guide for Eurex Release 4.1
4th September – 24 th November 2000
© Eurex 2000
All proprietary rights and interest in this publication shall be vested in Eurex
Administration and Management (”Eurex”) and all other rights including, but
without limitation, patent, registered design, copyright, trade mark, service
mark, connected with this publication shall also be vested in Eurex.
Whilst all reasonable care has been taken to ensure that the details contained
in this publication are accurate and not misleading at the time of publication, no
liability is accepted by Eurex for the use of information contained herein in any
circumstances connected with actual trading or otherwise. Neither Eurex, nor
its servants nor agents, is responsible for any errors or omissions contained in
this publication which is published for information only and shall not constitute
investment advice. This brochure is not intended for solicitation purposes but
only for the use of general information.
All descriptions, examples and calculations contained in this publication are for
guidance purposes only and should not be treated as definitive. Eurex reserves
the right to alter any of its rules or contract specifications, and such an event
may affect the validity of information in this publication.
® Eurex is a registered trademark
Attachment 5 to Eurex Circular 067/00
th
th
Eurex Release 4.1 Simulation, 4 September – 24 November 2000
Eurex Release 4.1 Simulation Guide
14 August 2000
Page 1
Contents
1.
2.
Introduction
Objectives
2
2
3.
4.
5.
Participation and Registration
Kit Distribution
Simulation Calendar
2
3
3
6.
7.
8.
Reporting
Related Documentation
Support
8
8
10
9.
10.
Checklist for Eurex Release 4.1 Simulation
List of Products Set Up in the Simulation Environment
11
14
Attachment 5 to Eurex Circular 067/00
th
th
Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 2
1. Introduction
This document is intended to give Eurex Members guidelines on the Eurex Release 4.1 part I
th
th
Simulation from 4 September – 18 October and Eurex Release 4.1 part II and EEX Derivatives
th
th
Market Simulation from 19 October – 24 November 2000 to be performed in the simulation environment of the Eurex System advising members on preparation, test and reporting activities.
It is directed to all Eurex Members’ Central Co-ordinators, System Administrators, Traders and
back office staff who will be involved in the simulation.
2. Objectives
The simulation has the following objectives:
Eurex Release 4.1:
•
Ensure a smooth transition from Eurex Release 4.0 to Eurex Release 4.1 for all members/vendors and the exchange
•
Enable members to become familiar with the new Release functionality
•
Allow members intensive simulation of the new Java based Graphical User Interface
for Trading
•
Support 3 party software readiness
rd
3. Participation and Registration
All members are advised to take part in the simulation. The simulation is strongly recommended
for all Clearing Members.
th
All members are asked to send a simulation registration by 28 August 2000 using the fax reply
attached to Eurex Circular 067/00.
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 3
4. Kit Distribution
The Simulation Software Kit for UD and MISS based architectures will be distributed to members
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st
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th
from 29 August- 1 September (Part I) and 17 October - 19 October 2000 (Part II). With Part II
the new Java based Graphical User Interface for trading will be introduced in the simulation.
The files will be transferred after trading. Please keep your installations ready for receipt. From
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st
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29 August- 1 September and 17 October- 19 October 2000 please check that you have received all files.
Depending on each member’s system platform, the following software kits will be distributed.
Simulation kits for all MISS hardware platforms always contain a software version for
Windows/ NT as well.
Kits for UD
based architecture
Compaq –
OpenVMS
IBM – AIX
UD-Kit
X
X
SAT-Kit
X
X
Kits for MISS Eurex 4.1 Kit
based archiGate 2.1 Kit
tecture*
th
SUN - Solaris
Windows/ NT
X
X
X
X
X
X
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* from 17 - 19 October only the MISS kits will be distributed
Disk Space Requirements - The following table shows the necessary disk space for the installation
kits:
Platform
Disk Space Required
Sun Solaris (MISS)*
120 MB
IBM AIX (MISS)*
120 MB
Intel Windows NT (MISS)
50 MB
IBM AIX (UD)
70 MB
Compaq/DEC OpenVMS (UD)
110 MB
*includes the disk space requirements for the respective platform and the NT Workstation kit
5. Simulation Calendar
th
The release simulation for Eurex Release 4.1 will be performed from the 4 September until 24
November 2000 according to the calendar below. All times are CET.
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Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 4
Week 36
Actual Day
Business Day
Monday
04.09.2000
04.09.2000
Tuesday
05.09.2000
06.09.2000
Wednesday
06.09.2000
06.09.2000
Thursday
07.09.2000
07.09.2000
Friday
08.09.2000
Saturday
09.09.2000
Sunday
10.09.2000
Trading Time 08:00-16:00
12:00-24:00
00:00-16:00
8:00 - 16:00 No Simulation No Simulation No Simulation
<HOLID> for
Remarks
Batch
Week 37
Actual Day
Business Day
Monday
11.09.2000
11.09.2000
Batch
Tuesday
12.09.2000
Wednesday
13.09.2000
13.09.2000
OFOX,
FFOX,
NOA3, RPL
Expiry FBND
Batch
Batch review
Thursday
14.09.2000
Friday
15.09.2000
15.09.2000
Saturday
16.09.2000
Sunday
17.09.2000
Trading Time 8:00 - 16:00 No Simulation 8:00 - 16:00 No Simulation 8:00 - 16:00 No Simulation No Simulation
Remarks
Week 38
Actual Day
Business Day
Expiry OSTK,
OINX, FINX
Batch
Batch review
Batch
Batch review
Batch
Monday
18.09.2000
Tuesday
19.09.2000
19.09.2000
Wednesday
20.09.2000
Thursday
21.09.2000
21.09.2000
Friday
22.09.2000
22.09.2000
Saturday
23.09.2000
22.09.2000
Sunday
24.09.2000
22.09.2000
Trading Time No Simulation 7:30 - 16:00 No Simulation 7:30 - 16:00 12:00 - 24:00 00:00 - 24:00 00:00 - 24:00
Remarks
Expiry FINT,
OFIT
Batch review
Batch
<HOLID> for
FSMI,OSMI, Expiry OFBD Expiry OFBD Expiry OFBD
CONF,
CSGN, HOL
UBSN
Batch review
Batch
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 5
Week 39
Actual Day
Business Day
Monday
25.09.2000
22.09.2000
Tuesday
26.09.2000
29.09.2000
Wednesday
27.09.2000
Thursday
28.09.2000
02.10.2000
Friday
29.09.2000
02.10.2000
Saturday
30.09.2000
02.10.2000
Sunday
01.10.2000
02.10.2000
Trading Time 00:00 - 9:00 09:00 - 16:00 No Simulation 9:00 - 24:00 00:00 - 24:00 00:00 - 24:00 00:00 - 24:00
Remarks
Week 40
Actual Day
Business Day
Expiry OFBD
Batch
Month End
Batch
Monday
02.10.2000
02.10.2000
Tuesday
03.10.2000
Batch review
Wednesday
04.10.2000
20.10.2000
Thursday
05.10.2000
20.10.2000
Friday
06.10.2000
31.10.2000
Saturday
07.10.2000
Sunday
08.10.2000
Trading Time 00:00 - 9:00 No Simulation 9:00 - 24:00 00:00 - 12:00 9:00 - 16:00 No Simulation No Simulation
Remarks
Batch
Week 41
Actual Day
Business Day
Monday
09.10.2000
01.11.2000
Expiry FINT, Expiry FINT,
OSTK, OINX, OSTK, OINX,
OFBD
OFBD
Batch review
Batch
Month End
Batch
Tuesday
10.10.2000
17.11.2000
Wednesday
11.10.2000
30.11.2000
Thursday
12.10.2000
07.12.2000
Trading Time 09:00 - 16:00 9:00 - 16:00
9:00 - 16:00
9:00 - 24:00
Month End
Expiry FBND Expiry FBND
Remarks
Batch
Expiry FINT,
OSTK, OINX,
OFBD
Batch
Batch
Friday
13.10.2000
07.12.2000
Saturday
14.10.2000
Sunday
15.10.2000
00:00 - 16:00 No Simulation No Simulation
Batch
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 6
End Part I
Week 42
Actual Day
Business Day
Monday
16.10.2000
08.12.2000
Tuesday
17.10.2000
08.12.2000
Wednesday
18.10.2000
08.12.2000
Start Part II
Thursday
19.10.2000
08.12.2000
Friday
20.10.2000
15.12.2000
Saturday
21.10.2000
15.12.2000
Sunday
22.10.2000
15.12.2000
Trading Time 14:00 - 00:00 00:00 - 24:00 00:00 - 24:00 00:00 - 12:00 12:00 - 24:00 00:00 - 24:00 00:00 - 24:00
Remarks
Expiry FINT, Expiry FINT, Expiry FINT, Expiry FINT,
OSTK, OINX, OSTK, OINX, OSTK, OINX, OSTK, OINX,
OFBD, FINX, OFBD, FINX, OFBD, FINX, OFBD, FINX,
OFIT
OFIT
OFIT
OFIT
Batch
Simulation Update Kit Distribution Part II
Week 43
Actual Day
Business Day
Monday
23.10.2000
Tuesday
24.10.2000
Wednesday
25.10.2000
Thursday
26.10.2000
Friday
27.10.2000
Saturday
28.10.2000
Sunday
29.10.2000
Trading Time No Simulation No Simulation No Simulation No Simulation No Simulation No Simulation No Simulation
Remarks
Production Kit Distribution Part I
Week 44
Actual Day
Business Day
Monday
30.10.2000
15.12.2000
Tuesday
31.10.2000
15.12.2000
Wednesday
01.11.2000
15.12.2000
Thursday
02.11.2000
15.12.2000
Connection
Test
Friday
03.11.2000
15.12.2000
Saturday
04.11.2000
15.12.2000
Sunday
05.11.2000
15.12.2000
Trading Time 00:00 - 24:00 00:00 - 24:00 00:00 - 24:00 00:00 - 24:00 00:00 - 24:00 00:00- 24:00 00:00 - 24:00
Remarks
Production
Start Part I
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 7
Week 45
Actual Day
Business Day
Monday
06.11.2000
15.12.2000
Tuesday
07.11.2000
Wednesday
08.11.2000
28.12.2000
Thursday
09.11.2000
28.12.2000
Friday
10.11.2000
29.12.2000
Saturday
11.11.2000
29.12.2000
Sunday
12.11.2000
29.12.2000
Trading Time 00:00 - 12:00 No Simulation 9:00 - 24:00 00:00 - 12:00 12:00 - 24:00 00:00 - 24:00 00:00 - 24:00
Remarks
Week 46
Actual Day
Business Day
Batch
Batch review
Monday
13.11.2000
29.12.2001
Tuesday
14.11.2000
Year End
Year End
Year End
Friday
17.11.2000
19.01.2001
Saturday
18.11.2000
19.01.2001
Sunday
19.11.2000
19.01.2001
Batch
Wednesday
15.11.2000
02.01.2001
Thursday
16.11.2000
Trading Time 00:00 - 12:00 No Simulation 9:00 - 16:00 No Simulation 9:00 - 24:00 00:00 - 24:00 00:00 - 24:00
Remarks
Week 47
Actual Day
Business Day
Year End
Expiry FINT, Expiry FINT, Expiry FINT,
OSTK, OINX, OSTK, OINX, OSTK, OINX,
OFBD
OFBD
OFBD
Batch
Batch review
Batch
Batch review
Monday
20.11.2000
19.01.2001
Tuesday
21.11.2000
Wednesday
22.11.2000
30.01.2001
Thursday
23.11.2000
Friday
24.11.2000
31.01.2001
Trading Time 00:00 - 12:00 No Simulation 09:00 - 16:00 No Simulation 09:00 - 16:00
Remarks
Expiry FINT,
OSTK, OINX,
OFBD
Batch
Batch review
Month End
Batch
Batch review
Batch
Production Update Kit Distribution Part II
Start Pre-Trading = 30 min before start of Trading; start Post-Trading = end of Trading; end of Post-Trading =
30 min after end of Trading
Batch Review: Please check all reports you receive after each batch run.
Note: The simulation will be completely unsupported from Fridays at 20:00 until Mondays at 09:00 CET.
New functionality: Product State Holiday << HOLID >>
Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
Eurex Release 4.1 Simulation Guide
14 August 2000
Page 8
6. Reporting
Eurex needs to gain an authentic status on the readiness of Members’ installations. All simulation
participants are kindly asked to report regularly on simulation activities and changes in the readiness status of their software applications.
For this, please make copies of the fax reply attached to this guide and send your updated status
every Wednesday during the simulation, i.e.:
Part I
th
•
6 September 2000
•
13 September 2000
•
20 September 2000
•
27 September 2000
•
th
th
th
th
4
October 2000
th
•
11 October 2000
•
18 October 2000
th
Part II
st
•
1 November 2000
•
8 November 2000
•
15 November 2000
•
22
th
th
nd
November 2000
To:
Eurex Functional Member Readiness Fax: +49 (0)69-2101-1701
After a member has completed all relevant tests and reported full readiness, no further fax
replies will be required under normal circumstances.
7. Related Documentation
For further information on the introduction of Eurex Release 4.1, please refer to the Eurex Circulars and documentation listed below. All Circulars and documents can be downloaded from the
Internet at http://www.eurexchange.com. Circulars are contained in the password-protected
section “Info for Members/ Circulars/ Functional”. Manuals can be downloaded from “Info for
Members/ Manuals”. Documentation on Values API can be found in the Member Front End Development Guide at “Entrance Hall/ Access to Eurex/ Programming to Eurex”.
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 9
Document
Topic
Date
Comment
Eurex Circular No. 041/00
Eurex Release 4.1
17.05.2000
Announcement of IC Release 2000 and
Eurex Release 4.1/EEX
Eurex Circular No. 043/00
Eurex Release 4.1
25.05.2000
Release 4.1/EEX and IC Release 2000
Further Information
Eurex Circular No. 067/00
Eurex Release 4.1
15.08.2000
Member Manuals
http://www.eurexchange.com
(Rel. 4.1 Simulation Version)
Release 4.1/EEX and IC Release 2000
Further Information
Ä Info for members
Ä Manuals
Member Front End
Development Guide
(Rel. 4.1 Final Version)
Ä Entrance hall
Ä Access to Eurex
Ä Programming to Eurex
Eurex Release 4.1
VALUES API Developer’s Kit
(Final Version)
Ä Entrance hall
Ä Access to Eurex
Ä Programming to Eurex
Eurex Clearing System User
Guide
Planned for 25.08.00
Ä Info for members
Ä Manuals
Ä MISS Manuals - Release 4.1
Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 10
8. Support
For questions on
Please contact
phone
fax
Simulation Calendar,
Simulation Checklists, Applications, Eurex Circulars
Eurex Functional Member
Readiness
+49 (0) 69-2101-1700
+49 (0) 69-2101-1701
Technical Set-up
Equity Products
Eurex Technical Helpdesk
Eurex Market Supervision
+49 (0) 69-2101-1200
+49 (0) 69-2101-1210
+49 (0) 69-2101-1201
+49 (0) 69-2101-4345
Index Products
Fixed Income Products
Eurex Market Supervision
Eurex Market Supervision
+49 (0) 69-2101-1220
+49 (0) 69-2101-1240
+49 (0) 69-2101-4345
+49 (0) 69-2101-4347
Clearing
Eurex Market Supervision
+49 (0) 69-2101-1250
+49 (0) 69-2101-4334
Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 11
9. Checklist for Eurex Release 4.1 Simulation
Eurex advises to use this checklist to test new functionality in the simulation. The manuals Eurex
Clearing System User Guide, Eurex Member User Manual Trading and @X-ceed Eurex
Trading User Guide are recommended as reference.
Reference
Functionality to be tested
Part I Simulation
Eurex
Clearing
System User
Guide
Eurex Member User
Manual
Trading
25.08.00
@X-ceed
Eurex Trading User
Guide
End of Sep.
Trading Enhancements
• Product State ‘Holiday’
Pay attention to the new product status ‘HOLID’
in the BOF message stream. A Finnish holiday
has been scheduled for 07.09.2000. A Swiss
holiday will be simulated on 21.09.2000.
Ch. 3.8
Clearing GUI Enhancements
•
Print / Export Functionality
Ch. 4.7
A new Print Functionality has been introduced to
directly print the displayed listbox contents of the
overview windows to a connected printer and
allows the user to choose all data or selected
data to be printed.
To export data into a file, the user has to select
the Export menu, which can be found under the
Window menu.
• Exercise Overview Enhancement
The Exercise Overview window will be enhanced
to allow the selection of a delivery month in addition to a profile. This allows users to see all Long
positions of a certain expiration month for all
products or a subset of products.
Additionally the entry of the Exchange member
field in the Exercise Filter will be made optional
for Clearing Members. This allows a Clearing
Member to inquire all long positions over all
NCMs belonging to the Clearing Member by
leaving this field blank.
Ch.4.3.1,
Ch.4.5.17
Attachment 5 to Eurex Circular 067/00
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14 August 2000
Eurex Release 4.1 Simulation Guide
Page 12
Functionality to be tested
Part II Simulation
OTC Block Trades for Futures for @X-ceed
and UD
The new Java Trading GUI @X-ceed
Eurex
Clearing
System User
Guide
Eurex Member User
Manual
Trading
@X-ceed
Eurex Trading User
Guide
Ch. 3.10
to be updated
to be updated
• Print / Export Functionality
A new Print Functionality has been introduced to
directly print the displayed listbox contents of the
overview windows to a connected printer and
allows the trader to choose all data or selected
data to be printed.
To export data into a file, the user has to select
the Export menu, which can be found under the
Window menu.
• New Trading Filter
The Trading Filter window is used to specify filter
criteria when inquiring and displaying trades,
orders and quotes on the corresponding overview
windows. The Trading Filter window is a new
window and replaces the Trade Contract Filter
and Trade Profile Filter windows.
• Last Order Maintenance
A new window Last Order Maintenance is introduced which can be opened in case the most
recent order entry returned a non-zero book
quantity. The window layout is identical to the
Order Maintenance window, except for the buttons which are now Delete, Modify and Cancel.
All fields are filled with the most recent order
entered by the specific trader for quick deletion or
modification.
Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 13
Functionality to be tested
Eurex Clearing Eurex Member
System User
User Manual
Guide
Trading
25.08.00
@X-ceed
Eurex Trading
User Guide
End September
The new Java Trading GUI @X-ceed
• New OTC Block Trade Entry Window
A new list box is introduced in the OTC
Block Trade Entry window that allows
specifying multiple OTC Block Trades. The
buyer may enter multiple OTC Block Trades
and submit them afterwards with one action.
The seller is allowed to retrieve several
Block Trades, collecting them in the list box
and to approve them afterwards with one
action.
• New Profile Maintenance Layout
The Profile Maintenance window has been
redeveloped to define a profile containing of
a set of contracts, products and/or external
underlyings more comfortably. Additionally
Separators can be added to the profile.
Separators are displayed as blank lines in
the overview windows to identify a change in
products / contracts more easily.
• Audio Configurations
The Audio configuration window allows the
user to configure playing of audio files upon
occurrence of events such as execution
confirmations and trading phase state
changes.
Attachment 5 to Eurex Circular 067/00
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Eurex Release 4.1 Simulation, 4 September – 24 November 2000
14 August 2000
Eurex Release 4.1 Simulation Guide
Page 14
10.
ID
List of Products Set Up in the Simulation Environment
Remark
Stock Products, Type: OSTK
ID
Remark
Index Products, Type: FINX/OINX
ALV
Allianz-Holding
FDAX
DAX® Futures
AVE
Aventis
FESX
Dow Jones Euro STOXX® 50 Futures
BAY
Bayer
FFOX
FOXT M Futures
BMW
BMW
FSMI
SMI® Futures
CON
Continental
FSTX
Dow Jones STOXX® 50 Futures
CSGN
Credit Suisse Group N
ODAX
DAX® Options
DBK
Deutsche Bank
OESX
Dow Jones Euro STOXX® 50 Options
PHI
Philips St.
OFOX
FOXT M Option
RPL
UPM-Kymmene Corp.
OSMI
SMI® Options
SET
Tele. Italia
OSTX
Dow Jones STOXX® 50 Options
SIE
Siemens
UBSN
UBS AG N
Interest Rate Products, Type: FBND/OFBD
VOW
VW
FGBL
Euro-BUND Futures
HOL
Holderbank I
FGBM
Euro-BOBL Futures
MOB
Mobilcom
FGBS
Euro-SCHATZ Futures
NOA3
Nokia Corporation
FGBX
Euro-BUXL Futures
OGBL
Options on Euro-BUND Futures
OGBM
Options on Euro-BOBL Futures
Money Market Products, Type: FINT/OFIT
LIB3
Three-Month Euromark-Futures
OGBS
Options on Euro-SCHATZ Futures
EULI
ROLL-OVER FACILITY LIB3- FEU3
CONF
CONF Futures
FEU3
Three-Month EURIBOR Futures
OEU3
Options on Three-Month EURIBOR Futures
FEU1
One-Month EURIBOR Futures
FSLI
Three-Month EuroSwiss Futures
FEON
Three-Month EONIA Futures
It may be that additional products will be set up in the simulation database for internal tests only. If
this is the case, you will be informed via the News Board (D050) (for User Devices) or via the Market Supervision Message window (for MISSs) that trading in these products is not possible.
Attachment 5 to Eurex Circular 067/00
Fax-Reply
th
Eurex Release 4.1 Simulation 4 September 2000 – 24
th
November 2000
We kindly ask you to copy, fill in and return this fax on the following dates:
6th September, 13th September, 20th September, 27th September, 4 th October, 11th October, 18th October ,
1st November, 8 th November, 15th November and 22nd November.
To: Eurex Member Readiness Frankfurt
Fax: +49 (0)69-2101-1701
MEMBER – ID __ __ __ __ __
Name _____________________________
Company ________________________________
Phone ____________________________
MISS Architecture
UD Architecture
MISS
UD
Front Office
a)
Successfully traded with Eurex X-ceed? (MISS)
b)
Successfully traded with Eurex @X-ceed? (MISS)
c)
Eurex trading screens? (UD)
m
m
m
m
m
Successfully traded with Third Party application
Name of the application:________________________________
Back Office
a)
Successfully used the Eurex Clearing GUI/FMS Screens
m
m
b)
Successfully used a back office Third Party application
m
m
End of Day / Year end processing performed correctly?
m
m
m
m
m
m
All Front Office Applications are ready for production
m
m
All Back Office Applications are ready for production
m
m
Name of the application:________________________________
End of Day / Year end processing
Pre-Batch Assignments received correctly?
Theoretical Price File processed correctly?
Problems / comments:
Date
Signature
Attachment 5 to Eurex Circular 067/00
eurex registration
for Eurex Release 4.1 Simulation (4th September – 24th November 2000 for UD/ MISS)
Please return this official registration before 28th August 2000 by Fax to
Eurex Member Readiness +49(0)69-2101-1701
Member name:
Member ID:
__ __ __ __ __
Contact name:
Fax: _______________________
____________________________________
Tel: _______________________
¦ Hereby we would like to register for participation in the Eurex Release 4.1
Simulation (4th September – 24th November 2000). We will participate
¦ on the basis of a User Device configuration
¦ on the basis of a mixed UD/MISS configuration
¦ on the basis of a MISS configuration
¦ We will not participate in the simulation for the following reasons:
UD
We are presently using the following (3rd party ) software applications with
the UD Configuration:
Front
Office:
Version:
Back
Office:
Version:
MISS
We use/ plan to use the following (3rd party ) software applications with the
MISS Configuration:
Front
Office:
Version:
Back
Office:
Version:
Date
Place
Signature
__________
_____________________________________
_________________________
Attachment 6 to Eurex Circular 067/00
Attachment 7 to Eurex Circular 067/00
Eurex Release 4.1 - Modified Member Manuals – Simulation Version
Please note that the table below refers only to those manuals which have been modified or which are newly
published on the Eurex web-site for Release 4.1. All manuals can be found at the location ‘www.eurexchange.com’
under ‘Info for members / manuals’. Those manuals not mentioned below have not changed and the web-site will
contain links to the current versions.
System Overview Manuals
Title
Publication
Date
X0004101
EUREX INFORMATION MANUAL
15.08.2000
X0004102
EUREX USER MANUAL SYSTEM OVERVIEW
15.08.2000
X0004103
EUREX USER MANUAL SYSTEM SECURITY
15.08.2000
X0003400
EUREX MEMBER INTERFACE SPECIFICATIONS / FILE
INTERFACES
15.08.2000
X0003600
EUREX PROGRAMMABLE INTERFACES / PRICING MODEL
INPUT AND BACKOFFICE INTERFACES / PROGRAMMERS
GUIDE AND REFERENCE
15.08.2000
X0003900
EUREX MEMBER USER MANUAL TRADING
15.08.2000
X0004000
EUREX MEMBER USER MANUAL CLEARING
25.08.2000
X0004500
EUREX PROGRAMMABLE INTERFACES / MEMPI
DEVELOPER'S KIT / USER GUIDE AND REFERENCE
15.08.2000
X0003800
EUREX TRADING SYSTEM USER GUIDE
15.08.2000
X0006100
EUREX CLEARING SYSTEM USER GUIDE
25.08.2000
X0006800
EUREX MEMBER FILE INTERFACE SPECIFICATION / FILE
INTERFACE LAYOUT
25.08.2000
X0005700
EUREX FRONT END INSTALLATION GUIDE
28.08.2000
X0005900
EUREX FRONT END OPERATIONS GUIDE
28.08.2000
COMMON SIZING GUIDELINES
25.08.2000
User Device Manuals
MISS Manuals
FDD Manuals
X0001200
EUREX FDD REAL TIME DATAFEED INTERFACE
DESCRIPTION
15.08.2000
X000430a
EUREX FDD FILE SERVICE INTERFACE DESCRIPTION
15.08.2000
X000430b
EUREX FDD INFOBOARD SERVICE INTERFACE DESCRIPTION
15.08.2000
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