User Guide 360T SEF
Contents
1. S5 User Guide 360T SEF m T TEX MULTIDEALER TRADING SYSTEM USER GUIDE 360T SWAP EXECUTION FACILITY FOR THE MARKET MAKER 360 TREASURY SYSTEMS AG 2015 Soe User Guide 360T SEF 1 INTRODUCTION In July 2010 the Dodd Frank Wall Street Reform and Consumer Protection Act Dodd Frank or the Act was signed into U S federal law The Act made changes to the financial regulatory environment in America as a way of promoting financial stability by among other things improving accountability and transparency in the financial system Within the Act Title VII concerns regulation of the over the counter swaps markets which requires certain OTC derivative and FX instruments to be traded on a regulated SEF 360 Trading Networks Inc 360T Inc offers a SEF venue for such transactions captured under this definition At present this applies to FX options and FX non deliverable forward and Swap NDF and NDS instruments traded by persons identified as U S entities or which fall under the definitions within the Act 360T Inc s SEF services will enable clients to comply with their own Dodd Frank regulatory obligations and will retain the ability for clients to trade with greater transparency and enhanced control at every stage of the trading lifecycle Once a client is considered by 360T to be SEF relevant users can only trade NDF NDS and FX Options on the SEF U S clients and entities trading with U S client2. be placed either by selecting New in the File menu or by using the button a in the toolbar 360T does not automatically match orders The execution remains under the control of the market participants If an order is displayed as tradable in black the user can execute it without placing an opposite order in the user interface but by marking it opening the context menu over the right mouse click and then selecting Execute or by opening it with a double click and then clicking the Execute button The SEF Order Book and the Request for Streamed quotes RFS process interact in the following way If a RFS matches one or several orders in terms of Action Currency Couple Effective Date and Maturity Date Fixing Reference Expiry and the notional is equal to the amount in the Limit Order and also the notional currency is the same as in the limit order then the best executable limit rate will be displayed in the competitive bidding window In addition the best indicative limit rate will also be displayed in the RFS window if it is better than or equal to the best executable limit rate A rate is considered indicative non executable if no relationship to the company submitting the limit order exists Limit orders cannot be partially filled All orders placed in the SEF order book expire at the end of the trading day i e at 5pm New York A placed order can be canceled or amended by any user in the same company as the user who has entered the
3. order To comply with the timing delay described in section 37 9 of the regulation an order has to be 15 seconds in the system before a user can cancel it S5 User Guide 360T SEF 6 CONTACTING 360T Global Support Phone 49 69 900289 19 Fax 49 69 900289 29 E Mail support 360t com EMEA Americas Germany USA 360 Treasury Systems AG 360 Trading Networks Inc Grueneburgweg 16 18 521 5 Avenue 38 h Floor D 60322 Frankfurt am Main New York NY 10175 Phone 49 69 900289 0 Phone 1 212 776 2900 Fax 49 69 900289 29 Singapore 360T Asia Pacific Pte Ltd One George Street 07 04 One George Singapore 049145 Phone 65 6325 9970 Fax 65 6536 0662
4. d the effective date correspond to that selection The market taker enters an NDF with the desired data i e notional amount tenor and or maturity date fixing date and fixing reference 3 2 NDS Non deliverable swaps traded on 360T SEF can be considered as two linked non deliverable forwards with opposite actions The workflow supported in 360T s SEF only concerns the execution of the NDS Once NDF will be subject to clearing further information will be completed in this manual The settlement of the NDS always takes place offline between the counterparties The product definition screen will already include predefined data corresponding to the selection in the live pricing screen For example the currency pair and the effective periods correspond to that selection The market taker enters an NDS with the desired data i e notional amount tenor and or maturity date fixing date and fixing reference 3 3 FX Options 360T supports requests in first generation options calls and puts and combinations of 2 options zero premium or standard risk reversal or a request with two legs European and American style Option pricing can be requested for live pricing or with a separate spot delta hedge 5s Son User Guide 360T SEF 3 3 1 FX Plain Vanilla Risk Reversal Zero Cost Strategy option In addition to plain vanilla it is possible to request combinations of 2 options Pre configured strategies to create a standard r
5. e and offer rate on the right side have to be provided Click to Send instantly shows the provided price to the requester in his competitive bidding screen together with prices provided by other requested market makers as well as with executable and indicative orders from the SEF Order Book Once the price is sent to the requester the buttons Cancel and Send are replaced by the buttons Interrupt and Requote You can withdraw your quote by clicking Interrupt By Requote you can directly send a newly entered quote In case the user executes your offered price a deal confirmation ticket is displayed to the trader In case the requester executes the trade with a competing market maker the offer screen automatically closes with an according sound 4 2 Pricing NDS An NDS is priced by providing the spot rate and the swap points potentially near and far points in case the request is a forward starting NDS In case a two way request is made the swap points have to be provided on the bid and on the offer side Once the price is sent to the requester the buttons Cancel and Send are replaced by the buttons Interrupt and Requote You can withdraw your quote by clicking Interrupt By Requote you can directly send a newly entered quote In case the user executes your offered price a deal confirmation ticket is displayed to the trader Should the requester execute with another provider the offer screen automatically closes with an acc
6. has been provided your provider entity will automatically be included in the requester bank basket for an NDF NDS or FX Option trade request of market takers having a counterparty relationship with you If the data is incomplete the user will not be able to trade on the SEF Sco User Guide 360T SEF 3 TRADING NDF NDS AND FX OPTIONS AS REQUEST FOR STREAMED QUOTES ON THE SEF Once SEF specific reporting data is defined NDF NDS and FX Options requests from Requesters that have also completed the SEF on boarding can be received and priced by you 3 1 NDF Non deliverable forwards are outright contracts for non convertible foreign currencies which are cash settled by using the difference between the agreed forward rate and the spot rate on the fixing date which is usually 2 working days before the settlement date The workflow supported in 360T s SEF only concerns the execution of the NDF Once NDF will be subject to clearing further information will be completed in this manual The settlement of the NDF always takes place offline between the counterparties On the market taker side an FX Non deliverable forward NDF product definition is opened after selecting the product NDF in the product selection area and after clicking on a price in one of the FX Live Pricing The product definition screen will already include predefined data corresponding to the selection in the live pricing screen For example the currency pair an
7. isk reversal or a zero cost option are accessible over the menu Transaction To request a zero premium option the user requests the strike for the first option of the combination and the bank will quote the strike of the second option In case of a standard risk reversal the user will request a given strike for both options and the bank will quote the premium similar to plain vanilla options Further freely configurable combinations of two plain vanilla options can be requested as Option Strategies The product definition is similar to the risk reversal product definition except that any combination of 2 options can be defined She User Guide 360T SEF 4 PRICING IN THE TRADER WORKSHEET Once a product definition is complete the requester clicks to Send to receive quote streams to the swap dealers defined in the provider list The following describes the workflow when the request is not routed to an automated pricing system but is published for manual pricing in 360T s trader worksheet A trade request routed for manual intervention shows up as a blinking line with its details while a ringing sound notifies the trader of the incoming request To provide a price the trader clicks on the request line to get the quoting screen 4 1 Pricing NDF The price of a NDF is the forward rate which is calculated by the provided spot rate and forward points In case the user requests a two way price both bid rate on the left sid
8. must be reported to a Swap Data Repository SDR In addition data is reported to the National Futures Association NFA in order to conduct trade practice and market surveillance on behalf of the 360T SEF The data transmitted to the SDR and the NFA are trade execution parameters as well as activity data in general about who is trading and what is trading For this some participant specific data needs to be completed by the company and users Once the SEF participation agreement has been signed with 360T Inc users will have been named to 360T s support services and given the according Administration rights to complete required parameters The functionality SEF Data to enter the required data can then be found under the Administration menu Required fields are displayed in bold letters As long as a field is shown in red color the data is incomplete and can t be saved Each company and user set up by 360T s services on the platform is already associated to a country Depending on that information some fields might not be required For example if you are a UK entity but have signed the SEF participation agreement in order to be able to trade with US participants then you will not be required to enter a SSN Please note that if you are using an integrated price engine the AutoDealer also needs SEF reporting data It is assumed that it will be provided by the person responsible for the pricing system in the bank Once all data
9. ording sound Son User Guide 360T SEF 4 3 Pricing Options The price of an FX Option is the premium amount which can be expressed in one of the two currencies of the underlying currency pair The market maker usually expresses the price of the option either in terms of the base currency per unit of the underlying currency in pips or in percent of the notional currency The quote is shown to the market taker in total premium amount with additional details of the price in pips of the premium currency and in case that notional and premium currencies are the same in of this notional amount If the taker requests an option price with separate delta hedge he will also see the total notional of the spot hedge and as price indication also applied volatility in S5 User Guide 360T SEF 5 SEF ORDER BOOK The SEF Order Book allows the SEF enabled users to place limit orders that can be viewed by all other users registered as SEF Participants with 360T All users can view all orders placed in the SEF Order Book Execution is only possible between entities that have a counterparty relationship with each other Orders displayed in black can be executed Orders displayed in grey with obfuscated Company name are only indicative as they originate from market participants without a relationship to the entity looking at the order book Orders for NDF NDS and FX Options are supported in the SEF Order Book A new order can
10. origin of the requesting entity and user and on the country of origin of the providing entity and user US requesters can trade only with counterparties which have also signed the SEF participation agreement and set up the SEF reporting parameters Non US requesters can trade with US and non US counterparties For the Market Maker this means the following If you are a Swap Dealer defined with 360T as a US participant all NDF NDS and FX Options will be traded on the SEF You will be able to execute trades with US and non US requesters under the condition that you and the counterparties have recorded their reporting parameters If you are a Swap Dealer defined with 360T as a non US participant but you wish to execute trades with US counterparties on the SEF you will have to record your SEF reporting parameters to be included in the bank basket of your clients Trading with non US clients is off SEF User Guide 360T SEF Requester Provider SEF OFF SEF Is US Person Is US Person Is not US Person Is not US Person Is US Person Is not US Person In summary for all cases marked as SEF above the following prerequisites must be fulfilled Company has provided 360T with its LEI Company is SEF enabled by 360T SEF Reporting parameters have been keyed in both for Company and Traders S5 User Guide 360T SEF 2 SEF REPORTING PARAMETERS Under the Dodd Frank Act regulation required transaction creation data
11. s are blocked from trading these instruments if not enabled on the SEF The required forms have therefore to be complete as well as the administrative information within the 360T administration tool This user manual describes the functionality available for the Market Participant trading as Market Maker under the 360T Swap Execution Facility 360T SEF This means on one side the administrative functions to complete in the system prior to being able to trade under the 360T SEF as well as the actual trading of the transactions falling under the regulation The 360T SEF platform is embedded in the 360T trading platform so that an entity defined as trading NDF NDS and FX Options under the SEF can still trade all other products under the non SEF platform This user manual only describes the SEF relevant part Please refer to the general 360T user manuals for all non SEF business In the 360T trader user interface SEF related items are either displayed in green color with SEF in superscript or with the mention of SEF in brackets as shown in the following screen captures A Swap Dealer who has signed the 360T SEF participation agreement can trade NDF NDS and FX Options both under the SEF and under the non SEF platform This happens implicitly over configuration settings on the platform so that you as user don t have to switch from SEF to non SEF Whether a trade is done under the SEF or not basically depends on the country of
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