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eurex circular 067/00

1. 10 MOD ID RWTC700 PIC X 10 Modification identification The trading locations together with the external trade number the buy sell indicator the leg number and the modification identification uniquely identify a trade Raw Data File RAWTC750 Open Repo Trades The raw data file RAWTC750 contains the open repo trades The trades will appear in this report from the trade day until both legs are settled The settlement status of each leg is shown Remark all numbers are positive and have to be interpreted with the buy sell indicator The copybook layout for the file is as follows ee e 10 RAW ID COD RWTC750 This field contains the identification code of the raw data stream Values include RAWTC750 valid data record ENDTC750 end of raw data stream Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Pagerie E 15 RAW EFF DAT RWTC750 PIC 9 8 This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD 15 RAW CRT PROC DAT RWTC750 PIC 9 8 This field identifies the creation day of the raw data stream The format of this field is YYYYMMDD 10 ENV NO TXT RWTC750 PIC X This field identifies the environment this raw data file belongs to Possible values are 00 production environment 01 simulation 8 2 10 MBR CLG ID COD RWTC750 PIC X 5 This field contains t
2. NotionalSizery Contract Value ModDcs Modified Duration Cash Bond ModDctp Modified Duration CTD DirtyPricecg CashPrice cg Accruedinterestcg DirtyPricectp PFeotp Price factor CTD CashPrice etp Accruedinterestctp OTC Block Trades for Futures OTC Block Trade Entry enables Eurex members to clear OTC contracts through the clearing system of Eurex This feature allows members to trade large orders without the risk of several partial executions Currently OTC Block Trades are only supported for Options With Release 4 1 the Eurex trading system will support an OTC Block Trade Entry for Futures Price time matched Futures as well as pro rata matched Futures are supported The functionality to trade OTC Block Trades of Futures will be released individually per product The introduction date will be announced in time The system support for this functionality on all front end platforms will become available on 27 11 2000 An OTC Block Trade Entry for Futures requires the same steps as for Options The basic steps are outlined as follows Attachment 1 to Eurex Circular 067 00 2 4 2 5 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Functional Changes for Eurex Release 4 1 Page 7 First the buyer of the contract enters a request for an OTC Block Trade After a successful entry he receives a transaction number from the system that he must transmit to the seller Second to complete the OTC Block Tr
3. All figures are displayed in the margin currency Change The total margin requirement for all risk positions are shown i e for Eurex derivative positions bond positions and cash positions No other changes presented Layout 2 3 4 5 6 7 8 9 10 11 12 T3 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 DAILY MARGIN SUMMARY PAGE 1 AS OF DATE 23 10 00 RUN DATE 23 10 00 MEMBER ABCFR ABC BANK CORPORATION CURRENCY EUR PREMIUM DELIVERY FUTURES UNADJUSTED TOTAL CURR LIQ SPREAD ADDITIONAL MARGIN MARGIN ACCT MARGIN MARGIN MARGIN REQUIREMENT REQUIREMENT Al 00 0 0 00 12 350 00 750 000 000 762 350 00 MEMBER TOTAL 762 350 00 PP 0 00 0 00 42 000 00 9 950 000 000 9 992 000 00 MEMBER TOTAL 9 992 000 00 MEMBER TOTAL 10 754 350 00 Attachment 3 to Eurex Circular 067 00 X pand into the Future gt Eurex Clearing AG Technical Release Notes IC Release 2000 Eurex 2000 All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management Eurex and all other rights including but without limitation patent registered design copyright trade mark service mark connected with this publication shall also be vested in Eurex Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication no lia
4. Modified Screens Windows and Reports Page 12 Modified Screens Windows and Reports A list of all modified and added screens and reports including a brief description of the changes can be found as follows Detailed descriptions will be published in Eurex Member User Manual Clearing X0004000 Eurex Member User Manual Trading X0003900 Eurex Clearing System User Guide X0006100 Eurex Trading System User Guide X0003800 and the new X ceed Eurex Trading Users Guide X0006900 New Graphical User Interface for Trading X ceed Based on the VALUES interface Eurex provides a new graphical user interfaces GUI for trading X ceed For a detailed description of X ceed please refer to the X ceed Eurex Trading Users Guide X0006900 Technical enhancements compared to the old GUI X ceed concern the following areas e Printing e Audio signaling e Sorting e Additional filtering e Columns freeze e Maintenance of the last order e Update button e File Export Printing With X ceed the users have the possibility to make print outs of the table contents for several screens Header and footer lines are printed on each side with informational data The printer can be selected for each print transaction The standard printer is used as default Audio Signaling This functionality provides the signaling of events by sounds for the following events e Trade executions for the own Trader ID e Transition of the Trading Phase for a
5. X pand into the Future eurex circular 067 00 Date Frankfurt 15 August 2000 Recipients All Eurex members and vendors Authorised by J rg Spillmann AN Action Required AN High Priority Eurex Release 4 1 EEX and IC Release 2000 Further Information Related Eurex Circulars 041 00 043 00 Contact Eurex Functional Member Readiness Tel 49 0 69 2101 1700 Content may be most important for Attachments Eurex 4 1 EEX Functional Release Notes 2 Front Office Trading Eurex 4 1 EEX Technical Release Notes Middle Back Office IC Release 2000 Functional Release Notes IC Release 2000 Technical Release Notes Eurex Release 4 1 Simulation Guide Auditing Security Administration Simulation Registration Fax Reply List of Published Member Manuals IT System Administration You will find attached the final version of the Release Notes for the forthcoming Eurex release to be introduced in two phases in October November 2000 Separate Functional and Technical Release Notes are issued for Eurex 4 1 EEX and for IC Release 2000 Attachments 1 to 4 We also attach the guide to Eurex Release 4 1 Simulation Attachment 5 which will be carried out in two phases The first phase begins on 04 September 2000 and all members are requested to register for simulation using the fax reply attached Attachment 6 The Simulation versions of the majority of the Release 4 1 Member Manuals will be published on the restricted part of our we
6. SIS 23497 CANCEL 795 000 00 250 000 000 255 000 00 SIS 134567 500 000 000 540 000 00 SIS AA1234 1 590 000 00 500 000 000 540 000 00 SIS 112345 500 000 000 540 000 00 SIS 987AA4321 0 00 0 00 1 590 000 00 1 590 000 00 SETTLEMENT CURRENCY EUR COUNTERPART NOMINAL QUANTITY SETTLEMENT AMOUNT TRADE REFER CSD ACCOUNT REMARK 500 000 000 540 000 00 123456789012 EOC BBBBBBBBBBBB 540 000 00 540 000 00 540 000 540 000 00 Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 28 4 5 2 Settled Cancelled Deliveries Report Name Settled Cancelled Deliveries new Report Code RPTCE210 Purpose This report reflects all deliveries which are settled and cancelled confirmed during the day Notes on format This report is also available as a raw data file RAWCE210 Restrictions Non Clearing Members NCM do not get this report Fields REF FIELD NAME DESCRIPTION 1 CLEARING Member ID of Clearing Member MEMBER CSD Central Securities Depository Settlement Location MEMBER Settlement Account code of member at the settlement location ACCOUNT 4 SECTION Settled Delivery or Cancelled Delivery 5 SETTLEMENT Settlement Currency CURRENCY EFFECTIVE Date when settlement cancellation is effective DATE 7 ISIN Security identification ISIN CURR Associated currency to security nominal TRAN DATE Da
7. 0 FO RT IT TT EE aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 11 9 Checklist for Eurex Release 4 1 Simulation Eurex advises to use this checklist to test new functionality in the simulation The manuals Eurex Clearing System User Guide Eurex Member User Manual Trading and X ceed Eurex Trading User Guide are recommended as reference Reference ec Functionality to be tested Eurex Eurex Mem X ceed Part Simulation Clearing ber User Eurex Trad System User Manual ing User Guide Trading Guide 25 08 00 End of Sep Trading Enhancements e Product State Holiday Ch 3 8 Pay attention to the new product status HOLID in the BOF message stream A Finnish holiday has been scheduled for 07 09 2000 A Swiss holiday will be simulated on 21 09 2000 e Print Export Functionality A new Print Functionality has been introduced to directly print the displayed listbox contents of the overview windows to a connected printer and allows the user to choose all data or selected data to be printed To export data into a file the user has to select the Export menu which can be found under the Window menu e Exercise Overview Enhancement Ch 4 3 1 The Exercise Overview window will be enhanced Ch 4 5 17 to allow the selection of a delivery month in addi tion to a profile This allows users to see all Long positions of a certain expiration mon
8. 00 No Simulation 9 00 16 00 No Simulation 9 00 24 00 00 00 24 00 00 00 24 00 Remarks Year End Expiry FINT Expiry FINT Expiry FINT OSTK OINX OSTK OINX OSTK OINX OFBD OFBD OFBD Batch Batch review Batch Batch review Week 47 Monday Tuesday Wednesday Thursday Friday Actual Day 20 11 2000 21 11 2000 22 11 2000 23 11 2000 24 11 2000 Business Day 19 01 2001 30 01 2001 31 01 2001 Trading Time 00 00 12 00 No Simulation 09 00 16 00 No Simulation 09 00 16 00 Remarks Expiry FINT Month End OSTK OINX OFBD Batch Batch review Batch Batch review Batch Production Update Kit Distribution Part Il Start Pre Trading 30 min before start of Trading start Post Trading end of Trading end of Post Trading 30 min after end of Trading Batch Review Please check all reports you receive after each batch run Note The simulation will be completely unsupported from Fridays at 20 00 until Mondays at 09 00 CET New functionality Product State Holiday lt lt HOLID gt gt Attachment 5 to Eurex Circular 067 00 ET ONE E NER fo FT aT DT a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 8 6 Reporting Eurex needs to gain an authentic status on the readiness of Members installations All simulation participants are kindly asked to report regularly on simulation activities and changes in the readi ness status of their software a
9. 1 Technical Release Notes to be published in August 2000 Retransmission Handling On the MISS the retransmission handling is enhanced to allow access to recoverable broadcast data ROB on the front end MISS independent of the state of the Eurex Xervice or the back end This will allow access to the ROB data any time X ceed User Profile For Eurex Release 4 1 the name of the X ceed user profile is changed due to CBOT Eurex Joint Venture Release implementation Old Name lt user gt X ceed vr New Name lt user gt X ceed XEUR vr New Name for CBOT lt user gt X ceed XCBT vr New Graphical User Interface for Trading X ceed Based on the VALUES interface Eurex provides a new graphical user interfaces GUI for trading X ceed which is a Java based GUI For a detailed description of X ceed please refer to the X ceed Eurex Trading Users Guide X0006900 Technical enhancements compared to the existing GUI X ceed concern the following areas e Printing e Audio signaling e Sorting e Additional filtering Attachment 2 to Eurex Circular 067 00 4 2 1 4 2 2 4 2 3 4 2 4 4 2 5 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 MISS based Front End Page 11 e Columns freeze Trading GUI only e Last Order Maintenance the e Update button e File Export There is also the ability to turn on and off Broadcast Updates to listbox contents Printing With X ceed the users have the possibili
10. 15 RISK VALUE RWCC042 PIC SEL 10 REPT REC 2 VALUE RWCC042 15 THEO VALUE RWCC042 ETG Seen eee aS 9 9 2 15 COMP SHT RWCC042 PIG Srs 9 15 USED FOR COMP RWCC042 Ee a 9 Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes Raw Data Interface 15 15 15 T5 As of 10 30 2000 Page 20 NET FUT POS RWCC042 PIC 9 OPT EQU TRD UNT VAL RWCC042 PIC 9 5 9 4 MINMAX THEO VAL RWCC042 PIG S2SSSsS RISK THEO VAL RWCC042 PIC S s2s s22 Attachment 2 to Eurex Circular 067 00 6 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 21 NEW Raw Data File RAWCE120 This new raw data file is generated and sent to EEX Derivatives Market Exchange members and EEX Derivatives Market Clearing Members It lists the open positions of expired contracts of EEX Derivatives Market per exchange member that will go into physical delivery The raw data file RAWCE120 corresponds to the EEX Open Delivery Positions report RPTCE120 This file is only sent to members on the expiration day of for the currency expiring EEX contracts only The functionality for producing the raw data file RAWCE120 will become available on 30 10 2000 FIELD DESCRIPTION RAW ID COD RWCE120 This field contains the identification code of the raw data stream Values include RAWCE120 valid data record ENDCE120 end of raw data stream RAW EFF DAT RWCE120 This field identifies the b
11. 24 ADD B1S8 155 000 000 000 110 558 313 52 26 10 00 Al ABCFR CBF 7099 USERO1 24 ORG B18 139 000 000 000 100 856 237 69 26 10 00 Al ABCFR CBF 7099 USERO1 47 MOD EOC 8899001127 11 ORG B1S8 33 000 000 000 23 834 189 27 26 10 00 Al ABCFR CBF 7099 USERO2 56 MOD EOC 1234567890 36 ORG B1s 33 000 000 000 23 834 189 27 26 10 00 Al ABCFR EOC 8899001129 USERO2 41 MOD PP Attachment 3 to Eurex Circular 067 00 4 3 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 21 Open Repo Trades Report Name Open Repo Trades new Report Code RPTTC750 Purpose Open repo trades are shown on this report from trade date until both legs are settled The settlement status of each leg is shown Notes on format This report is also available as a raw data file RAWTC750 Fields FIELD NAME DESCRIPTION CLEARING Member ID of Clearing Member MEMBER MEMBER Code of the Exchange Member TRADE DATE Date the trade occurred OPEN LEG Unique trade identification of the opening leg of the repo TRADE NO CLOSE LEG Unique trade identification of the closing leg of the repo TRADE NO OPEN LEG Settlement Date of the opening leg of the repo SETTL DATE CLOSE LEG Settlement Date of the closing leg of the repo SETTL DATE Ca des Buy Sell indicator of the opening leg of the repo a2 QUANTITY Nominal amount of the securities in the repo trade 13 OPEN LEG Payable Amount for the opening leg
12. All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management Eurex and all other rights including but without limitation patent registered design copyright trade mark service mark connected with this publication shall also be vested in Eurex Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication no liability is accepted by Eurex for the use of information contained herein in any circumstances connected with actual trading or otherwise Neither Eurex nor its servants nor agents is responsible for any errors or omissions contained in this publication which is published for information only and shall not constitute investment advice This brochure is not intended for solicitation purposes but only for the use of general information All descriptions examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive Eurex reserves the right to alter any of its rules or contract specifications and such an event may affect the validity of information in this publication _ Eurex is a registered trademark Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes Table of Contents Table of Contents 2 1 2 2 2 3 2 4 2 5 3 1 3 2 3 2 1 3 2 2 3 2 3 4 1 4 1 1 4 1 2 4 1
13. Batch Batch review Batch Batch Week 41 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 09 10 2000 10 10 2000 11 10 2000 12 10 2000 13 10 2000 14 10 2000 15 10 2000 Business Day 01 11 2000 17 11 2000 30 11 2000 07 12 2000 07 12 2000 Trading Time 09 00 16 00 9 00 16 00 9 00 16 00 9 00 24 00 00 00 16 00 No Simulation No Simulation Remarks Expiry FINT MonthEnd Expiry FBND Expiry FBND OSTK OINX OFBD Batch Batch Batch Batch Attachment 5 to Eurex Circular 067 00 a TECER LTE LET aR fl 0 Fe OIIE ETD 0 CT a ae Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide gt 14 August 2000 Page 6 End Part Start Part Il Week 42 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 16 10 2000 17 10 2000 18 10 2000 19 10 2000 20 10 2000 21 10 2000 22 10 2000 Business Day 08 12 2000 08 12 2000 08 12 2000 08 12 2000 15 12 2000 15 12 2000 15 12 2000 Trading Time 14 00 00 00 00 00 24 00 00 00 24 00 00 00 12 00 12 00 24 00 00 00 24 00 00 00 24 00 Remarks Expiry FINT Expiry FINT Expiry FINT Expiry FINT OSTK OINX OSTK OINX OSTK OINX OSTK OINX OFBD FINX OFBD FINX OFBD FINX OFBD FINX OFIT OFIT OFIT OFIT Batch Simulation Update Kit Distribution Part II Week 43 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 23 10 2000 24 10 2000 25 10 2000 26 10 2000 27 10 2000 28 10 2000 29 10 2000
14. Business Day Trading Time No Simulation No Simulation No Simulation No Simulation No Simulation No Simulation No Simulation Remarks Production Kit Distribution Part I Connection Test Week 44 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 30 10 2000 31 10 2000 01 11 2000 02 11 2000 03 11 2000 04 11 2000 05 11 2000 Business Day 15 12 2000 15 12 2000 15 12 2000 15 12 2000 15 12 2000 15 12 2000 15 12 2000 Trading Time 00 00 24 00 00 00 24 00 00 00 24 00 00 00 24 00 00 00 24 00 00 00 24 00 00 00 24 00 Remarks Production Start Part Attachment 5 to Eurex Circular 067 00 Gat Daken A 4 O anaa DALVOR mtn hae oO AUUN Av ana DAAA Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 7 Week 45 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 06 11 2000 07 11 2000 08 11 2000 09 11 2000 10 11 2000 11 11 2000 12 11 2000 Business Day 15 12 2000 28 12 2000 28 12 2000 29 12 2000 29 12 2000 29 12 2000 Trading Time 00 00 12 00 No Simulation 9 00 24 00 00 00 12 00 12 00 24 00 00 00 24 00 00 00 24 00 Remarks Year End Year End Year End Batch Batch review Batch Week 46 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 13 11 2000 14 11 2000 15 11 2000 16 11 2000 17 11 2000 18 11 2000 19 11 2000 Business Day 29 12 2001 02 01 2001 19 01 2001 19 01 2001 19 01 2001 Trading Time 00 00 12
15. Clearing Members All members are asked to send a simulation registration by 28 August 2000 using the fax reply attached to Eurex Circular 067 00 Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 3 4 Kit Distribution The Simulation Software Kit for UD and MISS based architectures will be distributed to members from 29 August q September Part l and 17 October 19 October 2000 Part Il With Part Il the new Java based Graphical User Interface for trading will be introduced in the simulation The files will be transferred after trading Please keep your installations ready for receipt From 29 August 13 September and 17 October 19 October 2000 please check that you have re ceived all files Depending on each member s system platform the following software kits will be distributed Simulation kits for all MISS hardware platforms always contain a software version for Windows NT as well Compaq IBM AIX Windows NT OpenVMS Kits for UD based archi tecture Kits for MISS Eurex 41 Kit oe based archi Gate 2 1 Kit tecture from 17 19 October only the MISS kits will be distributed Disk Space Requirements The following table shows the necessary disk space for the installation kits maton osporen Intel Windows NT MISS 50 MB IBM
16. ID COD RWCC011 PIC X 5 This field contains the identification code of the Clearing Member 10 MBR EXC ID COD RWCC011 PIC X This group field contains the identification code of the Exchange Member 10 ACCT TYP COD GRP RWCC011 This group field contains the account Field values include A1 Agent accounts PP Proprietary accounts Pex 5 i 1 10 CURR TYP COD RWCC011 Currency Type Code ISO Code e g EUR CHF 5 1 1 15 ACCT TYP NO RWCC01 1 10 MGN CLS COD RWCC011 Margin class code Identification of the margin class 2 0 10 CURR INTR RATE RWCC011 PIC 9 2 Market Cash Interest Rate of the Currency 10 RSK ADPT INTR RATE RWCC011 Risk Adapted Interest Rates Up 15 UP ADPT INTR RATE RWCC011 PIC 9 2 Currency s Risk Adapted Interest Rate 2 10 SECU ISIN RWCC011 PIC X ISIN of the security for which the risk positions and the current liquidation margin is shown 10 SECU PRC RWCC011 PIC 9 Security price used for risk based margining 10 SECU CPN RATE RWCC011 PIC 9 2 Coupon Rate of the bond 10 STL DAT RWCC011 PIC 9 8 Settlement Date of the risk positions The format of this field is YYYYMMDD 10 POST SECU NET RWCC011 PIC Security net risk positions as nominal amount 9 3 9 3 15 DWN ADPT INTR RATE RWCC011 PIC 9 2 9 3 Currency s Risk Adapted Interest Rate Down 9 2 9 3 Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG IC Re
17. Notes Table of Contents 4 5 1 4 5 2 4 5 3 4 6 4 6 1 4 6 2 4 6 4 4 6 5 General Information Functional Changes Trading Locations amp Products Coupon Compensations Membership Central Counterparty Role Trade Management Risk Management Objectives Detailed Description of Position Valuation Methods Risk Positions Calculation of Current Liquidating Value CLV Calculation of Worst Case Losses Calculation of Margin Requirements Current Liquidating Margin of a Margin Class Additional Margin Overall Margin Requirement Delivery Management Interface to Settlement Locations Cross Border Settlement Partial Deliveries Cash Transactions Reports Appendix Description of Reports Pending Trades Daily Trade Maintenance Open Repo Trades Repo Coupon Compensation Delivery Settlement Pending Delivery Settled Cancelled Deliveries Daily Cash Account Statement Margin Current Liquidating Margin Theoretical Values II Liquidating Value Il Daily Margin Daily Margin Summary Version 1 0 As of 30 10 2000 Page 1 onna A A A AOO WO N 25 25 28 31 32 32 35 37 40 41 Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 2 General Information This document describes the planned expansion of Eurex Clearing AG the Clearinghouse activities The introduction of the new Integrated Clearer IC functio
18. Release 4 1 the users have the possibility to make print outs of the table contents for several screens Header and footer lines are printed on each side with informational data The printer can be selected for each print transaction The standard printer is used as default Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 MISS based Front End Page 13 4 3 2 Update Button An update button is introduced for several windows of the Graphical User Interface for Clearing 4 3 3 File Export With Eurex Release 4 1 on several screens the users are enabled to export screens or selections of a screen as tables in CSV format The contents of such a table can be handled with a third party tool like Windows Excel The export is triggered when the export menu item is selected The export menu item is part of the menu Window One can browse the file system and choose the name of the exported file 4 4 Changes in the Exercise Overview Window The filter functionality of the Exercise Overview Window is enhanced It is additionally possible to filter a profile plus the expiration month year to inquire on all expiring positions Attachment 2 to Eurex Circular 067 00 5 1 5 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 User Device Interfaces Page 14 User Device Interfaces BackOffice Interface BOF The BackOffice Interface is provided on designated Eurex User Devi
19. as default Update Button An update button is introduced for several windows of the Graphical User Interface for Clearing File Export With Eurex Release 4 1 on several screens the users are enabled to export screens or selections of a screen as tables in CSV format The contents of such a table can be handled with a third party tool like Windows Excel The export is triggered when the export menu item is selected The export menu item is part of the menu Window One can browse the file system and choose the name of the exported file Changes in the Exercise Overview Window The filter functionality of the Exercise Overview Window is enhanced It is additionally possible to filter a profile plus the expiration month year to inquire on all expiring positions Attachment 1 to Eurex Circular 067 00 5 1 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 15 Appendix A List of Modifications The screens windows and reports are listed that have been modified for Eurex Release 4 1 are as follows Modifications to the layouts of screens windows and reports will be introduced on 30 10 2000 with the exception of the new graphical user interface GUI for Trading that will become available on 27 11 2000 New field entries for Eurex will become available on 27 11 2000 with the exception of the new product state HOLIDAY that will become available on 30 10 2000 New fiel
20. cash position will therefore be CLV cash C 1 rp t 365 for positive Cs i e for member cash short positions CLV cash C 1 ru t 365 for negative Cs i e for member cash long positions Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 9 CLV of a Bond Position Bond values will be calculated by reference to market prices as of the valuation date With the exception of cases where there are coupon payments between valuation date and settlement date bond valuation will not and need not take account of the settlement date of the bond position The approach to bond valuation will be to ascertain the spot market price of the bond as quoted on the valuation date ii to determine the amount of cash that would be exchanged for the bond based on such price iii to determine the date on which the bond would be exchanged for cash at such price e g on trade date plus 2 days for T 2 securities and iv to discount the cash amount back to the current valuation date For securities that are quoted on a clean price basis the amount of cash that would be exchanged for bond on the spot settlement date as a percentage of nominal would be MV gpotsettiement Date P A where e P is the clean price i e a price quote exclusive of accrued interest expressed as a percentage of nominal and e Ais the amount of accrued interest expr
21. certain product or certain set of products Profile The actual sound to be played is user defined to differentiate the signal with other applications A new window is created in the Settings menu to map the event to a profile and to select a specific sound file that is played once the event is triggered Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Modified Screens Windows and Reports Page 13 Sorting This functionality provides the possibility to define the sort order of data rows in several windows The sort functionality is similar to the sorting in Microsoft Excel Additional Filtering This functionality provides additional filter criteria on several windows The following filter criteria may be used Trader ID Account Customer Text MlOrdNo Price Order Number TradeNo Additionally it is possible to filter by Date Time and TradeType One filter window is used for all windows Columns Freeze With this functionality the users have the possibility to freeze leading columns This columns will stay at their place when scrolling to the right The columns freeze functionality is only implemented in the Trading GUls Maintenance of the Last Order This functionality provides the possibility to quickly modify or delete the order that has been entered last A new item in the menu bar is introduced on the main menu From all other windows Fast Order Entry Rapid
22. class and account CURRENT 17 Attachment 3 to Eurex Circular 067 00 01 02 03 04 05 06 07 08 09 10 dit 12 13 14 Ts 16 17 18 T9 20 21 22 23 24 25 26 27 28 29 30 31 32 Eurex Clearing AG IC Release 2000 Functional Release Notes Version 1 0 As of 30 10 2000 Page 34 Layout h 2 i 4 5 6 7 8 EUREX CURRENT LIQUIDATING MARGIN RPTCCO11 CLEARING MEMBER ABCFR BANK CORPORATION 1 ACCOUNT PP 3 EXCHANGE MEMBER ABCFR BANK CORPORATION 2 MARGIN CLASS BD10 5 CASH INTEREST RATE 3 00 6 RISK ADAPTED INTEREST RATES UP 9 10 ISIN DE0001135135 BUNDANL V 99 10 CURRENT CLOSING PRICE 100 56 13 14 15 16 17 SETTLMNT SECURITY NET CASH NET DP CURRENT LIQ DATE POSITION POSITION UF VALUE SECURITY 19 01 01 50 000 000 000 52 638 906 00 DP 49 765 820 00 20 04 01 120 000 000 000 127 548 580 00 DP 119 437 969 00 19 169 203 789 00 ISIN DE0001170165 BD FDSV90 VIII 96 10 LS CURRENT CLOSING PRICE 74 00 SETTLMNT SECURITY NET CASH NET DP CURRENT LIQ DATE POSITION POSITION UF VALUE SECURITY 26 10 00 25 000 000 000 18 552 500 00 18 542 928 00 27 10 00 10 000 000 000 7 412 000 00 7 417 171 00 15 12 00 5 000 000 000 3 695 000 00 3 708 586 00 TOTAL CURRENT LIQUIDATING MARGIN FOR CLASS AND ACCOUNT 9 10 11 12 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 PAGE f AS OF D
23. contract specifications e A delivery month is assumed to be identical to the appropriate calendar month according to the EEX Derivatives Market contract specifications e For all products of EEX Derivatives Market master data and public market data of the EEX Derivatives Market are distributed via Financial Data Dissemination FDD and are available as for Futures The variable contract unit for the products of EEX Derivatives Market is sent as contract size information where applicable e The following enhancements amendments in the margining area are provided for products of EEX Derivatives Market Additional Margin calculation is based on a contract level and not margin class level This means that the long and short positions for different expiration months will not be netted against each other at the margin class level No spread margin will be calculated for products of EEX Derivatives Market i e no position netting long and short position between different contracts within a product is done as futures contracts on electricity do not correlate in the same way as financial derivatives Anew delivery margin will be introduced to cover the financial risk during the phase of physical delivery of a contract e Some new reports are introduced and several existing reports are enhanced refer to the following section and appendix A e Several windows and screens are enhanced refer to appendix A 3 2 New Reports for EEX De
24. day after the holiday Margining calculation for products in the product state HOLIDAY is not changed except the settlement price from the previous day is used The functionality for the product state HOLIDAY will become available on 30 10 2000 New Duration Formula for OTC Basis Trades With Eurex Release 4 1 a new Duration formula in the Eurex OTC Basis Trade Facility is introduced in order to calculate the correct Hedge Ratio Cash Bond Future The Duration Method is the most commonly used hedge type to adjust the sensitivity of the bond on the yield curve The new duration formula will become available on 30 10 2000 The hedge ratio is calculated as follows 1 First Step Calculation of the Duration formula Yr CE t Ti 1 MacaulyDuration a sh 1 3 CF a 1 y i t Period when cash flow received CF value of cash flow at time t Te time in years to cash flow t M total numbers of cash flows y yield to maturity Attachment 1 to Eurex Circular 067 00 2 3 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Functional Changes for Eurex Release 4 1 Page 6 2 Second Step Calculate the Modified Duration M acaulyD uration me ModifiedD uration k number of coupons per year 3 Third Step Calculate the Hedge Ratio FaceA mount ModD Dirty Priceas H edgeR atio 3 NotionalSizea ModD cw Dirty Price cmp CTD FaceAmountcg Nominal Value of the Cash Bond
25. described below Attachment 3 to Eurex Circular 067 00 2 5 3 1 2 5 3 2 2 5 3 3 2 6 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 13 Current Liquidating Margin of a Margin Class The CLM of a margin class is equal to the sum of the CLVs of all bond and related cash positions in such margin class Because the CLVs of the cash and the bond sides of a transaction are included in the same class the impact of a single transaction on the CLM of a margin class is at most equal to the difference between the CLVs of the bond and cash sides of the transaction Additional Margin Additional Margin will be calculated for each margin class It is important to note that margin classes containing positions from bond trades and margin classes containing Eurex trades may be assigned to the same margin group Margin classes for existing Eurex products will be treated in the AM calculations as they are currently The ALV calculations for margin classes for bond trades will be included in the existing calculations as follows ALV up for a class will be inserted into the column titled Upside Class Curr in report RPTCC045 and ALV gown will be inserted into the column titled Downside Class Curr in the same report Report RPTCC045 also includes margin classes for Eurex products whose upside and downside value changes continue to be inserted into the same columns Offset factors will be a
26. field descriptions and layouts of the changed new reports can be found in the Appendix Attachment 3 to Eurex Circular 067 00 4 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 17 Appendix Description of Reports Pending Trades Report Name Pending Trades new Report Code RPTTC700 Purpose This report lists all Non Derivatives pending trades until settlement Additionally the trades settled or deleted during the relevant day are shown Notes on format This report is also available as a raw data file RAWTC700 Fields FIELD NAME DESCRIPTION 1 CLEARING Member ID of Clearing Member MEMBER MEMBER ID Code of the Exchange Member 3 ACCOUNT Code of the Account Type TYPE ISIN Security identification SETTLEMENT Date the trade is scheduled to be settled DATE SETTLEMENT Currency of the Product CURRENCY 7 TRADING Identification of the Trading Location LOCATION TRADE Unique trade identification NUMBER zs TRADE DATE Date the trade occurred TRADE TIME Time the trade occurred EXTERNAL Trade identification at Trading Location TRADE Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG IC Release 2000 Functional Release Notes Version 1 0 As of 30 10 2000 Page 18 REF FIELD NAME ee NUMBER QUANTITY PAY RECEIVE AMOUNT ACCRUED INTEREST STATUS en 6 7 8 9 10 11 12 13 dis ereot 2As fs waa Bends Gite CJA00123
27. order to prevent netting between contracts RPTCC047 ADDITIONAL NEW A new Additional Margin Report is created MARGIN FOR to display the margin requirement for EEX EEX products on a contract basis PRODUCTS Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 21 Report ID Report Short Short Description of Change Name RPTCCO60 DAILY MARGIN EEX This Daily Margin Summary Report is enhanced SUMMARY to include Delivery Margin A new column for Delivery Margin is inserted into the current layout of the report Delivery Margin is converted to the displayed currency RPTCE120 EEX OPEN NEW Report RPTCE120 is only generated on DELIVERY the expiration day last day of trading for the POSITIONS currently expiring EEX contracts only The EEX REPORT Open Delivery Positions Report RPTCE120 is a new report tailored for EEX products The report lists all open positions for expired EEX contracts after the last trading day per exchange member differentiated by agent accounts both long and short open positions and the proprietary accounts netted open positions The open positions indicate the outstanding physical delivery The report is distributed to the EEX Exchange Members and EEX Clearing Members Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix B Eurex Do
28. period for a spot transaction in the security is T 3 In this example the valuation formula would yield a price consistent with the assumption that a buyer of a security is purchasing the upcoming coupon as well as all remaining coupons and bond principal Computationally this is represented by fact that almost an entire interest period s accrued interest would be added to the clean price in the valuation formula On the other hand the settlement date for the position is subsequent to the coupon date This means that the actual bond obligation between the Clearinghouse and the member involves the bond without the upcoming coupon Looking at this in terms of present value the position represents the right on the position s settlement date to purchase the principal payment and the coupons remaining as of the settlement date i e excluding the upcoming coupon Due to its settlement date this position is less valuable than that of a spot transaction which necessitates a downward adjustment of the result of the standard computation The calculation of the coupon adjustment proceeds in four steps 1 Identify the coupon discrepancies i e determine the differences if any between the coupons valued in the standard valuation formula and the coupons that are covered by the bond position in question For longer term transactions in bonds with coupons paid more frequently than annually the discrepancy could be more than one coupon This is perfor
29. system infrastructure Products of the EEX Derivatives Market are commodity derivatives Futures where the underlying commodity is energy i e Electricity During EEX Derivatives Market trading hours EEX exchange members can trade Futures of the EEX Derivatives Market and create open positions An open position represents the quantity of the underlying energy commodity that an exchange member has to deliver short position or accept delivery long position upon expiration of the Futures contract The system capabilities for EEX Derivatives Market will become available on 27 11 2000 Amendments to screens and reports supporting EEX Derivatives Market will be introduced earlier on 30 10 2000 Characteristics of EEX Derivatives Market compared to Eurex e EEX Derivatives Market and Eurex will share the same hardware system software and business application software infrastructure e The trading and clearing front ends that are provided for EEX Derivatives Market are the new GUl based trading application of the Eurex system and the GUlI based clearing application of the Eurex system EEX Derivatives Market trading and clearing is not supported via the UD application of the Eurex EEX Derivatives Market members are provided with the GUI front end Trading and Clearing and the Ported FMS screens The current functionality provided by the Trading and Clearing API will be available to EEX Derivatives Market members e Futures for EEX Derivatives M
30. value per series or contract Note This field is filled only for series records THEO VALUE RWCC042 This field contains the theoretical value per series or contract This value is calculated as follows Net position Trade Unit Value Theoretical Options series or Futures Contract Price Note This field is filled only for series records COMP SHT RWCC042 This field states the Short Option Compensation Potential for each expiry Note This field is not used for futures USED FOR COMP RWCC042 This field describes the out of the money short positions covered by existing long positions with the same or longer time to expiration and corresponding strike values Note This field is not used for futures NET FUT POS RWCC042 Number of net futures positions per account within a margin class with days to maturity gt 1 Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 19 FIELD DESCRIPTION OPT EQU TRD UNT VAL Options equivalent trading unit value of the future The RWCC042 value is calculated as follows Trading Unit Value of future Trading Unit Value of options within the same margin class Note This field is not used for futures MINMAX THEO VAL RWCC042 Theoretical Value of compensated part of not fully compensated short position for Minimum Maximum Liquidating Value Note This field is not used for futures RISK THEO VAL RWCC042 Theoret
31. 0 MB Compaq DEC OpenVMS UD 110 MB Friday October 27 2000 Batch Processing The Eurex batch will be executed with Software Release Eurex 4 0 Therefore no specific actions need to be taken by the Eurex member BOF messages PTCs and reports are sent out as usual Eurex will delete all outstanding BOF messages and PTCs after this batch run at approximately 11 00 p m If the BOF messages and PTCs are required qualified personnel should be available to be able to receive them BOF messages and PTCs not received cannot be resent at a later time Historical report availability Attachment 2 to Eurex Circular 067 00 8 3 8 4 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Eurex Software Introduction in Production Part 1 Page 27 After Eurex has introduced software version Eurex 4 1 no historical reports prior to the business day Friday October 27 2000 can be retrieved via screen J010 and selected historical reports might be empty It should be checked whether the selected reports have been received before Friday October 27 2000 After batch processing on Friday October 27 2000 it will not be possible to recreate historical reports created by software version Eurex 4 0 Through installation of Eurex Release 4 1 software on the UD SAT all BOF and PMI data will be deleted in particular the files FPBOFINT and FPPMIINT will be deleted Installation After receiving all BOF messages PTCs and rep
32. 0 Pig XAL 15 SERI EXP DAT RWCE120 20 EXPI YR DAT RWCE120 PIC 9 2 20 EXPI MTH DAT RWCE120 PIC 9 2 15 EXER PRC RWCE120 PIC 9 6 5 SERI VERS NO RWCE120 ELe Ot Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 23 05 REPT DATA GRP RWCE120 10 REPT REC 1 GRP RWCE120 15 SECU TRD UNT NO RWCE120 PIC 9 4 9 4 15 POST LNG TOT A1l RWCE120 PIG SSsssese Oe 15 POST SHT TOT A1l RWCE120 Pi Sasa 9 15 POST NET TOT PP RWCE120 BIG aos 9 5 INV AMNT LNG TOT A1 RWCE120 PIC 999 5 INV AMNT SHT TOT A1 RWCE120 PIC 93 9195 5 INV AMNT NET TOT PP RWCEI20 PIC lt 9 599 Raw Data File RAWCB010 The raw data file RAWCBO010 corresponds to the Position Detail report RPTCBO10 With the introduction of Eurex Release 4 1 the raw data file is enhanced to indicate EFP Trades The field BASIS TRADE FLAG RWCB010 has been changed to TRADE TYPE FLAG RWCB010 and this functionality will become available on 30 10 2000 but will be used for EFP trades earliest by 27 11 2000 FIELD DESCRIPTION TRADE TYPE FLAG EFP trade Type E is displayed as well RWCCB010 Attachment 2 to Eurex Circular 067 00 7 1 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Financial Data Disseminator FDD Page 24 Financial Data Disseminator FDD The Eurex Financial Data Disseminator FDD Service provides an electroni
33. 1 PIC 9 2 9 3 Currency s Risk Adapted Interest Rate Up Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes gt PARAN Fea Format peserpton 15 DWN ADPT INTR RATE RWCC041 PIC 9 2 9 3 Currency s Risk Adapted Interest Rate Down 10 SECU ISIN RWCC041 PIC X 12 ISIN of the security for which the risk positions and the liquidation value is shown 10 SECU CPN RATE RWCC041 PIC 9 2 9 3 Coupon Rate of the bond 10 SECU PRC RWCC041 PIC 9 10 9 2 Security price used for risk based margining 10 SECU MAX UP PRC RWCC041 PIC 9 10 9 2 Maximum expected price 10 SECU MAX DWN PRC RWCC041 PIC 9 10 9 2 Minimum expected price 8 10 STL DAT RWCC041 PIC 9 Settlement Date of the risk positions The format of this field is YYYYMMDD 10 SECU POS NET RWCC041 Net security risk positions as nominal amount 10 AMT CLV SECU RWCC041 Current liquidation value of the security net positions of the settlement date 10 AMT LV MAX UP RWCC041 Liquidating value of the net positions assuming the maximum expected price 10 AMT LV MAX DWN RWCC041 Liquidating value of the net positions assuming the minimum expected price 10 AMT LV UP DIFF RWCC041 Difference between Current Liquidating value and Liquidating value of the net positions assuming the maximum expected price 10 AMT LV DWN DIFF RWCC041 Difference between Current Liquidating value and Liq
34. 10 CPN ADJ Coupon adjustment expressed as a percentage per annum Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 36 Layout 1 2 3 4 5 6 7 8 9 10 11 12 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 01 EUREX THEORETICAL VALUES II PAGE 1 02 RPTCCO31 AS OF DATE 23 10 00 03 RUN DATE 23 10 00 04 O5 MARGIN CLASS BD10 1 MARGIN PARAMETER 1 60 2 CURRENCY EUR 06 CASH INTEREST RATE 3 000 3 07 08 ISIN COUPON CURRENT CLOSING PRICE MAX UP MOVEMENT 09 10 5 6 7 8 9 11 DE0001135135 5 375 100 56 102 16 98 95 04 01 00 5 504 12 04 01 01 5 342 13 DE0001170165 3 000 74 00 75 18 72 82 03 10 00 3 005 14 03 10 01 2 916 15 16 17 18 19 20 MAX DOWN MOVEMENT CPN DATE CPN ADJ Attachment 3 to Eurex Circular 067 00 4 6 3 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 37 Liquidating Value Il Report Name Liquidating Value II new Report Code RPTCC041 Purpose This report is presented for bond products It shows positions for every day and product ISIN where all transactions buy sell of single product will be summed up Liquidating value up and down and the difference to the current liquidating value will then be shown for these positions Only
35. 16 17 18 19 20 21 22 SETTLEMENT SECURITY POSITION CURRENT LIQ LIQUIDATING VALUE LIQUIDATING VALUE LIQUIDATING VALUE LIQUIDATING VALUE DATE NET VALUE SECURITY UP DOWN DIFF UP DIFF DOWN 19 01 01 50 000 000 000 49 765 820 00 50 570 069 00 48 961 572 00 804 248 00 804 248 00 20 04 01 120 000 000 000 119 437 969 00 121 368 165 00 117 507 773 00 1 930 196 00 1 930 196 00 23 2 734 444 00 2 734 444 00 4 ISIN DE0001170165 BD FDSV 90 VIII 96 10 COUPON RATE 3 000 CURR MAX UP MAX DOWN PRICE 74 00 75 18 72 82 SETTLEMENT SECURITY POSITION CURRENT LIQ LIQUIDATING VALUE LIQUIDATING VALUE LIQUIDATING VALUE LIQUIDATING VALUE DATE NET VALUE SECURITY UP DOWN DIFF DOWN DIFF UP 26 10 00 25 000 000 000 18 542 928 00 18 838 859 00 18 246 997 00 295 931 00 295 931 00 27 10 00 10 000 000 000 7 417 171 00 7 535 543 00 7 298 799 00 118 372 00 118 372 00 15 12 00 5 000 000 000 3 708 586 00 3 767 772 00 3 649 399 00 59 186 00 59 186 00 118 373 00 118 373 00 TOTAL LIQUIDATING VALUE DIFF UP DOWN FOR CLASS 25 2 616 071 00 26 2 616 071 00 Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 40 4 6 4 Daily Margin Report Name Daily Margin change Report Code RPTCC050 Purpose Report RPTCCO050 deals with the daily margin requirements or margin credit of each Market Member Account The margin requirement is calculated bas
36. 2 6 2 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 14 The Clearinghouse will confirm the upcoming settlements in form of reports see 4 5 transmitted to each member Interface to Settlement Locations For bonds and repo transactions the Clearinghouse will have accounts in Clearstream Banking and other relevant settlement locations based on member needs and will participate directly in batch and real time settlement processes as necessary to ensure full settlement According to the options offered by trading locations the member may select different settlement locations for different products The Clearinghouse will submit settlement instructions to the relevant settlement locations for itself and for its members Members must authorize the settlement location to accept settlement instructions submitted on their behalf by the Clearinghouse The procedures for submission of settlement instructions to settlement locations on behalf of members are currently under development and will be communicated to members at a subsequent date The Clearinghouse will monitor the status of settlement instructions pre matching and settlement at the relevant settlement location Settlement instructions will be submitted to settlement locations in the evening of Settlement Day 3 Cross Border Settlement Normally each member s deliveries and receipts will be settled through the Clearinghouse s accoun
37. 2000 INTERFACES X0003600 EUREX PROGRAMMABLE INTERFACES PRICING MODEL 15 08 2000 INPUT AND BACKOFFICE INTERFACES PROGRAMMERS GUIDE AND REFERENCE X0003900 EUREX MEMBER USER MANUAL TRADING 15 08 2000 X0004000 EUREX MEMBER USER MANUAL CLEARING 25 08 2000 X0004500 EUREX PROGRAMMABLE INTERFACES MEMPI 15 08 2000 DEVELOPER S KIT USER GUIDE AND REFERENCE X0003800 EUREX TRADING SYSTEM USER GUIDE 15 08 2000 X0006100 EUREX CLEARING SYSTEM USER GUIDE 25 08 2000 X0006800 EUREX MEMBER FILE INTERFACE SPECIFICATION FILE 25 08 2000 INTERFACE LAYOUT X0005700 EUREX FRONT END INSTALLATION GUIDE 28 08 2000 X0005900 EUREX FRONT END OPERATIONS GUIDE 28 08 2000 comon sizine GUIDELINES 25 08 2000 X0001200 EUREX FDD REAL TIME DATAFEED INTERFACE 15 08 2000 DESCRIPTION X000430a EUREX FDD FILE SERVICE INTERFACE DESCRIPTION 15 08 2000 X000430b EUREX FDD INFOBOARD SERVICE INTERFACE DESCRIPTION 15 08 2000 Page 1 of 1
38. 24 November 2000 for UD MISS Please return this official registration before 28 August 2000 by Fax to Eurex Member Readiness 49 0 69 2101 1701 Contact name O Hereby we would like to register for participation in the Eurex Release 4 1 Simulation 4 September 24 November 2000 We will participate O on the basis of a User Device configuration O onthe basis of a mixed UD MISS configuration O onthe basis of a MISS configuration O We will not participate in the simulation for the following reasons We are presently using the following 3 party software applications with the UD Configuration Eo Office Version oo Office Version We use plan to use the following 3 party software applications with the MISS Configuration omel Version O Office Version eO a Office Version Date Place Signature Attachment 6 to Eurex Circular 067 00 Attachment 7 to Eurex Circular 067 00 Eurex Release 4 1 Modified Member Manuals Simulation Version Please note that the table below refers only to those manuals which have been modified or which are newly published on the Eurex web site for Release 4 1 All manuals can be found at the location www eurexchange com under Info for members manuals Those manuals not mentioned below have not changed and the web site will contain links to the current versions Date X0003400 EUREX MEMBER INTERFACE SPECIFICATIONS FILE 15 08
39. 3 4 1 4 4 1 5 4 1 6 4 1 7 4 1 8 4 2 4 2 1 4 2 2 4 2 3 4 3 5 1 5 2 5 3 5 4 General Information Functional Changes for Eurex Release 4 1 Product State HOLIDAY New Duration Formula for OTC Basis Trades OTC Block Trades for Futures Multiple Entry Functionality for OTC Block Trade Entry Window File Export Function Enhancement Introduction of European Energy Exchange EEX Derivatives Market Characteristics of EEX Derivatives Market compared to Eurex New Reports for EEX Derivatives Market Liquidating Values Report for EEX Products RPTCC042 Additional Margin Report for EEX Products RPTCC047 EEX Open Delivery Positions Report RPTCE120 Modified Screens Windows and Reports New Graphical User Interface for Trading X ceed Printing Audio Signaling Sorting Additional Filtering Columns Freeze Maintenance of the Last Order Update Button File Export Graphical User Interface for Clearing Printing Update Button File Export Changes in the Exercise Overview Window Appendix A List of Modifications Screens Windows Trading System X ceed Windows New Trading System X ceed Windows Clearing System X tract As of 10 30 2000 Page 1 O O NNO a a OQ eh O O a N m 3 Stk i E a ei A E se ert BPS RP WWWWWWOND N er ee ee oe 9 ooononw a A Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes General Information 5 5 Reports 6 Appen
40. 30b Eurex Financial Data Disseminator Infoboard Service Interface Specification Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Appendix A Eurex Technical Documentation Page 31 The following technical documents can be found on the Eurex web site www eurexchange com under Entrance Hall Access to Eurex Programming to Eurex VALUES API developer s documentation MISS Member Front End Development Guide Overview Member Front End Development Guide Volume 1 Call Interface Member Front End Development Guide Volume 2 Eurex Application Requests Responses and Subscriptions Attachment 2 to Eurex Circular 067 00 12 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Appendix B Operating System Versions Page 32 Appendix B Operating System Versions The following table shows which operating system versions of the UD and the SAT will be supported with Eurex Release 4 1 Patch levels for the operating systems will be described in the Sizing Guidelines For changes regarding the Operating System Versions for the MISS based Front End refer to the VALUES API Modifications Announcements Overview and Volume 1 Call Interface Product name Release 4 1 OpenVMS UD SAT 7 1 2 amp 7 2 1 FMS Runtime 2 4 AIX UD SAT 4 3 3 Microfocus Cobol 13 10 Will be delivered by Eurex with the Eurex software Attachment 2 to Eurex Ci
41. 51 52 53 54 55 56 57 58 Eurex Clearing AG IC Release 2000 Version 1 0 As of 30 10 2000 Functional Release Notes Page 27 Layout 1 2 3 4 5 6 vi 8 9 10 11 12 13 EUREX RPTCE200 CLEARING MEMBER 1 CSD SIS 2 MEMBER ACCOUNT CH1234567891 3 ISIN TRAN SETTLMNT B ISIN CURR DATE DATE S 5 6 7 8 9 CH1234567890 CHF 18 10 00 23 10 00 S CH1234567890 CHF 18 10 00 23 10 00 S CH1234567890 CHF 19 10 00 23 10 00 B TOTAL SETTLEMENT DATE 16 CH1234567890 CHF 18 10 00 24 10 00 S CH1234567890 CHF 19 10 00 24 10 00 S TOTAL SETTLEMENT DATE TOTAL ISIN 17 CHO987654321 CHF 20 10 00 23 10 00 S CH0987654321 CHF 20 10 00 23 10 00 B TOTAL SETTLEMENT DATE TOTAL ISIN TOTAL CSD 18 TOTAL CLEARING MEMBER 19 CLEARING MEMBER ABCFR CSD CBF MEMBER ACCOUNT 7199 ISIN TRAN SETTLMNT B ISIN CURR DATE DATE S DE0001030005 EUR 20 10 00 24 10 00 B TOTAL SETTLEMENT DATE TOTAL ISIN TOTAL CSD TOTAL CLEARING MEMBER 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 PENDING DELIVERY PAGE 1 AS OF DATE 23 10 00 RUN DATE 23 10 00 SETTLEMENT CURRENCY CHF 4 COUNTERPART NOMINAL QUANTITY SETTLEMENT AMOUNT TRADE REFER CSD ACCOUNT REMARK 10 11 12 13 14 15 250 000 000 255 000 00 612345123645 SIS 123456789012 MANUAL 500 000 000 540 000 00 612345234567 SIS 23497 MANUAL 500 000 000 540 000 00
42. 5670123456 14345670123577 14345670123577 28345670123456 28345670123456 28345670123456 28345670123456 2 SETTLEMENT CURRENCY TRADING LOCATION MAINT TIME DATES TIIG 13 153 LS 153 16 PAY RECEIVE AMOUNT SETTLEMENT DATE ACCOUNT TYPE CLEARING MEMBER SETTL ACC ON BEHALF 3 4 Payable Receivable Amount including accrued interest including repo interest if applicable Date the trade is scheduled to be settled Code of the account type A1 Agent Account 1 PP Combined Proprietary and Market Maker Account Member ID of the Clearing Member Identification of the settlement location CBF Clearstream EOC Euroclear Identification of the settlement account of the Clearing Member ID of the Eurex Market Supervision user who entered the trade on behalf of the member 5 6 ri 8 9 10 11 12 T3 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 DAILY TRADE MAINTENANCE PAGE 1 AS OF DATE 23 10 00 RUN DATE 23 10 00 ABCFR 1 DE0001170165 2 EUR 3 XEUR 4 TL MAINT Y E B SETTLEM ACC CLG ON CODE PGS QUANTITY PAY RECEIVE AMOUNT DATE TYP MEMBER CSD SETTL ACC BEHALF 7 8 9 10 11 12 13 14 15 16 17 18 24 DEL 18 140 000 000 000 100 856 237 69 26 10 00 PP ABCFR CBF 7099 USERO1 51 DEL 18 8 300 000 000 5 267 179 27 26 10 00 PP ABCFR CBF 7099 USERO2
43. A EEO 123A Eae mms 1E1001 2 Sise T0012 31E E1090 12245618901234 e o0 12A E0600 2aAo EJES EUREX PENDING TRADES PAGE 1 RPTTC700 AS OF DATE 23 10 00 RUN DATE 23 10 00 CLEARING MEMBER ABCFR 1 MEMBER ABCFR 2 ACCOUNT TYPE PP 3 ISIN DE0001170165 4 SETTLEMENT DATE 26 10 2000 5 SETTLEMENT CURRENCY EUR 6 TRADING LOCATION XYZABC 7 TRADE TRADE TRADE EXTERNAL TRADE B QUANTITY PAY RECEIVE ACCRUED STS FREE TEXT NUMBER DATE TIME NUMBER S AMOUNT INTEREST 8 9 10 11 12 13 14 15 16 17 123456789012 23 10 2000 11 22 0234567890123456789 B 25 000 000 000 18 552 500 00 41 095 89 PEN 95180 WP 123456701234 23 10 2000 15 31 1123456789123456799 S 10 000 000 000 7 412 000 00 16 438 36 PEN DEP 01234599445 Nominal amount of the trade to be received positive or to be delivered negative Payable negative Receivable positive Amount including accrued interest including repo interest if applicable Accrued interest to be received positive or to be paid negative belonging to the trade PEN if either the trade is not passed to Delivery Management or some deliveries of the trade are not settled SET if all deliveries of the trade are settled on the current business day DEL if all deliveries of the trade are deleted on the current business day if all deliveries of the trade are either settled or deleted on the current business day S L FREE TEXT External Free Form Text A
44. AIX UD 70 MB Compaq DEC OpenVMS UD 110 MB includes the disk space requirements for the respective platform and the NT Workstation kit 5 Simulation Calendar The release simulation for Eurex Release 4 1 will be performed from the 4 September until oan November 2000 according to the calendar below All times are CET Attachment 5 to Eurex Circular 067 00 eR eT La NR f 0 FO RT IT TT EE aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide Week 36 Actual Day 04 09 2000 Business Day 04 09 2000 Monday Tuesday 05 09 2000 06 09 2000 Trading Time 08 00 16 00 Remarks Week 37 Actual Day Business Day Monday 11 09 2000 11 09 2000 Tuesday 12 09 2000 Trading Time 8 00 16 00 No Simulation 8 00 16 00 No Simulation 8 00 16 00 No Simulation No Simulation Remarks Batch Batch review Week 38 Monday Tuesday Actual Day 18 09 2000 19 09 2000 Business Day 19 09 2000 12 00 24 00 14 August 2000 Page 4 Wednesday 06 09 2000 06 09 2000 Thursday 07 09 2000 07 09 2000 Friday 08 09 2000 Saturday 09 09 2000 Sunday 10 09 2000 00 00 16 00 8 00 16 00 No Simulation No Simulation No Simulation lt HOLID gt for OFOX FFOX NOA3 RPL Expiry FBND Batch Batch review Wednesday 13 09 2000 13 09 2000 Thursday 14 09 2000 Friday 15 09 2000 15 09 2000 Saturday 16 09 2000 Sunday 17 09 2000 Expiry OSTK OINX FINX
45. ANUAL 612345123456 SIS 456678901234 MANUAL 343434343434 SIS 454545454545 SIS 11234534455 987AA432156 SETTLEMENT CURRENCY EUR EFFECTIVE DATE 23 10 00 CSD CBF MEMBER ACCOUNT 7199 SETTLED DELIVERIES ISIN TRAN SETTLMNT B COUNTERPART ISIN CURR DATE DATE S NOMINAL QUANTITY SETTLEMENT AMOUNT TRADE REFER CSD ACCOUNT REMARK DE0001030005 EUR 20 10 00 25 10 00 B 500 000 000 540 000 00 987654321098 CBF BBBBBBBBBBBB TOTAL SETTLEMENT DATE 540 000 00 TOTAL ISIN 540 000 00 TOTAL CSD 540 000 00 TOTAL CLEARING MEMBER 540 000 00 SETTLED CANCELLED DELIVERIES PAGE 2 RPTCE210 AS OF DATE 20 10 00 RUN DATE 20 10 00 CLEARING MEMBER ABCFR ABC BANK CORPORATION SETTLEMENT CURRENCY EUR EFFECTIVE DATE 23 10 00 COUNTERPART TRADE REFER CSD ACCOUNT REMARK 123456789012 CBF BBBBBBBBBBBB CANCEL Attachment 3 to Eurex Circular 067 00 4 5 3 EUREX RPTCDO10 TXN DATE 30 10 00 30 10 00 30 10 00 30 10 00 30 10 00 30 10 00 CLEARING MEMBER AARFR ABN AMRO BANK Eurex Clearing AG IC Release 2000 Functional Release Notes Version 1 0 As of 30 10 2000 Page 31 Daily Cash Account Statement Report Name Daily Cash Account Statement change Report Code RPTCDO10 Purpose This report contains the details of balances and transactions amounts on the cash account Change If applicable one line with two new transaction types will be added to that report in order to include the results of repo
46. ATE 23 10 00 RUN DATE 23 10 00 CURRENCY EUR 4 7 8 3 50 DOWN 2 50 11 COUPON RATE 5 375 12 18 CURRENT LIQ VALUE CASH 52 323 531 00 126 003 739 00 178 327 270 00 20 COUPON RATE 3 000 CURRENT LIQ VALUE CASH 18 547 165 00 7 410 477 00 3 681 635 00 9 085 600 00 21 Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 35 4 6 2 Theoretical Values II Report Name Theoretical Values II new Report Code RPTCC031 Purpose This report derives from RPTCC030 Theoretical Values 1 and shows the theoretical liquidating value for bonds Possible maximum up and down price movements are shown here Additional information required for the risk based margining is also shown All figures are displayed in the product currency FIELD NAME DESCRIPTION MARGIN CLASS Margin Class MARGIN Parameter for the expected maximum up and down movement of PARAMETER the security 3 CASH Market cash interest rate of the security INTEREST RATE ISIN ISIN of the security for which the information is shown Coupon rate of the bond CURRENT Current closing price of the security CLOSING PRICE MAX UP Maximal expected price MOVEMENT For bonds it is the expected clean price as a percentage MAX DOWN Minimal expected price MOVEMENT For bonds it is the expected clean price as a percentage CPN DATE Coupon date
47. Batch Batch Batch review Wednesday Thursday Friday Saturday Sunday 20 09 2000 21 09 2000 22 09 2000 23 09 2000 24 09 2000 21 09 2000 22 09 2000 22 09 2000 22 09 2000 Trading Time No Simulation 7 30 16 00 No Simulation 7 30 16 00 12 00 24 00 00 00 24 00 00 00 24 00 Remarks Expiry FINT OFIT Batch review Batch Batch review lt HOLIDs gt for FSMI OSMI CONF CSGN HOL UBSN Batch Expiry OFBD Expiry OFBD Expiry OFBD Attachment 5 to Eurex Circular 067 00 a TECER LTE LET aR fl 0 Fe OIIE ETD 0 CT a ae Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 5 Week 39 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 25 09 2000 26 09 2000 27 09 2000 28 09 2000 29 09 2000 30 09 2000 01 10 2000 Business Day 22 09 2000 29 09 2000 02 10 2000 02 10 2000 02 10 2000 02 10 2000 Trading Time 00 00 9 00 09 00 16 00 No Simulation 9 00 24 00 00 00 24 00 00 00 24 00 00 00 24 00 Remarks Expiry OFBD Month End Batch Batch Batch review Week 40 Monday Tuesday Wednesday Thursday Friday Saturday Sunday Actual Day 02 10 2000 03 10 2000 04 10 2000 05 10 2000 06 10 2000 07 10 2000 08 10 2000 Business Day 02 10 2000 20 10 2000 20 10 2000 31 10 2000 Trading Time 00 00 9 00 No Simulation 9 00 24 00 00 00 12 00 9 00 16 00 No Simulation No Simulation Remarks Expiry FINT Expiry FINT Month End OSTK OINX OSTK OINX OFBD OFBD
48. Coupon Compensation 14 4 3 Risk Management 16 4 3 1 Raw Data File RAWCC011 Current Liquidating Margin 16 4 3 2 Raw Data File RAWCC041 Liquidating Values II 18 4 4 Delivery Management 21 4 4 1 Raw Data File RAWCE200 Pending Delivery 21 4 4 2 Raw Data File RAWCE210 Settled Cancelled Deliveries 23 Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 2 Introduction This document describes the changes to Member Back Office Systems interfaces which will be introduced as part of the IC Release 2000 release in October 2000 Familiarity with the Eurex Member Interface Specifications File Interfaces Documents XCB03400 and XCB06800 is assumed All changes necessary to Back Office systems are only necessary for Members or their non clearing members that participate in Eurex as well as the bond trading platform In general the changes to be made on the Back Office Systems for new Raw Data and other files are only relevant for clearing members The release does not contain of any Front End changes nor any changes to the Operating Systems The implementation of the clearing release does not affect the Sizing Guidelines The technical changes described in this document result from the following functional enhancements for further information refer to the Functional Release Notes e Trade Management Bond Trades e Risk Management Cross Marginin
49. DD interface is supported for EEX Derivatives Market The variable contract unit for the products of EEX Derivatives Market is sent as contract size information where applicable The following interfaces are not supported for EEX Derivatives Market Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes General Information e BackOffice Interface BOF e Pricing Model Interface PMI e Trading Interface TRAD As of 10 30 2000 Page 9 Attachment 2 to Eurex Circular 067 00 4 1 4 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 MISS based Front End Page 10 MISS based Front End In the following the changes to the MISS based Front End on the platforms Solaris IBM RS 6000 AIX and Intel PC Windows NT are described The Eurex Front End uses the open standardized interface VALUES API For changes regarding the VALUES interface please refer to the related announcements e VALUES API Modification Announcements Overview and Volume 1 Call Interface e VALUES API Modification Announcements Volume 2 Eurex Application Requests Responses and Subscriptions Detailed descriptions will be published in the forthcoming documentation The latest version can be found on the Eurex web site www eurexchange com under Entrance Hall Access to Eurex Programming to Eurex For changes regarding GATE please refer to the related GATE documentation GATE 2
50. Introduction of Product State HOLIDAY e Introduction of system support for OTC Block trading of Futures and from the introduction of the European Energy Exchange EEX Derivatives Market Attachment 2 to Eurex Circular 067 00 1 1 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Introduction Page 5 The system changes for Eurex Release 4 1 EEX Derivatives Market Release 1 0 are rolled out in two steps The first part will be rolled out on 30 10 2000 The second part will be rolled out on 27 11 2000 It is stated at the respective places in this document when the system capabilities for a specific functionality will become available The following table gives an overview Enhancements for the Graphical User Interface for 30 10 2000 Clearing New Graphical User Interface for Trading X ceed 27 11 2000 including multiple entry functionality for OTC Block Trade Entry Window European Energy Exchange EEX Derivatives Market 27 11 2000 In this document the term Eurex Release 4 1 refers to the electronic system that serves both organizations Eurex and EEX Derivatives Market in common Operating Systems The Eurex Front End is provided on a variety of platforms e Compaq AXP OpenVMS UD only e IBM RS 6000 AIX e Intel PC WindowsNT e Sun Solaris For details on the supported operating system versions and hardware requirements for MISSs and WSs please refer to the Deutsche B rse Front End Sizing Gu
51. Maintenance A new window Last Order Maintenance is intro duced which can be opened in case the most recent order entry returned a non zero book quantity The window layout is identical to the Order Maintenance window except for the but tons which are now Delete Modifyand Cancel All fields are filled with the most recent order entered by the specific trader for quick deletion or modification Attachment 5 to Eurex Circular 067 00 ET ONE E NER fo FT aT DT a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 13 Functionality to be tested Eurex Clearing Eurex Member X ceed System User User Manual Eurex Trading Guide Trading User Guide 25 08 00 End September The new Java Trading GUI X ceed SSS SSS ESS e New OTC Block Trade Entry Window A new list box is introduced in the OTC Block Trade Entry window that allows specifying multiple OTC Block Trades The buyer may enter multiple OTC Block Trades and submit them afterwards with one action The seller is allowed to retrieve several Block Trades collecting them in the list box and to approve them afterwards with one action e New Profile Maintenance Layout The Profile Maintenance window has been redeveloped to define a profile containing of a set of contracts products and or external underlyings more comfortably Additionally Separators can be added to the profile Separators are display
52. NDEL GMBH CLEARING CURRENCY MARGIN GROUP FELX PRODUCT LS UPSIDE DOWNSIDE OFFSET ADJUSTED ADJUSTED ADDITIONAL CONTRACTS a CLASS CURR CURR FACTOR EXCHANGE UPSIDE EUR DOWNSIDE EUR FEX1 DEC 00 J 7 000 00 000 00 000000 FEX1 JAN 01 14 000 00 000 00 0 00 000000 FEX1 FEB 01 21 000 00 21 000 00 0 00 000000 FELX TOTAL EEX Open Delivery Positions Report RPTCE120 The EEX Open Delivery Positions Report RPTCE120 is a new report tailored for products of EEX Derivatives Market The report lists all open positions for expired contracts of EEX Derivatives Market after the last trading day per exchange member and differentiated by agent accounts both long and short open positions and the proprietary accounts netted open positions The listed open positions will be delivered physically The report is distributed to the EEX Derivatives Market Exchange Members and EEX Derivatives Market Clearing Members Eurex EEX OPEN DELIVERY POSITIONS REPORT PAGE 1 RPTCE120 AS OF DATE 18 10 00 RUN DATE 18 10 00 CLEARING MEMBER DEFEX DEF BANK 1 PRODUCT TYPE FENE FUTURE ON ENERGY 2 CONTRACT FEN1 NOV 00 3 CURRENCY EUR 4 TRADING UNIT 4 285 5 7 8 9 10 11 EXC MBR ID LONG Al SHORT Al NET POSITIONS PP INV AMT LONG Al INV AMT SHORT Al INV AMT NET PP 150 000 00 50 000 00 50 000 00 Attachment 1 to Eurex Circular 067 00 4 1 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000
53. Order Entry Order Entry Own Order Overview access is possible via a shortcut By selecting this item or the respective short cut a window is displayed that is filled with the previously entered order data A deletion is performed by submitting the request Update Button For X ceed an update button is introduced for several windows File Export With Eurex Release 4 1 on several screens the users are enabled to export screens or selections of a screen as tables in CSV format The contents of such a table can be handled with a third party tool like Windows Excel The export is triggered when the export menu item is selected The export menu item is part of the menu Window One can browse the file system and choose the name of the exported file Attachment 1 to Eurex Circular 067 00 4 2 4 2 1 4 2 2 4 2 3 4 3 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Modified Screens Windows and Reports Page 14 Graphical User Interface for Clearing The following enhancements for the graphical user interface GUI for Clearing are introduced e Print functionality e Update button e File export e Changes in Exercise Overview Printing With Eurex Release 4 1 the users have the possibility to make print outs of the table contents for several screens Header and footer lines are printed on each side with informational data The printer can be selected for each print transaction The standard printer is used
54. PAYABLE AMOUNT Attachment 3 to Eurex Circular 067 00 SETTLEMENT Currency of the Open and Close Leg Payable Amounts CURRENCY REF 1 2 3 4 5 7 10 11 12 1 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 22 FIELD NAME DESCRIPTION CLOSE LEG PAYABLE AMOUNT Payable Amount for the closing leg 16 STS O C Settlement Status of the opening closing leg P for pending S for settled D for deleted Layout 2 a 4 5 6 7 8 9 10 11 12 t3 EUREX OPEN REPO TRADES PAGE 1 RPTTC750 AS OF DATE 23 10 00 RUN DATE 23 10 00 CLEARING MEMBER ABCFR 1 MEMBER ABCFR 2 ACCOUNT TYPE PP 3 ISIN DE0001135135 4 SETTLEMENT CURRENCY EUR 5 TRADE DATE 17 10 2000 6 OPEN LEG CLOSE LEG OPEN LEG CLOSE LEG B QUANTITY OPEN LEG CLOSE LEG REPO RATE STS TRADE NO TRADE NO SETTL DATE SETTL DATE S PAYABLE AMOUNT PAYABLE AMOUNT o c 7 8 9 10 11 12 13 14 15 16 123456789012 987654321012 19 10 2000 19 01 2001 B 50 000 000 000 52 150 000 00 52 638 906 00 3 750000 S P 123456789020 987654321020 20 10 2000 20 11 2000 B 25 000 000 000 26 195 000 00 26 274 677 00 3 650000 S P 123456789013 987654321013 20 10 2000 20 04 2001 B 120 000 000 000 125 190 000 00 127 548 580 00 3 768000 S P Attachment 3 to Eurex Ci
55. TATUS CLS LEG RWTC750 1 Settlement status of the closing leg S for settled or P for pending Attachment 4 to Eurex Circular 067 00 4 2 4 2 1 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes __ _ P Daily Settlement Raw Data File RAWCD190 Coupon Compensation The following new raw data report will be generated daily by Eurex and sent to clearing members that participate in the Bond trading platform either through their own participation or their non clearing members participation a i 10 RAW ID COD RWCD190 This field contains the identification code of the raw data stream Values include RAWCD190 valid data record ENDCD190 end of raw data stream 10 RAW DAT GRP RWCD190 15 RAW EFF DAT RWCD190 8 This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD 15 RAW CRT PROC DAT RWCD190 This field identifies the creation day of the raw data stream The format of this field is YYYYMMDD 10 ENV NO TXT RWCD190 A This field identifies the environment this raw data file belongs to Possible values are 00 production environment 01 simulation environment 10 CURR TYP COD RWCD190 Currency Type Code ISO Code e g EUR CHF 10 SECU CPN DATE RWCD190 Coupon payment date The format of this field is YYYYMMDD Attachment 4 to Eurex Circular 067 00 Eur
56. ackOffice Interface BOF Pricing Model Input PMI Raw Data Interface NEW Raw Data File RAWCC042 NEW Raw Data File RAWCE120 Raw Data File RAWCB010 Financial Data Disseminator FDD As of 10 30 2000 Page 2 oo OO OO NNN OO OO Bf k ot oO oO a kh a a sa E a i ki ek WWNND NNN fH a aa HH CO N N ee Se M l O O O A W 24 Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes Introduction 7 1 7 2 8 1 8 2 8 3 8 4 9 1 9 2 10 11 12 Maintenance Message Market Messages Eurex Software Introduction in Production Part 1 Wednesday October 25 2000 Friday October 27 2000 Saturday October 28 2000 Monday October 30 2000 Eurex Software Introduction in Production Part 2 Wednesday November 22 2000 Monday November 27 2000 EEX Software Introduction in Production Appendix A Eurex Technical Documentation Appendix B Operating System Versions As of 10 30 2000 Page 3 24 25 26 26 26 27 27 28 28 28 29 30 32 Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Introduction Page 4 Introduction This document describes the changes to member interfaces which are introduced as part of Eurex Release 4 1 and EEX Derivatives Market Release 1 0 Changes of the VALUES interface are not described in this document The following interfaces ex
57. ade the seller of the contract must approve the request For that purpose he uses the transaction number that he has received from the buyer to retrieve the transaction With Eurex Release 4 1 the trade types O for OTC Block Trades and B for OTC Basis Trades will be displayed additionally on several screens and windows The trade type is introduced as filter criteria on several windows Multiple Entry Functionality for OTC Block Trade Entry Window Currently with the graphical user interface for Trading OTC Block Trades must be submitted or approved separately With Eurex Release 4 1 the new graphical user interface for trading X ceed includes an OTC Block Trade Entry window that allows to specify multiple OTC Block Trades The handling is analogous to the Mass Quote Entry Window The buyer may enter multiple OTC Block Trades and submit them afterwards with one action The seller is allowed to retrieve several Block Trades collecting them in the list box and to approve them afterwards with one action Multiple entry functionality for OTC Block Trade entry will become available on 27 11 2000 File Export Function Enhancement The users of the X tract Clearing GUI are enabled to export screens or selections of a screen as tables in CSV format The contents of such a table can be handled with a third party tool like Windows Excel The export menu item is incorporated for the following windows Position Overview Position Detai
58. ading GUI functionality please refer to the new X ceed Eurex Trading Users Guide to be published in September 2000 The existing graphical user interface for Trading will also be supported for Eurex Release 4 1 but not made available for EEX Derivatives Market members Eurex EEX Derivatives Market is providing enhancements for the graphical user interface GUI for Clearing X tract Only changes related to business functionality are described in detail in this document Other enhancements concern the following areas e Print functionality e Update button e File export e Changes in Exercise Overview Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 General Information Page 4 For further detailed information about the changed Clearing GUI functionality please refer to the Eurex Clearing System User Guide to be published in August 2000 The system changes for Eurex Release 4 1 EEX Derivatives Market Release 1 0 are rolled out in two steps The first part will be rolled out on 30 10 2000 The second part will be rolled out on 27 11 2000 It is stated at the respective places in this document when the system capabilities for a specific functionality will become available The following table gives an overview Enhancements for the Graphical User Interface for 30 10 2000 Clearing X tract New Graphical User Interface for Trading X ceed 27 11 2000 including multiple entry functi
59. alid data record ENDCC041 end of raw data stream Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes gt Page Fea Format _ peserpton 15 RAW EFF DAT RWCC041 Raw data date Effective date of the Raw data The format of this field is YYYYMMDD 15 RAW CRT PROC DAT RWCC041 PIC 9 Raw data date Creation date of the Raw data The format of this field is YYYYMMDD 8 10 ENV NO TXT RWCC041 PIC X This field identifies the environment this raw data file belongs to Possible values are 00 production environment 01 simulation environment 2 10 MBR CLG ID COD RWCC041 PIC X 5 This field contains the identification code of the Clearing Member 10 MBR EXC ID COD RWCC041 PIC X 5 This group field contains the identification code of the Exchange Member 1 1 5 5 10 ACCT TYP COD GRP RWCC041 This group field contains the account Field values include A1 Agent accounts PP Proprietary accounts 15 ACCT TYP COD RWCC041 10 MGN GRP COD RWCC041 Margin group code Identification of the margin group 10 MGN CLS COD RWCC041 Margin class code Identification of the margin class 10 CURR TYP COD RWCC041 PIC X 3 Currency Type Code ISO Code e g EUR CHF 10 CURR INTR RATE RWCC041 PIC 9 2 9 3 Market Cash Interest Rate of the Currency 15 UP ADPT INTR RATE RWCC04
60. ange Member ACCT TYP COD GRP RWCC042 This group field contains the account MGN GRP COD RWCC042 This field contains the margin group which consists of two or more margin classes MGN CLS COD RWCC042 This field contains an alphanumeric code which represents the margin class CURR TYP COD RWCC042 This field contains the identification code of the currency UD IND RWCC042 This field contains an indicator showing whether the projected underlying price is less than downside or greater than upside the closing price of the underlying Field values include U Upside D Downside SECU ID COD RWCC042 This field contains the unique identification code that EEX has assigned to the product SERI CLAS COD RWCC042 This field contains the class of an options series Field values include C Call P Put This field will be formatted with a space for futures contracts SERI EXP DAT RWCC042 This field contains the year and month when an options series expires or a futures contract is settled The format of this field is YYMM EXER PRC RWCC042 This field contains the price at which an options series can be exercised This field will be formatted with zeros for futures contracts SERI VERS NO RWCC042 This field contains the version number assigned to each options series at creation A non zero value in this field indicates that the series has been changed as a result of a capital adjustment A zero value in this field is reserved for futur
61. arket Cash Interest Rate of the Currency INTEREST RATE RISK ADAPTED Currency s Risk Adapted Interest Rate Up INTEREST RATE UP RISK ADAPTED Currency s Risk Adapted Interest Rate Down INTEREST RATE DOWN ISIN ISIN of the security for which the risk positions and the current liquidating margin is shown Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 33 FIELD NAME DESCRIPTION A Security Short Name CURRENT Clean market price CLOSING PRICE COUPON RATE Coupon rate of the bond rate of the bond SETTLMNT Settlement Date of the risk positions DATE SECURITY NET Security net risk positions as nominal amount POSITION CASH NET Cash net risk positions belonging to the security POSITION Coupon Adjustments of Current Liquidating Value D for downward adjustment U for upward adjustment P for adjustment with present value F for adjustment with future value Both columns a space if no coupon adjustment CURRENT LIQ Current liquidating value of the security net positions of the VALUE settlement date SECURITY CURRENT LIQ Current liquidating value of the cash net positions of the VALUE CASH settlement date Ae Total current liquidating value of all security positions for the ISIN oie l Total current liquidating value of all cash positions per security TOTAL Total current liquidating value per
62. arket are incorporated in the Eurex system as products Normally they are not processed differently from Eurex products by the trading engine the clearing interfaces or reports e EEX Derivatives Market members will be allowed to trade products of the EEX Derivatives Market only EEX Derivatives Market members are provided with an own member ID In case that a legal entity being member at Eurex and EEX Derivatives Market it has two different member IDs one member ID for EEX Derivatives Market allowing to trade and clear products of EEX Derivatives Market only and one member ID for Eurex allowing to trade and clear Eurex products only e Futures on energy are traded like financial Futures in the current Eurex system A new type of Over the Counter OTC trade called Exchange of Futures for Physicals EFP is supported for products of EEX Derivatives Market For OTC Block Trades the order number will be left blank e Due to the introduction of the EFP functionality for EEX Derivatives Market the following areas functionality are enhanced to support EFP trades Give Up Take Up functionality Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Introduction of European Energy Exchange EEX Derivatives Page 10 e The trading unit of a contract of EEX Derivatives Market varies based on the number of delivery days within a delivery month according to the EEX Derivatives Market
63. b site www eurexchange com at info for members manuals later today This area of the web site has been restructured but is self explanatory The manuals describing the Eurex Financial Data Disseminator interfaces have now been added Attachment 7 gives a list of updated manuals to be published and expected publication dates for the remainder You will be informed via circular if there are any further delays to the publication dates of these manuals In addition to the member manuals the Final version of the Release 4 1 Member Front End Development Guide giving details of the VALUES API will also be published on August 15 2000 These documents can be found on our web site under entrance hall access to Eurex programming to Eurex At the same location you will also find updated header files for the VALUES API Developer s kit conforming to the Final version of the interface specifications There are no changes to the files of the developer s kit itself but the version descriptor has been updated from Programming to Final Eurex Deutschland Eurex Member Readiness Alternative Management Board B rsenplatz 7 11 Tel 49 0 69 2101 1700 Tel 49 0 69 9770 1700 Dr J rg Franke Otto E N geli D 60313 Frankfurt am Main Fax 49 0 69 2101 1701 Fax 49 0 69 9770 1701 Andreas Preu J rg Spillmann www eurexchange com X pand into the Future Eurex Release 4 1 EEX Functional Release Notes Eurex 2000
64. be formatted with zeros for futures contracts This field contains the version number assigned to each options series at creation A non zero value in this field indicates that the series has been changed as a result of a capital adjustment This field set to zero for futures SECU TRD UNT NO RWCE120 Variable Trading unit per contract POST LNG TOT A1 RWCE120 Open long positions for agent account A1 POST SHT TOT A1 RWCE120 POST NET TOT PP RWCE120 INV AMNT LNG TOT A1 RWCE120 INV AMNT SHT TOT A1 RWCE120 INV AMNT NET TOT PP RWCE120 Open short positions for agent account A1 Open net positions for proprietary account PP Invoice amount for long positions for agent account A1 Invoice amount for short positions for agent account A1 Invoice amount for net positions for proprietary account PP 01 RWCE120 WS REC 05 RAW KEY GRP RWCE120 10 RAW ID COD RWCE120 PIC X 8 10 RAW DAT GRP RWCE120 15 RAW EFF DAT RWCE120 PIC 9 8 15 RAW CRT PROC DAT RWCE120 PLC 9 08 10 ENV NO TXT RWCE120 5 ENV NO 1 TXT RWCE120 PIC X 1 5 ENV NO 2 TXT RWCE120 PIC X D 0 MEMB CLG ID COD RWCE120 PITCX 5 10 MEMB EXC ID COD RWCE120 15 MEMB IST ID COD RWCE120 PTC X 3 15 MEMB BRN ID COD RWCE120 PIC Xi 2 gt 0 CURR TYP COD RWCE120 PIC X 3 4 10 PROD TYP COD GRP RWCE120 5 PROD LINE COD RWCE120 PIG Mi lps 5 PROD TYP COD RWCE120 PIC X 3 10 SERI GRP ID COD RWCE120 15 SECU ID COD RWCE120 P X 4 5 SERI CLAS COD RWCE12
65. bility is accepted by Eurex for the use of information contained herein in any circumstances connected with actual trading or otherwise Neither Eurex nor its servants nor agents is responsible for any errors or omissions contained in this publication which is published for information only and shall not constitute investment advice This brochure is not intended for solicitation purposes but only for the use of general information All descriptions examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive Eurex reserves the right to alter any of its rules or contract specifications and such an event may affect the validity of information in this publication Eurex is a registered trademark Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 1 Table of Contents 1 Introduction 2 2 General Information 3 2 1 Trade Management 3 2 2 Risk Management 3 2 3 Delivery Management 4 3 File Transfer Interface 5 3 1 Risk Management 5 3 1 1 File FPMGBPR M Security Margin Class and Group Information File 5 3 1 2 File FPTHEB Theoretical Values II 6 3 1 3 File FPTHEC Bond Coupon Parameters 8 4 Raw Data Interface 9 4 1 Trade Management 9 4 1 1 Raw Data File RAWTC700 Pending Trades 9 4 1 2 Raw Data File RAWTC750 Open Repo Trades 11 4 2 Daily Settlement 14 4 2 1 Raw Data File RAWCD190
66. c interface for customer computers to receive real time data about the financial instruments traded on the exchange Maintenance Message A Maintenance Message is sent when a contract is added deleted or changed With the introduction of Eurex Release 4 1 the existing data field called SHARES PER _CONTRACT is renamed to CONTRACT_SIZE The new field name is necessary to cover the enlarged scope of the field For products of the EEX Derivatives Market the variable contract unit is sent as contract size information For other products than product of EEX Derivatives Market the data content is not changed i e the number of shares per contract is sent as contract size information The structure of the message is not changed The EEX Derivatives Market data will become available after the start date of EEX Derivatives Market The data section is structured as follows DATA_SECTION Maintenance Message Foe evee sae ence e__ Abhanen ExerexTion oae _ e_ Aohanenc MAWTENANCE Tex Rohan CONTRACT_SIZE old name Alphanumeric SHARES_PER_CONTRACT INTEGER_PART Alphanumeric DECIMAL_POINT Alphanumeric FRACTION_PART Alphanumeric Attachment 2 to Eurex Circular 067 00 7 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Financial Data Disseminator FDD Page 25 Market Messages Market Messages contain information on Exchange trading activity daily open interest quantity settlement prices and p
67. ces to enable member applications to update their BackOffice accounting systems Information resulting from trading and position maintenance is sent by BOF messages to the member BackOffice systems The transferred data can be divided into member specific data mainly position transactions and broadcast information capital adjustment contract changes settlement prices status messages and margining parameters The transferred data is then processed by member specific BackOffice applications The BackOffice Interface provides information to members using different transaction record layouts BOF Status Message Transaction With the introduction of Eurex Release 4 1 a special handling is necessary to ensure sending of specific BOF messages for products on holiday A back office message will be sent out with the new product state HOLIDAY A new status code for the BOF Status Message Transaction is introduced for that purpose This functionality will become available on 30 10 2000 Field Type Description Name status character This field contains a code that identifies the status array message With Eurex Release 4 1 a new value is added 006 Product in state HOLIDAY Pricing Model Input PMl The Pricing Model Input interface PMI provides market data of Options Futures and their underlying instruments for use by Member Pricing Model Systems Additionally the Pricing Model Input interface PMI provides quote request cross requ
68. cluding VALUES change as a result of functional enhancements e User Device Interfaces e BackOffice Interface BOF e Pricing Model Input PMI e Raw Data Interface e Financial Data Disseminator FDD For changes regarding the VALUES interface please refer to the related announcements e VALUES API Modification Announcements Overview and Volume 1 Call Interface e VALUES API Modification Announcements Volume 2 Eurex Application Requests Responses and Subscriptions Detailed descriptions will be published in the forthcoming documentation The latest version can be found on the Eurex web site www eurexchange com under Entrance Hall Access to Eurex Programming to Eurex For changes regarding GATE please refer to the related GATE documentation GATE 2 1 Technical Release Notes to be published in August 2000 For changes to Operating Systems of the UD and SAT refer to the Appendix Sizing Information will be provided as a separate document Familiarity with the Eurex MEMPI Programmable Interface Specifications Document X0003600 Eurex Member Interface Specifications File Interfaces Document X0003400 Member Interface Specifications File Interface Layouts X0006800 and Eurex Financial Data Disseminator Document X0001200 is assumed The technical changes described in this document result from the following Eurex Release 4 1 functional enhancements refer to the Functional Release Notes e
69. counts 10 MBR EXC ID COD RWTC700 PIC X 5 10 SECU ISIN RWTC700 PIC X ISIN of the security 1 1 12 10 STL DATE RWTC700 PIC 9 8 Settlement date The format of this field is YYYYMMDD 10 STL CURR TYP COD RWTC700 PIC X 3 Settlement currency type code Identification of settlement currency ISO 10 TRD LOC RWTC700 PIC X 4 Trading location code Identification of trading location MIC Code 12 19 05 RAW DATA GRP RWTC700 NUM 10 TRD QTY RWTC700 Trade quantity Positive for buy and negative for sell 10 TRD NUM RWTC700 PIC 9 12 Internal trade number 10 PAY RCV AMOUNT RWTC700 Payable Receivable amount Negative for buy and positive for sell 10 ACC INTR RWTC700 Accrued interest amount Negative for buy and positive for sell Attachment 4 to Eurex Circular 067 00 4 1 2 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Eade ae fe pee oO O 10 TRD STS RWTC700 Status of the trade in the pending trade book Pending if some deliveries of the trade are not settled Settled if all deliveries of the trade are settled Deleted if all deliveries of the trade are deleted Set Del if all deliveries of the trade are either settled or deleted 10 FREE TXT RWTC700 PIC X 20 External Free Form Text 10 LEG NO RWTC700 For repo trades the leg number 1 for opening and 2 for closing leg 1 for spot trades
70. cumentation Page 22 Appendix B Eurex Documentation The new and updated documentation will be available in August 2000 with the exception of the xX ceed Eurex Trading Users Guide that will be available in September 2000 Final versions will be distributed in October 2000 New Eurex Documentation Name of the Document ID X0006800 Member Interface File Interface Layouts X0006900 xX ceed Eurex Trading Users Guide Updated Eurex Documentation Document Name of the Document D X0004100 Eurex User Manual Information Manual System Overview System Security Attachment 1 to Eurex Circular 067 00 X pand into the Future Eurex Release 4 1 EEX Technical Release Notes Eurex 2000 All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management Eurex and all other rights including but without limitation patent registered design copyright trade mark service mark connected with this publication shall also be vested in Eurex Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication no liability is accepted by Eurex for the use of information contained herein in any circumstances connected with actual trading or otherwise Neither Eurex nor its servants nor agents is responsible for any errors or omissions contained in this publication which is published for inf
71. d entries for EEX Derivatives Market will become available with the start of EEX Derivatives Market Screens ID Screen tong name Short description of change INQUIRY the resource of the new EFP Trading VALUES application requests C075 BLOCK TRADE Eurex The OTC Block Trade Entry Screen is enhanced ENTRY to support Block Trades for Futures C080 ONLINE TIME AND Eurex The Online Time and Sales Sheet screen C080 SALES SHEET EEX is enhanced to accept the trade types E and O to distinguish OTC Block Trades O OTC Basis Trades B EFP Trades E and on exchange trades USER SETUP GUI This screen is enhanced to include an entry for The Position Detail Inquiry screen F020 is enhanced to support EFP trades The trade type indicator column TT is enhanced to identify also EFP Trades by displaying an E in the respective F020 POSITION DETAIL EEX INQUIRY SCREEN column F050 CLEARING EEX The Clearing Instruction Screen F050 is INSTRUCTION enhanced to display trade separations of EFP SELECTION Trades with trade type E J010 MEMBER REPORT EEX SELECTION The selection on this screen is enhanced to include Open Delivery Positions report RPTCE120 Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 16 l Screen long name Org Short description of change D N020 GIVE UP T
72. d price movement in the bond Mathematically the calculations are performed as follows The highest and lowest possible clean price PU and PD is predicted for each underlying bond using the current clean bond price P and the largest relative movement 6 in percent dis set by the Clearinghouse and is based on current volatility assessments and on historical volatility Projected prices upside price PU P 1 8 downside price PD P 1 9 The upside and downside change in value for a net bond position is computed for each net bond position for each settlement date by computing the liquidating value of the bond position based on the clean upside price and down side price and using the CLV formula In the notation below LV and ALV denote liquidating value and change in liquidating value respectively ALV LV nana PU CLY ond net ond net ALY jun LV bond net PD T CLV ponainet down These calculated value changes are then used at the class level building up to the Additional Margin requirement as described in the next section Calculation of Margin Requirements The calculation of Current Liquidating Margin CLM and of Additional Margin AM is performed according to established Eurex Clearing AG calculation logic utilizing margin classes and groups Having performed the specific value calculations for positions arising from bond trades it remains to feed these values into the existing methodology as will be
73. day processing before the Eurex batch starts its margin calculation and is also published on the internet The file will be sent to all clearing members The layout of the FPTHEC file is as follows a CC SE 10 SECU ISIN RMTHEC PIC X 12 ISIN of the security 10 SECU CPN DATE RMTHEC Issue Maturity Coupon Date depending on the flag below Format YYYYMMDD 10 SECU CPN RATE RMTHEC 2 9 3 Coupon Rate 0 for Issue Date 10 SECU CPN ADJ RMTHEC PIC 9 3 Coupon Adjustment 10 SECU CPN FLAG RMTHEC Issue Maturity Coupon Flag The coupon rate and date fields are set for Issue of the bond if the flag is set to T Maturity of the bond if the flag is set to M Regular Coupon if the flag is set to C Attachment 4 to Eurex Circular 067 00 4 1 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 9 Raw Data Interface Trade Management For Trade Management the following new raw data reports will be generated daily by Eurex and sent to clearing members that participate in the Bond trading platform either through their own participation or their non clearing members participation RAWTC700 Pending Trades RAWTC750 Open Repo Trades Raw Data File RAWTC700 Pending Trades The raw data file RAWTC700 contains all pending trades including the repo trade legs Additionally the trades settled or deleted during the day are shown l e a trade is shown du
74. der most recently sent to the back end and allows traders to delete or modify this order Windows Clearing System X tract Window name Org Short description of change POSITION DETAIL The Position Detail Overview window is enhanced to OVERVIEW distinguish EFP Trades from on exchange trades For EFP Trades an E will appear for the trade type POSITION DETAIL The Position Detail Maintenance window is enhanced to MAINTENANCE distinguish EFP Trades from on exchange trades For EFP Trades an E will appear for the trade type GIVE UP The Give Up Maintenance window is enhanced to MAINTENANCE distinguish EFP Trades from on exchange trades For EFP Trades an E will appear for the trade type GIVE UP FILTER TAKE UP The Take Up Maintenance window is enhanced to MAINTENANCE distinguish EFP Trades from on exchange trades For EFP Trades an E will appear for the trade type TAKE UP FILTER EEX The Take Up Filter window supports all trade types including the new type E for EFP Trades Attachment 1 to Eurex Circular 067 00 5 5 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 19 Reports Report ID Report Short Short Description of Change Name RPTTC540 DAILY ORDER The Daily Order Maintenance report is enhanced MAINTENANCE to include EFP Trades The following changes are introduced e Inthe column MNT COD the following convention is u
75. ding beyond the coupon date the adjustment could relate to a past coupon necessitating a future value calculation In the case of future coupons the expression used is d 1 r t 365 In the case of past coupons the expression used is d 1 r t 365 where e dis the coupon expressed as a percentage of nominal e tis the number of days from the valuation date to the coupon payment date e ris the money market interest rate applicable for this period Attachment 3 to Eurex Circular 067 00 2 5 2 3 2 5 3 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 12 Calculation of Worst Case Losses Worst case losses are calculated for bond positions only Eurex Clearing AG is protected against movements in short term rates and their impact on cash payments by the choice of ry and rp as described above Worst case losses in bond positions can result from upward or downward movements in prices depending on whether a position is long or short For this reason it is necessary to calculate the change in the CLV of a bond position that would result from a worst case upward or downward movement in the price of the bond The change in CLV is calculated by adjusting the current clean price upward and downward by a volatility factor These modified clean prices are then inserted into the CLV formula presented above to arrive at the CLV for the position for the worst case upward and downwar
76. dix B Eurex Documentation As of 10 30 2000 Page 2 19 22 Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 General Information Page 3 General Information This document contains the functional release notes for Eurex Release 4 1 and EEX Derivatives Market Release 1 0 The focus of Eurex Release 4 1 is the introduction of the following features e Product state HOLIDAY e New Duration formula for OTC Basis Trades e System support for OTC Block trading for Futures e Multiple entry functionality for OTC Block Trade Entry Window for the new graphical user interface GUI for trading X ceed Another focus is the introduction of the Derivatives Market of the European Energy Exchange EEX EEX Derivatives Market provides a facility to trade commodity derivatives where the underlying commodity is electricity Technically EEX Derivatives Market will run as a part of the technical environment of the Eurex system Eurex EEX Derivatives Market is providing a new additional graphical user interface GUI for Trading X ceed Only changes related to business functionality are described in detail in this document Other enhancements concern the following areas e Printing e Audio signaling e Sorting e Additional filtering e Columns freeze Trading GUI only e Last Order Maintenance e Update button e File export For further detailed information about the changed Tr
77. e 30 Layout 1 2 3 4 5 6 7 8 EUREX SETTLED CANCELLED DELIVERIES RPTCE210 CLEARING MEMBER ABCZH ABC BANK CORPORATION 1 CSD SIS 2 MEMBER ACCOUNT CH1234567891 3 SETTLED DELIVERIES 4 ISIN TRAN SETTLMNT B ISIN CURR DATE DATE S NOMINAL QUANTITY SETTLEMENT AMOUNT 7 8 9 10 11 12 13 CH1234567890 CHF 18 10 00 22 10 00 S 250 000 000 255 000 00 CH1234567890 CHF 18 10 00 22 10 00 S 500 000 000 540 000 00 TOTAL SETTLEMENT DATE 18 795 000 00 CH1234567890 CHF 19 10 00 23 10 00 S 500 000 000 540 000 00 CH1234567890 CHF 19 10 00 23 10 00 B 500 000 000 540 000 00 TOTAL SETTLEMENT DATE 0 00 TOTAL ISIN 19 795 000 00 TOTAL CSD 20 795 000 00 TOTAL CLEARING MEMBER 21 795 000 00 CLEARING MEMBER ABCFR ABC BANK CORPORATION CSD CBF MEMBER ACCOUNT 7199 CANCELLED DELIVERIES ISIN TRAN SETTLMNT B ISIN CURR DATE DATE S NOMINAL QUANTITY SETTLEMENT AMOUNT DE0001030005 EUR 20 10 00 25 10 00 B 500 000 00 540 000 00 gta GRITERMENT DATES 00 ee Oie TOTAL ISIN TOTAL CSD 540 000 00 TOTAL CLEARING MEMBER 540 000 00 9 10 11 12 AS 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 PAGE 1 AS OF DATE 20 10 00 RUN DATE 20 10 00 5 6 EFFECTIVE DATE SETTLEMENT CURRENCY CHF 23 10 00 COUNTERPART TRADE REFER CSD ACCOUNT REMARK 14 15 16 17 612345123456 SIS 123456789012 M
78. e cash and securities necessary to successfully settle all transactions The Clearinghouse will be responsible for timely delivery only to the extent members deliver to it on a timely basis Failed settlement instructions will remain in the settlement locations for settlement in a subsequent settlement process In the event of settlement fails the Clearinghouse might be forced to carry a long securities position from one day to the next In such a case the Clearinghouse will modify unsettled instructions in order to make partial deliveries The partial deliveries will be assigned to the Clearinghouse participant whose unsettled receipt from the Clearinghouse is the smallest and should there be more than one such Eurex Clearing AG member the partial will be assigned on a random basis In this case the Clearinghouse will inform the member of the modified and new settlement instructions and the Clearinghouse will submit the associated settlement instructions and for itself to the relevant settlement locations The current Eurex penalty mechanism will apply to all fails For a detailed description on the functional changes and implications see the Functional Release notes Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 5 File Transfer Interface Risk Management File FPMGBPR M Security Margin Class and Group Information File To enable Clearing Membe
79. ecurity position to zero The partial delivery will be assigned to the Clearing Member whose unsettled receipt from the Clearinghouse is the smallest If there is more than one such receipt the partial delivery will be assigned randomly The Clearinghouse will inform the Clearing Member of the pending delivery selected for partial settlement and will for itself and on behalf of the relevant Clearing Member submit instructions to cancel the pending delivery in question and to replace it with two new settlement instructions in the amount of the desired partial delivery and the resulting remaining amount Cash Transactions All repo coupon compensation cash payments will be incorporated in the summary report Daily Cash Account Statement Coupon compensation payments related to late deliveries will not be included in this report Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 16 Reports The following changed and new reports will be available by the new release 2000 They can be selected on screen J010 Member Report Selection REPORT NAME RAW DATA CHANGE NEW Pending Trades X Daily Trade Maintenance Open Repo Trades Coupon Compensation Pending Deliveries Settled Cancelled Delivery Daily Cash Account Statement Current Liquidating Margin X Theoretical Values II Liquidating Value Il X Daily Margin Daily Margin Summary Detailed
80. ed as blank lines in the overview windows to identify a change in products contracts more easily e Audio Configurations The Audio configuration window allows the user to configure playing of audio files upon occurrence of events such as execution confirmations and trading phase state changes Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide gt 14 August 2000 Page 14 10 List of Products Set Up in the Simulation Environment Allianz Holding FDAX DAX Futures FESX Dow Jones Euro STOXX 50 Futures Bay Ba FRO FOR Fre Fom SUF Fave FSTX Dow Jones STOXX 50 Futures ODAX BBO OESX Dow Jones Euro STOXX 50 Options pean FGBL Euro BUND Futures ROL Fowerancr GBM SuoDOBLRmes MOB Mobicom FGBS Euro SCHATZ Futures NOA3 E V DeK Pa ee sie ues vow VE BAY BM ON RPL ET Ow HOL Nokia Corporation FGBX Euro BUXL Futures S BL Opts ar ETBOND Fes Money Market Products Type FINT OFIT OGBM Options on Euro BOBL Futures CONF CONF Furs Feus Teen EURIBOR Pues TP fOEUS Opions on Treen EURIBOR Fates PO PFEUI_ OrewonmeURBOR Fas TP Treen ews OOO memme O It may be that additional products will be set up in the simulation database for internal tests only If this is the case you will be informed via the News Board D050 for User Devices or via the Mar ket Supervisio
81. ed on the Option Premium Margin Futures Spread Margin and Additional Margin all margin components are shown here All figures are displayed in the product currency No changes for bonds positions and corresponding cash positions are required bond products are treated like any other product Change Column Options premium margin is renamed to Premium Current Liquidating Margin Layout T 2 3 4 bo 6 f 8 9 10 Ly 12 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 01 EUREX DAILY MARGIN PAGE 1 02 RPTCCO50 AS OF DATE 23 10 00 03 RUN DATE 23 10 00 05 CLEARING MEMBER ABCFR ABC BANK CORPORATION ACCOUNT PP CURRENCY EUR 06 EXCHANGE MEMBER ABCFR ABC BANK CORPORATION 09 PREMIUM DELIVERY FUTURES UNADJUSTED 10 MARG MARG CURR LIQ SPREAD ADDITIONAL MARGIN 11 GROUP CLASS MARGIN MARGIN MARGIN REQUIREMENT 15 BND1 BD01 10 234 00 10 234 00 18 ACCOUNT TOTAL 30 000 00 0 00 210 115 30 180 115 30 Attachment 3 to Eurex Circular 067 00 4 6 5 EUREX RPTCCO060 CLEARING EXCHANGE MEMBER EXCHANGE ALLHH EXCHANGE CLEARING 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 41 Daily Margin Summary Report Name Daily Margin Summary change Report Code RPTCCO60 Purpose Report RPTCC060 gives the daily margin requirements for all Exchange and Clearing Members
82. ed to include EFP Trades The column EXCEPTION TRD TYP shows the code E in case of an EFP trade RPTCB120 MEMBER The Member Exception Part A Positions report EXCEPTION is enhanced to include EFP Trades The column PART A ORD TYP shows the code F in case of an POSITIONS EFP trade For EFP Trades the order number will be left blank RPTCB130 GIVE UP The Give up Trade History report is enhanced to TRADE include EFP Trades The column ORD TYP HISTORY shows the code F in case of an EFP trade For EFP Trades the order number will be left blank RPTCB140 ACCEPTED The Accepted Give up Trades report is GIVE UP enhanced to include EFP Trades The column TRADES TRD TYP shows the code E in case of an EFP trade For EFP Trades the order number will be left blank RPTCB150 TAKE UP The Take up Trade History report is enhanced to TRADE include EFP Trades The column TRD TYP HISTORY shows the code E in case of an EFP trade For EFP Trades the order number will be left blank RPTCB160 ACCEPTED The Accepted Take up Trade report is enhanced TAKE UP to include EFP Trades The column TRD TYP TRADE shows the code E in case of an EFP trade For EFP Trades the order number will be left blank RPTCC042 LIQUIDATING NEW A new Liquidating values report is created VALUES FOR to display the Variation per contract and not per EEX margin class for EEX products This is necessary PRODUCTS in
83. erparty 10 CPTY STL ACCOUNT RWCE200 PIC X 12 Settlement Account Code of Counterparty at the Settlement Location 10 REMARK RWCE200 PIC X 6 Text field ie MANUAL for manual creation of partial deliveries or CANCEL for a manual cancellation Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 23 fed Format _ peserpton O 10 REF DELV ID RWCE200 PIC 9 8 For partial deliveries the cancelled original delivery ID 10 DELV ID RWCE200 PIC 9 8 Delivery ID 10 DELV STS COD RWCE200 PIC X 2 Status of the delivery The status codes will be mapped in the following manner 01 New 02 Sent 03 Settled 04 Cancelled 05 Cancellation Sent 06 Cancel Confirmed 07 Late 4 4 2 Raw Data File RAWCE210 Settled Cancelled Deliveries The raw data file RAWCE210 provides the Member with a list of all pending deliveries which are settled and cancelled confirmed during the day same effective settlement completion date CE210 will use the same file layout as that used for the raw data file CE200 Attachment 4 to Eurex Circular 067 00 X pand into the Future oee Simulation Guide for Eurex Release 4 1 4 September 24 November 2000 Eurex 2000 All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management Eurex and a
84. es SECU LST CLS PRC RWCC042_ This field contains the closing price of the underlying instrument MAX MIN UNDER VAL This field contains the lowest or highest price of the RWCC042 underlying NET LNG SHT POS RWCC042 This field contains the net position of the options series or futures contract Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 18 FIELD DESCRIPTION LNG SHT IND RWCC042 This field contains the net indicator Field values include L Long S Short E Exercised A Assigned TRD UNT VAL RWCC042 This field contains the contract size SERI CURR VALUE RWCC042 This field contains either the current value of the underlying or the liquidating values of the net position per series or per contract at the liquidation of the position The liquidating values are calculated as follows Net Position Trade Unit Value Current Options or Futures Price Note This field is filled only for series records MAX MIN SERI VAL RWCC042 This field contains either the lowest or highest value of the underlying or the liquidating values of the net position per series or per contract at the liquidation of the position The values are calculated as follows Net Position Trade Unit Value Theoretical Options series or Futures Contract Price Note This field is filled only for series records RISK VALUE RWCC042 This field contains the risk
85. essed as a percentage of nominal on the bond as of the spot settlement date Accrued interest will be calculated according to the convention adopted for the bond in question e g on an actual actual basis for German government bonds This market value is as of the settlement date for a spot transaction in the bond and must therefore be adjusted back to the current valuation date The market price of the bond as of valuation date is therefore MVyaluation date P A 1 r t 365 where e t is the number of days between i the valuation date and ii the settlement date of a spot transaction concluded on the valuation date for the relevant security please note that t is not the number of days between valuation date and settlement date of the position and e ris the relevant interest rate for the period between the valuation date and the date of settlement of a spot transaction The value of a bond position can be calculated from the above by taking into account the nominal size of the bond position and by adjusting for any coupons that may fall due between the valuation date and the settlement date of the position this is described in detail below The full formula is CLV bond X P A 1 r t 365 Coupon Adjustments where 3 Note that we do not use the ru and rp rates as for cash This is because the additional margin for bonds covers the risk of price movements in bonds Attachment 3 to Eurex Circula
86. est data and status messages A change is necessary to the member application that uses the PMI interface With the introduction of Eurex Release 4 1 a new status transition message will be generated to incorporate the transition into the product state HOLIDAY A new status code will be introduced for that purpose This functionality will become available on 30 10 2000 Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 User Device Interfaces Page 15 Pricing Model Input Status Transaction Field Name Type Description status long This field contains a code that identifies the status message With Eurex Release 4 1 a new value 11 is added PMI_PROD_STS_HOLID 11 lt product gt set to HOLIDAY integer Attachment 2 to Eurex Circular 067 00 6 1 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 16 Raw Data Interface The RAW DATA INTERFACE provides a specified set of reports in a structure that can be processed by in house applications With the roll out of the system enhancements for EEX Derivatives Market new raw data files are provided for EEX Derivatives Market Exchange Members and EEX Derivatives Market Clearing Members additionally The raw data files will not contain data before the start date of the EEX Derivatives Market Report No Report Name RAWCC042 Liquidating Values for EEX Products RAWCE120 EEX Ope
87. ex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes gt ies eg format eserpton 10 MBR CLG ID COD RWCD190 PIC X 5 This field contains the identification code of the Clearing Member 10 MBR EXC ID COD RWCD190 PIC X 5 This group field contains the identification code of the Exchange Member 10 ACCT TYP COD GRP RWCD190 This group field contains the account Field values include A1 Agent accounts PP Proprietary accounts 5 eomm ime eorom rex w a O 10 CLS LEG STL DATE RWCD190 PIC 9 8 Settlement date of the closing leg The format of this field is YYYYMMDD 10 OPN LEG TRD NUM RWCD190 PIC 9 12 Internal trade number of the open leg 10 CLS LEG TRD NUM RWCD190 PIC 9 12 Internal trade number of the closing leg or late pending trade 10 BUY SELL FLAG RWCD190 X 1 Buy Sell indicator PIC 10 TRD QTY RWCD190 PIC Trade Quantity Positive for payer and 9 9 3 negative for receiver 10 CPN AMOUNT RWCD190 Coupon transfer amount for the repo trade Positive for receiver and negative for payer 10 CSD RWCD190 Central Securities Depository Settlement Location of Member CBF for Clearstream Banking Frankfurt EOC for Euroclear Attachment 4 to Eurex Circular 067 00 4 3 4 3 1 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes S Pageto Risk Management For Risk Based Margining the f
88. ex Release 4 1 17 05 2000 Announcement of IC Release 2000 and Eurex Release 4 1 EEX Eurex Circular No 043 00 Eurex Release 4 1 25 05 2000 Release 4 1 EEX and IC Release 2000 Further Information Eurex Circular No 067 00 Eurex Release 4 1 15 08 2000 Release 4 1 EEX and IC Release 2000 OA rence eee menman 2 Member Manuals http www eurexchange com Info for members Rel 4 1 Simulation Version Member Front End Entrance hall Development Guide Access to Eurex Rel 4 1 Final Version Programming to Eurex Eurex Release 4 1 Entrance hall VALUES API Developer s Kit Access to Eurex Final Version Programming to Eurex Eurex Clearing System User Info for members Guide Manuals Planned for 25 08 00 MISS Manuals Release 4 1 Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 10 8 HPROT phone Simulation Calendar Eurex Functional Member Cel 69 2101 1700 ence 69 2101 1701 Simulation Checklists Ap Readiness plications Eurex Circulars Technical Set up Eurex Technical Helpdesk 49 0 69 2101 1200 49 0 69 2101 1201 au Products Eurex Market PURE 49 0 69 2101 1210 49 0 69 2101 4345 Fixed Income Products Eurex Market Supervision 49 0 69 2101 1240 49 0 69 2101 4347 Attachment 5 to Eurex Circular 067 00 eR eT La NR f
89. f Clearing Member MEMBER CSD Central Securities Depository Settlement Location 3 MEMBER Settlement Account code of member at the settlement location ACCOUNT 4 SETTLEMENT Settlement currency CURRENCY 5 ISIN Security identification ISIN Currency associated with security nominal CURRENCY 7 TRAN DATE Date when the pending delivery transaction was created SETTLEMENT Settlement date of the pending delivery transaction DATE Buy Sell indicator 10 NOMINAL Nominal amount to be received positive or to be delivered Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 26 FIELD NAME DESCRIPTION SETTLEMENT Settlement amount to be received positive or to be delivered AMOUNT negative TRADE REFER Reference Number to Pending Trade ID Settlement location of counterpart member ACCOUNT Settlement Account code of counterpart member at the settlement location REMARK Free Text field reference to trade ID for coupon payments TOTAL Total amount per settlement date SETTLEMENT DATE TOTAL ISIN Total amount ISIN TOTAL CSD Total amount per CSD TOTAL Total amount per clearing Member CLEARING MEMBER Attachment 3 to Eurex Circular 067 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 29 50
90. g 8 7 Related Documentation 8 8 Support 10 9 Checklist for Eurex Release 4 1 Simulation 11 10 List of Products Set Up in the Simulation Environment 14 Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 2 1 Introduction This document is intended to give Eurex Members guidelines on the Eurex Release 4 1 part Simulation from 4 September 1 8 October and Eurex Release 4 1 part Il and EEX Derivatives Market Simulation from 19 October 24 November 2000 to be performed in the simulation envi ronment of the Eurex System advising members on preparation test and reporting activities It is directed to all Eurex Members Central Co ordinators System Administrators Traders and back office staff who will be involved in the simulation 2 Objectives The simulation has the following objectives Eurex Release 4 1 e Ensure a smooth transition from Eurex Release 4 0 to Eurex Release 4 1 for all mem bers vendors and the exchange e Enable members to become familiar with the new Release functionality e Allow members intensive simulation of the new Java based Graphical User Interface for Trading e Support oP party software readiness 3 Participation and Registration All members are advised to take part in the simulation The simulation is strongly recommended for all
91. g margin calculation and parameters for additional margin evaluation Similar to the current procedure for the FPTHEA file this file is sent during the End of day processing before the Eurex batch starts its margin calculation and is also published on the internet The file will be sent to all Eurex clearing members The layout of the FPTHEB file is as follows a oe o 10 SECU ISIN RMTHEB PIC X 12 ISIN of the security for which the information is shown 10 MGN GRP COD RMTHEB PIC X 5 Margin group code 10 MGN CLS COD RMTHEB PIC X 5 Margin class code Identification of the margin class 10 MGN PAR RMTHEB PIC 9 3 Margin Parameter This is the maximum fluctuation which a security can be expected to have during the next day Based on the historical volatility 10 MGN PAR FLG RMTHEB PIC X Indicator if the margin parameter is given in absolute A or percentage P 10 SECU PRC RMTHEB PIC 9 1 Security price used for risk based margining 10 SECU MAX UP PRC RMTHEB PIC 9 1 Maximum expected price For bonds it is the expected clean price as percentage 10 SECU MAX DWN PRC RMTHEB PIC 9 1 Minimum expected price For bonds it is the expected clean price as percentage 10 SECU NEAR STL DATE RMTHEB PIC 9 8 Nearest settlement date Actual date plus standard settlement period for a Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 7 fed Format _
92. g of Bond and Derivatives positions e Delivery Management Bond Trades The interfaces listed below will change as a result of the above mentioned functional enhancements e File Interface e Raw Data Interface Attachment 4 to Eurex Circular 067 00 2 1 2 2 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 3 General Information This chapter provides a short overview of the functional changes which will affect the technical environment of Eurex Clearing AG the Clearinghouse The functional descriptions below provide the context for the subsequent technical changes The focus of the new release is e to extend Eurex Clearing AG s clearance activities to include spot forward and repo repurchase agreement transactions in fixed income securities referred to as bond trades e to add new settlement locations for the settlement of bond trades e to include bond trades in the risk based margining system of Eurex Clearing AG allowing cross margining and cross collateralization between Eurex products and bond trades e to extend Eurex Clearing AG s membership structure to include Clearing and Non Clearing memberships for Participants who are not Eurex Exchange Participants but who wish to have Eurex Clearing AG clear their bond trades Trade Management The Clearinghouse currently provides clearing functionality for Eurex derivatives With the new release the Clearing
93. ge 7 Release Installation Notes User Device Front End Release Installation Notes for simulation and production will be distributed 2 days before distribution of the installation kits via Eurex MAIL simulation and production Note It is necessary that the Eurex MAIL job on the Production User Device is started to receive the Release Installation Notes MISS based Front End Release Installation Notes for simulation and production together with the Eurex Software Kit will be distributed 2 days before installation and connection test via FTP Further information on the installation of the new Front End can be found in the Eurex Front End Installation Guide X0005700 Attachment 2 to Eurex Circular 067 00 3 1 3 2 3 3 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 General Information Page 8 General Information This chapter gives a short overview of changes that affect the technical environment of the Eurex and EEX Derivatives Market system Product State HOLIDAY A new product state HOLIDAY HOLID is introduced to indicate that a product cannot be traded due to a holiday in the country where its underlying security is listed All trading associated transactions are disabled for products in the product state HOLIDAY This includes give ups take ups posting position maintenance trade adjustments and exercise notification Historical trade transfer and historical give ups take ups are no
94. he Give Up Designation by Order screen N020 DESIGNATION BY is enhanced to display the trade type to ORDER distinguish between OTC Basis Trades B and on exchange trades N030 GIVE UP The Give Up Designation by Transaction screen DESIGNATION BY NO30 is enhanced to distinguish EFP Trades TRANSACTION from other on exchange trades The prompt field TRADE TYPE is enhanced to accept the new type E for retrieving EFP Trades N050 TAKE UP The Take up Acceptance by Order N050 is ACCEPTANCE BY enhanced to display the trade type to distinguish ORDER OTC Basis Trades B and on exchange trades NO60 TAKE UP The Take up Acceptance by Transaction NO60 ACCEPTANCE BY is enhanced to distinguish EFP Trades from on TRANSACTION exchange trades The prompt field TRADE TYPE is enhanced to accept the new type E for retrieving EFP Trades G010 DAILY MARGIN EEX The Daily Margin Inquiry screen G010 is INQUIRY enhanced to display the new delivery margin Windows Trading System X ceed Window name Org Short description of change MARKET Eurex The Market Overview Window displays the indicator HOLID OVERVIEW for the new product state HOLIDAY Windows New Trading System X ceed For the windows of the new graphical user interface for Trading only modifications compared to the corresponding windows of the existing graphical user interface for Trading are listed Attachment 1 to Eurex Circular 067 00 Eurex Re
95. he Trading GUls Attachment 2 to Eurex Circular 067 00 4 2 6 4 2 7 4 2 8 4 3 4 3 1 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 MISS based Front End Page 12 Last Order Maintenance This functionality provides the possibility to quickly modify or delete the order that has been entered last A new item in the menu bar is introduced on the main menu From all other windows Fast Order Entry Rapid Order Entry Order Entry Own Order Overview access is possible via a shortcut F7 By selecting this item or the respective short cut F7 a window is displayed that is filled with the previously entered order data A deletion is performed by submitting the request Update Button For X ceed an update button is introduced for several windows File Export With Eurex Release 4 1 on several screens the users are enabled to export screens or selections of a screen as tables in CSV format The contents of such a table can be handled with a third party tool like Windows Excel The export is triggered when the export menu item is selected The export menu item is part of the menu Window One can browse the file system and choose the name of the exported file Graphical User Interface for Clearing The following enhancements for the graphical user interface GUI for Clearing X tract are introduced e Print functionality e Update button e File export e Changes in Exercise Overview Printing With Eurex
96. he identification code of the Clearing Member 10 MBR EXC ID COD RWTC750 PIC X 5 This field contains the identification code of the Exchange Member 1 1 1 3 10 ACCT TYP COD RWTC750 This group field contains the IC internal account Field values include A1 Agent accounts PP Proprietary accounts Poxm 2 10 SECU ISIN RWTC750 PIC X 12 ISIN of the security 10 STL CURR TYP COD RWTC750 PIC X 3 Settlement Currency Type Code ISO Code e g EUR CHF E a 10 OPN LEG STL DATE RWTC750 PIC 9 8 Settlement date of the opening leg of the repo The format of this field is YYYYMMDD 10 CLS LEG STL DATE RWTC750 PIC 9 8 Settlement date of the closing leg of the repo The format of this field is Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes gt fic a 10 BUY SELL FLG RWTC750 PIC X 1 Buy Sell indicator 10 TRD QTY RWTC750 Trade Quantity without sign 10 OPN PAY AMOUNT RWTC750 Payable amount for opening leg without sign 10 CLS PAY AMOUNT RWTC750 Payable amount for closing leg without sign 10 REPO RATE RWTC750 4 9 6 Repo interest rate percentage 10 REPO INTR AMT RWTC750 Repo interest amount without sign 10 FREE TXT RWTC750 PIC X 20 Free text of the opening leg 10 STL STATUS OPN LEG RWTC750 Settlement status of the opening leg S for settled or P for pending 10 STL S
97. house will be able to receive trades from other trading systems and will provide clearing services for the existing derivatives trades from the Eurex exchanges as well as cash basis and repo trades The interface from the existing Eurex trading to the Eurex clearing system will remain unchanged Trades on electronic trading platforms using Eurex Clearing AG as its central counterpart will be routed automatically to the Clearinghouse for processing Risk Management With the extension of the Clearinghouse s activities into the clearing of Bond Trades the risk based margining system of the Clearinghouse will be extended to cover such transactions Bond Trades will be set up as new products in the Clearinghouse and will be assigned to new margin classes that will only include positions arising from Bond Trades The Clearinghouse will calculate the profits and losses in the positions from Bond Trades Each Bond Trade position will be valued according to current market prices resulting in a Current Liquidating Value CLV for each position The CLVs of positions will be aggregated at the level of margin classes and margin groups and will contribute to the overall level of collateral margin Current Liquidating Margin CLM required from the Member As for other Eurex products the Clearinghouse will perform a worst case loss calculation in order to properly integrate price change risk in Bond Trade positions into the overall Additi
98. ical Value of compensated part of not fully compensated short position for Risk Liquidating Value Note This field is not used for futures 01 RWCCO042 WS REC 05 RAW KEY GRP RWCCO042 0 RAW ID COD RWCC042 PIC X 8 10 RAW DAT GRP RWCC042 15 RAW EFF DAT RWCC042 PIC 9 8 15 RAW CRT PROC DAT RWCC042 PIC 9 8 10 ENV NO TXT RWCC042 15 ENV NO TXT 1 RWCC042 PIC X 1 15 ENV NO TXT 2 RWCC042 PIC X 1 0 IBR CLG ID COD RWCC042 PIC X 5 10 BR EXC ID COD RWCC042 LS BR IST ID COD RWCC042 PIC X 3 rS BR BRN ID COD RWCC042 PIC X 2 10 ACCT TYP COD GRP RWCC042 15 ACCTI TYP COD RWCC042 PIC X 1 15 ACCTI TYP NO RWCC042 PIC X 1 10 MGN GRP COD RWCC042 PIC X 5 10 MGN CLS COD RWCC042 PIC X 5 0O CURR TYP COD RWCC042 PIC X 3 10 UD IND RWCC042 PIC X 1 10 SERI GRP ID COD RWCC042 15 SECU ID COD RWCC042 PIC X 4 15 SERI CLAS COD RWCC042 PIC X 1 15 SERI EXP DAT RWCC042 20 EXPI YR DAT RWCC042 PIC 9 2 20 EXPI MTH DAT RWCC042 PIC 9 2 5 EXER PRC RWCC042 PAE 9 5 15 SERI VERS NO RWCC042 PIC 9 1 05 REPT DATA GRP RWCC042 10 REPT REC 1 GRP RWCC042 5 SECU LST CLS PRC RWCC042 PIC X II 5 MAX MIN UNDER VAL RWCC042 PIC 17 10 REPT REC 2 GRP RWCC042 5 NET LNG SHT POS RWCC042 BIQ a ee 15 LNG SHT IND RWCC042 PIC X 1 15 TRD UNT VAL RWCC042 PIC 9 9 9 4 5 SERI CURR VALUE RWCC042 PIG sansa 9 9 2 5 MAX MIN SERI VAL RWCC042 PIG ae 9 9 2 10 REPT REC 1 VALUE RWCC042
99. idelines XC006100 and Appendix B Operating System Versions User Device Satellite technology continues to be supported with Eurex Release 4 1 Details on software and hardware requirements are provided by the User Device Satellite Technical Overview Document X0005200 and by the User Device Satellite Operation and Administration User Guide Document X0005300 for UDs Satellites 1 Technically available on all front end platforms on 27 11 2000 for details please refer to chapter 3 2 EEX is technically available as of 27 11 2000 but the exact introduction date will be announced by EEX Amendments to screens and reports for later support of EEX Derivatives Market will be introduced on 30 10 2000 Attachment 2 to Eurex Circular 067 00 1 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Introduction Page 6 Backward Compatibility for VALUES Interface The following is a short description of the compatibility layer which allows running applications based on Release 4 0 VALUES API functionality after introduction of Release 4 1 1 New fields of inquiry responses broadcasts are suppressed 2 New broadcast stream types are suppressed 3 New valid values for an existing field are not suppressed 4 New combinations of VALUES fields are not suppressed Attachment 2 to Eurex Circular 067 00 2 1 2 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Release Installation Notes Pa
100. ing value and Liquidating VALUE DIFF UP value of the net positions assuming the maximal expected price LIQUIDATING Difference between Current Liquidating value and Liquidating VALUE DIFF value of the net positions assuming the minimal expected price Total liquidating value difference up of net positions per security Total liquidating value difference down of net positions TOTAL Total liquidating value difference up down per class and LIQUIDATING account VALUE DIFF UP DOWN FOR CLASS Attachment 3 to Eurex Circular 067 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 Li 2 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 39 Layout 1 2 3 4 5 6 7 8 9 10 11 Ez 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 EUREX LIQUIDATING VALUE II PAGE 1 RPTCCO41 AS OF DATE 23 10 00 RUN DATE 23 10 00 CLEARING MEMBER ABCFR BANK CORPORATION 1 ACCOUNT PP 3 CURRENCY EUR 4 EXCHANGE MEMBER ABCFR BANK CORPORATION 2 8 9 MARGIN GROUP BND1 5 MARGIN CLASS BD10 6 CASH INTEREST RATE 3 000 7 RISK ADAPTED INTEREST RATES UP 3 500 DOWN 2 500 10 11 ISIN DE0001135135 BUNDANL V 99 10 COUPON RATE 5 375 12 CURR MAX UP MAX DOWN PRICE 100 56 102 16 98 95 13 14 15
101. ion environment 01 simulation environment Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes __ _ _ Page 22 a ee ee 10 MBR CLG ID COD RWCE200 This field contains the identification code of the Clearing Member 10 STL CURR TYP COD RWCE200 PIC X 3 Settlement Currency 10 CSD RWCE200 PIC X 3 Central Securities Depository Settlement Location of Member 10 EFF DAT RWCE200 PIC 9 8 Empty for RAWCE200 For RAWCE210 Date the delivery was effectively settled cancelled The format of this field is YYYYMMDD 10 SECU ISIN RWCE200 PIC X 12 ISIN of the security 10 ISIN CURR TYP COD RWCE200 PIC X 3 Associated Currency to Security Nominal 10 TRAN DAT RWCE200 PIC 9 8 Date when the Pending Delivery Transaction was created The format of this field is YYYYMMDD 10 STL DAT RWCE200 PIC 9 8 Settlement Date of the Pending Delivery Transaction The format of this field is YYYYMMDD 10 STL ACCOUNT RWCE200 PIC X 12 Settlement Account Code of the Member at the Settlement Location 10 BUY SEL RWCE200 PIC X 1 Buy Sell indicator 10 QTY RWCE200 Nominal Amount to be Received 3 positive or to be Delivered negative 10 AMT RWCE200 Settlement Amount to be Received 9 9 2 positive or to be Delivered negative 10 REF TRD ID RWCE200 PIC 9 12 Reference Number to Internal Trade ID 10 CPTY CSD RWCE200 PIC X 3 Settlement Location of Count
102. is late delivering to the Clearinghouse and will credit the account of the member who is late in receiving from the Clearinghouse Attachment 3 to Eurex Circular 067 00 2 2 2 3 2 4 2 5 2 5 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 4 Membership Market Participants need not be Eurex Exchange Participants in order to become NCMs GCMs or DCMs of the Clearinghouse and to utilize its clearing services for bond trades GCMs and DCMs together are referred to as Clearing Members or CMs A NCM may choose only one Clearing Member to clear its trades Central Counterparty Role The Clearinghouse will be interposed between the primary counterparties and consequently take over the role as central counterparty The following benefits will be realized for members e reduction of counterparty risk as each market participant will have the Clearinghouse as its counterparty in place of the market participant with whom the trade was concluded e trade anonymity will be extended through the settlement process All Clearing Members will clear and settle their trades against the Clearinghouse e consolidation of risk positions allowing for a maximum of margin offset by applying the existing collateralization process Trade Management Trades on electronic trading locations using the Clearinghouseas its central counterparty will be routed automatically to the Clearinghouse for proce
103. l Overview Position Transfer Overview Give up Overview Take up Overview Exercise Overview Exercise Assignment Summary Overview Notification Overview Notification Allocation Summary Overview Delivery Overview Settlement Price Overview Main Message Log Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Functional Changes for Eurex Release 4 1 Page 8 Market Supervision Messages When the user clicks the Export menu item the Export window pops up The text field File name shows an appropriate name for the table the user wants to select When exporting data to files the file selection dialogue is used which allows browsing of the file system and to select a file Using the dialogue one may browse the file system to check other directories as well The filename gets the extension txt The exported data will be stored in the csv comma seperated values format If the file already exists a confirmation dialogue pops up A preselected path can be defined in the file ecl cfg with the key exportpath Attachment 1 to Eurex Circular 067 00 3 1 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Introduction of European Energy Exchange EEX Derivatives Page 9 Introduction of European Energy Exchange EEX Derivatives Market The EEX European Energy Exchange Derivatives Market is a separate legal exchange entity using the Eurex
104. lease 2000 Technical Release Notes Version 01 As of 30 10 2000 Page 18 fed Format Desevpton 10 CASH POS NET RWCC011 10 CLV COUPON ADJ RWCC011 15 CLV DU ADJ RWCC011 15 CLV PF ADJ RWCC011 10 AMT CLV SECU RWCC011 10 AMT CLV CASH RWCC011 4 3 2 Raw Data File RAWCC041 Liquidating Values Il Cash net risk positions belonging to the security Coupon Adjustments of Current Liquidation Value Both columns have a space if no coupon adjustment D for downside adjustment U for upside adjustment P for adjustment with present value F for adjustment with future value Current liquidation value of the security net positions of the settlement date Current liquidation value of the cash net positions of the settlement date The raw data file RAWCC041 provides members per security with positions for every day with all transactions buy sell summed In the report liquidating values up and down and the difference from the current liquidating value is shown The necessary parameters needed for the calculation are also provided with this file Only up and down maximums and no strikes in between as there are no options in the margin classes are used for the calculation of liquidating values The copybook layout for the file is as follows oe o 10 RAW ID COD RWCC041 This field contains the identification code of the raw data stream Values include RAWCC041 v
105. lease 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 17 Window name Short description of change ONLINE TIME AND The Online Time and Sales Sheet window is enhanced to SALES SHEET distinguish OTC Block Trades O OTC Basis Trades B EFP Trades E and on exchange trades OWN TRADE The Own Trade Overview window is enhanced to OVERVIEW distinguish EFP Trades from on exchange trades The following changes are done for EFP trades e For the trade type an E will be displayed e For the order type an F will be displayed MAIN MENU Anew menu item OTC is included The OTC Block Basis WINDOW Trade menu items are moved from Trading to the OTC menu item A new menu item EFP Trade Entry is placed under the OTC menu item MARKET EEX An additional column TrdUnit is introduced that displays the OVERVIEW contract size In case of EEX products the contract size is represented by the variable contract unit The Market Overview Window displays the indicator HOLID for the new product state HOLIDAY CONTRACT An additional column TrdUnit is introduced that displays the OVERVIEW contract size In case of EEX products the contract size is represented by the variable contract unit TRADING FILTER NEW The new Trading Filter window replaces the Trade Contract Filter and Trade Profile Filter windows The Trading Filter window supp
106. ll other rights including but without limitation patent registered design copyright trade mark service mark connected with this publication shall also be vested in Eurex Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication no liability is accepted by Eurex for the use of information contained herein in any circumstances connected with actual trading or otherwise Neither Eurex nor its servants nor agents is responsible for any errors or omissions contained in this publication which is published for information only and shall not constitute investment advice This brochure is not intended for solicitation purposes but only for the use of general information All descriptions examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive Eurex reserves the right to alter any of its rules or contract specifications and such an event may affect the validity of information in this publication Eurex is a registered trademark Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 1 Contents 1 Introduction 2 2 Objectives 2 3 Participation and Registration 2 4 Kit Distribution 3 5 Simulation Calendar 3 6 Reportin
107. med as follows Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 11 e Find the coupons that should be valued in the position all coupons that are due on a date after the settlement date for the position e Find all coupons that are included in the normal valuation i e prior to making any coupon adjustment for the bond These will be all coupons that are due on a date after the valuation date plus the standard settlement cycle e Identify i extra coupons in normal bond valuation and or coupons missing therefrom Extra and missing coupons give rise to a coupon adjustment calculated for each individual missing or extra coupon oo o 2 For each coupon requiring adjustment determine whether the adjustment is a or a adjustment e extra coupons gt e missing coupons gt 3 Determine whether the coupon adjustment should be performed using the present value or the future value formula e f coupon payment date gt Valuation Date use the present value formula e f coupon payment date lt Valuation Date gt use future value formula 4 Add together the coupon values calculated immediately above Present value calculation In most cases the adjustment will involve adding or subtracting the present value of a future coupon In case of settlement delays exten
108. mount per CM per currency per date Layout 1 2 3 4 5 6 7 8 9 10 11 12 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 EUREX REPO COUPON COMPENSATION PAGE 1 RPTCD190 AS OF DATE DATE 23 10 00 RUN DATE 23 10 00 DENOMINATION CURRENCY EUR 1 COUPON PAYMENT DATE 04 01 2001 2 CLEARING MEMBER ABCFR 3 MEMBER ABCFR 4 ACCOUNT TYPE PP 5 COUPON CLOSE LEG OPEN LEG CLOSE LEG B QUANTITY COUPON AMOUNT ISIN RATE SETTL DATE TRADE NO TRADE NO s RECEIVE PAY CSD 6 7 8 9 10 11 12 13 14 DE0001135135 5 375 19 01 2001 123456789012 987654321012 B 50 000 000 000 2 687 500 00 EOC DE0001135135 5 375 20 04 2001 123456789013 987654321013 B 120 000 000 000 6 450 000 00 EOC TOTAL COUPON AMOUNT PER MEMBER AND DATE 15 9 137 500 00 TOTAL COUPON AMOUNT PER CLEARING MEMBER AND DATE 16 9 137 500 00 Attachment 3 to Eurex Circular 067 00 4 5 4 5 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 25 Delivery Settlement Pending Delivery Report Name Pending Delivery new Report Code RPTCE200 Purpose This report lists all Pending Deliveries per member Notes on format This report is also available as a raw data file RAWCE200 Restrictions Non Clearing Members NCM do not get this report Fields REF FIELD NAME DESCRIPTION 1 CLEARING Member ID o
109. n Delivery Positions NEW Raw Data File RAWCC042 This new raw data file is generated and sent to EEX Derivatives Market Exchange Members and EEX Derivatives Market Clearing Members It is used as input to calculate the additional margin amount required for members holding open positions in a Futures contract on electricity Only the last 4 fields have been added to RAWCC040 to form RAWCC042 The functionality for producing the raw data file RAWCC042 will be available on 30 10 2000 but it is not provided with data until November 27 2000 RAW ID COD RWCC042 This field contains the identification code of the raw data stream Values include RAWCC042 valid data record ENDCC042 end of raw data stream RAW EFF DAT RWCC042 This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD RAW CRT PROC DAT This field identifies the creation day of the raw data RWCC042 stream The format of this field is YYYYMMDD ENV NO TXT RWCC042 This field identifies the environment this raw data file belongs to 00 production environment 01 simulation environment MBR CLG ID COD RWCC042 This field contains the identification code of the Clearing Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Raw Data Interface Page 17 FIELD DESCRIPTION a MBR EXC ID COD RWCC042 This group field contains the identification code of the Exch
110. n Message window for MISSs that trading in these products is not possible Attachment 5 to Eurex Circular 067 00 X pand inle lhe Future Fax Reply Eurex Release 4 1 Simulation 4 September 2000 24 November 2000 We kindly ask you to copy fill in and return this fax on the following dates 6 September 13 September 20 September 27 September 4 October 11 October 18 October 1 November 8 November 15 November and 22 November To Eurex Member Readiness Frankfurt Fax 49 0 69 2101 1701 MEMBER ID Name Company Phone CO MISS Architecture C UD Architecture Front Office a Successfully traded with Eurex X ceed MISS b Successfully traded with Eurex X ceed MISS c Eurex trading screens UD Successfully traded with Third Party application Name of the application Back Office al ae a Successfully used the Eurex Clearing GUI FMS Screens b Successfully used a back office Third Party application Name of the application ESES i a eT Pre Batch Assignments received correctly Theoretical Price File processed correctly End of Day Year end processing performed correctly All Front Office Applications are ready for production ae ae All Back Office Applications are ready for production fo oa o o Date Signature Attachment 5 to Eurex Circular 067 00 X pand into the Future eurex registration for Eurex Release 4 1 Simulation 4 September
111. nality is planned in October 2000 The focus of the new release is e to extend the Clearinghouse s clearance capabilities to include spot forward and repo repurchase agreement transactions in fixed income securities referred to as bond trades e to add new settlement locations for the settlement of bond trades e to include bond trades in the risk based margining system of the Clearinghouse allowing cross margining and cross collateralisation between the products of the Eurex Exchanges and bond trades e to open Eurex Clearing AG s membership structure to include Clearing and Non Clearing memberships for Participants who are not Eurex Exchange Participants but who wish to have Eurex Clearing AG clear their bond trades The release has been structured so that Clearinghouse members who engage only in business on the Eurex exchanges will not need to alter their systems to accommodate the changes in this release Attachment 3 to Eurex Circular 067 00 2 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 3 Functional Changes Trading Locations amp Products The Clearinghouse currently provides clearing functionality for the Eurex Exchanges With the new release the Clearinghouse will be able to provide clearing services for e existing Derivatives trades from the Eurex exchange e cash and forward trades up to maximum 364 days in certain highly liquid fixed rate gove
112. ng system Timeframe Timeframe yesterday to today today to tomorrow Clearinghouse Products Premium Variation Current Liquidating Value Futures non ATR o Diagram Types of Margin m Relevant margin type for the respective product Margin type not relevant for the respective product Detailed Description of Position Valuation Methods Risk Positions First repo transactions are split into separate bond trade positions one opening leg and one closing leg of the repo Then all bond trade positions are split for calculation purposes into separate cash and bond positions Additionally coupon compensation payments that will be processed under repo transactions are also identified and set up as cash positions Notifications and allocations will continue to be considered as futures positions until they successfully settle i e they will not be treated as bond positions in the margin calculations The following table shows from a member point of view the positions that are created according to different bond trade types 1 Future coupon payments on repo transactions during the repo period Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 6 SSS Bond Positions Cash Positions Opening leg for a seller of a Short Long repo Opening leg for a buyer of a Long Short repo Closing leg for a buyer of a repo Repo Coupon Compensation fo
113. ollowing new raw data reports will be generated daily by Eurex and sent to clearing members that participate in the Bond trading platform either through own participation or their non clearing members participation RAWCC011 Current Liquidating Margin RAWCC041 Liquidating Values II Raw Data File RAWCC011 Current Liquidating Margin The raw data file RAWCC011 provides members with their bond and cash positions in securities the current liquidation margin evaluation and several parameters required for the calculation thereof The copybook layout for the file is as follows ree re ots 10 RAW ID COD RWCC01 1 This field contains the identification code of the raw data stream Values include RAWCC011 valid data record ENDCC011 end of raw data stream 15 RAW EFF DAT RWCC011 15 RAW CRT PROC DAT RWCC01 1 10 ENV NO TXT RWCC011 This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD This field identifies the creation day of the raw data stream The format of this field is YYYYMMDD This field identifies the environment this raw data file belongs to Possible values are 00 production environment 01 simulation environment Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes _ _ _ _ Paget Fea oo o F _ peserpton O O 10 MBR CLG
114. onal Margin requirement of the Member Attachment 4 to Eurex Circular 067 00 2 3 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 4 Further adjustments are made to take into account the benefit of an upcoming coupon payment or deduction of a of a coupon payment if it should not be included Further details on the changes and calculations for risk based margining can be found in the Functional Release Notes Delivery Management Settlement of existing Eurex derivatives will be unchanged Clearstream Banking AG SIS SEGAINTERS ETTLE AG For cash bonds and repurchase agreement transactions settlement the Clearinghouse will have settlement accounts in Clearstream Banking Frankfurt AG and other relevant settlement locations based on member needs and will participate directly in batch and real time settlement processes as necessary to ensure maximal settlement As mentioned above the settlement of Repo transactions will not be subject to special procedures Each leg of the Repo will be settled as would any single bond trade due on such date and in such amount The Clearinghouse will confirm the upcoming settlements in the form of a settlement Report transmitted to each member The Clearinghouse will submit settlement instructions for itself and for its members to the settlement locations selected by the members Members and the Clearinghouse are each responsible for ensuring that they have th
115. onality for OTC Block Trade Entry Window European Energy Exchange EEX Derivatives Market 27 11 2000 A list of new and updated documentation is attached in Appendix B It will be provided in August 2000 In this document the term Eurex Release 4 1 refers to the electronic system that serves both organizations Eurex and EEX Derivatives Market in common 1 Technically available on all front end platforms from 27 11 2000 for details please refer to chapter 2 3 EEX is technically available as of 27 11 2000 but the exact introduction date will be announced by EEX Amendments to screens and reports for later support of EEX Derivatives Market will be introduced on 30 10 2000 Attachment 1 to Eurex Circular 067 00 2 1 2 2 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Functional Changes for Eurex Release 4 1 Page 5 Functional Changes for Eurex Release 4 1 Product State HOLIDAY With Eurex Release 4 1 a new product state HOLIDAY HOLID is introduced to indicate that a product is not traded for example due to a country specific holiday although the respective date is in general an exchange business day All trading associated transactions are disabled for products in the product state HOLIDAY This includes give ups take ups posting position maintenance trade adjustments and exercise notification Historical trade transfer and historical give ups take ups are not possible for a product on the
116. ormation only and shall not constitute investment advice This brochure is not intended for solicitation purposes but only for the use of general information All descriptions examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive Eurex reserves the right to alter any of its rules or contract specifications and such an event may affect the validity of information in this publication _ Eurex is a registered trademark Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes Table of Contents Table of Contents 1 1 1 2 2 1 2 2 3 1 3 2 3 3 4 1 4 2 4 2 1 4 2 2 4 2 3 4 2 4 4 2 5 4 2 6 4 2 7 4 2 8 4 3 4 3 1 4 3 2 4 3 3 4 4 5 1 5 2 6 1 6 2 6 3 Introduction Operating Systems Backward Compatibility for VALUES Interface Release Installation Notes User Device Front End MISS based Front End General Information Product State HOLIDAY OTC Block Trades for Futures Introduction of European Energy Exchange EEX Derivatives Market MISS based Front End X ceed User Profile New Graphical User Interface for Trading X ceed Printing Audio Signaling Sorting Additional Filtering Columns Freeze Last Order Maintenance Update Button File Export Graphical User Interface for Clearing Printing Update Button File Export Changes in the Exercise Overview Window User Device Interfaces B
117. orts all trade types including the new type E for EFP Trades OTC BLOCK TRADE With Eurex Release 4 1 a new list box is introduced that ENTRY allows to specify multiple OTC Block Trades The handling is analogous to the Mass Quote Entry Window The buyer may enter multiple OTC Block Trades and submit them afterwards with one action The seller is allowed to retrieve several Block trades collecting them in the list box and to approve them afterwards with one action OTC Block Trades are now available also for Futures EFP TRADE ENTRY NEW The EFP Trade Entry window is used to enter Exchange of Futures for Physicals EFP trades into system for clearing and settlement purposes EFP Trades can only be entered for EEX Futures products traded on the exchange Attachment 1 to Eurex Circular 067 00 5 4 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 18 Window name Org Short description of change DATE NUMBER NEW This is a new window for the Eurex Trading System FORMAT to configure the format used to display numbers and to choose between European and American date formats Note that delimiters if enabled are only shown when numbers are displayed As soon as users start to edit numbers the delimiters are removed and later added again once editing is finished Last Order NEW The new Last Order Maintenance window displays Maintenance order details of the or
118. orts the installation of Eurex 4 1 can be started at any time Saturday October 28 2000 Connection Test The connection test applies to all members The Eurex architecture will be available from 15 00 p m to 18 00 p m It is necessary to verify that all systems are upgraded The upgrade is mandatory in order to be able to trade at Eurex on Monday October 30 2000 after introduction of Eurex 4 1 software To verify the set up it is recommended that all systems including back up devices are connected to the Eurex architecture and a logon with an arbitrary trader account is recommended To check the setups of broadcast subscriptions the exchange will send public broadcasts via the newsboard Monday October 30 2000 Eurex Rel 4 1 first trading day Starting this day access to Eurex is only possible with the new Release 4 1 software for part 1 Attachment 2 to Eurex Circular 067 00 9 1 9 2 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Eurex Software Introduction in Production Part 2 Page 28 Eurex Software Introduction in Production Part 2 The software introduction of the second part of Eurex Release 4 1 is described in the following section Wednesday November 22 2000 Eurex will send the software to the members The software will be sent as an update Kit distribution to each MISS For MlSSes members will receive the Windows NT version of the software in addition to the platform s
119. ositions at the level of classes Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 7 e bond long positions 107 000 120 EUR nominal amount for e account P e bond X and e settlement date d and e cash short positions 105 930 1188 EUR percentage multiplied by nominal amount for e account P e currency EUR e corresponding to bond X and e settlement date d Example 2 On day T a member has made following trades with bond B nominal value 100 000 1 Purchase nominal amount 1 000 000 of bond B at price 110 with delivery in T 3 2 Sell 200 000 nominal amount of bond B at price 111 with delivery in T 3 3 Sell repo based on bond B with 500 000 nominal amount with opening leg at price 109 in T 2 and closing leg at price 111 in T 10 Risk positions in bond B as of day T are as follows ee of stem sono a Attachment 3 to Eurex Circular 067 00 2 5 2 2 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 8 Calculation of Current Liquidating Value CLV CLV of a Cash Position The current liquidating value of a cash position will be its value as of valuation date after performing a time value of money adjustment For cash positions to be paid in the future the CLV will be lower than the nominal amount of the cash position Money market interest rates will be used to make the
120. pecific software Please check the file transfer for completeness Monday November 27 2000 Eurex Rel 4 1 first trading day including the functionality of part 2 Starting this day access to Eurex is only possible with the new Release 4 1 software for part 2 Attachment 2 to Eurex Circular 067 00 10 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 EEX Software Introduction in Production Page 29 EEX Software Introduction in Production The official start will be after the introduction of part 2 of the Eurex software The start date will be communicated Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Appendix A Eurex Technical Documentation Page 30 Appendix A Eurex Technical Documentation The new and updated technical documentation will be available in August 2000 with the exception of the X ceed Eurex Trading Users Guide that will be available in September 2000 Final versions will be distributed in October 2000 New Eurex Technical Documentation Document Name of the Document D X0006800 Member Interface File Interface Layouts Updated Eurex Technical Documentation Document Name of the Document D X0001200 Eurex Financial Data Disseminator X0003400 Member Interface Specification File Interface X0003600 Eurex Programmable Interfaces X000430a Eurex Financial Data Disseminator File Service Interface Specification X0004
121. peserpton O O bond YYYYMMDD 10 SECU AI METHOD RMTHEB Accrued interest method 01 30 360 days year 02 30 365 days year 03 30 360 days year including Italian tax and 04 actual actual ICMA standard 10 SECU ACCRU INT RMTHEB PIC 9 3 9 9 Accrued interest for next coupon p a 10 SECU FREQ RMTHEB PIC 9 3 Number of coupon payments per year 10 SECU CDAYS ACCRU RMTHEB PIC 9 5 Number of days since last coupon counted according to specific accrued interest method 10 SECU CDAYS IN PER RMTHEB Number of days between last and next coupon counted according to specific accrued interest method 10 CURR TYP COD RMTHEB Currency Type Code ISO Code e g EUR CHF 10 CURR INTR RATE RMTHEB Market Cash Interest Rate of the Currency 10 RSK ADPT INTR RATE RMTHEB Risk Adapted Interest Rates 15 UP ADPT INTR RATE RMTHEB Currency s Risk Adapted Interest Rate Up 15 DWN ADPT INTR RATE RMTHEB Currency s Risk Adapted Interest Rate Down Attachment 4 to Eurex Circular 067 00 3 1 3 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 8 File FPTHEC Bond Coupon Parameters The Bond Coupon Parameters file contains coupon dates and rates for all bond securities It serves as an additional source for the evaluation of the current liquidation margin Similar to the current procedure for the FPTHEA file this file is sent during the End of
122. pplications For this please make copies of the fax reply attached to this guide and send your updated status every Wednesday during the simulation i e Part 6 September 2000 e 13 September 2000 e 20 September 2000 e 27 September 2000 e 4 October 2000 e 11 October 2000 e 18 October 2000 Part Il e 1 November 2000 e 8 November 2000 e 15 November 2000 e 22 November 2000 To Eurex Functional Member Readiness Fax 49 0 69 2101 1701 After a member has completed all relevant tests and reported full readiness no further fax replies will be required under normal circumstances 7 Related Documentation For further information on the introduction of Eurex Release 4 1 please refer to the Eurex Circu lars and documentation listed below All Circulars and documents can be downloaded from the Internet at http www eurexchange com Circulars are contained in the password protected section Info for Members Circulars Functional Manuals can be downloaded from Info for Members Manuals Documentation on Values API can be found in the Member Front End Devel opment Guide at Entrance Hall Access to Eurex Programming to Eurex Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide gt 14 August 2000 Page 9 Document Topic Date Comment Eurex Circular No 041 00 Eur
123. pplied as currently to all upside and downside value changes for margin classes in the same margin group in order to calculate the AM for the margin classes in a margin group Overall Margin Requirement The calculation of the overall margin requirement is performed by i treating the Current Liquidating Margin for each margin class analogously to the treatment of Premium Margin and ii otherwise completing the calculations as currently performed Delivery Management Settlement of existing Eurex Derivatives will be unchanged Clearstream Banking AG SIS SEGAINTERS ETTLE AG Accordingly the functionalities for Delivery Management described in the subchapters below are only valid for bond and repo transactions With the new release eligible bond and repo transactions see section 2 1 can be settled through at Clearstream Banking AG or at other relevant settlement locations based on member needs Members are responsible for ensuring that they have the cash and securities necessary in order to successfully settle all transactions Settlement instructions that remain unsettled at the end of one settlement day will remain in the settlement locations for settlement for during the next subsequent settlement process Settlement of repo transactions will not be subject to special procedures Each leg of the repo will be settled as would any single bond trade due on such date and in such amount Attachment 3 to Eurex Circular 067 00 2 6 1
124. r 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 10 e X is the nominal size of the position with a positive sign for member short positions and a negative sign for member long positions Coupon Adjustments Coupon adjustments are required when the bond position includes different coupons than those reflected in the spot price for the bond and the calculations performed above Two examples where there is a discrepancy between the two are shown below Example 1 missing coupon Assumptions The settlement date for a closing leg of a 1 month repo transaction is one day prior to coupon payment date valuation date is 2 days prior to coupon payment date settlement period for a spot transaction in the security is T 3 In this case the valuation formula would include only one day of accrued interest because settlement of a spot transaction would be one day after the upcoming coupon date This generates a valuation of the bond excluding the upcoming coupon On the other hand the bond position assumes settlement one day prior to coupon i e the bond position represents a right to receive the upcoming coupon In this case the value of the upcoming coupon needs to be added to the result of the standard computation Example 2 extra coupon Assumptions Position settlement date is one week after coupon payment date valuation date is 1 week prior to coupon payment date settlement
125. r Short buyer of a repo Repo Coupon Compensation for Long a seller of a repo The bond long and short positions are kept per member CM and NCM account security ISIN and settlement date The cash long and short positions are kept per member CM and NCM account security ISIN currency and settlement date Signs The following sign convention is used in risk based margining calculations and reports For member short positions where the Clearinghouse is due to receive cash or bonds the associated value will be assigned a positive sign consistent with the fact that this position is of positive value to the Clearinghouse For member long positions where Eurex Clearing AG is due to deliver cash or bonds the associated value will be assigned a negative sign When summed together positions with a total net value that is positive represent net positive value from the perspective of the Eurex Clearing AG and will give rise to positive margin requirements The opposite is true for positions whose total net value is negative Please note that different sign conventions are used in certain other i e non risk based margining calculations and reports Examples Example 1 A bond trade for a member to buy 107 000 120 EUR nominal amount of bond X at price 99 00000 to be settled at day d in the proprietary account P leads for this member to Having the security ISIN as a grouping parameter allows linking of cash positions to bond p
126. rcular 067 00 4 4 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 23 Repo Coupon Compensation Report Name Repo Coupon Compensation new Report Code RPTCD190 Purpose This report reflects all future coupon payments on repo transactions during the repo period Members are able to see at any time all future coupon transfers for all concerned repos The total amount per member and per clearing member is shown Fields FIELD NAME DESCRIPTION ENOMINATION Settlement Currency of the Product CURRENCY COUPON Coupon Payment Date PAYMENT DATE CLEARING Member ID of Clearing Member MEMBER MEMBER Code of the Exchange Member R CLOSE LEG Settlement Date of the closing leg or settlement date of the late SETTL DATE pending trade OPEN LEG Unique trade identification of the opening leg TRADE NO CLOSE LEG Unique trade identification of the closing leg TRADE NO 13 COUPON Indicator for whether the member will receive positive or pay AMOUNT negative the coupon amount RECEIVE EF 2 3 4 5 7 10 11 Attachment 3 to Eurex Circular 067 00 01 02 03 04 05 06 07 08 09 10 11 12 T3 14 t9 16 17 18 19 20 21 22 23 24 25 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 24 REF FIELD NAME DESCRIPTION PAY 14 Settlement location of trade member view Be 16 soo Total coupon a
127. rcular 067 00 X pand into the Future ES Eurex Clearing AG Functional Release Notes IC Release 2000 Eurex 2000 All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management Eurex and all other rights including but without limitation patent registered design copyright trade mark service mark connected with this publication shall also be vested in Eurex Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication no liability is accepted by Eurex for the use of information contained herein in any circumstances connected with actual trading or otherwise Neither Eurex nor its servants nor agents is responsible for any errors or omissions contained in this publication which is published for information only and shall not constitute investment advice This brochure is not intended for solicitation purposes but only for the use of general information All descriptions examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive Eurex reserves the right to alter any of its rules or contract specifications and such an event may affect the validity of information in this publication Eurex is a registered trademark Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG IC Release 2000 Functional Release
128. ring its lifetime as pending until it is either shown on the day of the settlement as settled or the day of the deletion of the corresponding deliveries as deleted Remark all numbers are positive and have to be interpreted with the buy sell indicator The copybook layout for the file is as follows 01 RWTC700 WS REC 05 RAW KEY RWTC700 10 RAW ID COD RWTC700 This field contains the identification code of the raw data stream Values include RAWTC700 valid data record ENDTC700 end of raw data stream 10 RAW DAT GRP RWTC700 15 RAW EFF DAT RWTC700 f This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD 15 RAW CRT PROC DAT RWTC700 This field identifies the creation day of the raw data stream The format of this field is YYYYMMDD 10 ENV NO TXT RWTC700 This field identifies the environment this raw data file belongs to Possible values are 00 production environment Attachment 4 to Eurex Circular 067 00 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes gt Paged a 10 MBR CLG ID COD 5 This field contains the identification code of the Clearing Member IC This field contains the identification code of the Exchange Member IC O 10 ACCT TYP COD RWTC700 This group field contains the account Field values include A1 Agent accounts PP Proprietary ac
129. rivatives Market 3 2 1 Liquidating Values Report for EEX Products RPTCC042 A new Liquidating values report will be created to show the Variation per contract and not per margin class for products of EEX Derivatives Market This is necessary in order to prevent netting between contracts EUREX LIQUIDATING VALUES FOR EEX PRODUCTS PAGE 149 RPTCCO042 DOWNSIDE AS OF DATE 08 11 00 RUN DATE 08 11 00 CLEARING MEMBER TUBDU HSBC TRINKAUS amp BURKHARDT KGAA ACCOUNT PP CURRENCY EUR EXCHANGE MEMBER TRD001 TRADER 1 MARGIN GROUP FELX MARGIN CLASS EEX ELECTRICITY PRODUCT NIT CURRENT MINIMUM CONTRACTS 5 Z VARIATION FEX1 DEC 00 1000 0000 995 000 00 988 000 00 988 000 00 FEX1 JAN 01 20 S 1000 0000 2 000 000 00 1 986 000 00 1 986 000 00 14 000 00 FEX1 FEB 01 1000 0000 3 045 000 00 3 024 000 00 3 024 000 00 21 000 00 Attachment 1 to Eurex Circular 067 00 3 2 2 3 2 3 Eurex Release 4 1 EEX Functional Release Notes Introduction of European Energy Exchange EEX Derivatives As of 10 30 2000 Page 11 Additional Margin Report for EEX Products RPTCC047 A new Additional Margin Report will be created to show the margin requirement for products of EEX Derivatives Market on a contract basis EUREX ADDITIONAL MARGIN FOR EEX PRODUCTS PAGE 8 RPTCCO47 AS OF DATE 08 11 00 RUN DATE 08 11 00 CLEARING MEMBER TUBDU HSBC TRINKAUS amp BURKHARDT KGAA ACCOUNT PP EXCHANGE MEMBER ALLHH ALLERS BORSENHA
130. rnment bonds e repo trades on the above mentioned bonds which comply with the following conditions e exclusively fixed term repos e fixed price repos i e without rate resets during the life of the repo e one security per repo e there are no substitutions underlying bond traded in both legs of a repo cannot be changed during the life of the repo The Clearinghouse will announce at a later date the trading locations from which it can receive cash and forward bond and repo trades Coupon Compensations Repo Transactions In the event of a coupon payment on a security for which there is an outstanding repo closing leg position the Clearinghouse will process a transfer of the coupon amount from the buyer to the seller under the repo The Clearinghouse will collect the coupon amount from the buyer by debiting its account or the account of the buyer s Clearing Member at the LZB The Clearinghouse will transfer the same amount to the seller at its account or the account of the seller s Clearing Member at the LZB Late Settlements Coupon compensation payments are also made in the event of a late settlement obligation where the seller was meant to deliver securities prior to the coupon payment date but does not do so until on or after the coupon payment date Unless such coupon compensation payments are performed automatically by the settlement location the Clearinghouse on actual settlement date will debit the account of the member that
131. roduct state transitions for an instrument Market Messages for State Transitions State Transition Messages With the introduction of Eurex Release 4 1 a state transition message is generated for the transition into the product state HOLIDAY A new Product State Transition Identifier is introduced for that purpose This functionality will become available on 30 10 2000 New Product State Transition Identifier Interpretation of DATE_OR_TIME field Product State HOLIDAY Time All state transition messages indicate the start of the respective period Attachment 2 to Eurex Circular 067 00 8 1 8 2 e4 Eurex Release 4 1 EEX Technical Release Notes As of 10 30 2000 Eurex Software Introduction in Production Part 1 Page 26 Eurex Software Introduction in Production Part 1 The software introduction of the first part of Eurex Release 4 1 is described in the following section Times correspond to the Central European Time CET Wednesday October 25 2000 Eurex will send the software to the members The software will be sent to each UD and MISS For MISSes members will receive the Windows NT version of the software in addition to the platform specific software Please check the file transfer for completeness Disk Space Requirements The following table shows the necessary disk space for the installation kits Sun Solaris MISS 120 MB IBM AIX MISS 120 MB Intel Windows NT MISS 50 MB IBM AIX UD 7
132. rs to calculate additional margining the Back Office Systems are provided with information on the new margin class mapping for bond securities resulting from the Bonds trading platform The information is sent to the Members via the Security Margin Class and Group Information File FPMGBPRM Similar to the current procedure for the FPMGPARNM file this file is created during the End of day processing before the Eurex batch starts its margin calculation and is published on the internet The layout of the FPMGBPRNM file is as follows Ld es mies a Po a J OOOO Csoma O OSS 10 MGN PAR FLG RMMGBPRM PIC X Indicator if the margin parameter is given in absolute A or percentage P 05 DATA CURR RMMGBPRM 10 CURR TYP COD RMMGBPRM Currency Code ca ea 10 FORX EXC RAT RMMGBPRM Exchange Rate 05 DATA BOND RMMGBPRM Bond parameters 10 STD STL PERIOD RMMGBPRM Standard settlement Period in days per Bond Attachment 4 to Eurex Circular 067 00 5 3 5 12 10 MGN PAR RMMGBPRM 9 3 9 3 Margin Parameter This is the maximum fluctuation which a security can be expected to have during the next day Based on the historical volatility 3 1 3 9 9 3 3 1 2 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes Page 6 File FPTHEB Theoretical Values II The Theoretical Values II file provides Members with the security parameters used for the current liquidatin
133. rt RPTCD190 Repo Coupon Compensation Type Description 190 IC CSH FLOW RECEIVED 192 IC CSH FLOW PAID Layout 1 rA 3 4 5 6 T 8 DAILY CASH ACCOUNT STATEMENT DEUTSCHLAND AG VALUE DATE REF TYPE DESCRIPTION OPENING BALANCE 31 10 00 063576 226 PREMIUM RECEIVED 31 10 00 063577 235 VAR MARGIN RCV 31 10 00 063603 190 IC CSH FLOW RECEIVED 31 10 00 063603 206 CASH WITHDRAWAL ENDING BALANCE 0 4 214 427 7 9 00 00 40 10 11 12 13 0123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012345678901234567890123456789012 PAGE AS OF DATE RUN DATE 1 30 10 00 30 10 00 CURRENCY EUR CREDIT BALANCE 259 567 40 3 954 867 50 0 0 00 Attachment 3 to Eurex Circular 067 00 4 6 4 6 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 32 Margin Current Liquidating Margin Report Name Current Liquidating Margin new Report Code RPTCC011 Purpose This Report shows current liquidating values for a specific bond and cash position for different dates as well as the sum of those values Notes on format This report is also available as a raw data file RAWCCO11 Fields FIELD NAME DESCRIPTION 1 CLEARING Member ID of Clearing Member MEMBER 2 EXCHANGE Code of the Exchange Member MEMBER ACCOUNT Code of the Account CURRENCY Currency of the Product MARGIN CLASS Margin Class CASH M
134. se adjustments More specifically the CLV of a cash payment will be calculated by the following formulae CLV C 1 r t 365 for cash payments in the future or CLV C for past due cash payments where e Cis the size of the cash payment e tis the number of days from the valuation date to the payment date and e ris amoney market rate for the time period from the valuation date to the payment date In order to protect Eurex Clearing AG against shifts in market rates the CLV of a cash payment will be calculated with a degree of conservatism to protect Eurex Clearing AG against any default The rate used to discount positive cash positions rp will be below market rates thereby overstating the value to the Eurex Clearing AG of the expected cash receipt called Risk adapted market interest rate down The rate used to discount negative cash positions ry will be above market rates thereby understating the cost of the cash flow to Eurex Clearing AG called Risk adapted market interest rate up The combined effect of the above is to overstate the value to Eurex Clearing AG of its net cash positions resulting in a higher current liquidating value of transactions and therefore a higher margin requirement i e providing greater protection to the Eurex Clearing AG Rp and ry will be set by Market Supervision to create the appropriate level of protection against market movements in short term rates The formulae for valuing a
135. sed for EFP Trades AE EFP Trade order add ME EFP Trade order match OTC Block Trades do not appear on this report e The order type field contains EFP for EFP Trades RPTTC545 DAILY BLOCK The Daily Block Trade Maintenance report TRADE additionally contains Block Trades on Futures MAINTENANCE RPTTC810 DAILY TRADE The Daily Trade Confirmation report is enhanced CONFIRMATIO to include EFP Trades The following changes N are introduced for EFP trades e The column TRAD TYP shows the code E in case of an EFP trade e The column ORDER TYPE CODE shows the code EFP in case of an EFP trade RPTTD975 TRADING The Trading Volume and Market Share Futures VOLUME amp report additionally contains Block Trades on MARKET Futures SHARE FUTURES RPTTD976 YEAR TO Eurex The Year to Date Trading Volumes by Member DATE EEX Futures report is enhanced to additionally TRADING contain Block Trades on Futures VOLUMES BY MEMBER FUTURES Attachment 1 to Eurex Circular 067 00 Eurex Release 4 1 EEX Functional Release Notes As of 10 30 2000 Appendix A List of Modifications Page 20 Report ID Report Short Short Description of Change Name RPTCBO10 POSITION The Position Detail report is enhanced to include DETAIL EFP Trades The column Movement shows EFP Trade in case of EFP Trades the trading unit will be left blank RPTCB110 ACCOUNT The Account Transfer Exception report is TRANSFER enhanc
136. ssing Clearing Members will not have direct access to the trade management functionality If applicable access to trade management functionality will be provided by the respective trading locations Risk Management Objectives With the extension of its activities into the clearing bond trades the risk based margining system of the Clearinghousewill be extended to cover such transactions The extension of the risk based margining system has been conceived to achieve the following objectives e to incorporate positions arising from bond trades e to maintain the same degree of risk coverage for Eurex Clearing AG as is presently the case e to require no systems changes for Eurex Exchange Participants that do not engage in bond trades to be cleared by the Clearinghouse Attachment 3 to Eurex Circular 067 00 2 5 2 2 5 2 1 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 5 e to require no changes in amounts of margin to be provided by Eurex Exchange Participants that do not engage in bond trades to be cleared by Eurex Clearing AG e to leave intact the margining system as it applies to Non Clearing Members Direct Clearing Members and General Clearing Members e to allow cross margining between derivative positions and related positions resulting from bond trades e to provide members with electronic information necessary to reconcile all calculations performed in the risk based margini
137. t in the member s chosen settlement location Due to the fact that underlying trades may be concluded between members preferring different settlement locations settling in each member s preferred settlement location generally would lead to imbalances between deliveries from and receipts into the Clearinghouse s accounts in each settlement location In order to balance its settlement accounts the Clearinghouse will determine net cross border settlement transactions for each security for each involved settlement location per settlement day These calculated settlement transactions will be randomly assigned to members who originally were involved in cross border trades A member receiving an assignment of such a settlement transaction will be required to deliver from its preferred settlement location to the Clearinghouse at a different location Attachment 3 to Eurex Circular 067 00 2 6 3 2 6 4 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 15 Partial Deliveries In case of failure by Clearing Members to deliver a security timely on settlement date to the Clearinghouse the Clearinghouse i will not be able to fulfil all of its settlement obligation on the scheduled settlement date and ii could if it took no further action be forced to carry a long security position from one day to the next In such a case the Clearinghouse will make a partial delivery in order to reduce its long s
138. t possible for a product on the day after the holiday The functionality for the product state HOLIDAY will become available on 30 10 2000 OTC Block Trades for Futures Currently OTC Block Trades are only supported for Options With Release 4 1 the Eurex trading system supports OTC Block trading for Futures The system support for OTC Block Trades of Futures will become available on 27 11 2000 The decision to release this functionality will be done individually per product Introduction of European Energy Exchange EEX Derivatives Market Products of the European Energy Exchange EEX Derivatives Market are commodity derivatives where the underlying commodity is electricity During EEX Derivatives Market trading hours EEX exchange members can trade Futures of EEX Derivatives Market and create open positions An open position represents the quantity of the underlying energy commodity that an exchange member has to deliver short position or accept delivery long position upon expiration of the Futures contract The system capabilities for EEX Derivatives Market will become available on 27 11 2000 Amendments to screens and reports supporting EEX Derivatives Market will be introduced earlier on 30 10 2000 EEX Derivatives Market is only available to MISS users EEX Derivatives Market is not supported on UD configurations The raw data interface changes due to the introduction of EEX Derivatives Market The Financial Data Disseminator F
139. te when the pending delivery transaction has been created 10 SETTLMNT Settlement date of the pending delivery transaction DATE 11 Buy Sell indicator Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 29 BEF FIELD NAME DESCRIPTION 12 NOMINAL Nominal amount to be received positive or to be delivered QUANTITY negative SETTLEMENT Settlement amount to be received positive or to be delivered AMOUNT negative TRADE REFER Reference Number to Pending Trade ID 15 CSD Central Securities Depository Settlement Location of counterparty 16 ACCOUNT Settlement Account code of counterparty member at the settlement location REMARK Free Text field reference to trade ID for coupon payments TOTAL Total amount per Settlement Date SETTLEMENT DATE TOTAL ISIN Total amount per ISIN TOTAL CSD Total amount per CSD TOTAL Total amount per Clearing Member CLEARING MEMBER Attachment 3 to Eurex Circular 067 00 01 02 03 04 05 06 07 08 09 10 Ti 12 13 14 15 16 137 18 Lg 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 a 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 ER 78 719 80 81 82 Eurex Clearing AG IC Release 2000 Functional Release Notes Version 1 0 As of 30 10 2000 Pag
140. th for all products or a subset of products Additionally the entry of the Exchange member field in the Exercise Filter will be made optional for Clearing Members This allows a Clearing Member to inquire all long positions over all NCMs belonging to the Clearing Member by leaving this field blank Attachment 5 to Eurex Circular 067 00 SO Te LE anaa A A ea E a aT DT a a aaa Eurex Release 4 1 Simulation 4 September 24 November 2000 Eurex Release 4 1 Simulation Guide 14 August 2000 Page 12 Functionality to be tested Eurex Eurex Mem X ceed Part II Simulation Clearing ber User Eurex Trad System User Manual ing User Guide Trading Guide OTC Block Trades for Futures for X ceed Ch 3 10 to be updated and UD The new Java Trading GUI X ceed ee ee to be updated e Print Export Functionality A new Print Functionality has been introduced to directly print the displayed listbox contents of the overview windows to a connected printer and allows the trader to choose all data or selected data to be printed To export data into a file the user has to select the Export menu which can be found under the Window menu e New Trading Filter The Trading Filter window is used to specify filter criteria when inquiring and displaying trades orders and quotes on the corresponding overview windows The Trading Filter window is a new window and replaces the Trade Contract Filter and Trade Profile Filter windows e Last Order
141. ttachment 3 to Eurex Circular 067 00 4 2 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 19 Daily Trade Maintenance Report Name Daily Trade Maintenance new Report Code RPTTC710 Purpose This report lists all non derivatives pending trades that have been entered by Market Supervision on behalf of the Clearing Member Notes on format None Fields FIELD NAME DESCRIPTION MEMBER Exchange Member s code ISIN Security identification 3 SETTLEMENT Currency of the Product CURRENCY 4 TRADING Identification of the Trading Location LOCATION 5 TRADE Unique internal trade identification NUMBER a MAINT TIME Time the trade was added deleted modified by EUREX 1 MAINT CODE ADD new trade DEL existing trade ORG modification of a trade e g change of CSD and settlement MOD account TYP Indication of the trade type S spot trade R repo trade B spot leg of basis trade LEG Leg number Spot trade has one leg repo has two legs 1 for first leg 2 for second leg Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG IC Release 2000 Functional Release Notes Version 1 0 As of 30 10 2000 Page 20 FIELD NAME DESCRIPTION Buy Sell indicator QUANTITY Nominal amount of the trade Layout 1 EUREX RPTTC710 MEMBER ISIN TRADE NUMBER 5 12345670123456 12345670123457 1334
142. ty to make print outs of the table contents for several screens Header and footer lines are printed on each side with informational data The printer can be selected for each print transaction The standard printer is used as default Audio Signaling This functionality provides the signaling of events by sounds for the following events e Trade executions for the own Trader ID e Transition of the Trading Phase for a certain product or certain set of products Profile The actual sound to be played is user defined to differentiate the signal with other applications A new window is created in the Settings menu to map the event to a profile and to select a specific sound file that is played once the event is triggered Sorting This functionality provides the possibility to define the sort order of data rows in several windows The sort functionality is similar to the sorting in Microsoft Excel Additional Filtering This functionality provides additional filter criteria on several windows The following filter criteria may be used Trader ID Account Customer Text MlOrdNo Price Order Number TradeNo Additionaly it is possible to filter by Date Time and TradeType One filter window is used for all windows Columns Freeze With this functionality the users have the possibility to freeze leading columns This columns will stay at their place when scrolling to the right The columns freeze functionality is only implemented in t
143. uidating value of the net positions assuming the minimum expected price Attachment 4 to Eurex Circular 067 00 4 4 4 4 1 Eurex Clearing AG Version 01 IC Release 2000 As of 30 10 2000 Technical Release Notes _ _ Paa Delivery Management For Delivery Management the following new raw data reports will be generated daily by Eurex and sent to clearing members that participate in the Bond trading platform either through their own participation or their non clearing members participation RAWCE200 Pending Delivery RAWCE210 Settled Cancelled Deliveries Raw Data File RAWCE200 Pending Delivery The raw data file RAWCE200 provides the Member with a list of all pending deliveries For the raw data CE200 and CE210 the same file layout will be used The copybook layout for the file is as follows e e e 10 RAW ID COD RWCE200 This field contains the identification code of the raw data stream Values include RAWCE200 RAWCE210 valid data record ENDCE200 ENDCE210 end of raw data stream 15 RAW EFF DAT RWCE200 This field identifies the business day of which the raw data stream is created The format of this field is YYYYMMDD 15 RAW CRT PROC DAT RWCE200 8 This field identifies the creation day of the raw data stream The format of this field is YYYYMMDD 10 ENV NO TXT RWCE200 2 This field identifies the environment this raw data file belongs to Possible values are 00 product
144. up and down maximums and no strikes in between as there are no options in the margin classes are used for the calculation of liquidating values Notes on format This report is also available as a raw data file RAWCD041 Fields FIELD NAME DESCRIPTION 1 CLEARING Member ID of Clearing Member MEMBER 2 EXCHANGE Code of the Exchange Member MEMBER ACCOUNT Code of the Account CURRENCY Currency of the Product 5 MARGIN Margin Group GROUP Ter MARGIN CLASS Margin Class CASH Market Cash Interest Rate of the Currency INTEREST RATE RISK ADAPTED Currency s Risk Adapted Interest Rate Up INTEREST RATE UP Ee RISK ADAPTED Currency s Risk Adapted Interest Rate Down INTEREST Attachment 3 to Eurex Circular 067 00 Eurex Clearing AG Version 1 0 IC Release 2000 As of 30 10 2000 Functional Release Notes Page 38 FIELD NAME DESCRIPTION 10 ISIN ISIN of the security for which the risk positions and the liquidating value is shown Security Short Name COUPON RATE Coupon rate of the bond 13 CURR PRICE Current Security Price For bonds the clean market price as a percentage price Current liquidating value of the security net positions of the settlement date LIQUIDATING Liquidating value of the net positions assuming the maximal VALUE UP expected price LIQUIDATING Liquidating value of the net positions assuming the minimal VALUE DOWN _ expected price 21 LIQUIDATING Difference between Current Liquidat
145. usiness day of which the raw data stream is created The format of this field is YYYYMMDD RAW CRT PROC DAT This field identifies the creation day of the raw data RWCE120 stream The format of this field is YYYYMMDD ENV NO TXT RWCE120 This field identifies the environment this raw data file belongs to 00 production environment 01 simulation environment MEMB CLG ID COD RWCE120 This field contains the identification code of the Clearing Member MEMB EXC ID COD RWCE120 This group field contains the identification code of the Exchange Member CURR TYP COD RWCE120 This field contains the identification code of the currency PROD TYP COD GRP This field contains the product type code RWCE120 SECU ID COD RWCE120 This field contains the unique identification code that Eurex has assigned to the product SERI CLAS COD RWCE120 This field contains the class of an options series Field values include C Call P Put This field will be formatted with a space for futures Attachment 2 to Eurex Circular 067 00 Eurex Release 4 1 EEX Technical Release Notes Raw Data Interface As of 10 30 2000 Page 22 FIELD DESCRIPTION a SERI EXP DAT RWCE120 EXER PRC RWCE120 SERI VERS NO RWCE120 This field contains the year and month when an options series expires or a futures contract is settled The format of this field is YYMM This field contains the price at which an options series can be exercised This field will

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