ASX Clear (Futures) Margin Simulator User Manual
Contents
1. ASX Clear Futures Margin Simulator User Manual EMo EM ESI ES Ex FGF FL pvi ASX Limited ASX Clear Futures Margin Simulator User Manual Table of Contents t INTRODUC HIEN ee 4 1 1 PURPOSE OF ASX CLEAR FUTURES MARGIN SIMULATOR n snnnnssnsnsnsnsnsrsnsnsisisiinaniririrnrnrarerennrnrnnsrnrnrnrnenene 4 1 2 AUDIENCE FOR THIS MANUA a r n aara a a hit a a a de 4 2 SETUP AND BC CESS ciiisean aaa aaa aAa Eaa 5 ZA SY STI OE UP ascent tus cod dana utah acura A A 5 2 2 PARTICIPANT ADMINISTRATOR USER SETUP eege eege SEENEN 5 2 3 BET RA te 5 2 4 ACCESSING ASX CLEAR FUTURES MARGIN SIMULATOR sescsscseescssescsscsesecseeecsessseeseseessesessesaseeseesaseesass 5 2 9 EECHER 6 2 6 SESSION TIMEOUT eegene eebe deed 6 2 1 CHANGING YOUR PASSWORD sccsiucis dorsrieduncietacssdrdurenseavoiytsiatdacenestannassierirs duiieiteasohiiretdaduansusiieacesancisnuabitiiaeratadsios 6 3 ADMINISTRATION FUNCTIONALITIES a ssssusnsnnnnnnnunununununununnnunnnnunununununnnnnnnnunununnnnnunnnnnnnnunnnunnnnnnnnnnnnnnnnnnannn 7 3 1 CREATE A NEW USER csstvsitooccuiesvedvenstmassudclsinuverennsnaniietetnanacsieetaawiet suv AASA SANAA EE SOE EES ESEETO EEN EE EASAN T 3 2 Sie 7 4 OVERALL SIMULATION WORKFLOW ssssssusunususnnnunnnunununununnnnnnnnunununununununnnnnnnnnnunnnunnnunnnnnnnnunnnnnnnnnnnnnnnnnnnnnn 9 5 ACCOUNT SELECTION WE 11 6 CREATING SIMULATION PORTFOLIO uu ss ssssscsscsscsssssssccsecsensessesscsersesessenaesessessesaccaesaeseso2. this issue was resolved note it must be installed in the Trusted Root Certification Authorities store otherwise the issue will not be resolved 10 3 2 6 ID Format Unselected lf a user does not select specify an ID format from the dropdown list then the following error message Is displayed Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 47 ASX Limited ASX Clear Futures Margin Simulator User Manual Q ASX Error Digital ID Center Online Enrollment Status 8b4c0O If you continue to get this error and are sure that you entered all of the information contact the administrator 1998 2004 VeriSign Inc All Rights Reserved V i Ver iSign TRUST NETWORK 10 3 2 7 Using Digital Certificates Issues After a digital certificate has been installed it can be used to log into ASX Clear Futures Margin Simulator Before the ASX Clear Futures Margin Simulator website can be opened it will require the user to select a digital certificate to use as part of authentication A list of all available digital certificates installed on the user s machine will be available to be selected In the figure below two digital certificates are available for selection User 1 and User 2 Windows Security Select a Certificate User 1 Issuer ASV CA Nalid From ii DJ 2012 to 12 07 2013 ick be e y certifica if cate prope wi eise Suen AS e vc From in O7 2012 to 12 07 2013
3. OK Cancel 10 3 2 8 Digital Certificate Revoked An Incorrect Username in the Certificate error message will be displayed when a user attempts to log into ASX Clear Futures Margin Simulator e When their digital certificate has been revoked e Using another person s digital certificate Below is an example of the error message e s UI ex Pager Safety Incorrect Username in the Certificate O0 ASX Operations Pty Ltd OU ParticipantID UBS OL Username User 1 OU Project ASXTAOTCDC CN User 1 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 48 ASX Limited ASX Clear Futures Margin Simulator User Manual 10 3 3 Margin Simulator Access Issues 10 3 3 1 Cannot view margin Simulator link on the application Selection Page If the users have valid ASX Online login credentials and valid SSO certificate they will be able to access the application selection page However if they have not been enabled for ASX Clear Futures Margin Simulator they will not be able to view the access link For any support regarding Margin Simulator access please contact ASX Service Desk 10 3 3 2 On Clicking the Margin Simulator link access denied error is displayed If the users can view the Margin Simulator link on the application selection page they have been enabled for ASX Clear Futures Margin Simulator Access denied message on clicking the Margin Simulator link implies that there is an is
4. PV01 ladder OTC Cleared Portfolio amp Note e In case the user does not wish to include the cleared portfolio in the Margin Simulation one of the solutions is to not import OTC cleared portfolio in the ASX Clear Futures Margin Simulator e PV01 ladder imported does not include cross margined futures positions 6 1 3 Export Cleared Portfolio If the user wishes to view the details of the trades underlying the PV01 representation of the Cleared portfolio the users can export the cleared OTC trades into a csv file format by clicking on the Download OTC Portfolio On exporting the cleared portfolio the user is presented with an option to save the trade csv file to the desired location The file format of the exported cleared portfolio is explained in Upload Custom Portfolio CSV File Format section Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 12 ASX Limited ASX Clear Futures Margin Simulator User Manual amp Tip e The exported trade file is the same format to upload custom portfolio for simulation If users wish to do so they can manipulate the contents of the file and upload the trades as custom portfolio for simulation e Please ensure Include in Simulation checkbox is selected for Cleared portfolio to download the Cleared portfolio in a csv file 6 1 4 Upload Custom Portfolio Upload custom portfolio feature enables the user to include custom OTC portfolio posi
5. 0 OO OO O 94 C 94 C 94 C 94 C Settlemeni AllocatedPositions 97 62 97 1 97 1 96 2 95 18 95 85 3 465 1 73 1 5 0 94 26 1000 1000 0 0 500 OO OO OH ASX Limited 6 2 6 6 2 7 ASX Clear Futures Margin Simulator User Manual Allocate for Cross Margining In order to nominate eligible contract positions for cross margining the user can use one or both of the following methods e Via File upload for custom portfolio User can provide the positions allocated for cross margining in the custom portfolio upload e Via Screen field for custom and cleared portfolio User is presented with the Allocated position editable field for eligible contracts Users may change the value of this field to add edit or remove nominations for cross margining by clicking on the icon Cleared import v Include in simulation Business Date Instrument Code Instrument Name Expiry Long Position Short Position NetPositions Strike Price Call Put SettlementPrice Allocation Positions ee Futures Update Business Date Instrument Code Instrument Name Expiry Long Position Short Position Net Position Strike Price Call Put Settlement Price 97 1000000 Allocated Position L1000 Editable field to nominate positions for cross margining amp Note lf the account selected for simulation is not Cross Margin enabled then the Allocated Positions field will be disabled To try out Cross Margin si
6. Passcode Error Your enrollment failed because the passcode you supplied is already in use for another enrollment Please contact your administrator for more information right 1998 2004 VeriSign Inc All rights reserved V VeriSign TRUST NETWORK e Digital ID Could Not Be Generated H there is an issue with ActiveX controls for the browser this error will occur Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 45 ASX Limited ASX Clear Futures Margin Simulator User Manual Q ASX Error Digital ID Could Not Be Generated The most likely reasons for this problem are s You are using Windows VISTA and have not turned on ActiveX contents If you are using Windows VISTA and Internet Explorer 7 ActiveX Opt In feature on Windows VISTA has disabled ActiveX controls on the system The page you want to visit requires your approval to run the ActiveX Control Please turn on ActiveX by going to the Security Settings tab in the Internet Options dialog of the View menu You did not choose to run the Enrollment ActiveX control When loading the enrollment page you should have seen a Security Warning dialog for a program digitally signed by Microsoft If you did not see this dialog see the next point below This program is required to enroll for a certificate and is safe to run on your computer and it s authenticity is proven by the digital signature on the program which was verified when you s
7. CANCEL and correct it in the enrollment form If the e mail address is not correct you will not be able to use your Digital ID 8 If the address is correct click on OK The warning window Web Access Confirmation appears Potential Scipting Violation xi Tris Web site is requesting a new certificate on your behalf You should allow only trusted Web sites to request a certificate For you Do you want to request a certificate now 9 If you have confirmed that the web site is authentic click on Yes to request the certificate The following warning window appears Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 36 ASX Limited ASX Clear Futures Margin Simulator User Manual Potential Scripting Violation xi This Web site is adding one or more certificates to this computer Allowing an untrusted Web site to update your certificates is a security risk The Web site could install certificates you do not trust which could allow programs that you co not trust to run on this computer and gain access to your data Do you want this program to add the certificates now Click Yes if you trust this Wes site Otherwise click No 10 Click on Yes to add the certificate to your computer 11 After the certificate is successfully installed you should receive a confirmation page To confirm that the certificate has been successfully installed open the Internet Explorer browser a
8. Simulation checked vV e The CSV file containing the downloaded simulation portfolio is in the same format used to upload custom Futures portfolio for simulation 6 2 9 Reset Futures Simulation portfolio To reset the OTC simulation portfolio user can click on Reset OTC Simulation Portfolio button at the top left corner of the screen Futures Portfolio Clicking the reset button will remove the trades that have been included in the Futures simulation portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 28 ASX Limited 7 1 7 2 7 3 ASX Clear Futures Margin Simulator User Manual Simulation Results Screen Submitting for simulation Once the user has prepared the simulation portfolio they can submit a request for Simulation by clicking on the Start the margin simulation button on the centre of the screen Simulation Results Previous Siar Avan Start the margin simulation Progress Update Simulation progress for various components of the results such as HVaR and SPAN where applicable is indicated on the screen when the simulation request is submitted Simulation Results Prevous Star Again Calculating margin simulation HSVAR margin calculation In progress SPAN margin calculation Completed View Simulation results The simulation results screen shows the Initial Margin and the Net Present Value where applicable of the simulation portfolio The resu
9. User to apply changes This will send a request to ASX Online Help Desk for a VeriSign digital certificate D Click the Close button to end the user creation process Edit User details To edit user details 1 Click Manage User in the navigation panel 2 Once Manage User has been selected the Manage Users screen is displayed Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 T ASX Limited ASX Clear Futures Margin Simulator User Manual Manage Users m User Search Firm Code Username Email Address Phillip Pharlap ppaarlap asx com au CP Administrator Pania Tilley tilleyptest asx com au CP Administrator 3 Enter user details in the Firm Code and Username fields and click Search 4 The user can also be searched for by entering part of the username in the Username field and clicking Search 9 Click the magnifying glass icon for the required user 6 The following user details can be edited a Roles Operator Administrator b Revoke Certificate Sends requests to ASX Online Help Desk c Disable access to ASX Clear Futures Margin Simulator 7 Click the Close button to end the user creation process Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 8 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 Overall Simulation Workflow On successful login the Clearing Participant user is presented with a welcome landing
10. in for CPPAYSBASIS Leave Blank for CPPAYSFIX CPPAYSFLOAT Number e Contains the ASX trade Identifier for the cleared trades e Should be left blank for Custom portfolio being uploaded Tradeldentifier Optional FixLegCoup FloatingLeg onFrequenc CouponFreq PayLegCou ReceiveL ReceiveLeg CouponStub PayLegRateln PayLegS ponFreque egRateln ReceiveLeg CouponFreq Tradeldentifi TradeType Notional Currency StartDate EndDate FixedRate Spread Ratelndex y uency DateRoll DayCount PeriodRule Rule dex pread ncy dex Spread uency er MOD_FOL CPPAY SFIXED 5000000 AUD 17 12 2013 17 12 2014 5 0 AUD BBSW 3M QTR QTR LOW ACT 365 ADJUSTED NONE 32051 MOD_FOL SHORT CPPAY SFLOAT 5000000 AUD 18 12 2013 19 12 2014 5 0 AUD BBSW 3M QTR QTR LOW ACT 365 ADJUSTED FIRST MOD_FOL CPPAY SFIXED 5000000 AUD 18 12 2013 18 12 2014 5 0 AUD AONIA 1D PA PA LOW ACT 365 ADJUSTED NONE MOD_FOL CPPAY SFLOAT 6000000 AUD 18 12 2013 18 12 2014 6 0 AUD AONIA 1D PA PA LOW ACT 365 ADJUSTED NONE 32140 MOD_FOL AUD BBSW 3 AUD BB CPPAYSBASIS 5000000 AUD 18 12 2013 18 12 2014 LOW ACT 365 ADJUSTED NONE M 0 01 QTR SW 3M 0 QTR 32145 MOD_FOL AUD BBSW 6 AUD BB CPPAYSBASIS 5000000 AUD 18 12 2013 18 12 2015 LOW ACT 365 ADJUSTED NONE M 0 05 SA SW 3M 0 QTR MOD_FOL AUD BBSW 6 AUD BB CPPAY SBASIS 5000000 AUD 18 12 2013 18 12 2038 LOW ACT 365 ADJUSTED NONE M 0 25 SA SW 6M 0 SA MOD_FOL SHORT AUD BBSW 6 AUD BB CPPAYSBASIS 5000000 AUD 18 12 2013 19 12 2014 LOW ACT 365 ADJUSTED LAST M 0 SA SW
11. left corner of the screen OTC Portfolio The downloaded OTC simulation portfolio contains the trades in section cleared or custom that has Include in Simulation checked e The CSV file containing the downloaded simulation portfolio is in the same format used to upload custom OTC portfolio for simulation Reset the OTC Simulation Portfolio To reset the OTC simulation portfolio user can click on Reset OTC Simulation Portfolio button at the top left corner of the screen Clicking the reset button will remove the trades that have been included in the OTC simulation portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 20 ASX Limited ASX Clear Futures Margin Simulator User Manual 6 2 Futures Portfolio Screen 6 2 1 Overall Summary Futures Portfolio Screen provides a provision for the end user to create a Futures simulation portfolio The simulation portfolio can be made up of either or both of the following components e Existing Futures cleared portfolio e Custom Futures portfolio 6 2 2 Valid ETD Instrument Codes Following table lists the instrument codes that are allowed in the futures portfolio screen Instrument Code Instrument Name Eligible for Cross margining REESEN iB ASK 30Daynerbank Cash Rate Optons Im rR ASK90Day Bank epes no o ASK Month Overnight index Sap Fuures no 6 2 3 Retrieve Cleared Portfolio Existing cleared future portfolio can be used in ASX
12. 3M 0 QTR Sample OTC Trade File Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 19 ASX Limited 6 1 5 6 1 6 6 1 7 ASX Clear Futures Margin Simulator User Manual 6 1 4 3 Upload CSV File Containing custom OTC Portfolio The CSV file containing the custom OTC portfolio is uploaded from the user s PC by browsing to the CSV file location and clicking upload Include in simulation Include In simulation The simulation portfolio is defined as the combination of cleared and custom portfolio that will be submitted to ASX Clear Futures Margin Simulator to calculate the margin requirements The ASX Clear Futures Margin Simulator provides the flexibility to include either or both of custom and cleared OTC portfolios in the simulation run The OTC portfolio screen provides an Include in simulation toggle checkbox against the cleared and custom portfolio sections to include the desired portfolio in the simulation run Cleared mpor T Include in simulation Custom _Browse Upload Download Template d Include in simulation amp Tip Include in simulation o toggle checkbox also controls the functionality of Download OTC simulation Portfolio Portfolio section s selected to be included in simulation will be downloaded or reset when such a request is made Download OTC Simulation Portfolio To export the trades included in the Simulation portfolio user can click Download at the top
13. ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV field values Condition Only to be filled in for CPPAYSBASIS Leave Blank for CPPAYSFIX CPPAYSFLOAT 18 ReceiveLegRatelndex Conditional String 13 CP Receive leg rate index to be used for basis swap in percent Mandatory The field ReceiveLegRatelndex is made up of 3 components separated by the symbol e Currency 3 Chars for example AUD e Index name for example BBSW Max 6 Char e Tenor for the Index For example 3M 2 Char Condition Only to be filled in for CPPAYSBASIS Leave Blank for CPPAYSFIX CPPAYSFLOAT For example e AUD BBSW 3M e AUD BBSW 6M 19 ReceiveLegSpread Conditional Number Spread to be applied on the Index when the CP is Receiving floating leg of the Mandatory basis swap in percent without the percentage sign Condition Only to be filled in for CPPAYSBASIS Leave Blank for Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 18 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No 20 ReceiveLegCoupon Frequency Field Name Required Data Type Instruction to populate the CSV field values CPPAYSFIX CPPAYSFLOAT For example 0 01 Payment frequency when the CP is Receiving floating leg of the basis swap Valid Values Conditional Mandatory string 4 NQTR I SA Condition Only to be filled
14. Clear Futures Margin Simulator by importing the cleared futures portfolio In order to import cleared portfolio the user has to simply click on the click on Import button on the top left hand side of the screen On clicking the Import Cleared portfolio the user must see the cleared futures ETD portfolio as shown in Figure below Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 21 ASX Limited ASX Clear Futures Margin Simulator User Manual Futures Portfolio Downend Rese Prevos nen siart aoan Cleared import V Include in simulation Business Date Instrument Code Instrument Name Expiry Long Position Short Position Net Positions Strike Price Call Put Settlement Price Allocation Positions Sen el wa wi u wl vm sm Cp ms ml md sl d ml ml ol d es AJ sl sl Jl 3 This instrument is ineligible for cross margining Options are not a valid instrument e The imported futures portfolio contains any cleared positions that belong to the Valid ETD Instrument set e The Valid ETD instrument set also contains e Interest rate options positions e Interest rate future positions that are not enabled for cross margining e Such positions can contribute to margin offsets but such positions cannot be cross margined e Positions that are or have become ineligible should have no allocated positions If there are any allocations for ineligible positions then these allocation must be remove
15. D H AH Cell Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 9 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 Create Futures Simulation portfolio and mark positions for cross margining Futures Portfolio Cleared mpor isiness Daie E mmer ng Po i mm Gu zins Ee Price Ca m mt Price Allcate mom ena med a aam AIS SEARO daens a a7 2500000 zemol KM oz 1000 1000 Open 5 Submit for simulation Simulation Results 6 View Simulation results cP DBA Account HOUSE Market data amp cleared trade data as at 31 01 2014 09 30 32 OTC HSVAR 1 275 075 63 Futures SPAN 0 00 Total 1 275 075 63 Cleared Portfolio Simulated Portfolio 13 045 061 48 NPV Change 13 045 061 48 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 10 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 Account Selection Account selection provides the Clearing Participant users the functionality to select the Account that will be used to retrieve cleared positions to perform simulation on Account Selection Previous Next Star Anan CP Account HOUSE amp Tip e Based on the account selected the ASX Clear Futures Margin Simulator will allow the user to perform following types of simulations e Cross margin Simulation for cross margin enabled accounts e OTC Only Simulation for OTC Only accounts
16. DIX 2 DIGITAL CERTIFICATE PROCEDURE c ccccccsssscssscsvsssssvsssseuseeseessnserseesarseesseeeuserseesensennensas 34 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 2 ASX Limited ASX Clear Futures Margin Simulator User Manual 10 2 1 Pre requisites for Enrolment of a Digital Certificate cccccssssssessssssessssssssessssssssesessssssssssseaseees 34 10 2 2 Download and Installation of the Root Digital Certicaie 34 10 2 3 Enrolment Downloading and Installation Procedure of the user ceritcaie 35 10 2 4 Exporting Importing EE 38 e EE EE 38 DE NN el EE 40 10 3 APPENDIX 3 TROUBLESHOOTING Eege gawd E 43 10 3 1 Browser related Error Messages sssssssssssssssessssessssssssssscessssessassacsssscensssesesssassnsacensssassssasensass 43 10 3 1 1 This website only supports Internet Explorer 7 8 and 9 ISSUC ecceccsescesssseseeesssseesssseecsssecssseseseteaseees 43 1ST ZAMPA 6g 0 00 RE HE 43 DOES MS INAS CIDE E 43 10 3 2 Digital le EEN 45 10 3 251 ISsues with Enrolment tora Digital ID EE 45 10 3 2 2 Issues with Download and Installation of a Digital Certificate 0 0 ceesssssscessssssessscsssersesesssersesereeeey 46 10 3 2 3 Issues with Importing and Exporting Digital Certificates ccccscssesssssssssscsssscersssseecesesesseesesssaeeesasreeses 46 10 3 2 4 Digital Download and Installation Issues A 46 10 3 2 5 Digital Certificate Could Not Be Installed c
17. Limited amp Notes An imported cleared portfolio includes any trades already cleared de cleared at the start of the day or cleared de cleared on the day of the simulation ASX Clear Futures Margin Simulator User Manual The underlying curve used in any of the calculations is fixed at 6am on the day of simulation To assist in any associated ASX queries the user is encouraged to do the following VV WV gt Download the OTC portfolio used in the simulation Keep a copy of any custom OTC trades uploaded for simulation Download the futures portfolio used in the simulation Keep a copy of any custom futures trades uploaded for simulation Record the date and time of the simulation If the results fields display zero as a result it may imply that the result component is not relevant to the simulation run For example if the IM Futures SPAN is 0 00 this is because the simulation portfolio submitted was made up of only OTC positions and all future positions we 100 completely cross margined To find out the benefit of cross margining e Run the simulation without allocating any positions for cross margining e Recording the results e Run the simulation again with positions allocated for cross margining e Compare the results with previously recorded results Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 31 ASX Limited ASX Clear Futures Margin Simulator User Manual 8 Common simulati
18. Most problems and errors that encountered relating to digital certificates occurred during enrolment download installation and importing and exporting If several key pieces of information are known and precautions taken most of the problems and errors outlined in this document can be prevented Below is a summary of the key information that can prevent most of the problems and errors occurring 10 3 2 1 Issues with Enrolment for a Digital ID Ensure Check ActiveX Controls are enabled If operating system is Windows XP ensure Onsite MSI package is installed Enrolment can only occur once for each passcode so ensure details are correct There are five fields which are mandatory to be entered First Name Last Name Your E mail Address Passcode and Challenge Phrase Note that it is not mandatory to check the Protect Your Private Key checkbox or to enter comments During this process there are three possible errors e __ Incorrect Passcode If invalid username or passcode is entered then the following error message will be displayed X ASX Error Passcode Mismatch Your enrollment failed because you did not supply the correct passcode Status Code 3117 Copyright 1998 2004 VeriSign Inc All rights reserved wl VeriSign TRUST NETWORK e Passcode Already In Use If the passcode selected has already been used to generate a digital id then the following error message will be displayed K ASX Error
19. allation select the format My ID for Microsoft Internet Explorer e Download can only occur once so the user should not delete their digital certificate 6 Detailed Instructions and URL to install the root CA is provided in the confirmation email Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 34 ASX Limited ASX Clear Futures Margin Simulator User Manual 10 2 3 Enrolment Downloading and Installation Procedure of the user certificate The enrolment form is accessed through the Digital ID Centre secure website hosted by VeriSign The enrolment website is accessed via h tos pki verisign com au services ASXOperationsPtyLtd client userEnrollIMS htm 2 When loading the enrolment page for the first time you will see a Security Warning dialog for a program digitally signed by Microsoft This program is required to enrol for a certificate It is safe to run it on your computer and its authenticity is proved by a digital signature Click Yes A The following screen is displayed Enrollment Help with this Page Complete Enrollment Form Enter your Digital ID information Fill in all required fiekis Fiekis marked with an asterisk are included with your Digital 1D and are viewable in the certificates details Additional Security for Your Private Key We recommend that you protect te private hey associated with your digital ID Checking the box beke will provide you with securi
20. an or equal to the net positions for the contract For example e 30 for net long positions Table Table Header Table Header Data Type Instruction to populate the field values Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 20 ASX Limited Table Header BusinessDate InstrumentCode InstrumentName 31 01 2014 IBF 14 31 01 2014 IRH14 31 01 2014 IRH14 31 01 2014 IRZ14 31 01 2014 IRZ16 31 01 2014 IRM15 31 01 2014 XTH1494400C 31 01 2014 XTH1495800C 31 01 2014 XTH1496000C 31 01 2014 XTH1496500C Sample ETD Trade File ASX 30 Day Interbank Cash Rate Futures ASX 90 Day Bank Accepted Bill Futures ASX 90 Day Bank Accepted Bill Futures ASX 90 Day Bank Accepted Bill Futures ASX 90 Day Bank Accepted Bill Futures ASX 90 Day Bank Accepted Bill Futures ASX 10 Year Treasury Bond Options ASX 10 Year Treasury Bond Options ASX 10 Year Treasury Bond Options ASX 10 Year Treasury Bond Options Table Header Data Type 20 for net short positions Expiry Feb 14 Mar 14 Mar 14 Dec 14 Dec 16 Jun 15 Mar 14 Mar 14 Mar 14 Mar 14 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 LongPositi ShortPosit NetPositio StrikePrice CallPut 0 0 200 1000 500 2000 0 55 0 0 ASX Clear Futures Margin Simulator User Manual Instruction to populate the field values 1500 1000 100 1000 0 2000 500 0 1000 65 1500 1000 100 0 500 0 500 55 1000 65
21. argin Simulator User Manual d Contacting Support 9 1 ASX Online Helpdesk Support Phone 1800 682 484 Email participants online asx com au 9 2 ASX Service Desk Email service desk asx com au Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 33 ASX Limited ASX Clear Futures Margin Simulator User Manual 10 Appendices 10 1 Appendix 1 Registration Form Registration Form for ASX Clear Futures Margin Simulation administrator user Margin Simulator Admin Registration Fc 10 2 Appendix 2 Digital Certificate Procedure To obtain a digital certificate your Participant Administrator user must first create the user in ASX Clear Futures Margin Simulator as outlined above After the ASX Online Help Desk has pre registered the certificate you will receive an email with details on how to enrol The email will be sent to the email address that has been registered in ASX Online Before enrolling and downloading a digital certificate please ensure the following checklist has been followed 10 2 1 Pre requisites for Enrolment of a Digital Certificate e ActiveX Controls set to Enabled e Onsite MSI package installed for Windows XP Operating System 10 2 2 Download and Installation of the Root Digital Certificate e Click Install CA from the Digital Id Centre step to install the CA e Ensure above mentioned CA has been installed to Trusted Root Certification Authorities e During inst
22. aw the dialog You may have turned Active Content off The enrollment page uses an Activex control to do the certificate request generation Please turn on ActiveX by going to the Security Settings tab in the Internet Options dialog of the View menu Please set the security settings to Medium which is the Microsoft default security setting You may not have required ActiveX Controls installed If you are running Windows 2000 or Windows XP please ask your system administrator to install OnSite MSI package for you 2004 VeriSign Inc All rights reserved wl VeriSign TRUST NETWORK This issue may occur on a XP machine that did not have the required ActiveX Controls installed Installation of the Onsite MSI package resolved this issue and allowed the digital certificate to be downloaded Please refer to your internal technical support for further information relating to this 10 3 2 2 Issues with Download and Installation of a Digital Certificate e Ensure user has clicked on Install CA from the Digital Id Centre site to install the CA e Ensure above mentioned CA has been installed to Trusted Root Certification Authorities e During installation select the format My ID for Microsoft Internet Explorer e Download can only occur once so the user should not delete their digital certificate 10 3 2 3 Issues with Importing and Exporting Digital Certificates e Private keys must be included in any impor
23. cross both the legs of the trade Valid Values are e NONE e SHORT FIRST e LONG FIRST e SHORT LAST 4 10 DayCount Mandatory String 8 Interest calculation basis dependent on currency of the trade For A trade valid value ACT_365 8 16 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 16 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV field values 15 PayLegRatelndex Conditional String 13 CP Pay leg rate index to be used for basis swap Mandatory The field PayLegRatelndex is made up of 3 components separated by the symbol e Currency 3 Chars for example AUD e Index name for example BBSW Max 6 Char e Tenor for the Index For example 3M 2 Char Condition Only to be filled in for CPPAYSBASIS Leave Blank for CPPAYSFIX CPPAYSFLOAT For example e AUD BBSW 3M AUD BBSW 6M PayLegSpread Conditional Number Spread to be applied on the Index when the CP is Paying floating leg of the basis Mandatory swap in percent without the percentage sign Condition Only to be filled in for CPPAYSBASIS Leave Blank for CPPAYSFIX CPPAYSFLOAT For example 0 01 PayLegCouponFrequency Conditional String 4 Payment frequency when the CP is Paying floating leg of the basis swap Mandatory Valid Values NQTR I SA Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 17
24. d in the source clearing system e The imported positions having Allocation Positions field disabled greyed out signify that these positions are ineligible for cross margining This can be for one of the following reasons e Contract is not eligible for cross margining for example an Options contract or a Futures Contract not enabled for cross margining e Contract is eligible but position does not satisfy the eligibility criteria for cross margining for example an ASX 30 Day Interbank Cash Rate Futures contract expiring in next 3 days ASX Clear Futures Margin Simulator uses previous End of Day settlement prices to calculate Initial Margin IM as a result any new instrument codes created today will not have the prices available for IM calculations Therefore these positions are not included in simulation Any simulation to include these instrument codes will have to be performed the next day amp Tip In case the user does not wish to include the cleared portfolio in the margin simulation one of the solutions is to simply not import futures cleared portfolio in the ASX Clear Futures Margin Simulator 6 2 4 Export Cleared Portfolio User can export the cleared Futures into a csv file format by clicking on the Download button Futures Portfolio On exporting the cleared portfolio the user is presented with an option to save the trade csv file to the desired location The file format of the exported cl
25. e Futures Only Simulation for ETD Only accounts e If the user wishes to perform cross margin simulation but the users firm does not have a cross margin enabled account please contact your relationship manager at ASX Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 11 ASX Limited ASX Clear Futures Margin Simulator User Manual 6 Creating Simulation Portfolio 6 1 OTC Portfolio Screen 6 1 1 Overall Summary OTC Portfolio Screen provides a provision for the end user to create an OTC simulation portfolio The simulation portfolio can be made up on either or both of the following components e Existing OTC cleared portfolio e Custom OTC trade portfolio 6 1 2 Retrieve Cleared portfolio To include the existing cleared portfolio in the Margin Simulation it is required for the user to import the cleared OTC portfolio into the ASX Clear Futures Margin Simulator In order to import cleared portfolio the user has to click the Import button on the top left hand side of the screen Cleared import Clicking the Import Cleared portfolio will display the PV01 representation of the cleared OTC portfolio as shown in Figure below Cleared import V Include in simulation A IRS Sensitivities Maturity 6M TY 2Y 1D 2D 1M 2M 3M 3Y PV01 3 47 282 41 282 46 175 81 556 92 263 19 3 362 66 6 189 61 A OIS Sensitivities Maturity 1M 2M 3M 1D 2D 1w 2W 3W 4M em al el el el engl gl el es 4
26. e for cross margining This can be for one of the following reasons e Contract is not eligible for cross margining for example an Options contract OR a Futures Contract not enabled for cross margining e Contract is eligible but position does not satisfy the eligibility criteria for cross margining for example an ASX 30 Day Interbank Cash Rate Futures contract expiring in next 3 days Allocations for these positions must be removed in the CSV file and uploaded again 6 2 5 1 Download Futures Template Custom Portfolio is uploaded using a pre defined CSV file template This template can be downloaded by clicking on the Download Template link on the bottom half of the screen Include In simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 23 ASX Limited ASX Clear Futures Margin Simulator User Manual 6 2 5 2 CSV File Format The CSV file that is used to upload custom futures portfolio for Simulation contains the following fields Table Table Header Table Header Data Type Instruction to populate the field values Header BusinessDate Mandatory Date The date the position was held For custom portfolio it will be todays date dd mm yyyy For ex 01 12 2013 InstrumentCode Mandatory String 10 Unique ASX identifier for an instrument For example i IRH14 i IRH1494500P ETE convention ET e a code Component ee Code Expiry Month Code Expiry Year Naming convention EEN reg e
27. e to https asxmos connect asxonline com Enter your ASX Online login details Select the SSO certificate to proceed lf authentication successful user is presented with an application selection page Click Margin Simulator to access the ASX Clear Futures Margin Simulator 1 Users must login to ASX Online and change their password to activate their account 2 For a newly created ASX Online account only Existing accounts to use the same login credentials 3 Required only if the user does not have a valid SSO certificate already installed for ASX provided secure web applications 4 As per foot note 1 For a newly created ASX Online account only Existing accounts to use the same login credentials Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 ef ASX Limited ASX Clear Futures Margin Simulator User Manual amp Tip If the users setup by the Clearing Participant administrators are unable to access the ASX Clear Futures Margin Simulator they can refer to the Appendix 3 Troubleshooting Appendix 3 Troubleshooting highlights three most common areas that can prevent users from accessing ASX Clear Futures Margin Simulator e Browser Related Issues e Digital Certificate Issues e Margin Simulator Access Issues 2 5 Operating Hours ASX Clear Futures Margin Simulator is available to users from Monday to Friday excluding Public Holidays from 7 30 am to 9pm AEST Sydney Time Note C
28. eared portfolio is explained in Upload Custom Portfolio CSV File Format section Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 22 ASX Limited 6 2 5 ASX Clear Futures Margin Simulator User Manual amp Tip e The exported position file is in the same format used to upload custom portfolio for simulation If users wish to do so they can manipulate the contents of the exported file and upload the positions as custom portfolio for simulation e Ensure Include in Simulation checkbox is selected for Cleared portfolio to download the Cleared portfolio in a csv file Upload Custom Portfolio Upload custom portfolio feature enables the user to include custom futures portfolio positions in the margin simulation run The user may choose to run the simulation on a portfolio made up on of custom portfolio only or custom portfolio in combination with the cleared portfolio The custom portfolio must only include valid ETD instruments positions only The custom portfolio uploaded is subjected to the eligibility checks for valid product types amp Note J A user may upload valid Interest rate options positions and Interest rate future positions not enabled for cross margining as such positions can contribute to margin offsets however these positions cannot be cross margined e The uploaded custom positions having Allocation Positions field disabled greyed out signify that these positions are ineligibl
29. ease ensure that you change the file type from the default X 509 Certificate to Personal Information Exchange pfx in the File of Type drop down box 8 Select the certificate that you wish to import and click Open Click Next to proceed Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 41 ASX Limited ASX Clear Futures Margin Simulator User Manual Look in B Desktop my Documents d My Computer My Recent my Network Places Documents Personal CG D tect PEN Desktop My Documents A File name My Network Files of type You will then be prompted for the password for the private key This is the same password that was used when exporting the certificate originally You are required to enter the password for the private key and then click Next Windows will then allow you to select where you have the certificate stored Click Next once completed Password To maintain security the private key was protected with a password 12 Type the password For the private key Password pr Enable strong private key protection You will be prompted every time the private key is used by an application if you enable this option k this key as exportable This will allow you to back up or transport your BEEN ger Click Finish to complete the Certificate Import Wizard A confirmation box will appear confirming that the impo
30. esecsssssssssssssssssscsesssssecsssrsessessesecsesssesacscsusssesacscsesesanecseses 46 LE Ee ue 47 10 32 7 USING Rehn 48 10 3 2 8 Digital Certificate e 48 10 3 3 Margin Simulator ACCESS dee eier Eeeter 49 10 3 3 1 Cannot view margin Simulator link on the application Selection Page ccecssssesssssstsessssseeeseseeeeeees 49 10 3 3 2 On Clicking the Margin Simulator link access denied error is displayed s snnnnsnsnsnsnnnnsnsnsnsinnnsrersnnnesens 49 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 3 ASX Limited ASX Clear Futures Margin Simulator User Manual 1 Introduction 1 1 Purpose of ASX Clear Futures Margin Simulator ASX Clear Futures Margin Simulator is a web based system that provides cross margin simulation capabilities across cleared and custom Over the Counter OTC and Exchange Traded interest rate derivative ETD portfolios 1 2 Audience for this Manual ASX Clear Futures Margin Simulator User Manual has been written for ASX Clear Futures Clearing Participants The users of the ASX Clear Futures Margin Simulator include e Clearing Participant Administrator User e Clearing Participant Operator User Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 4 ASX Limited ASX Clear Futures Margin Simulator User Manual 2 Setup and Access 2 1 System Setup The following are required to access ASX Clear Futures Margin Simulator e Inte
31. for CPPAYSFIX CPPAYSFLOAT Leave Blank for CPPAYSBASIS Ratelndex Conditional String 13 Index for the floating leg of the trade Mandatory The field Ratelndex is made up of 3 components separated by the symbol e Currency 3 Chars for example AUD e Index name for example BBSW Max 6 Char e Tenor for the Index For example 3M 2 Char Condition Only to be filled in for CPPAYSFIX CPPAYFSLOAT Leave Blank for CPPAYSBASIS For example e AUD BBSW 3M e AUD BBSW 6M e AUD AONIA 1D Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 15 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV field values FloatingLegCoupon Conditional String Frequency when the floating leg of the trade is paid Frequency Mandatory a Valid Values for IRS BBSW QTR USA b Valid Values for OIS AONIA ii PA b ZC Condition Only to be filled in for CPPAYSFIX CPPAYSFLOAT Leave Blank for CPPAYSBASIS 11 DateRoll Mandatory String Instruction to handle payment if the payment date falls on a holiday weekend and month end Valid Values are a MOD_FOLLOW b FOLLOWING c NO_CHANGE d PRECEDING PeriodRule Optional String Accrual Method Valid Values ADJUSTED CouponStubRule Optional String Describes how stub periods will be handled for a trade Please note ASX Clear Futures Margin Simulator applies the same Coupon StubRule a
32. g that the export was successful Certificate Export Wizard x The export was successful 10 2 4 2 Importing a Certificate 1 In Internet Explorer Click on the Tools menu then Internet Options 2 Select the Content tab and then click on the Certificates button A In the Certificates window click Import Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 40 ASX Limited ASX Clear Futures Margin Simulator User Manual Issued To 44442001 Training E acHo2001 SysAdmin EJ acHo2002 SysAdmin acHo2003 SysAdmin EJacHo200 4 SysAdmin 3 acHo2005 SysAdmin E3 acHo2006 SysAdmin EJactr2001 SysAdmin E acir2003 SysAdmin Expiratio 28 01 05 28 01 05 28 01 05 28 01 05 28 01 05 28 01 05 28 01 05 28 01 05 28 01 05 4 The Certificate Import Wizard window appears 5 Please click Next Friendly Name lt None gt lt None gt lt None gt lt None gt lt None gt lt None gt lt None gt lt None gt lt None gt 6 Click Browse to navigate to the location where the certificate was originally exported to File to Import Specify the File you want to import Note More than one certificate can be stored in a single file in the Following Formats Personal Information Exchange PKCS 12 PFX P12 Cryptographic Message Syntax Standard PKCS 7 Certificates P7B Microsoft Serialized Certificate Store SST 7 Pl
33. ixed Leg of the IRS _CPPAYSFLOAT To be used when Clearing participant running the simulation is Paying Floating leg of the IRS _CPPAYSBASIS To be used when the IRS trade being simulated is a basis SWAP _ Mandatory Number Notional Amount of the trade For e g 1000000 a Currency Mandatory String 3 Currency code of the SWAP Please note currently only A trades are accepted For example AUD dd mm yyyy For example 16 03 2013 dd mm yyyy For example 16 03 2015 FixedRate Conditional Number Interest rate for the fixed leg of the trade in percent without the percentage sign Mandatory Condition Only to be filled in for CPPAYSFIX CPPAYSFLOAT Leave Blank for CPPAYSBASIS For example 2 5 Conditional Number Spread to be applied on the Index for the floating leg of the trade in percent without Mandatory the percentage sign Condition Only to be filled in for Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 14 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV field values CPPAYSFIX CPPAYSFLOAT Leave Blank for CPPAYSBASIS For example 0 01 FixLegCoupon Frequency Conditional String 4 Frequency when the fix leg of the trade is paid Mandatory a Valid Values for IRS BBSW QTR ii PA iii SA d ZC b Valid Values for OIS AONIA li PA b ZC Condition Only to be filled in
34. leared Future positions cannot be retrieved for simulation past 7pm every day However users can perform Margin Simulation by uploading custom futures portfolio 2 6 Session Timeout session timeout and disconnection occurs after 60 minutes of inactivity You will be informed of this when attempting to perform a function in ASX Clear Futures Margin Simulator and asked to log in again Be aware that when your session times out any unsaved or work in progress information will be lost 2 7 Changing your Password Passwords to use the ASX Clear Futures service are the same as the password used to access the ASX Online service If you are given an ASX Online password for the first time you will need to change that password initially in ASX Online before trying to login to the ASX Clear Futures Margin Simulator Your password expires every 45 days and you will be prompted by the ASX Clear Futures Margin Simulator to create a new password You will not be able to log on until you have changed your password All password changes are conducted through ASX Online Be aware that the following standards apply to your password 1 Passwords must contain characters from at least three of the following four classes e English upper case letters e g A Z e English lower case letters e g a z e Numeric values e g 0 9 e Special characters e g dollar sign or _ underscore 2 Passwords may not contain the user name or any part of the use
35. lts clearly indicate the HSVAR and SPAN where applicable components of the Initial Margin Calculated Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 29 ASX Limited ASX Clear Futures Margin Simulator User Manual CP DU Account HOUSE Market data amp cleared trade data as at 07 05 2014 13 30 39 OTC 5 Day HSVAR Futures SPAN Total OTC NPV Cleared Portfolio 0 00 Simulated Portfolio T4273 4F NPV Change 14 273 47 Clear results Results explained Initial Margin OTC 5Day HSVAR ODay HSVaR results for OTC portfolio and cross margined future positions if any Based on the account chosen for simulation 7 Day VAR may be applicable for client accounts 7 Day VaR can be derived from 5 Day VaR using the following calculation 7 Day VaR 5 Day VaR x 7 5 Futures SPAN IM results for ETD Portfolio including non cross margined future positions and options Total OTC HSVAR with appropriate holding period Futures SPAN NPV Net Present Value Cleared Portfolio NPV for Cleared OTC portfolio only at the time of running the simulation This result does not include any cross margined future positions Simulated NPV for OTC portfolio submitted for simulation run Represents all OTC Portfolio positions custom and or cleared submitted for simulation NPV Change Simulated Portfolio Cleared Portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 30 ASX
36. m mme code Component ae Code es a Code 1 H Expiry Year Strike price 94500 CalorPut IL P InstrumentName Optional String 40 Type of Instrument Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 24 ASX Limited ASX Clear Futures Margin Simulator User Manual Header Ka Please refer to Valid ETD instruments 4 Expiry Expiry Month of the contract mm yyyy For example 03 2013 5 LongPosition Mandatory Number Long position of the contract For example 100 ShortPosition Mandatory Number Short position of the contract For example 120 7 NetPositions Mandatory Number Long Position Short Position For Example 60 StrikePrice Optional Number The strike price for the option Condition To be entered only for an Option Position For example 97 375 Call Put Optional Character Call or Put options Valid values P C For example C Condition To be entered only for an Option Position 10 SettlementPrice Optional Number The settlement price for the contract Please note The Current version of ASX Clear Future Margin Simulator does not allow the user to upload the settlement price for Simulation Purpose Upon custom portfolio upload all settlement prices are replaced by previous day EOD prices For example 96 300 for futures 0 060 for options 11 AllocatedPositions Optional Number The positions for eligible contracts required to be cross margined The allocated positions must be less th
37. mulation please contact your ASX Relationship Manager for a demo account Include in Simulation The simulation portfolio is defined as the combination of cleared and custom portfolio that will be submitted to margin simulator engine to calculate the margin requirements The ASX Clear Futures Margin Simulator provides the flexibility to include either or both of custom and cleared futures portfolios in the simulation run The futures portfolio screen provides an Include in simulation toggle checkbox against the cleared and custom portfolio sections to include the associated portfolio in the simulation run Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 27 ASX Limited ASX Clear Futures Margin Simulator User Manual Browse Upad Temelratt arme amp Note Include in simulation o toggle checkbox also controls the functionality of Download Futures simulation Portfolio Portfolio section s selected to be included in simulation will be downloaded when such a request is made 6 2 8 Download Futures Simulation portfolio To export the trades included in the Simulation portfolio the user can click on the Download button at the top left corner of the screen Futures Portfolio On clicking the Download a CSV file gets saved on the user s PC at the chosen location amp Tip e The downloaded Futures simulation portfolio contains the positions in section cleared or custom that has Include in
38. nd click on Tools Internet Options Content Certificates and check that the expiration date is one year in the future ASX has configured the following policy relating to the Passcode expiry period and the lockout threshold for invalid entries The Passcode expiration for enrolment is set to one month from the date of issue The lockout threshold is set to three attempts The fourth invalid entry will lockout the registration record and will require the ASX to reset the Passcode for the user Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 37 ASX Limited 10 2 4 ASX Clear Futures Margin Simulator User Manual Exporting Importing Procedure As a digital certificate can only be downloaded from the VeriSign website once this manual outlines the steps to export a digital certificate from one PC to another This will be required for Business Continuity Processing Disaster Recovery BCP DR sites where a certificate will need to be installed on the BCP DR PC in addition to the normal production PC Before importing or exporting a digital certificate please ensure the following checklist has been followed e Private keys must be included in any import or export i e ensure pfx format is imported exported not cer e PKCS 12 format must be used it is specifically designed for private keys 10 2 4 1 Exporting a Certificate 1 In Internet Explorer click on Tools then Internet Options Select the Co
39. ntent tab and then click in the Certificates button ez Internet Options Ax General Security Privacy Content Connections Programs Advanced Content Advisor Ratings help you control the Internet content that can be r viewed on this computer Certificates Use certificates to positively identify yourself certification authorities and publishers Clear SSL State Publishers Personal information a AutoComplete stores previous entries AutoComplete and suggests matches for you Microsoft Profile Assistant stores your My Profile personal information 2 Inthe Certificates window select the certificate that you wish to export then click Export Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 38 ASX Limited ASX Clear Futures Margin Simulator User Manual Intended purpose lt A gt E Issued To Issued By Expiratio Friendly Name 44482001 Training SFE CA 28 01 05 lt None gt E acHoz001 SysAdmin SFE CA 28 01 05 lt None gt 3 acHo2z002 SysAdmin SFE CA 28 01 05 lt None gt ACHO2003 SysAdmin SFECA 28 01 05 home E 4cHO2004 SysAdmin SFE CA 26 01 05 lt None gt E acHo2z005 SysAdmin SFE CA 28 01 05 lt None gt E3 acHo2006 SysAdmin SFE CA 28 01 05 lt None gt E acir2001 SysAdmin SFE CA 28 01 05 lt None gt E acir2003 SysAdmin SFE CA 28 01 05 lt None gt 3 The Certificate Export Wizard window then appears Ensure
40. on error em Error Message Reason lt Field gt is missing in row lt x gt lt Field gt is a mandatory field while uploading the custom OTC or future portfolio lt Field gt is not a lt Date number gt in row lt x gt The value of the lt field gt is not in correct format Selected account not enabled for lt OTC The user is trying to perform simulation using OTC portfolio or Exchange traded gt Derivatives clearing ETD portfolio when there account is not enabled for a particular product type You can request your ASX relationship manager for a demo account to try out cross margin simulation No cleared futures trades were retrieved There are currently no cleared future positions or OTC trades in the account selected for simulation Valid range for Allocated Position is from lt 0 User is trying to allocate positions for cross margining more to netPosition gt or lt netPositions to 0 gt than the net position available for an Instrument Valid range for Allocated Position is from lt 0 User is trying to allocate positions for cross margining more to netPosition gt or lt netPositions to 0 gt than the net position available for an Instrument Exchange Criteria Failed lt Error Description gt The custom OTC portfolio uploaded for simulation contains trade s that does not satisfy ASX s trade eligibility criteria Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 32 ASX Limited ASX Clear Futures M
41. page The application is designed like a wizard where the user has to click on Next button to progress through the process Previous and Start Again buttons are provided to go back to previous step s or restart the simulation process Using ASX Clear Futures Margin involves the following steps 1 Start Landing Page ASX Margin Simulator HSVAR is applied on e Cleaned OTC Portfolia Cross Margined Futures SPAN rs apphed on e Residual Cheared Futures e Residual Additional Futures Steps To Use This Tool 1 Account Selechon Select the CP and accounl against which the magn simulation es to be run 3 OTC mobben Import the cleared OTC go andor add addtional OTC iridis 3 Futures Portfolio import the cleared futures porthalia andar add additional futures 4 Futures Portfolio Allocate futures positions for croes margining Simulation Resuis Submit cleared and or custom portfolios for simulation and recewe simulation results Disclaimer Results calculated by the ASX Margin Simulator may be subject to additional add ons of other amendments before being called ap Claanng Participant margins and theredore are prided by ASX as indications only of actual margin obdigations 2 Select the account that contains the positions on which simulation will be performed Account Selection 3 Create OTC Simulation Portfolio Maturity Ou Fit 1M HI NI HM Ir a Jr wW OO O D AS O18 Sensitivities Maturity H D i Di Pii G
42. r s full name 3 Passwords must be at least 8 characters long 4 New passwords must not be the same as the previous password Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 6 ASX Limited 3 1 3 2 ASX Clear Futures Margin Simulator User Manual Administration Functionalities Administrators can perform the following functions for Clearing Participants user accounts e Create a new user e Editing user details Create a new user 1 Click Create new User in the navigation panel When Create New User has been selected the Create New User screen is displayed Create New User User Search AOL User Name Search AOL Users 2 Search for usernames that have already been set up in ASX Online ASX Online usernames are case sensitive a If the username is not found then user has to be setup in ASX Online prior to granting them access in ASX Clear Futures Margin Simulator If a match is found the following details will be populated e ASX Online User Name e First Name e Last Name e Email Address e Firm Code 3 Ensure all details are correct and input a relevant Contact Number for the Clearing Participant User 4 Nominate the user role a Operator b Administrator 5 Clearing Participants have the ability to manage their own Users and User privileges Request a digital certificate on the user s behalf by checking Request Certificate and click Create
43. rnet Explorer 7 8 or 9 e JavaScript enabled browser e ActiveX Controls set to Enabled e Onsite Microsoft Installer MSI package installed for Windows XP Operating System 2 2 Participant Administrator User Setup To create a Clearing Participant Administrator User you should 1 Ensure you have an active ASX Online profile Contact ASX Online Help Desk 2 Complete scan and email the following form to participants online asx com au A Receive Clearing Participant Administration User account confirmation with credentials if applicable from the ASX Online Help Desk by email 4 Enrol and Download Digital Certificate 3 Digital Certificate Procedures 9 Confirm login at the following link https asxmos connect asxonline com 2 3 Participant Operator User Setup To create a Clearing Participant User you should 1 Ensure you have an active ASX Online profile Contact ASX Online Help Desk 2 Ask your Clearing Participant Administrator to create a Participant User profile and request for an Users Digital Certificate Administration Functionalities A Receive Participant User credentials if applicable from the ASX Online Help Desk by email 4 Enrol and Download Digital Certificate Digital Certificate Procedures 9 Confirm login at the following link https asxmos connect asxonline com 2 4 Accessing ASX Clear Futures Margin Simulator To access ASX Clear Futures Margin Simulator 1 2 3 Open your browser and navigat
44. rt was successful Ce ate Import Wizard e J The import was successful Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 42 ASX Limited 10 3 10 3 1 ASX Clear Futures Margin Simulator User Manual 13 The certificate has now been successfully exported and imported Appendix 3 Troubleshooting Browser related Error Messages 10 3 1 1 This website only supports Internet Explorer 7 8 and 9 Issue The application will automatically check your browser for compatibility You will need to try a different browser version if you try to access the site and get the message Please note that the current implementation does not support Internet Explorer 6 10 3 1 2 HTTP 403 Forbidden Issue Why do get the error message HTTP 403 Forbidden This can happen if there is not a valid digital certificate stored on the computer You can check your certificate in Internet Explorer by going to Tools gt Internet Options gt Content gt Certificates gt Personal The certificate issued should match your login name Certificates Intended purpose lt All gt A Other People Intermediate Certification Authorities Trusted Root Certificati Issued To Issued By Expiratio Friendly Name EQIASXTA UsersName ASX CA 14 05 2013 lt None gt Certificate intended purposes lt All gt Learn more about certificates 10 3 1 3 JavaScript Issue Why do get the error message JavaScrip
45. rusted Site Make the URL a trusted site by adding the URL name to the list of trusted sites in the security Tab of the Internet Options dialog in the Tools menu Copyright 1998 2004 VeriSign Inc All rights reserved v VeriSion TRUST NETWORK This error occurs because the root certificate has not been installed By returning to the Digital ID Centre website https a verisign com au services ASXOperationsPtyLtd digitalidCenter htm i Fienie ror E AEMO Curent Daph l go SFE Bininest Opegeen ich ce Galery Sj Share Poa a Digtal iD Center g XIS Digital ID Center ASX Operations Pty Ltd Digital ID Center ENROLL hoc Mis optaon ha ennil for a ciemi Digtal I0 PICK UP ID Choose mis option if you enrolled tor a Digital IO pg dia mot pici it up SEARCH Choose this option ts search for a Cagis The uneton is usesul for determining whether a Digital ID amp van eqpired or revoked You may also downoad IDs Tom iiis optan RENEW pees Be Onn bo renew a Digital ID which is expiring of which hes already expired You shouid generally stari renewing your Digal ID at wast one month your Dora due ip spire ei REVOKE ela aaah ee Digital De shoud be revoki immedeatity for pba apy Comprompe intluGing al or Siwen privale keys Corrupted key pairs change in aile ownership or suspected fraud a INSTALL CA Goen UGS Ver in inc A ight ares v Ve I Sign TRutt a aoe And by clicking on Install CA
46. ssoscaccaenesasaasas 12 6 1 OTC PORTFOLIO SCREEN EE 12 6 1 1 Averko Eecher eg 12 6 1 2 FHEUIC VE EE DOOI ee 12 6 1 3 Seier 12 6 1 4 Upload Custom Portfolio EE 13 oA DOWO OTC TEMPIE eiii a EE On cao Oc 13 O14 2 NET LE 14 6 1 4 3 Upload CSV File Containing custom OTC Porttolo nrnna 20 6 1 5 IRENEO E0 EEEE ANON IPAE EER IA T EE 20 6 1 6 Download OTC Simulation D erte EE 20 6 1 7 Reset ine OFC Simulation Eelere ie DEE 20 6 2 FUTURES PORTFOLIO SCREEN DEEG 21 6 2 1 Eer 21 6 2 2 Valid ETDINSt MEn COGS Sree shes cece ace E ay E vse AE OO O E 21 6 2 3 Retrieve Cleared POCONO DEE 21 6 2 4 Export Cleared F OLMOUC EE 22 6 2 5 LID AG GUS ION PONTONO EE 23 02a Det Kee le FUES nei 23 E Oy EEN 24 6 2 6 Allocate for rel EE 27 6 2 7 Melde eet e EE 27 6 2 8 Download Futures Simulation portfolio ccccccccccsccsccssvesseseecssssssesecesasesavcssuscassscscsssedetesnscsneavessseeess 28 6 2 9 Reset Futures Simulation portfolio si usss essed ste cidaua tn vncdetle etieteg 28 7 SIMULATION RESULTS SCREEN tee eier 29 T1 SUBMITTING FOR SIMULATION EE 29 1 2 PROGRESS UPDATE aa nia a a 29 7 3 VIEW SINULANON EE 29 8 COMMON SIMULATION ERROR MESSAGES ssssnsnennnenununununununnnnnnnnunununununnnnnnnnnnnnunununununnnnnnnnnnnnnnnnnnnnnnnn 32 9 CONTACTING SUPPORT RE 33 9 1 ASX ONLINE el ET RE 33 9 2 ASA SERVICE DESK EE 33 10 APPENDICES ireann A A 34 10 1 SAPPENDIX T REGISTRATION FORM itesriiisar renis eas ee cule erc 34 10 2 APPEN
47. sue with user s firm access The user must follow the instructions on the screen Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 49 ASX Limited ASX Clear Futures Margin Simulator User Manual Disclaimer This document provides general information only and may be subject to change at any time without notice ASX Limited ABN 98 008 624 691 and its related bodies corporate ASX makes no representation or warranty with respect to the accuracy reliability or completeness of this information To the extent permitted by law ASX and its employees officers and contractors shall not be liable for any loss or damage arising in any way including by way of negligence from or in connection with any information provided or omitted or from anyone acting or refraining to act in reliance on this information The information in this document is not a substitute for any relevant operating rules and in the event of any inconsistency between this document and the operating rules the operating rules prevail to the extent of the inconsistency Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 ASX Trademarks The trademarks listed below are trademarks of ASX Where a mark is indicated as registered it is registered in Australia and may also be registered in other countries Nothing contained in this document should be construed as being any licence or right to use of any trademark contained within
48. t must be enabled to use this site Please enable JavaScript in your browser and try again The application checks to see if JavaScript is enabled before it renders the pages in full If JavaScript is not enabled you will not be able to enter any data It should be possible to enable JavaScript through the Internet Options gt Programs gt Manage add ons gt Toolbars and Extensions section of your browser Consult Internet Explorer Help for more information on how to do this for your browser version Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 43 ASX Limited ASX Clear Futures Margin Simulator User Manual Default web browser Internet Explorer is the default web browser et Explorer is not the default web browser Make default Tell me if Inte Manage add ons s Ri Enable or disable browser add ons Manage add ons installed in your system HTML editing Choose the program that you want Internet Explorer to use for ey editing HTML files HTM eater Internet programs Ka Choose the programs you want to use for other Internet services such as e mail It might be necessary to shut down all instances of Internet Explorer before changes take effect Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 44 ASX Limited 10 3 2 ASX Clear Futures Margin Simulator User Manual Digital Certificate Issues
49. t or export ie ensure pfx format is imported exported not cer e PKCS 12 format must be used it is specifically designed for private keys 10 3 2 4 Digital Download and Installation Issues Once the user s Digital ID has been generated it needs to be downloaded and installed on the user s machine This process is attempted directly after enrolment During this process there are two errors that are possible 10 3 2 5 Digital Certificate Could Not Be Installed This error occurs for a variety of reasons listed below in the error Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 46 ASX Limited ASX Clear Futures Margin Simulator User Manual A ASX Error Digital ID Could Not Be Installed The most likely reasons for this problem are e You may have already installed the Digital ID earlier Look at the Personal Certificates in the browser s Options menu If you see the Digital ID there you need not install it again The browser you are using now is not the same one you used when you enrolled for your Digital ID You must use the same browser on the same computer to enroll and install your Digital ID A Certificate chain could not be built to a trusted root authority You do not have the Root Certificate installed in your system The Root Certificate has to be installed in the Certificate Store Trusted Root Certificate Authority e The URL from which you are trying to enroll is not a T
50. that you have checked Yes export the private key then click Next to begin the Export Export Private Key You can choose to export the private key with the certificate Private keys are password protected If you want to export the private key with the certificate you must type a password on a later page Do you want to export the private key with the certificate O No do not export the private key 4 Itis recommended that you Enable strong protection then click Next 5 You are required to setup a password to protect the private key This password will be required in order to import the certificate Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 39 ASX Limited ASX Clear Futures Margin Simulator User Manual Ginette x Export File Format Certificates can be exported in a variety of file formats Select the Format you want to use Se eee EE eE EEE EENEETEEEETEDETTTTTTTTTSTTTTT OSES TEES EEE ES TEESE ERE EECESEEEEEESSESEEESESELETSETESELISETETS TTS S TTS TESTES SEES TEES Include all certificates in the certification path if possible Enable strong protection requires IE 5 0 NT 4 0 SP4 or above C Delete the private key if the export is successful 6 Click on the Browse button to select the destination for the export of the certificate 7 Once this has been confirmed click Next then click Finish 8 A confirmation box will appear confirmin
51. the document ASX Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 50
52. tions in the margin simulation run The user may choose to run the simulation on a portfolio made up on of custom portfolio only or custom portfolio in combination with the cleared portfolio The custom portfolio must only include OTC positions that are eligible to be cleared by ASX The custom portfolio uploaded is subjected to the trade eligibility checks similar to the production environment For full details of ASX OTC trade eligibility please refer to the ASX OTC Handbook amp Tip If the custom portfolio provided for simulation contains positions that do not pass ASX s trade eligibility checks the entire simulation portfolio batch is rejected 6 1 4 1 Download OTC Template Custom Portfolio is uploaded using a pre defined CSV file template This template can be downloaded by clicking on the Download Template link on the bottom half of the screen Custom Browse Upload Downioad Template Include In simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 13 ASX Limited ASX Clear Futures Margin Simulator User Manual 6 1 4 2 CSV File Format The CSV file that is used to upload custom OTC portfolio for Simulation contains the following fields and properties Field No Field Name Required Data Type Instruction to populate the CSV field values TradeType Mandatory String 10 Acceptable Values include _CPPAYSFIX To be used when Clearing participant running the simulation is Paying F
53. ty options for your private key Click Here for additional information Optional Enter Comments In some tases YoUr administrator will instruct you to enter Shared Secret information hoown onhy to you amri the adiministrator in this field The adiministrater wss this shared secret to wv etifw that it realhy Te pou submitting the application This comm nt will mot be mmchschech in your Degital ID If all the information abowe is correct click Submit Co continue RES 4 The following fields must be entered exactly as advised by ASX Online Help Desk First Name Last Name E mail Address Passcode 7 Provided with the confirmation email Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 39 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 The only field not case sensitive is the Passcode The Challenge Phrase is a unique phrase set by the user and not shared with anyone It might only be needed if a non Internet Explorer browser is used for downloading the digital certificate or during certificate renewal 6 You will be requested to specify the level of security for your Private Key It is recommended that High protection is selected for better private key protection 7 This popup window appears for confirmation of your e mail address Microsoft Internet Explorer xi Confirm your e mail address 2 jsmith participant com If your e mail address is correct click OK if not click
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