eurex information
Contents
1. PLENUM AG O N SVG FUGIUM HOLDING AG_SVG SC AC 0 TDS INFORMATIONSTECH SVG 745510 E0007455107 TFX Continuous Trading TELDAFAX AG O N Continuous Tradi DE0007454902 DEO00 7488207 TECHNOTRANS AG DM5 IGL O 6 723890 DE0007238909 Continuous Tradi o 508160 DE0005081608 W E T AUTOM SYS AG SVG 506150 DE0005061501 IXOS SOFTWARE AG O N2. X p nd into the Future eurex information Date Frankfurt 22 May 2001 Recipients All Eurex Clearing members and vendors Authorized by Gregor Althoff Equity Central Counterparty CCP Information 16 01 Contact Functional Member Readiness Tel 49 69 2101 1700 Content may be most important for Attachments 1 CCP Information 16 01 English Deutsch 2 CCP Simulation Scripts and Schedule English Deutsch gt Equity Central Counterparty Coordinators Please find attached a copy of the Equity Central Counterparty information 16 01 sent to Xetra and FWB members and vendors on May 21 2001 Simulation scripts and the schedule for phase of the central counterparty simulation for equities starting May 28 2001 are also attached These Documents provide further information on the execution of simulation phase I Eurex Deutschland Functional Member Readiness Alternative Management Board D 60485 Frankfurt am Main Tel 49 69 2101 1700 Tel 49 69 9770 1700 Rudolf Ferscha J rg Spillmann www eurexchange com Fax 49 69 2101 1701 Fax 49 69 9770 1701 Thomas Lenz Michael Widmer Daniel Gisler Deutsche CCP Information 16 01 Borse To the FWB Members Xetra Members and Vendors FWB ya E Frankfurter Recipients General Trading Contacts Back Office Wertpapierb rse System Administrator Project Coordinator Management Neue B rsenstra e 1 60487 Frankfurt am Main Mailing Address 60485 Frankfurt am Main Telep
3. scheduled Ready for Batch only on 04 00 PM 04 00 PM 04 00 PM days with batch Last time for instruments to go to post trading There will be instruments that will switch earlier to post trading due to technical restrictions Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 11 of 37 3 3 Simulation Data Set up For the Equity CCP simulation the following set up will be provided to support members simulation activities Xetra e Technical member data i e IP address node name logical name node password network password primary and backup access point hardware type 2 report nodes application identifier etc will be taken from Xetra Release 6 0 Permanent Simulation e Functional member data i e member name member address KV number member type clearing type settlement account fee package etc will be taken from Xetra Release 6 0 Permanent Simulation e Functional user data i e user name account type user password activation status etc will be taken from Xetra Release 6 0 Permanent Simulation Additional users may be set up by the members security administrators during the Equity CCP simulation XONTRO Trade e To access the XONTRO Trade simulation environment the already known password XETRASIM can be used User IDs have the format kkkk199800 where kkkk is the member s Kassenvereinsnummer For further information please contact Deu
4. Day IPO Freeze HALT Halt SUSP Suspended VOLA Volatility Interruption VOLA of Continuous Trading DEL Instrument ready to be deleted ENDTR End of Trade 21 05 01 Page 12 of 37 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 13 of 37 3 5 Simulation Support 3 5 1 Supporting Documentation The following documents are available to provide background information for the Equity CCP not covered in this document Some of the documents are provided for each of the two phases separately Name of Document Date of Publication Member Information Package Member Activity Plan CCP This document provides Xetra Members 08 02 2001 with a scheduled guideline of their activities in conjunction with the introduction of the Eguity CCP Member Brochure CCP This document decribes the main 08 02 2001 features of the Eguity CCP service which will be introduced in the first step for selected eguities Connection Alternatives CCP This document specifies the alternative 08 02 2001 connections for Equity Clearing Members that are currently not connected to the Eurex platform Interface Descriptions CCP This document is addressed to all Xetra 08 02 2001 members and describes the changes in interfaces that are introduced with the functionality of the Equity CCP Preliminary Technical amp These functional notes describe the 04 04 2001 Functional Release Notes CCP co
5. RPTTC550 RAWTC550 Open Order Detail e RPTTC810 RAWTC810 Daily Trade Confirmation e RPTTC815 RAWTC815 Daily Netted Trade Detail LU 4 2 3 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 25 of 37 Xetra Release 6 0 Exchange Trading System User Guide e Chapter 4 3 1 Fast Order Entry Window e Chapter 4 3 2 Order Entry Window e Chapter 4 3 3 Mass Order Entry Window e Chapter 4 3 4 Quote Entry Window e Chapter 4 3 5 Mass Quote Entry Window e Chapter 4 5 1 Own Order Overview Window e Chapter 4 5 2 Order Maintenance Window e Chapter 4 5 3 Mass Order Maintenance Window e Chapter 4 5 5 Own Quote Overview Window e Chapter 4 5 7 Back Office Information Window e Chapter 4 5 10 Order Fee Overview Window e Chapter 4 5 13 Trade Information Window Account Level Netting Whereas functionality of price level netting and order level netting becomes effective during the online trading day already the crucial feature of account level netting is created during the batch All trades with the account level netting indicator set will be netted together per instrument account type trade side buy sell settlement location and settlement account Further in case of account level netting order level netting is always included Thus if an order is entered with the netting type account level netting it will be handled like an order level netted order during the online
6. The following assumptions have been made regarding this document e New Xetra members may only participate after they have successfully taken part in an integration session conducted by Deutsche B rse Group Such a session should consist at least of the following activities e Startup of the Xetra Technical Services on a MISS MISS group and on a workstation if applicable e Login to Xetra Trader on a MISS and on a workstation if applicable e Login to Eurex Clearing GUI for new Equity CCP Clearing Members e Verification of public broadcast receipt e Verification of private broadcast subscriptions e Logout from Xetra Trader on a MISS and on a workstation if applicable Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 5 of 37 e Logout from Eurex Clearing GUI e Shutdown of the Xetra Technical Services on a MISS MISS group and on a workstation if applicable e Simulation participants are familiar with the ECCP Simulation Guide Phase as well as the Equity CCP Simulation Software 1 functional e For the creation of risk based magining reports Login to Eurex Clearing GUI is necessary e All members of FWB Xetra and Floor all Equity Clearing and Non Clearing Members as well as the vendors Front and back office software are asked to participate in the simulation Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Ph
7. e A clearing relationship needs to be established to an ECCP Clearer for all NCM s For DCM s and GCM s a Eurex Clearing Member ID needs to be established e Report selection is only possible with Eurex infrastructure Steps in the Eurex System for requesting reports e The user should first ask his system administrator where the printer is on which the reports are normally printed e The Member Report Selection Screen can be reached either through the Main Menu and the Member Maintenance Menu or directly with the so called fast procedure by pressing the function key Go To and entering the screen code JO10 e A report is selected by marking it with an X in the SEL column and then filling in the entry fields accordingly e Two different changes can be made e First possible change Limited Change The user gives the report date until a maximum of five days back and enters the selected printer location either for reprint or an historical view A reprint is a new print of a report which the member has already received once By historical report one understands the first ever print of data of a selected date In both cases the report required is printed at the next batch processing e Second possible change Permanent Change Enter a Y Yes if this report must be printed In the LOC column enter the location of the printer on which the report should be printed Leave the date field free This shows that this is a perm
8. on the following e Simulation calendar e Simulation trading schedule e Information about data and functionality available during the simulation e Details about the support provided by Deutsche Borse throughout the simulation 3 1 Simulation Calendar The simulation calendar below covers all parts of the Equity CCP simulation for Phase During the entire simulation the simulation environment will be available 24h continuous release simulation with two batch runs per week to provide vendors and members with additional time to develop and test their applications The XONTRO batch run is planned for 8 30 p m The simulation calendars of Eurex and Xetra are synchronised with respect to business days and batch runs After completion of Eurex batch run the Eurex reports are available Monday Tuesday Wednesday Thursday Friday Saturday Sunday 28 Mai 2001 29 Mai 2001 30 Mai 2001 31 Mai 2001 01 Juni 2001 02 Juni 2001 03 Juni 2001 Business Date Business Date Business Date Business Date Business Date Business Date Business Date 28 Mai 2001 31 Mai 2001 31 Mai 2001 31 Mai 2001 04 Juni 2001 04 Juni 2001 04 Juni 2001 Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation 10 00 AM Start Pre Trade 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Ope
9. the Modify button in the Back Office Information window is disabled for pending give up take up trades Check that fees of a given up trade are not transferred to the receiving member but stay with the original owner of the trade Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 31 of 37 e Back Office Information window e Bach Office Information Filter window e Trade Maintenance window e Give Up Take Up Overview window e Give Up Take Up Filter window e RPTTC810 RAWTC810 Daily Trade Confirmation e RPTCBO42 RAWO42 Fee Per Executed Order Xetra Release 6 0 Exchange Trading System User Guide e Chapter 4 5 7 Back Office Information Window e Chapter 4 5 8 Back Office Information Filter Window e Chapter 4 5 9 Trade Maintenance Window e Chapter 4 5 11 Give Up Take Up Overview Window e Chapter 4 5 12 Give Up Take Up Filter Window 4 4 Risk Based Margining The risk based margining of the Equity CCP is based on risk positions The general approach to calculate margins consists of two steps In the first step the mark to market principle is applied which results in Current Liquidation Values CLV This step is essential to avoid any accumulation of loss The second step is to calculate the so called Additional Margin AM This component is calculated to cover the risk of an adverse one day price movement in the security This approach is implemented for Eurex derivati
10. trading day If the order quote is fully executed against several orders quotes at one limit one execution confirmation and one trade confirmation are sent to the member If the order quote is fully executed against several orders quotes at different limits one execution confirmation for each execution price is sent to the member including the respective price In case of a partially executed order quote an execution confirmation and an update trade confirmation are sent to the member for each further partial execution The update trade confirmation includes the average price and the accumulated volume based on all executions of the order for the current trading day as well as the price and volume of the last execution Only one trade ID is assigned independently of the number of partial executions during the current trading day The trade confirmation broadcasts sent out with each additional partial execution will Balancing will be introduced from June 20 2001 onwards Prerequisites Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 26 of 37 contain the originally assigned trade ID and an increasing suffix Account level netting averages different prices resulting from different execution times of partial executions at different prices for one order quote and accumulates all executed volumes During batch accumulation is executed on the buying and selling side The accumulated pos
11. whom he is acting as clearer and approve the give up trades and take up trades of his non clearing members Senior traders can give up or take up trades on behalf of their trader sub groups Give up Take up transactions are only supported for trades of the current day Thus the process of giving up taking up has to be completed before the end of post trading Otherwise all trades will be reassigned to their originator The number of give up take up transactions is not limited Trade modifications cannot be performed for pending give up take up trades In case a member has accepted a taken up trade fees are not transferred to the receiving member and stay with the original owner of the trade Furthermore no additional transaction fees are charged for give up take up transactions Xetra Business Date each simulation day Simulation hours 10 00 a m Tuesday 4 00 p m Thursday 10 00 a m Friday 4 00 p m Monday Reports available next day after batch run e Give up Take up functionality can only be performed for instruments which will be handled by the CCP e Set up resource access levels In order to apply the new give up take up functionality the member supervisor has to select the following resource access levels for his users Give up Trades Enabling a user to give up trades Take up Trades Enabling a user to take up trades Inguire Give up Take up Trades Permitting a user to see the display of the given up take
12. 001 04 04 2001 V 25 04 2001 New document amp 02 05 2001 New document 09 05 2001 14 05 2001 New Date To be defined To be defined To be defined 21 05 2001 New Date 23 05 2001 dependingon Frankfurt Stock Exchange Council committee 3 5 3 Online Inquiry of Xetra Schlussnoten in Simulation During Xetra simulation trade documentation will be available online as Schlussnoten Contract Notes in XONTRO Trade within the test environment IMS27 after the next batch run This service will be provided during the simulation period from June 30 2001 until July 12 2001 In order to login to the IMS environment with the members own Clearstream Account number or Clearing Member Account number the steps listed below should be followed Open a 3270 Terminal Emulation Enter MS27 in the corresponding field of the login mask Enter ID KZ xxxx199800 xxxx Clearstream Account Clearing Member Account and PW XETRASIM Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 16 of 37 Personal XONTRO Trade Schlussnoten Contract Notes containing the Xetra trades are available using transaction code TRAN BCAG and FC AL In the following mask X for Xetra needs to be entered in the field Abrufgruppe and 1 in the field Abruf Nummer It is possible to filter the display by entering an Instrument ID WKN or abbreviation In this case no entry is allowed in the field Abru
13. 1 RAWCCO10 Premium Margin e Chapter 4 2 2 RAWCCO11 Liguidating Margin e Chapter 4 2 3 RAWCCO41 Liquidating Values II Eurex Member Manual Clearing Descriptions of Screens e Chapter 4 6 3 Member Report Selection Screen JO10 Eurex User Manual e Chapter 8 2 Selection of Reports by Member e Chapter 8 3 Description and Use of the Selection Screen Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 34 of 37 5 Instruments available for Equity CCP Simulation Phase The Equity CCP functionality is available in the first release for equities that are subject to CSC Collective Safe Custody Girosammelverwahrung and are listed on Xetra Equities subject to NCSC Non Collective Safe Custody Wertpapierrechnung as well as exchange traded bonds are not part of the first release Company issued warrants or other option like securities are not part of the CCP functionality in this release either with the only exception of subscription rights Bezugsrechte in supported securities which come to life with a corporate action Securities traded on the relevant trading system which are not subject to CCP processing will continue to be bilaterally conducted trades as today and remain subject to EK Neu risk management OTC trades conducted on the trading platform are not in the scope of this release either All equities which are included in the Equity CCP s
14. 2001 24 Juni 2001 Business Date Business Date Business Date Business Date Business Date 20 Juni 2001 21 Juni 2001 25 Juni 2001 25 Juni 2001 25 Juni 2001 Simulation closed Simulation closed Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Wednesday 25 Juni 2001 26 Juni 2001 27 Juni 2001 28 Juni 2001 29 Juni 2001 30 Juni 2001 01 Juli 2001 Business Date Business Date Business Date Business Date Business Date Business Date Business Date 25 Juni 2001 28 Juni 2001 28 Juni 2001 28 Juni 2001 02 Juli 2001 02 Juli 2001 02 Juli 2001 Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation 10 00 AM Start Pre Trade 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Wednesday 02 Juli 2001 03 Juli 2001 04 Juli 2001 05 Juli 2001 06 Juli 2001 07 Juli 2001 08 Juli 2001 Business Date Business Date Business Date Business Date Business Date Business Date Business Date 02 Juli 2001 05 Juli 2001 05 Juli 2001 05 Juli 2001 09 Juli 2001 0
15. 9 Juli 2001 09 Juli 2001 Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation 10 00 AM Start Pre Trade 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Monday Tuesday Wednesday Thursday Friday Saturday Sunday 09 Juli 2001 10 Juli 2001 11 Juli 2001 12 Juli 2001 13 Juli 2001 14 Juli 2001 15 Juli 2001 Business Date Business Date Business Date Business Date 09 Juli 2001 12 Juli 2001 12 Juli 2001 12 Juli 2001 Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation Equity CCP Simulation No Simulation No Simulation No Simulation 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Please note that the Xetra business dates and the real calendar dates are not equal on all simulation days This simulation calendar covers two month ends but no year end Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 10 of 37 3 2 Simulation Schedules The following table shows the simulation schedules for Phase of the Equity CCP simulation as currently planned As the start times of the tradin
16. AUT U PARTNER VZ ORSCHE AG VZ AKT ROSIEBENSAT 1 O N VZO VZO NMETALL BERLIN AG NMETALL BLN VZ cp r CARBON AG n O 02 O WARZ PHAR OSSLOH AG XTRON AG O N ALDA AG O N ies ERTRANDT AG D MALBACH LUBECA AG SOFTWARE AG NA O N D PAR HANDELS AG VZ NAN gt pu gt Z oO ma ep gt ep a DNZ Yn M UEDZUCKER MANNH OCHSENF UEDZUCKER MA OCH VZ UGUSTA BETEILIG AG SVG C SERVICE AG NA O N DVA AG OPT NETW O N SVG GL UECHER DE AG O N M5 INFOMATEC O N SVG CS AG O N DE0005433007 DE0005454300 0 g OFTWAREHOUSE AG CENIT AG SYSTEMHAUS SVG 554550 DE0005545503 DRI Continuous Trading DRILLISCH AG SVG o GN AG O N 0 O 0 DE0005495709 570680 DE0005706808 EUD Continuous Trading EUROMED AG 622200 DE0006222003 622700 DE0006227002 INTERSHOP COMM O N Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 37 of 37 WKN ISIN Mnemonic _ Trading Model Type Name NOWELT MED O N NOS OWN 504350 BEO005023503 O Continuous Trading UON BIOSCIENCE AG ON CROLOGICA AG O N ORDEX ON o AN AG O 0 0 O 0 O 0 0 O LA lt lt O Z 687380 E0006873805 PCS Continuous Tradin C SPEZIALIST FR g g 691660 DEO006916604 PFEIFFER VACUUM TECHN IGL g g o
17. Group to become familiar with the new and enhanced functionalities introduced by the Equity CCP and to install and test their technology and business procedures prior to production To assure this opportunity the key objectives of the Equity CCP simulation are as follows e Familiarisation with Equity CCP and Eurex Clearing Clearing and Non Clearing members can familiarise themselves with the new clearing procedures related to the introduction of the Equity CCP e In house processes and systems test Members can test their in house processes and systems together with the Equity CCP Also the simulation enables the vendors to test their systems related to the Equity CCP e Early issue identification on both sides Member and Deutsche Borse Group By providing a production like set up and encouraging early and frequent participation of the members Equity CCP related issues that might otherwise come up in Equity CCP production can be detected much earlier e Support for production readiness The simulation supports the readiness of all members prior to the Equity CCP production start e High quality simulation Through periods of concentrated simulation activity with early involvement of relevant departments of Deutsche B rse Group a high quality simulation will be enabled Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 8 of 37 3 Simulation Details This section covers details
18. June 30 2001 1 Includes Update Trade Confirmations Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 7 of 37 More details regarding the Equity CCP functionalities in simulation Phase can be found in the Equity CCP Member Simulation Guide Phase or in the Equity CCP Simulation Software 1 functional During Phase II of the Equity CCP simulation the members will be able to test also the remaining features of the Equity CCP The Phase II will include all relevant systems for the Equity CCP namely Xetra Eurex XONTRO Order XONTRO Trade and Clearstream systems Lion CASCADE Phase II as currently planned will be partly a guided simulation For the guided part scripts will be provided with Equity CCP specific business cases Special time slots will be assigned to the members More details about business cases and time slots needed for Phase II of the simulation will be provided in the document ECCP Simulation Scripts and Schedules Phase II distributed prior to Phase II For further information concerning Phase II please see also the upcoming document Equity CCP Member Simulation Guide Phase II which will be also distributed to the members prior to the start of simulation Phase II and will provide the members with all necessary information for Phase II 2 2 Objectives The purpose of the Equity CCP simulation is to provide an opportunity for FWB members and Deutsche Borse
19. N Mnemonic Tradin g Model Type 21 05 01 Page 35 of 37 Name G MUENCH RUECKVERS VNASOE 716463 DE0007164634 SAP3 Continuous Trading SAP AG VZ O ST inuo i uo g inuo i VOLKSWAGEN AG VZG MGT Continuous Trading Instrument Group GER2 DEUTSCHLAND AXA COLVZ OST DM5 Instrument Group MDX1 MDAX Continuous Trading AVA INH AKT 630500 DE0006305006 DEZ Continuous Trading DEUTZ AG FAG KUGELF SCHAEFER DM 5 inuo ing 0 ing 608200 DEO006082001 OZ Continuous Trading PHILIPP HOLZMANN AG ous Trading o g inuo g 0 g 0 g 0 g 0 g 0 g Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase WKN Continu Continu DE0007246902 O 0 O O 0 O 0 724690 ISIN Instrument Group NM1 NEUER MARKT Continu gt 521510 DEO005215107 E0005285209 E n 528520 o Mnemonic SPA Ww D Trading Model Type 656993 DEO006569932 MLP3 Continuous Tradin Continu o Continuo o gt va us Tradin ba da va da Es ES 0 Mos us Tradi 5 us Tradin pa ra oa Joa joa joa joa us Tradi us Trading P 21 05 01 age 36 of 37 Name ERCK KGAA I AAG EN KLINIKU EISEN m SAG MARSCH L
20. Order Overview window e Own Quote Overview window e Back Office Information window e Trade Information window e Order Fee Overview window e RPTTC530 RAWTC530 Daily Quote Maintenance e RPTTC540 RAWTC540 Daily Order Maintenance e RPTTC550 RAWTC550 Open Order Detail e RPTTC810 RAWTC810 Daily Trade Confirmation e RPTTC815 RAWTC815 Daily Netted Trade Detail LU 4 2 2 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 22 of 37 Xetra Release 6 0 Exchange Trading System User Guide e Chapter 4 3 1 Fast Order Entry Window e Chapter 4 3 2 Order Entry Window e Chapter 4 3 3 Mass Order Entry Window e Chapter 4 3 4 Quote Entry Window e Chapter 4 3 5 Mass Quote Entry Window e Chapter 4 5 1 Own Order Overview Window e Chapter 4 5 2 Order Maintenance Window e Chapter 4 5 3 Mass Order Maintenance Window e Chapter 4 5 5 Own Quote Overview Window e Chapter 4 5 7 Back Office Information Window e Chapter 4 5 10 Order Fee Overview Window e Chapter 4 5 13 Trade Information Window Order Level Netting In case of order level netting each order quote which is matched against several orders and quotes is netted If the order quote is fully executed against several orders quotes at one limit one execution confirmation and one trade confirmation are sent to the member If the order quote is fully executed against several orders quotes at different limits one executio
21. Own Quote Overview window check the broadcast of the price level netted entered orders quotes In the Back Office Information window check that one trade confirmation unique trade ID per matching transaction is sent containing the price and quantity of the partial execution and the accumulated market value and accumulated volume same as quantity of partial execution at that average price In the Order Fee Overview window verify that the fees are updated after each partially executed price level netted trade Open the Trade Information window and verify that for a price level netted order quote an execution confirmation for each partial execution is sent execution confirmations are sent per matching transaction and price level In the Own Order Overview window select a price level netted order and press Modify In the Order Maintenance window modify the netting type of the order Verify that a price level netted order partially executed on two days will result in at least two netted positions for the two days separate trade confirmation with new unique trade ID Verify the result of the Daily Netted Trade Report TC815 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 21 of 37 ee ee Seal e Order Entry window e Fast Order Entry window e Mass Order Entry window e Order Maintenance window e Mass Order Maintenance window e Quote Entry window e Mass Quote Entry window e Own
22. Scripts and Schedules Phase Table of Contents Abbreviations 1 1 1 1 2 1 3 2 2 1 2 2 3 3 1 3 2 3 3 3 4 3 5 3 5 1 3 002 3 5 3 3 5 4 4 1 4 2 4 2 1 4 2 2 4 2 3 4 3 4 4 Introduction Purpose of this document Content Assumptions Equity CCP Simulation Overview Objectives Simulation Details Simulation Calendar Simulation Schedules Simulation Data Set up Abbreviations in Simulation Trading Phases Simulation Support Supporting Documentation Communication Calendar Online Inquiry of Xetra Schlussnoten in Simulation Deutsche B rse Contacts Member Simulation Scripts Script Conventions Settlement Netting Price Level Netting Order Level Netting Account Level Netting Give Up Take Up Functionality Risk Based Margining Instruments available for Equity CCP Simulation Phase 21 05 01 Page 2 of 37 Oo WN OM aA KR KR BP Ww 11 11 13 13 15 15 17 18 18 19 19 22 25 28 31 34 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 3 of 37 Abbreviations Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 4 of 37 1 Introduction 1 1 Purpose of this document The present document contains information regarding the Eguity CCP simulation Phase I It is sent to the members and intends to support IT department employees member s security administrators
23. anent change The report will from now on be printed for the market member on a daily basis e The user can ask for historical data of one and up to four previous trading days by entering the appropriate date in the field Historical Report Date If the desired historical data is available both as a report and as raw data the user must additionally specify in the Historical Data Selection field S the form in which the requested data should be supplied LU Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 33 of 37 e Member Report Selection Screen J010 e RPTCCO10 RAWCCO10 Premium Margin e RPTCCO11 RAWCCO11 Current Liguidating Margin e RPTCCO33 Theoretical Values III e RPTCCO34 Theoretical Values IV e RPTCCO41 RAWCCO41 Liquidating Value II e RPTCCO45 Additional Margin e RPTCCO50 Daily Margin e RPTCCO6O Daily Margin Summary Update of the Functional Release Notes Equity CCP e Chapter 5 1 2 1 RPTCCO10 Premium Margin e Chapter 5 1 2 2 RPTCCO11 Current Liquidating Margin e Chapter 5 1 2 3 RPTCCO33 Theoretical Values III e Chapter 5 1 2 4 RPTCCO34 Theoretical Values IV e Chapter 5 1 2 5 RPTCCO41 Liquidating Value e Chapter 5 1 2 6 RPTCCO45 Additional Margin e Chapter 5 1 2 7 RPTCCO50 Daily Margin e Chapter 5 1 2 8 RPTCCO60 Daily Margin Summary Update of the Technical Release Notes Equity CCP e Chapter 4 2
24. ase 21 05 01 Page 6 of 37 2 Equity CCP Simulation 2 1 Overview The Equity CCP simulation will be similar to the former release simulations of Xetra or Eurex Phase will focus on the member trading and clearing interfaces That means that the Eurex simulation environment the Xetra simulation environment and the XONTRO Trade simulation environment as normally used for a Xetra Release simulation will be available for the Equity CCP simulation Phase from May 28 2001 to July 12 2001 There will be no simulation between June 12 2001 and June 19 2001 during Phase as the simulation will be closed The simulation Phase will be a non guided simulation The purpose of the Equity CCP simulation is to provide an opportunity for all participants to familiarise themselves with the new functionalities and interfaces of the Equity CCP Phase of the simulation which is outlined in this document in detail puts special emphasis on the following features of the Equity CCP Functionality Availability from Give Up Take Up Functionality May 28 2001 Settlement Netting Aggregate Netting May 28 2001 Eurex Clearing Risk Management May 28 2001 Besides the mentioned functionalities the following interfaces will also be available in simulation Phase at defined times Trade Confirmations May 28 2001 Margin and Collateral Reports May 28 2001 Xetra Netted Trade Detail Report May 28 2001 XONTRO Settlement and Trading Contract Notes
25. back office employees risk and collateral management departments and traders to become familiar with the new functionalities of the Eguity CCP 1 2 Content As already outlined in the Eguity CCP Member Simulation Guide Phase I the overall Eguity Central Counterparty simulation Equity CCP simulation will take place in two major phases Phase and Phase II Information about schedules calendars scripts and instruments for Phase are given in this document Further information about Phase II will be provided in upcoming documents prior to the start of Phase Il This document is structured in five main chapters After a short introduction chapter the Equity CCP simulation Phase is briefly outlined in chapter 2 Then in the following chapter Simulation Details general information for the Equity CCP simulation Phase are given Here the simulation calendar the simulation schedules simulation data set up and additional user support are pointed out e g simulation details references to supporting information list of related reports In the fourth chapter scripts explain which activity steps the participants need to undertake in the simulation In the last chapter all instruments are listed which are available for the Equity CCP simulation Phase I As the Equity CCP simulation Phase is a non guided simulation focus days time slots or guidance to undertake each simulation day are not provided in this document 1 3 Assumptions
26. chedules scripts and the simulation support all instruments available for the Equity CCP simulation are outlined in this document 21 05 01 Page 14 of 37 18 05 2001 To be published To be published 14 05 2001 Phase To be published for Phase II 21 05 2001 Phase To be published for Phase II Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 3 5 2 Communication Calendar 21 05 01 Page 15 of 37 The communication calendar provides the members with an overview about all major documents which are planned to publish It is updated regularily and mailed via circulars by the Deutsche Borse Group Possible modifications are published in time The current calendar is shown below Central Counterparty Introduction Communication Calendar Member Information Package Member Activity Plan CCP Member Brochure CCP Connection Alternatives CCP Interface Description CCP Preliminary Technical amp Functional Release Notes CCP English Version CCP Sizing Guidelines CCP Interface Information Final Technical amp Functional Release Notes CCP Member Simulation Guide CCP Clearing Guide for Xetra Members Amendments to Exchange Rules and Regulations First version Legal Application Forms for CCP Member Simulation Script amp Schedule CCP Member Manuals Eurex Simulation Version Phase I Member Manuals Eurex Final Version m 08 02 2001 08 02 2001 08 02 2001 08 02 2
27. e GuTu column of the undesignated trade in the Back Office Information window is set to blank Verify that a given up trade is displayed as PTU for Pending Take Up in the Give Up Take Up Overview window Note if the automatic approval flag is not selected and the give up member is not a clearing member the given up trade is broadcast in the Give Up Take Up Overview window as PGA for Pending Give Up Approval Reject a given up trade on the receivers side by pressing the Reject button in the Give Up Take Up Overview window and verify that the rejected trade is displayed as REJ Take up a trade In the Give Up Take Up Overview window select a given up trade and press the Take Up button Verify that the taken up trade disappears from the Give Up Take Up Overview window Note if the automatic approval flag is not selected and the take up member is not a clearing member the taken up trade is displayed as PTA for Pending Take Up Approval Verify that a generated give up take up trade triggers a broadcast in the GuTu column of the Back Office Information window Select a trade resulting from a partially executed order with netting type A and give up the trade Verify that the trade resulting from further partial executions of this order receives a new trade ID Check that a trade which is still in the give up take up process before end of post trading is re assigned to its originator Verify that
28. ecution confirmation for each execution price is sent in the Trade Information window e Verify that only one trade ID is assigned independently of the number of partial executions during the current trading day in the Trade Information window e Inthe Own Order Overview window and the Own Quote Overview window check the broadcast of the order level netted entered orders quotes e Verify that the fees of an order level netted trade are updated in the Order Fee Overview window after every partial execution e In the Own Order Overview window select an order level netted order and press Modify In the Order Maintenance window modify the netting type the order e Verify that an order level netted order partially executed on two days will result in one netted position per business day separate trade confirmation with new unique trade ID Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 24 of 37 e Verify the result of the Daily Netted Trade Report TC815 ee er lela e Order Entry window e Fast Order Entry window e Mass Order Entry window e Order Maintenance window e Mass Order Maintenance window e Quote Entry window e Mass Quote Entry window e Own Order Overview window e Own Quote Overview window e Back Office Information window e Trade Information window e Order Fee Overview window e RPTTC530 RAWTC530 Daily Quote Maintenance e RPTTT540 RAWTC540 Daily Order Maintenance e
29. ents which will be handled by the CCP Steps e Open the Mass Order Entry window and the Mass Quote Entry window or use the Fast Order Entry window Further open the Own Order Overview window Own Quote Overview window Back Office Information window Order Fee Overview window and the Trade Information window e Enter an order quote and set its netting indicator to O for order level netting and make sure that it is executed against several orders with the same price e Enter an order quote and set its netting indicator to O for order level netting and make sure that it is executed against several orders on different prices e Enter an order quote and set its netting indicator to O for order level netting and make sure that it is matched against several other orders or quotes during continuous trading and auction trading phases and at different prices e Verify that order level netting averages different prices resulting from different execution times and accumulates all executed volumes in the Back Office Information window e Verify that the price and the quantity of the last partial execution plus the updated average price accumulated market value and accumulated volume of all partial executions are displayed in the Back Office Information window after each new partial execution of an order level netted trade e Verify that if the order quote is fully executed against several orders quotes at different limits one ex
30. erview Window e Chapter 4 5 7 Back Office Information Window e Chapter 4 5 10 Order Fee Overview Window e Chapter 4 5 13 Trade Information Window 4 3 Give Up Take Up Functionality Give up Take up trade functionality enables investors to allocate trading and clearing and settlement services amongst different exchange members Hence orders are executed by an exchange member and the resulting trade is given up to another exchange member for clearing and settlement Trades must be designated given up by the sending exchange member and accepted taken up by the receiving exchange member on the current trading day Trades can only be given up from the exchange member s agent account but taken up in the agent proprietary designated sponsor issuer and liquidity provider accounts when applicable according to the trading model of the instrument Give up Take up functionality is available for clearing members and non clearing members likewise However if the member is a non clearing member his clearing member has to approve the give up take up transaction No approval is required if the give up take up member is a clearing member Prerequisites Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 29 of 37 or if the automatic approval flag is selected by Market Supervision A clearing member can only inquire information on all give up and take up activities of all non clearing members for
31. f Nummer When referring to business data as of the previous day please replace J in the field Lfd Boersentag by N or enter the required business date in the DDMMYY format this is possible for up to five business days ago Function keys PF8 or PF7 can be used to turn to the next or previous display mark respectively To logout from this dialogue use PF11 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 17 0f 37 3 5 4 Deutsche B rse Contacts Deutsche B rse will provide support to the members to facilitate successful participation in the Equity CCP simulation Members can reach Deutsche B rse with their questions and comments regarding Equity CCP simulation using the familiar helpdesk numbers Deutsche B rse Trading Helpline Xetra e Tasks Functional support regarding questions about trading during simulation and production e Telephone 49 69 2101 1400 e Fax 49 69 21 01 1401 e Hours 7 00 a m 8 00 p m CET on exchange trading days Deutsche B rse Customer Technical Services e Task Support during delivery and installation of the software kits support in case of technical problems during the simulation e Telephone 49 69 2101 8400 e Fax 49 69 21 01 8401 e Hours 6 00 a m 10 00 p m CET on exchange trading days Deutsche B rse Change Management Xetra e Task Member support before and during the simulation and at production start Con
32. g phases will be initiated manually there might be slight divergences concerning these start times Trading Schedule Continuous Release Simulation Phase Phase Instruments in Continuous Instruments in One Auction Instruments in Continuous Trading Onl Auction Pretrading only on days 10 00 AM 10 20 AM 10 00 AM 02 10 PM 10 00 AM 10 15 AM after a batch Opening Auction Call only 10 20 AM 10 30 AM Price Determination Opening From 10 30 AM on po Opening Auction 02 00 PM Monday and Wednesday Price Determination Intraday From 02 05 PM on From 02 15 PM on Auction Monday and Wednesday Continuous Trading After Price Determination Intraday Auction 03 25 PM Closing Auction Call only on 03 25 PM 03 30 PM days with batch Price Determination Closing From 03 30 PM on Auction only on days with batch ntra day Closing Auction Call Monday and Wednesday Price Determina day Closing Auction Monday and Wednesday Continuous Trading ce el on Intra End of day Auction Call only on days with batch Price Determination End of day Auction only on days with batch Post Trading After Price Determination After Price Determination From 03 29 PM to 04 00 Closing Auction 04 00 Intraday Auction 04 00 PM until continuous PM only on days with a PM until intraday auction of auctions of next day if no batch next day if no batch batch scheduled
33. hone Central Counterparty CCP May 21 2001 ee a ECCP Member Simulation Scripts and Schedules Phase I i Telefax 49 0 69 21 01 1641 49 0 69 97 70 16 41 Internet www deutsche boerse com Dear Sir or Madam For preparation of the CCP simulation phase start on May 28 2001 we are sending you enclosed the document ECCP Member Simulation Scripts and Schedules Phase I In addition to information about the simulation calendar this document contains scripts about the functionalities that will be available and a com plete list of instruments which will be set up for the CCP simulation phase I It thus supports the members in the optimum execution of the CCP simulation phase I Should you have further questions or need additional information please do not hesitate to contact the Xetra Change Management Team at telephone 49 0 69 21 01 16 40 fax 49 0 69 21 01 16 41 Yours faithfully On behalf of the Management ca OO Mehl Enrico Isceri Jens Hachmeister Enclosure General Managers Edward Backes Dr Heiko Beck Xetra Central Circular Management Rudolf Ferscha Tel 49 69 21 01 16 40 Fax 49 69 21 01 16 41 Frank Gerstenschl ger Tel 49 69 97 70 16 40 Fax 49 69 97 70 16 41 Volker Potthoff E Mail circular_xetra deutsche boerse com Internet www xetra de Deutsche Borse Equity CCP Member Simulation Scripts and Schedules Phase Deutsche B rse Group Equity CCP ECCP Member Simulation
34. imulation Phase are listed below Securities for the Equity CCP simulat WKN ISIN Instrument Group BC1 BLOCK CROSSING BC0840400 BC0515100 BC0575200 BC0519000 BC0803200 BCO514000 300630500 300535000 BC0555750 BCO761440 BC0007614406 BC0802200 BC0623100 BC0605630 BCO723610 BC0843002 BCO716463 BCO766402 Instrument Group DAX1 DAX ion Phase I Mnemonic Trading Model Type Block Crossin Block Crossin BCCBK ock Crossin ock Cross ock Crossing WI I us oa oa Joa Joa pa pa pa pa vW wv wv w BC0007164634 BSAP3 SA BC0007664021 BVOW2 vo vW vW Name COMMERZBANK AG O N DRESDNER BANK AG NA O N DT TELEKOM AG NA E ON AG O N BC0008022005 BCHVM BAY HYPOTH U VEREINSBANK AG INFINEON TECH AG NA O N LAHMEYER AG DM 5 SIEMENS AG N MUENCH RUECKVERS VNA O N P AG VZO O N LKSWAGEN AG ST O N ADIDAS SALOMON AG SVG ALLIANZ AG DM 5 DE0005752000 DE0005190003 DE0005190037 DE0008032004 DE0005140008 DE0005421903 DE0007100000 DE0005350003 555750 E0005557508 DTE Continuous Trading DT TELEKOM AG NA Continuous Trading DE0005128003 DE0005 85802 DE0005785836 DE0006048408 DE0006048432 DE0008022005 Continuous Trading DE0006231004 Continuous Trading Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase WKN ISI
35. itions are shown in the Daily Netted Trade Report TC815 Account level netted trades are displayed dynamically in the Back Office Information window Xetra Business Date each simulation day Simulation hours 10 00 a m Tuesday 4 00 p m Thursday 10 00 a m Friday 4 00 p m Monday Reports available next day after batch run e Account level netting can only be performed for instruments which will be handled by the CCP Steps e Open the Mass Order Entry window and the Mass Quote Entry window or use the Fast Order Entry window Further open the Own Order Overview window Own Quote Overview window Back Office Information window Order Fee Overview window and the Trade Information window e Enter an order quote and set its netting indicator to A for account level netting and make sure that it is executed against several orders with the same price e Enter an order quote and set its netting indicator to A for account level netting and make sure that it is executed against several orders on different prices e Enter an order quote and set its netting indicator to A for account level netting and make sure that it is matched against several other orders or quotes during continuous trading and auction trading phases and on different prices e Verify that account level netting averages different prices resulting from different execution times and accumulates all executed volumes in the Back Office Information wi
36. n up trades in the Give up Take up Overview window Approve Give up Take up Trades Permitting a user clearing member to approve a given up taken up trade e In order to simplify the give up take up process during the Equity CCP simulation the automatic approval flag will be selected for all members This is not necessarily the case during production e To successfully perform a give up take up transaction it is essential to find a potential partner because there are at least two parties being involved in a give up take up process Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 30 of 37 Steps Open the Back Office Information window and the Give Up Take Up Overview window Give up a trade In the Back Office Information window select a trade with Account Type A and press Modify in order to open the Trade Maintenance window for designating a trade for give up processing In the Trade Maintenance Window mark a trade as Give Up Trade and enter the Take Up members ID Use the Give Up Take Up Filter window in order to select filter criteria for the display of the Give Up Take Up Overview window Undesignate a pending give up trade to set it back to the initial not designated trade state by pressing the Undesignate button in the Give Up Take Up Overview window Check that the undesignated trade disappears in the Give Up Take Up Overview window and that th
37. n Scripts and Schedules Phase 21 05 01 Page 20 of 37 Reports available next day after batch run Netting can only be performed for instruments which will be handled by the Equity CCP simulation Please see chapter 5 about the instruments Steps Open the Mass Order Entry window and the Mass Quote Entry window or use the Fast Order Entry window Further open the Own Order Overview window Own Quote Overview window Back Office Information window Order Fee Overview window and the Trade Information window Enter an order quote and set its netting indicator to P for price level netting and make sure that is matched within the same price determination against several orders or quotes at the same price _ Enter an order quote and set its netting indicator to P for price level netting and make sure that is executed against orders with the same price on different times Enter an order guote and set its netting indicator to P for price level netting and make sure that is executed against orders with different prices during auctions and continuous trading Verify that for each price at which parts of the order were netted within the same transaction one trade confirmation is sent In case a price level netted order results in a partial execution at the same price as a previous partial execution of the same order a trade confirmation with a new trade ID is sent In the Own Order Overview window and the
38. n confirmation for each execution price is sent to the member including the respective price Only one trade confirmation with an average price and the accumulated volume is sent to the member In case of a partially executed order quote an execution confirmation and an update trade confirmation are sent to the member for each further partial execution The update trade confirmation includes the average price and the accumulated volume based on all executions of the order for the current trading day as well as the price and volume of the last execution Only one trade ID is assigned independently of the number of partial executions during the current trading day The trade confirmation broadcasts sent out with each additional partial execution will contain the originally assigned trade ID and an increasing suffix Order level netting averages different prices resulting from different execution times of partial executions at different prices for one order quote and accumulates all executed volumes Order level netted trades are displayed dynamically in the Back Office Information window Prerequisites Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 23 of 37 Xetra Business Date each simulation day Simulation hours 10 00 a m Tuesday 4 00 p m Thursday 10 00 a m Friday 4 00 p m Monday Reports available next day after batch run e Netting can only be performed for instrum
39. n for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Monday Tuesday Wednesday Thursday Friday Saturday Sunday 04 Juni 2001 05 Juni 2001 06 Juni 2001 07 Juni 2001 08 Juni 2001 09 Juni 2001 10 Juni 2001 Business Date Business Date Business Date Business Date Business Date Business Date Business Date 04 Juni 2001 07 Juni 2001 07 Juni 2001 07 Juni 2001 11 Juni 2001 11 Juni 2001 11 Juni 2001 Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation Eguity CCP Simulation 10 00 AM Start Pre Trade 10 00 AM Start Pre Trade System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading System Open for Trading 4 00 PM 4 00 PM Begin Batch Begin Batch Monday Tuesday Wednesday Thursday Friday Saturday Sunday 11 Juni 2001 12 Juni 2001 13 Juni 2001 14 Juni 2001 15 Juni 2001 16 Juni 2001 17 Juni 2001 Business Date 11 Juni 2001 Eguity CCP Simulation Simulation closed Simulation closed Simulation closed due to Simulation closed Simulation closed Simulation closed holidays System Open for Trading 4 00 PM Begin Batch Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 9 of 37 Monday Tuesday Wednesday Thursday Friday Saturday Sunday 18 Juni 2001 19 Juni 2001 20 Juni 2001 21 Juni 2001 22 Juni 2001 23 Juni
40. ndow e Verify that the price and the quantity of the last partial execution plus the updated average price accumulated market value and accumulated volume of all partial executions are displayed in the Back Office Information window after each new partial execution of an account level netted trade e Verify that if the order quote is fully executed against several orders quotes at different limits one execution confirmation for each execution price is sent in the Trade Information window Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 27 of 37 e Verify that only one trade ID is assigned independently of the number of partial executions during the current trading day in the Trade Information window e Inthe Own Order Overview window and the Own Quote Overview window check the broadcast of the account level netted entered orders quotes e Verify that the fees of an account level netted trade are updated in the Order Fee Overview window after every partial execution e In the Own Order Overview window select an account level netted order In the Order Maintenance window modify the netting type of the order e Verify that an account level netted order partially executed on two days will result in one netted position per business day separate trade confirmation with new unique trade ID e Verify that additional to the online netting account level netted trades are account level
41. netted in the reports on the next business day i e several account level netted orders are netted per instrument account type trade side buy sell settlement location and settlement account e Verify that one unique trade ID is created for account level netted positions during the batch e Verify the result of the Daily Netted Trade Report TC815 e Order Entry window e Fast Order Entry window e Mass Order Entry window e Order Maintenance window e Mass Order Maintenance window e Quote Entry window e Mass Quote Entry window e Own Order Overview window e Own Quote Overview window e Back Office Information window e Trade Information window e Order Fee Overview window Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 28 of 37 e RPTTC530 RAWTC530 Daily Quote Maintenance e RPTTT540 RAWTC540 Daily Order Maintenance e RPTTC550 RAWTC550 Open Order Detail e RPTTC810 RAWTC810 Daily Trade Confirmation e RPTTC815 RAWTC815 Daily Netted Trade Detail Xetra Release 6 0 Exchange Trading System User Guide e Chapter 4 3 1 Fast Order Entry Window e Chapter 4 3 2 Order Entry Window e Chapter 4 3 3 Mass Order Entry Window e Chapter 4 3 4 Quote Entry Window e Chapter 4 3 5 Mass Quote Entry Window e Chapter 4 5 1 Own Order Overview Window e Chapter 4 5 2 Order Maintenance Window e Chapter 4 5 3 Mass Order Maintenance Window e Chapter 4 5 5 Own Quote Ov
42. ntents of Equity Central Counterparty functionality The technical notes describe the changes to member back office systems interfaces which will be introduced as part of the new release of the Equity CCP CCP Sizing Guidelines This document describes the modified 25 04 2001 configuration requirements for Eurex and Xetra members and specifically considers aspects implied by the Equity CCP Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase CCP Interface Information Simulation Software Version 1 0 functional Simulation Software Version 1 0 technical ECCP Member Simulation Guide Phase and Phase II ECCP Member Simulation Scripts and Schedules Phase and Phase II This document decribes trades proccesses and gives additional information on the interfaces These functional notes describe the contents of Equity Central Counterparty functionality regarding the Equity CCP simulation at the beginning of simulation Phase I These technical notes describe the changes to member back office systems interfaces which will be introduced at the beginning of the Equity CCP simulation Phase This document describes Phase of the Equity CCP simulation It provides key data and planning considerations for the preparation activities members need to complete in order to get familiar with the new processes regarding the Equity CCP Besides details about the simulation calendar s
43. tact in case of questions related to functionalities draw up of reports on participant s status and coordination of information material for members e Telephone 49 69 2101 1640 e Fax 49 69 2101 1641 e Hours 8 00 a m 6 00 p m CET on exchange trading days Deutsche Borse Technical Helpdesk Eurex e Task Support in case of technical problems during the simulation e Telephone 49 69 21 01 12 00 e Fax 49 69 21 01 12 01 e Hours 6 00 a m 10 00 p m CET on exchange trading days Symbols Text Styles Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 18 of 37 4 Member Simulation Scripts The member simulation scripts explain which activity steps the participants need to untertake in the Equity CCP simulation in order to test the various new functionalities They do not contain special time slots for Phase of the simulation Please pay also attention to the differentiation between the two system Xetra and Eurex 4 1 Script Conventions The following symbols are used as visual orientation aids within this document They appear in the left margin of the scripts and give additional orientation help e g to retrieve important information or to find a step by step walkthrough more quickly Symbol Description Indicates the focus objectives of the scripts Indicates information about times relevant for the script Indicates a step by step
44. tsche B rse Xetra Trading Helpline Eurex Clearing e Relevant technical and functional member data member name member address clearing account node names etc will be taken from the permanent Simulation Integrated Clearinghouse e New Equity CCP Eurex Clearing Members will be included in the Equity CCP simulation in a timely manner e Xetra Member will be set up with their current Xetra clearing relationship in the IC system 3 4 Abbreviations in Simulation Trading Phases For the trading phases the same abbreviations as in Xetra Release 6 0 are used ADD New Instrument START Start PRETR Pre Trading QPREC Quote Driven Auction Pre Call Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase OIPO Opening IPO Initial Public Offering Call QIPO Quote Driven IPO Call OCALL Opening Auction Call OPOBB Opening Auction Pre OBB Order Book Balancing OOBB Opening Auction OBB QCALL Quote Driven Auction Call QPOBB Quote Driven Pre OBB QOBB Quote Driven OBB IIPO Intra Day IPO Call ICALL Intra Day Auction Call IPOBB Intra Day Auction Pre OBB IOBB Intra Day Auction OBB CCALL Closing Auction Call CPOBB Closing Auction Pre OBB COBB Closing Auction OBB ECALL End of Day Auction Call EPOBB End of Day Auction Pre OBB EOBB End of Day Auction OBB TRADE Continuous Trading BETW In Between Auction POSTR Post Trading OFRZ Opening IPO Freeze QFRZ Quote Driven IPO Freeze IFRZ Intra
45. use netting is only applicable for the current business day Netting needs to be selected during order quote entry Modifications of the netting type is only supported for orders without a partial execution For orders with partial execution the order type cannot be modified Fee calculation is based on the executed order and the resulting fees are included in the trade confirmation Price Level Netting In case of price level netting each order quote which is matched against several orders and quotes at the same price within the same price determination is netted For every price level netted transaction one new unique trade ID is generated per price level If the price level netted order or quote is executed against several orders or quotes at the same limit one execution confirmation and one trade confirmation with the accumulated volume is sent to the member If the price level netted order or quote is executed against several orders or quotes at different limits one execution confirmation and one trade confirmation with the accumulated volume is sent to the member for each limit Also a different trade ID is generated for each limit Price level netted trades are displayed dynamically in the Back Office Information window Xetra Business Date each simulation day Simulation hours 10 00 a m Tuesday 4 00 p m Thursday 10 00 a m Friday 4 00 p m Monday Prerequisites Deutsche B rse Group Equity CCP ECCP Member Simulatio
46. ves bonds and repos and is not changed for equities Eurex Clearing AG is responsible for the risk management process Risk management for the equity CCP uses the existing infrastructure of Eurex as far as possible It also uses the same building blocks as the risk management system already in place Therefore the risk management procedure of the equity CCP consists of the following three parts 1 Calculating the risk based margin 2 Evaluating the collateral 3 Checking the margin coverage These three parts are the important factors of the whole risk management system and are closely linked together The general functions and their interdependence do not differ from the existing system The new functionality of the Equity CCP is reflected in the reporting For Risk Based Margining the Prerequisite Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 32 of 37 reports are generated daily by Eurex and sent to clearing members that participate in the clearing of Equity Central Counterparty trades either through own participation or through their non clearing members participation For further details please see the Simulation Software Version 1 0 functional and technical for the Equity CCP Xetra Business Date each simulation day Simulation hours 10 00 a m Tuesday 4 00 p m Thursday 10 00 a m Friday 4 00 p m Monday Reports available next day after batch run
47. walkthrough of the activity Indicates windows used within the activity Indicates information about reports relevant for the script or activity Indicates references within training materials and supporting documentation The following text styles are used to highlight words and expressions Miscellaneous 4 2 1 Deutsche B rse Group Equity CCP ECCP Member Simulation Scripts and Schedules Phase 21 05 01 Page 19 of 37 Text Style Description Italics Indicates a component of the Xetra Front End e g window names or fields Bold Indicates a sub topic header or references header Unless explicitly mentioned the given descriptions and function explanations are valid for all platforms Sun Solaris IBM AIX and Microsoft Windows NT Intel 4 2 Settlement Netting Netting is offered by the Equity CCP in order to reduce the number of settlement instructions and can be performed on price order or account level At the beginning of Phase only aggregate netting accumulation of the buying and selling side without balancing can be tested whereas from June 20 2001 onwards also balancing is offered for testing in the Equity CCP simulation environment All netting types are available on the Proprietary Agent Designated Sponsor Issuer and Liquidity Provider accounts An order quote partially executed on different trading days will result in at least one netted position for each trading day beca
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