Eurex Clearing C7 C7 Release 3.0 Overall Report Changes

Transcription

1 Eurex Clearing C7 C7 Release 3.0 Overall Report Changes External Version Date 13 May 2016

2 Eurex 2016 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. 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While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50 Index Futures, EURO STOXX 50 ex Financials Index Futures, EURO STOXX Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX Europe 50 Index Futures, STOXX Europe 600 Index Futures, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX /Mini- DAX /MDAX /TecDAX Futures, SMIM Futures, SLI Swiss Leader Index Futures, MSCI World (FMWO, FMWP, FMWN)/Europe (FMEU, FMEP)/ Europe Value/Europe Growth/Emerging Markets (FMEM, FMEF, FMEN)/Emerging Markets Latin America/Emerging Markets EMEA/Emerging Markets Asia/China Free/India/Japan/Malaysia/South Africa/Thailand/AC Asia Pacific ex Japan Index Futures, TA-25 Index Futures, Daily Futures on TAIEX Futures, VSTOXX Futures, Gold and Silver Futures as well as Eurex FX, property and interest rate derivatives). Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy WizardSM, Euro GC Pooling, FDAX, FWB, GC Pooling,,GCPI, MDAX, ODAX, SDAX, TecDAX, USD GC Pooling, VDAX, VDAX-NEW and Xetra are registered trademarks of DBAG. All MSCI indexes are service marks and the exclusive property of MSCI Barra. ATX, ATX five, CECE and RDX are registered trademarks of Vienna Stock Exchange AG. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI, SMI and SMIM are registered trademarks of SIX Swiss Exchange AG. The STOXX indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. Dow Jones & Company, Inc. does not make any representation regarding the advisability of trading or of investing in such products. Bloomberg Commodity IndexSM and any related sub-indexes are service marks of Bloomberg L.P. All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced. PCS and Property Claim Services are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. Taiwan Futures Exchange and TAIFEX are registered trademarks of Taiwan Futures Exchange Corporation. Taiwan Stock Exchange, TWSE and TAIEX are the registered trademarks of Taiwan Stock Exchange Corporation. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. 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3 Table of Contents 1. Introduction Major changes to report structure Changes to C7 Reports Changes to Risk Reports Changes to Fee Reports C7 Release 3.0 Report Overview Clearing Report List Risk Report List Fee Report List Trading Report List C7 Release 3.0 Overall Report Changes Page 3

4 Introduction 1. Introduction This document contains the main changes applied to Member reports with C7, which is the first mandatory C7 release for Derivatives Clearing and Non-Clearing Members. The document helps Members to identify which reports are modified, which will become obsolete and which can be used instead. Please note that reports marked as obsolete in the tables under chapter 3 are obsolete for the clearing of Eurex Derivatives only. Transactions and positions in EEX/ECC products are still reported in the existing reports as these positions are not yet migrated to C7. Furthermore the new C7 reports will be published only in.csv and.xml format, whereas the risk reports will continue to be published in.txt- and.xml-format. All changes described in the document only apply for Eurex Listed Derivatives Members. C7 Release 3.0 applies changes in three major areas, which are described in Chapter 2. These changes require amendments to existing reports. The new C7 reports do exclusively contain the transactions and positions for the regular simulation products. For the cloned products (see C7 3.0 Guide chapter 4) the Eurex Classic reports are still available (for instance report CB020) and only contain information for these products and for EEX/ECC products. The risk reports (Risk Based Margining and Prisma) do initially only contain the cloned products. As soon as the risk systems are connected: PRISMA will exclusively contain positions for the regular simulation products. The CC7xxx Risk Based Margining reports contain both, the cloned products and the regular simulation products. The CC0xxx Risk Based Margining reports will only contain the cloned products. Detailed information on the content and layout of the reports can be found in the Eurex XML Report Reference Manual under the following path: -> Technology -> Eurex Clearing s C7 -> System documentation -> Release 3.0 -> Reports C7 Release 3.0 Overall Report Changes Page 4

5 Major changes to report structure 2. Major changes to report structure 1. New reports are required as the consequence of migrating all transaction and position management functionality to the C7 platform. The positions and transactions will be handled by C7, where a new and enhanced ID logic requires the following fields to be extended or to be newly introduced. The field transaction ID will be extended to a maximum of 19 characters with a variable field length. The field Current Suffix has now a fixed field length of 10 digits. The field Parent Suffix has now a fixed field length of 10 digits. The field Position ID is newly introduced and up to 11 characters long with a variable field length. The field Order ID displays the T7 order ID as reference to the trading layer, but the clearing system no longer assigns an additional order ID for technical purposes. 2. With C7 flexible contracts will be integrated in the processing for standard options and futures, so that the C7 system will not differentiate between standard and flexible contracts anymore. Therefore the following fields will be added to all C7 reports containing flexible contracts: The Contract Symbol (Flex ID) has a fixed field length of 4 characters. The Expiration date has a date format (DD.MM.YYYY). The Settlement Method has a variable field length of 8 characters. The Exercise Style (used for options only) has a fixed field length of 8 characters. 3. C7 allows for using a practically unlimited number of agent accounts for the individual segregation of customer positions and transactions. Although the account name is technically defined to be 32 characters long, currently only 20 characters are usable for the account name. 2.1 Changes to C7 Reports New clearing reports which are in line with the existing ones will be created. The following accounts, known from the Eurex Classic system will continue to be available on C7: A1-A9, P1, P2, M1 and M2. Additionally it will be possible to individually segregate client positions and transactions in an unlimited number of extended agent accounts (Flexible Accounts). C7 Release 3.0 Overall Report Changes Page 5

6 Major changes to report structure 2.2 Changes to Risk Reports New risk reports for the Risk Based Margining (RBM) methodology will be created, which are in line with the existing ones. Both the existing and the new risk reports will contain risk information for all open positions. The new risk reports will also provide information on the extended agent accounts. Those Members who do not use these accounts can still use the old risk reports which will be created along with the new risk reports for extended agent accounts (Flexible Accounts). Please note that all reports for the Eurex Clearing Prisma methodology remain unchanged. 2.3 Changes to Fee Reports Due to the fact that flexible contracts will be integrated in the processing for standard options and futures the CB195 becomes obsolete and will merge into the CB165 report. C7 Release 3.0 Overall Report Changes Page 6

7 C7 Release 3.0 Report Overview 3. C7 Release 3.0 Report Overview The table lists the Clearing, Risk and the Fee reports for C7. The first column shows the report ID. In the second column the report name is given. In the next column it is mentioned whether the report will become obsolete for derivatives Clearing and Non Clearing Members, the technical report layout has been changed or if it is a completely new report. The next to last column describe if a new C7 3.0 report is available, followed by additional information. All reports which are not mentioned in the list below remain unchanged with the introduction of C Clearing Report List Report Report Name Layout new Report Additional Information Format for EUREX Exchange/ ECAG members CA Capital Adjustment CA051 Capital Adjustment Underlying no change CA052 Capital Adjustment Positions obsolete CA752 CA752 Capital Adjustment Positions Overview new CA752 available in XML and CSV CA770 Account Maintenance new CA770 available in XML and CSV CB Clearing Position and Transaction CB010 Position Detail obsolete CB012 CB011 Std and Flx Cntr Dly Transactn obsolete CB012 the CB012 was already introduced with C7 release 1.0/2.0 CB012 Account Statement changed CB012 available in XML and CSV CB020 Position Summary obsolete CB012 CB021 Position / Active Trd Summary obsolete CB012 CB030 Position Transfer Overview obsolete CB730 CB031 Settling Futures Positions obsolete CB731 CB063 Flx Cntr Transactn Overview obsolete CB012 CB064 Flx Cntr Daily Transactions no change CB012 the CB064 will contain no clearing transactions for flexible contracts but matched trades. CB080 Premium Summary obsolete CB790 CB090 Premium Overall Summary obsolete CB790 CB095 Variation Mgn Overall Summary obsolete CB795 CB102 Cash Settled Contracts obsolete CB702 CB110 Account Transfer Exception obsolete CB730 CB120 Member Exception-Position obsolete CB730 CB130 Give-Up Trades History obsolete CB750 CB140 Accepted Give-Up Trades obsolete CB750 CB150 Take-up Trades History obsolete CB751 CB160 Accepted Take-Up Trades obsolete CB751 CB172 Credit Futures Separation obsolete CB430 KRX Position Report obsolete CB741 CB440 TAIFEX Position Report obsolete CB740 CB702 Cash Settled Contracts Overview changed CB702 the CB702 was already introduced with C7 release 1.0/2.0. It will contain options products only available in XML and CSV CB715 Average Pricing new CB715 available in XML and CSV CB730 Position Transfer Summary new CB730 available in XML and CSV CB731 Settling Futures Positions Overview new CB731 available in XML and CSV CB740 TAIFEX Position Information new CB740 available in XML and CSV CB741 KRX Position Information new CB741 available in XML and CSV CB750 Give-Up Trades Overview new CB750 available in XML and CSV CB751 Take-Up Trades Overview new CB751 available in XML and CSV CB790 Premium Information no change CB790 available in XML and CSV CB795 Variation Margin Information no change CB795 available in XML and CSV C7 Release 3.0 Overall Report Changes Page 7

8 C7 Release 3.0 Report Overview CD Clearing Daily CD009 Daily Cash Transactions the CD009 will contain manually entered cash amounts no change CD009/CD015 only CD010 Daily Cash Account CM no change CD015 will contain VM/Premium/Cash settlement on CD015 Cash Account Details new CD015 account level CD020 Collateral Movement/Coverage no change CD030 Security Expiration no change CD031 Daily Collateral Valuation no change CD032 Daily Guarantee no change CD033 Collateral Composition no change CD037 Claim Amount Based Collaterals no change CD040 Monthly Guarantee Expiration no change CD042 Daily Settlement Statement no change CD043 ECM: Value Based Alloc. Mathod no change CD070 Monthly Cash Account CM no change CD080 Monthly Collateral Movement no change CD090 Overall Asset Summary no change CD091 CDS Clearing Fund Contribution no change CD100 Audit Trail Coll Transactions no change CD230 Monthly Interest Report no change CD235 Reservation amount no change CE Clearing Exercise and Delivery CE010 In-the-money Advisory obsolete CE710 CE030 Member Expiration obsolete CE710 CE035 Expired Series obsolete CE735 CE038 Deliverable Bonds no change CE050 Expiration Payment vs Payment obsolete CE750 CE051 FX Transactions & Instructions no change CE055 FX Settlement Limit Report no change CE070 Exercise And Assign Summary no change CE770 the CE070 will contain information about cash leg of vola trades CE071 OptOn Fut ExerAssign Overview obsolete CE771 CE075 Notification/Allocation Summ obsolete CE775 CE710 Contract Expiration new CE710 available in XML and CSV CE735 Expired Series new CE735 available in XML and CSV CE750 Expiration Payment vs Payment new CE750 available in XML and CSV CE770 Exercise And Assign Overview changed CE770 the CE770 was already introduced with C7 release 1.0/2.0 available in XML and CSV CE771 OptOn Fut ExerAssign Overview changed CE771 the CE771 was already introduced with C7 release 1.0/2.0 available in XML and CSV CE775 Notification/Allocation Information changed CE775 the CE775 was already introduced with C7 release 1.0/2.0 available in XML and CSV CE790 In-the-money Configuration new CE790 available in XML and CSV TT Trading Security no report changes in general for the TT series TT110 User Security Maintenance no change entitlement for positionmanagement is no longer reflected and therefore new Entitlement reports will be provided TT115 Daily Order and Quote Transactions no change entitlement for positionmanagement is no longer reflected and therefore new Entitlement reports will be provided TT750 Clearing Four Eye Principle new TT750 available in XML and CSV TT760 User Entitlement Status new TT760 available in XML and CSV TT761 User Entitlement Changes new TT761 available in XML and CSV TT762 Participant Entitlement Status new TT762 available in XML and CSV TT763 Participant Entitlement Changes new TT763 available in XML and CSV TT764 4 EP Request Processing Entitlement new TT764 available in XML and CSV C7 Release 3.0 Overall Report Changes Page 8

9 C7 Release 3.0 Report Overview 3.2 Risk Report List Report Report Name Layout new Risk Report Additional Information Format CC Clearing Margin CC010 Premium Margin no change CC710 in the CC010 flexible accounts will be displayed as A8. Fields for flexible Transaction ID and Suffix ID are empty CC011 Current Liquidating Margin no change CC711 CC020 Futures Spread Margin no change CC720 in the CC020 flexible accounts will be displayed as A8. Fields for flexible Transaction ID and Suffix ID are empty CC031 Theoretical Values II no change CC033 Theoretical Values III no change CC034 Theoretical Prices no change CC040 Liquidating Values no change CC740 in the CC040 flexible accounts will be displayed as A8. Fields for flexible Transaction ID and Suffix ID are empty CC045 Additional Margin no change CC745 in the CC045 flexible accounts will be displayed as A8 CC050 Daily Margin no change CC750 in the CC050 flexible accounts will be displayed as A8 CC051 Specific Equity Collateral no change in the CC051 specific equity collateral functionality is not available for flexible accounts CC055 Daily Margin Offset no change CC755 in the CC055 flexible accounts will be displayed as A8 CC060 Daily Margin Summary no change CC760 in the CC060 flexible accounts will be displayed as A8 CC080 Security/Cash Risk Position no change CC780 in the CC080 flexible accounts will be displayed as A8 CC100 Risk Values History for Limits no change CC710 Premium Margin changed CC710 the CC710 was already introduced with C7 release 1.0/2.0 CC711 Current Liquidating Margin no change CC711 CC720 Futures Spread Margin changed CC720 the CC720 was already introduced with C7 release 1.0/2.0 CC740 Liquidating Values changed CC740 the CC740 was already introduced with C7 release 1.0/2.0 CC745 Additional Margin no change CC745 CC750 Daily Margin no change CC750 CC755 Daily Margin Offset no change CC755 CC760 Daily Margin Summary no change CC760 CC780 Security/Cash Risk Position no change CC780 C7 Release 3.0 Overall Report Changes Page 9

10 C7 Release 3.0 Report Overview 3.3 Fee Report List Report Report Name Layout new Fee Report Additional Information Format CB001 Product and Price Report no change CB165 Eurex Fee Statement changed the CB165 will be enhanced with several flexible fields for C7 CB167 Late Closing Fees no change CB169 MM Fee Refung no change CB179 Monthly Rebate Report no change CB182 Monthly OTC CCP Fee Statement no change CB186 Monthly Rebates TDP no change CB192 Monthly Fee Statement no change CB193 Monthly Connections & Services no change CB195 Flex Contract Fee Statement obsolete the CB195 becomes obsolete and will merge into the CB165 report CB196 Daily Overall Fee Summary no change CB185 Daily OTC CCP Fee Statement no change CB187 Monthly Rebates Overview no change CB191 Monthly OTC Late Entry Fee no change CB197 Excessive System Usage Fee no change CB225 Daily Eurex Fines no change CB235 Daily Security Collateral Fee Statement no change CB315 Daily Clearing Fees - Bonds no change CB320 Daily Clearing Fees - Equities no change CB325 Daily Service Fees no change CB330 Daily Settlement Fees no change CB350 Monthly Fee Statement no change 3.4 Trading Report List Report Report Name Layout new Additional Information Format Trading Report TC TT Trading Order Security and Quote Maintenance TC541 Dly Strategy Order Maintenance obsolete TE540 TC545 TES Trade Maintenance no change TC546 Strategy TES Trade Maintenance no change TC547 TES Trd Maint EFP-Fin/EFS/EFPI no change TC549 EBI Trade Maintenance no change TC810 Daily Trade Confirmation obsolete TE810 the TC810 becomes obsolete. For trade reconciliation purposes following reports can be used: 1. TE810 which contains only On-Exchange trades 2. CB012 which contains On-Exchange and TES Trades TC811 Variance Futures Trade no change TE TT Order Trading and Security Quote Maintenance TE530 Daily Quote Maintenance no change TE535 Cross and Quote Request no change TE540 Daily Order Maintenance no change TE550 Open Order Detail no change TE570 Origin Country Code Daily Statistics per Product no change TE810 T7 Daily Trade Confirmation no change TE812 Daily Prevented Self-Matches no change TE910 Daily Match Step Activity no change TE950 Instrument Price Movement Summary no change C7 Release 3.0 Overall Report Changes Page 10