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ASX Clear(Future) Margin Simulator - User Manual

1. E z Certificates p Intended purpose lt All gt e Personal Other People Intermediate Certification Authorities Trusted Root Certificatior Issued To Issued By Expiratio Friendly Name EQIASXTA UsersName ASX CA 14 06 2013 lt None gt Import Export Remove Advanced Certificate intended purposes lt All gt Ven Learn more about certificates 8 3 1 3 JavaScript Issue Why do get the error message JavaScript must be enabled to use this site enable JavaScript in your browser and try again The application checks to see if JavaScript is enabled before it renders the pages in full If JavaScript is not enabled the user will not be able to enter any data It should be possible to enable JavaScript through the Internet Options gt Programs gt Manage add ons gt Toolbars and Extensions section of the user s web browser Consult Internet Explorer Help for more information on how to do this Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 50 ASX Limited ASX Clear Futures Margin Simulator User Manual Tenet Orr General Security Privacy Content Connections Programs Advanced Default web browser Internet Explorer is the default web Make default browser 7 Tell me if Internet Explorer is not the default web browser Manage add ons Enable or disable browser add ons y inst
2. access Margin Simulation screen Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 9 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 Scenario Impact e Client Simulator for disabled CP Firm unable to access Margin Simulator screen will be presented with a System Error e CP Allocator for associated CP Firm able to select Client and access Allocation screen ASX Application Support e CP Simulator for associated CP Firm able to select Client and access enables a Client Firm Margin Simulation screen e Client Simulator for enabled Client Firm able to access Margin Simulator screen e CP Allocator for associated CP Firm able to select Client and access Allocation screen CP Administrator disables an e CP Simulator for associated CP Firm able to select Client and access associated Client Firm Margin Simulation screen e Client Simulator for disabled Client Firm unable to access Margin Simulator screen will be presented with a System Error e CP Allocator for enabled Firm able to select Client and access Allocation screen CP Administrator enables an e CP Simulator for enabled Firm able to select Client and access Margin associated Client Firm Simulation screen e Client Simulator user for associated Client Firm able to access Margin Simulator screen Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 10 ASX 41 Limited
3. Note The downloaded Futures simulation portfolio contains the positions in section cleared or custom that has Include in Simulation checked The CSV file containing the downloaded simulation portfolio is in the same format used to upload custom Futures portfolio for simulation 5 4 9 Reset Futures Simulation portfolio To reset the OTC simulation portfolio user can click on Reset OTC Simulation Portfolio Futures Portfolio Clicking Reset will remove the trades that have been included in the Futures simulation portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 42 ASX Limited 5 9 5 5 1 5 9 2 ASX Clear Futures Margin Simulator User Manual Simulation Results Screen Submitting for Simulation Once the user has prepared the simulation portfolio they can submit a request for Simulation by clicking on the Start the margin simulation Simulation Results Previous Start Again Progress Update Simulation progress for various components of the results such as HVaR and SPAN where applicable is indicated on the screen when the simulation request is submitted Simulation Results Calculating margin simulation HSVAR margin calculation In progress SPAN margin calculation Completed View Simulation results The simulation results screen shows the Initial Margin and the Net Present Value where applicable of the simulation portfolio The results
4. Cross margin eligible instruments with lt 5 days before expiry will be shown but greyed out with 0 allocation user cannot amend allocations Cleared Portfolio Behaviour Eligibility Instruments not eligible for cross margining and simulation not shown Instruments eligible for simulation only will be shown with allocation box un editable e Cross margin eligible instruments with 0 Net Positions 100 long 100 short will be shown Cross margin eligible instruments with 0 Net Positions 100 long 100 short will have 0 allocation positions user cannot amend allocations Cross margin eligible instruments with lt 5 days before expiry will be shown but greyed out 0 allocation user cannot amend allocations The Allocation Positions field will be highlighted red if the amount is outside the acceptable range 0 lt Net Position gt whether that be long or short per Instrument and an error message will be displayed If user proceeds then the Allocated Position will be sent to Calypso for margining and the difference between the Allocation Instruction and the Net position will be sent to MES SPAN for margining as a Long Short Position to account for difference dependant on direction of Allocated Positions ASX Clear Futures Margin Simulator uses previous End of Day settlement prices to calculate Initial Margin IM as a result any new instrument codes created today will not have the prices available for
5. Digital Certificate Procedure To obtain a digital certificate a Participant Administrator user must first create the user in ASX Clear Futures Margin Simulator as outlined above After the ASX Online Help Desk has pre registered the certificate the user will receive an email with details on how to enrol The email will be sent to the email address that has been registered in ASX Online Refer to the Client Side Digital Certificates User Enrolment Guide for further information This can be found at ASX Online 8 3 Appendix 3 Troubleshooting 8 3 1 Browser related Error Messages 8 3 1 1 This website only supports Internet Explorer 7 8 and 9 Issue The application will automatically check the user s web browser for compatibility Try a different browser version if the user receives the following message when trying to access the site note that the current implementation does not support Internet Explorer 6 8 3 1 2 HTTP 403 Forbidden Issue Why do get the error message HTTP 403 Forbidden This can happen if there is not a valid digital certificate stored on the computer The user can check in Internet Explorer by going to Tools gt Internet Options gt Content gt Certificates gt Personal The certificate issued should match the user s login name Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 49 ASX Limited ASX Clear Futures Margin Simulator User Manual
6. ASX ASX Clear Futures Margin Simulator User Manual 1 ba w gt Si Table of Contents INTRODUCTION EE 4 1 1 PURPOSE OF ASX CLEAR FUTURES MARGIN SIMULATOR essecessessessessessessecsussnsenssnteatentenseseeneaneatentens 4 1 2 AUDIENCE FOR THIS MAMA 1 3 CONTACTING SUPPORT ss sssseessesrieeresssrrreeesrrrererennne 1 3 1 ASX Online Helpdesk Support 1 3 2 RT EE SETUP AND ACCESS ccesscsscsscssssssssessessessesesessnsscsssesesnsssssssenssesassassnssnssaseaseassssiesaseateateansaesensansaneatss 5 2 1 ES UE 2 2 CP ADMINISTRATOR USER GEmUp 2 3 CP CLIENT SIMULATOR USER Grup 2 4 CP ALLOCATOR USER SETUP 2 5 ACCESSING ASX CLEAR FUTURES MARGIN SIMULATOR 2 6 OPERATING HOURS sescscesesesesesessessetsesteseassnsaseneeeees 2 7 SONA N ET A A A E A E EE A RE 2 8 CHANGING PASSWORDS NEEN ANEREN ANE 3 1 ENTITYAAND USER ROLES MATRICES eler holes shoal ssh plese ATANAN 7 3 2 CREATE A NEW USER 3 3 EDIT USER DETAILS 3 4 NANAGINGEIEME ee ee ENEE 3 4 1 Application SuppOrt SONS sssini eege Tee 9 3 4 2 Administration Users GE 3 4 3 Simulator Allocator Userg 9 MANAGING ALLOCATIONS ccscsscsssssessssssseseesssssessessssnssssessaessssassnsensenssnsansassnseneeaseansansansansaneateaess 11 4 1 ALLOCATIONS SCREEN ses rre Eat r EEE EFEN E ANE E AEE eas EON E ONE NEA EENEN P Irn Eo 4 1 1 Overall Summary 4 1 2 Instrument Eligibility 4 1 3 Retrieve Allocations 4
7. Allocation History Reload Download On exporting the Allocation Instructions the user is presented with an option to save the Allocation Instructions csv file to the desired location The file format of the exported allocations CSV file is explained below 4 3 Reload Allocations History Screen To refresh the Allocations screen at any time click Reload Allocation History Reload Download 4 4 Margin Run Process 1 The Margin Simulator will consider the impact of any positional changes that have occurred to cross margin eligible ETD positions as a result of Intraday 1 Intraday 2 EOD or Adhoc Margin Runs 2 A position allocation instructed for cross margining may become ineligible as a result of a margin run since the position in the clearing system Genium may have changed or been closed out and thus the recorded cross margin allocation instruction may sit outside of the acceptable range of 0 lt Net Position gt 3 To manage this Margin Simulator will perform a series of validation checks triggered by the aforementioned margin runs and make cross margin allocation adjustments as and when the allocation falls outside of the acceptable range A full history of any amendments made by the Margin Run process can be found in the Allocation History screen 4 ASX Reporting will give a full breakdown of the allocation of futures used for cross margining purposes Copyright 2014 ASX Limited ABN 98 008 624 691 All
8. ASX Clear Futures Margin Simulator User Manual V2 3 Managing Allocations 4 1 1 Overall Summary Allocations Screen The Allocations Screen allows the user to retrieve all Cross Margin eligible ETD positions for a given portfolio and submit modified Allocations for approval by an Administrator or approve any Allocation Instructions submitted by an Allocator Only users with Allocator or Application Support user access will be able to access the Allocations or Allocation History Screens Note Note When a user navigates away from the Allocation screen and back via the Allocation icon in the navigation pane the data in the screen will be automatically refreshed If there is no Approved Allocation Instruction per instrument this will be considered as a 0 allocation A user can return to landing page at any time by clicking Previous A user can click on the instrument code and be directed to the Allocation History screen which will show allocation history data for that instrument 4 1 2 Instrument Eligibility The following will guide the screen behaviour with regards to instrument eligibility Note Instruments not eligible for cross margining will not be shown in the Allocations screen Cross margin eligible instruments with 0 Net Positions but an equal long and short will be shown but greyed out with 0 allocation user cannot amend allocations Cross margin eligible instruments with less than five days b
9. IM calculations Therefore these positions are not included in simulation Any simulation to include these instrument codes will have to be performed the next day Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 35 ASX Limited 5 4 4 5 4 5 Note Note ASX Clear Futures Margin Simulator User Manual Export Cleared Portfolio User can export the cleared Futures into a csv file format by clicking the Download Futures Portfolio On exporting the cleared portfolio the user is presented with an option to save the trade csv file to the desired location The file format of the exported cleared portfolio is explained in Upload Custom Portfolio CSV File Format section The exported position file is in the same format used to upload custom portfolio for simulation If users wish to do so they can manipulate the contents of the exported file and upload the positions as custom portfolio for simulation Ensure Include in Simulation checkbox is selected for Cleared portfolio to download the Cleared portfolio in a csv file Upload Custom Portfolio The upload custom portfolio feature enables the user to include custom futures portfolio positions in the margin simulation run The user may choose to run the simulation on a portfolio made up on of custom portfolio only or custom portfolio in combination with the cleared portfolio The custom portfolio must only include
10. ReceiveLegRatelndex Conditional String 13 CP Receive leg rate index to be used for basis swap in percent Mandatory Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 30 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV Field Values The field ReceiveLegRatelndex is made up of 3 components separated by the symbol Currency 3 Chars for example AUD Index name for example BBSW Max 6 Char Tenor for the Index For example 3M 2 Char Condition Only to be filled in for e CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT For example AUD BBSW 3M AUD BBSW 6M 19 ReceiveLegSpread Conditional Number Spread to be applied on the Index when the CP is Receiving Mandatory floating leg of the basis swap in percent without the percentage sign Condition Only to be filled in for e CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT For example 0 01 20 ReceiveLegCoupon Conditional String 4 Payment frequency when the CP is Receiving floating leg of the Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 31 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Frequency Required Mandatory Data Type Instruction to populate the CSV Field Values basis swap Valid Values iJQTR ii
11. Simulation Portfolio 5 3 7 Reset the OTC Simulation Portfolio 5 4 FUTURES PORTFOLIO DCREEN 5 4 1 Overall Summary wu cecseeccseecsetettesteteeseeereeteneees 5 4 2 Valid ETD Instrument Codes ne 5 4 3 Retrieve Cleared Portfolio and Alocattons 34 5 4 4 Export Cleared Portlolio 20 36 5 4 5 Upload Custom Portlolio iiisccccncdtciicncaleincciiae inc a Ran a 36 5 4 5 1 Download Futures Tempkte atnan nennnnn nrnna nnn an 37 5452 N CSV Rie ele 38 5 4 6 Allocate for ee Memphis Ee eege ee 41 5 4 7 Incl de IN SIMUIAHON e otic e Eege idee eee 41 5 4 8 Download Futures Simulation portfolio AA 42 5 4 9 Reset Futures Simulation portioho ee 42 5 5 SIMULATION RESULTS DCHEEN 5 5 1 Submitting for Simulation 5 5 2 Progress Update 5 5 3 View Simulation results COMMON ERROR MESSAGES c sssssssssssssssssessssesesessesesesssseseseeseseesseaeaeeeeseeseesseaeaeeseaseseeeaeaeaeeaeaeeeeeaes 46 BUSINESS CONTINUITY SOLUTION ccsscssssssssssesesessssssesssesesesseeeesesseseeesesssseseaeaeeeeaseseseasaeaeeasaeeeeeaes 48 APPENDICES ssisccsaisissnssessscnvscsarsesscssescrsccotessorsasseinarassarcususasscessusateisavassnaseavarausasseaiiacatuueieassusasseinaveasusoaeueotsseiea 49 8 1 APPENDIX 1 REGISTRATION KOMA a ahs ohne ata tata 49 8 2 APPENDIX 2 DIGITAL CERTIFICATE DROCEDURE EEEn EEan nenna EEan 49 8 3 APPENDIX 3 TROUBLESHOOTING sss ssstssttsttttthtettttt ttet t EAEE AEENEEEENEEAAEEAEENENEENEEESEEAEAEEAEENEEASEEEAN E
12. outlines description of all values in Change Code column Change Source Description USER_UPDATE When the log entry is created as a result of a user action When an Allocation Instruction has been deleted because CP is no longer CPNOTELIGIBLE eligible When an Allocation Instruction has been deleted because CP is no longer CPNOTELIGIBLEFORXMARG _ eligible for cross margining When an Allocation Instruction has been deleted because Contract is no CONTRACTINELIGIBILE longer eligible for cross margining When an Allocation Instruction has been removed because the TRADEDATELIMIT Instrument it refers to is nearing its expiry When a modified Allocation Instruction has been rolled back to its ROLLBACK previous state i e after a rejection or on T 1 if no approval received Triggered by Margin Run process When a positional movement of the Net Position has occurred but no amendment of the Allocation Instruction NO_ADJUST is required Triggered by Margin Run process When an Allocation Instruction which is a long allocation i e 5 is amended as a result of a positional ADJUST_LONG movement of the Net Position Triggered by Margin Run process When an Allocation Instruction which is a long allocation i e 5 is amended to 0 as a result of a positional ADJUST_LONG_ZERO movement of the Net Position Triggered by Margin Run process When an Allocation Instruction which is a short allocation i e 5 is amended
13. valid ETD instruments positions only The custom portfolio uploaded is subjected to the eligibility checks for valid product types A user may upload valid Interest rate options positions and Interest rate future positions not enabled for cross margining as such positions can contribute to margin offsets however these positions cannot be cross margined The file must be in a CSV file format else an error message will be displayed e The file will fail to upload if Allocated Positions is greater than Net Positions in the custom portfolio file If so an error message will advise the user of the failing record The uploaded custom positions having Allocation Positions field disabled greyed out signify that these positions are ineligible for cross margining This can be for one of the following reasons Contract is not eligible for cross margining for example an Options contract OR a Futures Contract not enabled for cross margining e Contract is eligible but position does not satisfy the eligibility criteria for cross margining for example an ASX 30 Day Interbank Cash Rate Futures contract expiring in next 3 days MN Allocations for these positions must be removed in the CSV file and uploaded again Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 36 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 4 5 1 Download Futures Template Custom Portfolio is uploaded using a
14. 1 4 Modify ANOCALIONS ccc ccs caneeis cies heen E 4 1 5 Approve e 4 1 6 Reject Allocatione 4 1 7 Download Allocations A 4 1 8 Upload Allocation 4 1 8 1 Allocation Instructions CSV File Format 4 1 9 Reload Allocations Screen 4 2 ALLOCATION HISTORY SCREEN 4 2 1 Overall Summary S i 4 2 2 Change Code and Change Source Definitions 4 2 3 Retrieve Allocation Histon 4 2 4 Download Allocation HiStOry ee erana aR a a AAEE 4 3 RELOAD ALLOCATIONS HISTORY SCREEN a ENEE 4 4 MARGIN RUN PROCESS ir aa a E E a PERFORMING SIMULAT ION essssessesesserenrnnnonnnnnnnnnnunnnnnnonnunnnnnneunnnnnnnnennnnnnneoreonnnnnnennnnnnnnnennnnnnnennennnnnnenna 21 ST OVERALL SIMULATION WORKFLOW ANEREN AEN 21 5 2 ACCOUNT SELECTION 5 3 OTC PORTFOLIO S REENEN EES EE 24 5 3 1 Oy ral S mMa EE 24 5 3 2 Retrieve Cleared Porttolio cseccccessssssssssssesssssscsrcessessssssesnsssecsnsasscsesasscerensasacsesasecssansesenseseseeeees 24 5 3 3 Export Cleared POrtfolio c cccscccsssssssssssssscsssessssssscsssscsssesnsasseersesssesasseecavsesaseesesacstersesrenseseeeees 24 5 3 4 Upload GustOm PorfolO ssrsen recreia a arii a e E EEE 25 5 3 4 1 Download OTC Template 00 EEN 25 534 2 CSV File Format EE dE 26 5 3 4 3 Upload CSV File Containing Custom OTC Portioio 33 5 3 5 Include in Simulationen anirien tiiir ire ii i aii AEs SE aE ATE irea 33 5 3 6 Download OTC
15. ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV Field Values Frequency Mandatory a Valid Values for IRS BBSW i QTR ii PA iii SA d ZC b Valid Values for OIS AONIA ii PA b ZC Condition Only to be filled in for e CPPAYSFIX e CPPAYSFLOAT e Leave Blank for CPPAYSBASIS 10 FloatingLegCoupon Conditional String 4 Frequency when the floating leg of the trade is paid Frequency Mandatory a Valid Values for IRS BBSW QTR USA b Valid Values for OIS AONIA ii PA b ZC Condition Only to be filled in for e CPPAYSFIX e CPPAYSFLOAT e Leave Blank for CPPAYSBASIS 11 DateRoll Mandatory String 10 Instruction to handle payment if the payment date falls on a holiday weekend and month end Valid Values are MOD_FOLLOW e FOLLOWING e NO_CHANGE e PRECEDING 12 DayCount Mandatory String 8 Interest calculation basis dependent on currency of the trade Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 28 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV Field Values For A trade valid value ACT_365 13 PeriodRule Optional String 8 Accrual Method Valid Values e ADJUSTED 14 CouponStubRule Optional String 16 Describes how stub periods will be handled for a trade note A
16. EEREN EEEE 49 8 3 1 Browser related Error Messages s sscesssesssssssentssentssestecssseessseessesesecesseeessecetsneatsseatenseseessaees 49 8 3 1 1 This website only supports Internet Explorer 7 8 and 9 Jeeue 49 8 3 1 2 HTTP 403 Forbidden eeue AEN 49 8 3 1532 JavaScript eege ee ee 50 8 3 2 Margin Simulator Access ISSUCS AA 51 8 3 2 1 Cannot view margin Simulator link on the application Selection Page 51 8 3 2 2 On Clicking the Margin Simulator link access denied error is displayed c cccsessessessesseeseeseesneeseseseeneees 51 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 1 Introduction 1 1 Purpose of ASX Clear Futures Margin Simulator ASX Clear Futures Margin Simulator is a web based system that provides cross margin simulation capabilities across cleared and custom Over the Counter OTC and Exchange Traded interest rate derivative ETD portfolios 1 2 Audience for this Manual ASX Clear Futures Margin Simulator User Manual has been written for ASX Clear Futures Clearing Participants CPs The users of the ASX Clear Futures Margin Simulator include CP Firm Administrator User e CP Firm Simulator User CP Firm Allocator User e Client Firm Simulator User 1 3 Contacting Support 1 3 1 ASX Online Helpdesk Support ASX Online Helpdesk can be contacted on Phone 1800 682 484 Email participants online asx com au 1 3 2 ASX Service Desk ASX Service Desk ca
17. Futures Margin Simulator User Manual The CSV file that is used to upload Allocations Instructions contains the following fields Table Header 1 InstrumentCode Table Header Mandatory Data Type String 10 Instruction to populate the field values Unique ASX identifier for an instrument For example IRH14 Naming convention Future instrument code Only cross margin eligible futures will be displayed Component Field Size Sample Instrument Code 2 IR Expiry Month Code 1 H Expiry Year N A 2 InstrumentDescription Not Mandatory String 40 Type of Instrument 3 Expiry Not Mandatory Date mm yyyy Expiry Month of the contract For example 03 2013 4 LongPosition Not Mandatory Number Long position of the contract For example 100 5 ShortPosition Not Mandatory Number Long position of the contract For example 100 6 NetPosition Not Mandatory Number Long Position Short Position For Example 60 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 16 ASX Limited ASX Clear Futures Margin Simulator User Manual Table Table Header Table Header Data Type Instruction to populate the field values Header Allocations that h for th tract 7 ApprovedAllocation Not Mandatory Number raion MAP hele Peel epp iavedTorthe contac For example 100 ions that have b t y
18. Manual The file format of the exported cleared portfolio is explained in Upload Custom Portfolio CSV File Format section Note e The exported trade file is the same format to upload custom portfolio for simulation If users wish to do so they can manipulate the contents of the file and upload the trades as custom portfolio for simulation Ensure Include in Simulation checkbox is selected for Cleared portfolio to download the Cleared portfolio in a csv file 5 3 4 Upload Custom Portfolio In order to upload a custom portfolio 1 Upload the cleared OTC trades into a csv file format by clicking on Upload 2 This will display the details of the trades underlying the PV01 representation of the cleared portfolio Upload custom portfolio feature enables the user to include custom OTC portfolio positions in the margin simulation run The user may choose to run the simulation on a portfolio made up on of custom portfolio only or custom portfolio in combination with the cleared portfolio The custom portfolio must only include OTC positions that are eligible to be cleared by ASX The custom portfolio uploaded is subjected to the trade eligibility checks similar to the production environment For full details of ASX OTC trade eligibility refer to the ASX OTC Handbook Note If the custom portfolio provided for simulation contains positions that do not pass ASX s trade eligibility checks the entire simulation po
19. SA Condition Only to be filled in for e CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT 21 Tradeldentifier Optional Number Contains the ASX trade Identifier for the cleared trades Should be left blank for Custom portfolio being uploaded Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 32 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 3 4 3 Upload CSV File Containing Custom OTC Portfolio The CSV file containing the custom OTC portfolio is uploaded from the user s PC by browsing to the CSV file location and clicking upload Custom Browse Upload Download Template E Include in simulation 5 3 5 Include in Simulation In order to include a portfolio in simulation Check the Include in simulation toggle checkbox against the cleared and custom portfolio sections to include the desired portfolio in the simulation run The simulation portfolio is defined as the combination of cleared and custom portfolio that will be submitted to ASX Clear Futures Margin Simulator to calculate the margin requirements ASX Clear Futures Margin Simulator provides the flexibility to include either or both of custom and cleared OTC portfolios in the simulation run Cleared Import Include in simulation Custom Browse Upload Download Template Include in simulation Note Include in simulation checkbox als
20. SX Clear Futures Margin Simulator applies the same Coupon StubRule across both the legs of the trade Valid Values are e NONE e SHORT FIRST e LONG FIRST e SHORT LAST 15 PayLegRatelndex Conditional String 13 CP Pay leg rate index to be used for basis swap Mandatory The field PayLegRatelndex is made up of 3 components separated by the symbol Currency 3 Chars for example AUD Index name for example BBSW Max 6 Char Tenor for the Index For example 3M 2 Char Condition Only to be filled in for CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 29 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV Field Values For example e AUD BBSW 3M e AUD BBSW EM 16 PayLegSpread Conditional Number Spread to be applied on the Index when the CP is Paying floating Mandatory leg of the basis swap in percent without the percentage sign Condition Only to be filled in for e CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT For example 0 01 17 PayLegCouponFrequency Conditional String 4 Payment frequency when the CP is Paying floating leg of the basis Mandatory swap Valid Values e QTR II SA Condition Only to be filled in for e CPPAYSBASIS Leave Blank for e CPPAYSFIX e CPPAYSFLOAT 18
21. SX Limited ABN 98 008 624 691 All rights reserved 2014 45 ASX Limited ASX Clear Futures Margin Simulator User Manual Common Error Messages Error Message lt Field gt is missing in row lt x gt Reason lt Field gt is a mandatory field while uploading the custom OTC or future portfolio Screen Margin Simulation OTC Portfolio ETD Portfolio lt Field gt is not a lt Date number gt in row lt x gt The value of the lt field gt is not in correct format Margin Simulation OTC Portfolio ETD Portfolio Selected account not enabled for lt OTC Exchange traded gt Derivatives clearing The user is trying to perform simulation using OTC portfolio or ETD portfolio when there account is not enabled for a particular product type The user can request the relevant ASX relationship manager to provision a demo account to try out cross margin simulation Margin Simulation OTC Portfolio ETD Portfolio No cleared futures trades were retrieved There are currently no cleared future positions or OTC trades in the account selected for simulation Margin Simulation OTC Portfolio ETD Portfolio Valid range for Allocated Position User is trying to allocate positions for cross Allocation is from lt 0 to netPosition gt or lt margining more than the net position available for an netPositions to 0 gt Instrument The cross margin allocation must When an Allocator is mod
22. alled as Clearing Participant margins and therefore are provided by ASX as indications only of actual margin obligations 2 Select the CP and Account that contains the positions on which simulation will be performed Account Selection L House 3 Create OTC Simulation Portfolio OTC Portfolio Download f Reset Previous f Next Start Again Cleared import Include in simulation A IRS Sensitivities 3 47 45 27 282 41 282 46 175 81 556 92 263 19 3 362 66 6 189 61 7 A OIS Sensitivities D 0 55 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 4 J 7 Custom Browse Upload Download Template E Include in simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 21 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 Create Futures Simulation portfolio and mark positions for cross margining further information on this process can be found Instrument Name Expiry Long Position Short Position NetPositions Strike Price Call Put Settlement Price Allocation Positions g 5 Start the Margin Simulation Start the margin simulation 6 View Simulation results Simulation Results CP Account HOUSE Market data amp cleared trade data as at 31 01 2014 09 30 32 OTC HSVAR 1 275 075 63 Futures SPAN Total 1 275 075 63 Cleared Portfolio 0 00 Simul
23. alled in your system HTML editing Choose the program that you want Internet Explorer to use for amp editing HTML files HTML editor Microsoft Word T Internet programs M i Choose the programs you want to use Set programs el _ for other Internet services such as e mail It might be necessary to shut down all instances of Internet Explorer before changes take effect 8 3 2 Margin Simulator Access Issues 8 3 2 1 Cannot view margin Simulator link on the application Selection Page If the users have valid ASX Online login credentials and valid SSO certificate they will be able to access the application selection page However if they have not been enabled for ASX Clear Futures Margin Simulator they will not be able to view the access link For any support regarding Margin Simulator access contact ASX Service Desk 8 3 2 2 On Clicking the Margin Simulator link access denied error is displayed If the users can view the Margin Simulator link on the application selection page they have been enabled for ASX Clear Futures Margin Simulator Access denied message on clicking the Margin Simulator link implies that there is an issue with user s firm access The user must follow the instructions on the screen Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 51 ASX Limited ASX Clear Futures Margin Simulator User Manual Disclaimer This document provides
24. argined The allocated positions must be less than or equal to the net positions for the contract For example 30 for net long positions 20 for net short positions Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 40 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 4 6 Allocate for Cross Margining In order to nominate eligible contract positions for cross margining e Allocate Via File upload for custom portfolio User can provide the positions allocated for cross margining in the custom portfolio upload e Allocate Via Screen field for custom and cleared portfolio User is presented with the Allocated position editable field for eligible contracts Users may change the value of this field to add edit or remove nominations for cross margining by clicking on the icon W Include in simulation Instrument Name Expiry Long Position Short Position Net Positions Strike Price Call Put Settlement Price Allocation Positions 0 000000 0 000000 30 01 2014 0 0000000 mamen 0 000000 Futures Update Business Date Instrument Code Instrument Name Expiry Long Position Short Position Net Position Strike Price Call Put Settlement Price Allocated Position 1000 Editable field to nominate positions for cross margining Note If the account selected for simulation is not Cross Margin enabled
25. as a result of a positional ADJUST_SHORT movement of the Net Position Triggered by Margin Run process When an Allocation Instruction which is a short allocation i e 5 is amended to 0 as a result in a positional ADJUST_SHORT_ZERO movement of the Net Position Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 19 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 2 3 Retrieve Allocation History To access the Allocations History screen click Allocation History in the navigation panel and select the CP and Account and click Next Account Selection cP Account This displays the Allocation History screen and display any Allocation History for that portfolio Note If the Allocator Administrator user belongs to ASX they should be able to select from a dropdown list of active and enabled CPs and a drop down list of House and Client ICA accounts enabled for cross margining If the Allocator Administrator user belongs to CP drop down list for CP codes should contain only the CP corresponding to the user On selection of a CP a second dropdown list should be populated by selected CPs House and Client ICA accounts that are enabled for cross margining 4 2 4 Download Allocation History If the user wishes to download the Allocation History as displayed in the screen into a csv file this can be downloaded by clicking on Download
26. ated Portfolio 13 045 061 48 NPV Change 13 045 061 48 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 22 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 2 Account Selection Account selection provides the CPs the functionality to select the account that will be used to retrieve cleared positions to perform simulation on Account Selection cP Account HOUSE Note Based on the account selected the ASX Clear Futures Margin Simulator will allow the user to perform following types of simulations e Cross Margin Simulation for cross margin enabled accounts e OTC Only Simulation for OTC Only accounts Futures Only Simulation for ETD Only accounts If the user wishes to perform cross margin simulation but the users firm does not have a cross margin enabled account contact the relevant relationship manager at ASX Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 23 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 3 OTC Portfolio Screen 5 3 1 Overall Summary OTC Portfolio Screen provides a provision for the end user to create an OTC simulation portfolio The simulation portfolio can be made up on either or both of the following components e Existing OTC cleared portfolio e Custom OTC trade portfolio 5 3 2 Retrieve Cleared Portfolio In order to retrieve a cleared portfolio Import the
27. cleared OTC portfolio into the ASX Clear Futures Margin Simulator by clicking Import on the top left hand side of the screen Clicking the Import Cleared portfolio will display the PV01 representation of the cleared OTC portfolio as shown in Figure below OTC Portfolio Ei Cleared import 7 Include in simulation AS IRS Sensitivities Maturity In case the user does not wish to include the cleared portfolio in the Margin Simulation one of the solutions is to not import OTC cleared portfolio in the ASX Clear Futures Margin Simulator PV01 ladder imported does not include cross margined futures positions Cleared Future positions retrieved for simulation after 7pm AEST will only be correct as at a 7pm snapshot Users have no restriction on performing Margin Simulation by uploading custom futures portfolios out of hours 5 3 3 Export Cleared Portfolio In order to export a cleared portfolio 1 Export the cleared OTC trades into a csv file format by clicking on Download This will display the details of the trades underlying the PV01 representation of the cleared portfolio OTC Portfolio E Reset 2 On exporting the cleared portfolio the user is presented with an option to save the trade csv file to the desired location Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 24 ASX Limited ASX Clear Futures Margin Simulator User
28. clearly indicate the HVaR and SPAN where applicable components of the Initial Margin Calculated Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 43 ASX Limited ASX Clear Futures Margin Simulator User Manual cP D01 Account HOUSE Market data amp cleared trade data as at 01 07 2014 14 39 07 OTC HSVaR 5 337 412 81 Futures SPAN 2 445 000 00 Total 7 782 412 81 OTC NPV Cleared Portfolio 0 00 Simulated Portfolio 1 395 531 80 NPV Change 1 395 531 80 Clear results Results explained Initial Margin OTC HSVAR 5Day HVaR results for OTC portfolio and cross margined future positions if any for House accounts 7Day HVaR results for OTC portfolio and cross margined future positions if any for Client accounts where appropriate Margin simulator will select correct VaR holding period dependant on account configuration in clearing system Calypso Futures SPAN IM results for ETD Portfolio including non cross margined future positions and options Total OTC HSVAR with appropriate holding period Futures SPAN NPV Net Present Value Cleared Portfolio NPV for Cleared OTC portfolio only at the time of running the simulation This result does not include any cross margined future positions Simulated NPV for OTC portfolio submitted for simulation run Represents all OTC Portfolio positions custom and or cleared submitted for simulation NPV Change Si
29. d By M Change Code Change Source The user is able to filter the Allocation History screen by the following date attributes which will not update dynamically user will need to click on Reload Updated From Updated To Filter Allocation History Instrument All Updated From 26 Updated By All Updated To 27 Change Code AII Change Source All Note By default when a user logs into the Allocation History Screen Update From and Updated To will reflect the previous business day until the end of the current business day i e 00 00 T 1 23 59 T Only fields that are relevant to the change code change source will be displayed with values in the Allocation History screen Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 18 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 2 2 Change Code and Change Source Definitions Below table outlines description of all values in Change Code column Change Code Description MODIFIED When an Allocation Instruction has been modified by a user APPROVED When an Allocation Instruction has been approved by a user REJECTED When an Allocation Instruction has been rejected by a user DELETE When an Allocation Instruction has been deleted MARGIN_RUN When the log entry is created as a result of the margin run process Below table
30. e Participant User credentials if applicable from the ASX Online Help Desk by email Enrol a CSDC Sign in using the following link https asxmos connect asxonline com a P oO ba CP Allocator User Setup To create a CP Allocator User 1 Ensure that the ASX Online profile is active Contact ASX Online Help Desk 2 Request a CP User profile and request a CSDC from CP Administrator 3 Receive CP User credentials if applicable from the ASX Online Help Desk by email This is Required for a newly created ASX Online account only Existing accounts to use the same login credentials 4 Enrol a CSDC 5 Sign in using the following link https asxmos connect asxonline com Accessing ASX Clear Futures Margin Simulator To access ASX Clear Futures Margin Simulator 1 Open a browser and navigate to https asxmos connect asxonline com Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 5 ASX Limited 2 6 2 7 2 8 ASX Clear Futures Margin Simulator User Manual V2 3 2 Enter ASX Online login details 3 Select the Single Sign On certificate to proceed 4 If authentication is successful the application selection page will appear 5 Click Margin Simulator to access the ASX Clear Futures Margin Simulator Note If the user s setup by the CP administrators are unable to access the ASX Clear Futures Margin Simulator they can refer to the Appendix 3 Troubleshooting which highlights t
31. efore expiry will be shown but greyed out 0 allocation user cannot amend allocations Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 11 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 4 1 3 Retrieve Allocations To access the Allocations Screen 1 Click Allocation in the navigation panel select the CP and Account and click Next Account Selection Account Note If the Allocator Administrator user belongs to ASX they should be able to select from a dropdown list of active and enabled CPs and a drop down list of House and Client ICA accounts enabled for cross margining If the Allocator Administrator user belongs to CP drop down list for CP codes should contain only the CP corresponding to the user On selection of a CP a second dropdown list should be populated by selected CPs House and Client ICA accounts that are enabled for cross margining 2 This will bring up the Allocation screen and display the Cleared ETD portfolio and any Approved Allocations for that portfolio Allocation Reload Browse _ f Upload f Download vV Select D Undo Submit D Reject Approve Previous Filter Allocations Status All EN Last Updated By All IRU14 09 2014 565 530 35 0 D D IRZ14 12 2014 15 D 15 0 D D IRZ15 12 2015 D 100 100 0 D D C
32. et b for th tract Field is editabl 8 AllocatedPositions Mandatory Nurib r Allocations that have been not yet been approved for the contract Field is editable For example 100 Status of allocation instruction 9 Status Not Mandatory Character For example SUBMITTED Date time the allocation instruction was last updated 10 LastUpdatedOn Not Mandatory Date Time For example 2003 2013 15 21 30 Username of the user who last updated the allocation instruction record 11 LastUpdatedBy Not Mandatory String 15 EE Ge For Example smith_j 4 1 9 Reload Allocations Screen A user can refresh the data in the Allocations screen at any time by clicking Reload Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 ASX Limited ASX Clear Futures Margin Simulator User Manual 4 2 Allocation History Screen 4 2 1 Overall Summary The Allocations History Screen allows the end user to retrieve all applied per ETD Cleared Portfolio The Allocation History Screen will show the following User Action modifying approving rejecting an allocation instruction System Process Margin Run Process Note Filter the Allocation History screen by the following attributes which will update dynamically without clicking on Reload When a user navigates away from the Allocation History screen and back to the Allocation History screen the data will be automatically refreshed e Instrument Update
33. ge Users screen is displayed Manage Users User Search Firm Code DBA Email Address Contact Number dba_sub Phillip ppaarlap asx com au CP Administrator dba_subapp Pania tilleyptest asx com au CP Administrator Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 8 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 3 Enter user details in the Firm Code and Username fields and click Search 4 The user can also be searched for by entering part of the username in the Username field and clicking Search 5 Click the magnifying glass icon for the required user 6 The following user details can be edited Roles Simulator Administrator Allocator Revoke Certificate Sends requests to ASX Online Help Desk Disable access to ASX Clear Futures Margin Simulator 7 Click Close to end the user creation process 3 4 Managing Firms The Manage Firms screen allows ASX Application Support Users and CP Administrator users to enable and disable CP Firms or Client Firms as required As Client Firms will not be provisioned with Administrator user roles CP Firms will manage this feature on behalf of their Client Firms 3 4 1 Application Support Users Application Support users will be able to view enable and disable any CP Firm and or Client Firm Note Changes made by Application Support users will take precedence over changes implemented by Administration users F
34. general information only and may be subject to change at any time without notice ASX Limited ABN 98 008 624 691 and its related bodies corporate ASX makes no representation or warranty with respect to the accuracy reliability or completeness of this information To the extent permitted by law ASX and its employees officers and contractors shall not be liable for any loss or damage arising in any way including by way of negligence from or in connection with any information provided or omitted or from anyone acting or refraining to act in reliance on this information The information in this document is not a substitute for any relevant operating rules and in the event of any inconsistency between this document and the operating rules the operating rules prevail to the extent of the inconsistency Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 ASX Trademarks The trademarks listed below are trademarks of ASX Where a mark is indicated as registered it is registered in Australia and may also be registered in other countries Nothing contained in this document should be construed as being any licence or right to use of any trademark contained within the document ASX Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 52
35. ght 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 14 ASX Limited 4 1 7 4 1 8 ASX Clear Futures Margin Simulator User Manual V2 3 Download Allocations If the user wishes to download the current Allocation Instructions into a csv file this can be downloaded by clicking Download On exporting the Allocation Instructions the user is presented with an option to save the Allocation Instructions csv file to the desired location Allocation Note The downloaded Allocation Instructions in the CSV file will reflect the data displayed in the Allocations screen The CSV file containing the allocations is in the same format used to upload allocation instructions hence a user can Download the CSV file with existing allocations make amendments and Upload the amended CSV file Upload Allocations If the user wishes to upload modified Allocations from the csv file template downloaded from Allocation screen using Download this can be uploaded by clicking on Upload and selecting the correct file Allocation Note The file must be in a CSV file format else an error message will be displayed If the AllocatedPositions value entered into the CSV file outside of the valid range 0 NetPosition that row will fail to be uploaded Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 15 ASX Limited 4 1 8 1 Allocation Instructions CSV File Format ASX Clear
36. ghted Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 13 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 4 1 5 Approve Allocations In order to approve allocations 1 Select the required Allocations Individually select the rows or click Select to select all Allocations ses 5 undo sumi f e resect amp approve 2 The allocations will be shown in a Submitted state Allocinstr Edit Action Status Last Updated On Last Updated By 3 Once the required Allocation s have been selected click Approve or click on the green Approve symbol in the Action column 4 The selected allocations will move to a status of Approved and the Last Updated On and Last Updated By values will be updated Note Allocator users are unable to approve their own modified Allocations another Allocator user must approve If an Allocation is not approved on the same calendar day then the Modified Allocation will roll back to its last approved Allocation at 00 00 AEST on that calendar day 4 1 6 Reject Allocations In order to reject allocations d Select the required Allocations Individually select the rows or click Select to select all Allocations ses 5 undo sume resect approve 2 Once the required Allocation s have been selected click Reject 3 The selected allocations will now reflect the last approved Allocation and roll back to a status of Approved Copyri
37. he most common areas that can prevent users from accessing ASX Clear Futures Margin Simulator This includes e Browser Related Issues Client Side Digital Certificate Issues Margin Simulator Access Issues Operating Hours ASX Clear Futures Margin Simulator is available to users from Monday to Friday excluding Public Holidays from 7 30 am to 9pm AEST Sydney Time Note Cleared Future positions retrieved for simulation after 7pm AEST are only correct as at a 7pm snapshot Session Timeout Session timeout and disconnection occurs after 60 minutes of inactivity The user will be informed of this when attempting to perform a function in ASX Clear Futures Margin Simulator and asked to log in again Be aware that when a session times out any unsaved or work in progress information will be lost Changing Passwords Passwords to use the ASX Clear Futures service are the same as the password used to access the ASX Online service If a user is given an ASX Online password for the first time the user will need to change that password initially in ASX Online before trying to login to the ASX Clear Futures Margin Simulator Each password expires every 45 days and the user will be prompted by the ASX Clear Futures Margin Simulator to create a new password The user will not be able to log on until the password has been changed All password changes are conducted through ASX Online Be aware that the following standa
38. ifying the Allocation amount Allocation be in the range 0 lt Net Positions gt The cross margin allocation instruction is outside of the valid range and an adjusted value will be used in the next margin run in the screen it must be within the valid range 0 lt Net Position gt whether that be long or short per Instrument else an error message will be displayed and erroneous rows will be highlighted Exchange Criteria Failed lt Error Description gt The custom OTC portfolio uploaded for simulation contains trade s that does not satisfy ASX s trade eligibility criteria Margin Simulation OTC Portfolio The cross margin allocation range is from 0 to lt Net Position gt The cross margin allocation position is outside of the valid range and an adjusted value will be used in the simulation amend if necessary The Allocation Positions field will be highlighted red if the amount is outside the acceptable range 0 lt Net Position gt whether that be long or short per Instrument and an error message will be displayed If user proceeds then the Allocated Position will be sent to Calypso for margining and the difference between the Allocation Instruction and the Net position will be sent to MES SPAN for margining as a Long Short Position to account for difference dependant on direction of Allocated Positions Margin Simulation Futures Portfolio AllocatedPositions lt Allocated Positio
39. location Position will be imported which will reflect the last approved Allocation Instruction Upon import any ineligible products and ineligible allocations will be highlighted in the screen Cleared mpor Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 34 ASX Limited ASX Clear Futures Margin Simulator User Manual On clicking the Import Cleared portfolio the user will see the cleared futures ETD portfolio and Allocation Position as shown in Figure below reves tex Sarg iv Include in simulation Instrument Name Expiry Long Position Short Position Net Positions Strike Price Call Put Settlement Price Allocation Positions 30 01 2014 30 01 2014 30 01 2014 30 01 2014 This instrument is ineligible for cross margining Options are not a valid instrument Note O The imported futures portfolio contains any cleared positions that belong to the Valid ETD Instrument set i Positions that are or have become ineligible should have no allocated positions If there are any allocations for ineligible positions then these allocation must be removed in the source clearing system Custom Portfolio Behaviour Eligibility Instruments not eligible for cross margining and simulation will be greyed out and Invalid Instrument message shown MN Instruments eligible for simulation only will be shown with allocation box un editable
40. m yyyy For example 16 03 2015 6 FixedRate Conditional Number Interest rate for the fixed leg of the trade in percent without the Mandatory percentage sign Condition Only to be filled in for e CPPAYSFIX e CPPAYSFLOA e Leave Blank for CPPAYSBASIS Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 26 ASX Limited ASX Clear Futures Margin Simulator User Manual Field No Field Name Required Data Type Instruction to populate the CSV Field Values For example 2 5 7 Spread Conditional Number Spread to be applied on the Index for the floating leg of the trade Mandatory in percent without the percentage sign Condition Only to be filled in for e CPPAYSFIX e CPPAYSFLOAT e Leave Blank for CPPAYSBASIS For example 0 01 8 Ratelndex Conditional String 13 Index for the floating leg of the trade Mandatory The field Ratelndex is made up of 3 components separated by the symbol e Currency 3 Chars for example AUD e Index name for example BBSW Max 6 Char e Tenor for the Index For example 3M 2 Char Condition Only to be filled in for e CPPAYSFIX e CPPAYFSLOAT e Leave Blank for CPPAYSBASIS For example e AUD BBSW 3M e AUD BBSW 6EM e AUD AONIA 1D 9 FixLegCoupon Conditional String 4 Frequency when the fix leg of the trade is paid Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 27
41. mulated Portfolio Cleared Portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 44 ASX Limited O Note ASX Clear Futures Margin Simulator User Manual An imported cleared portfolio includes any trades already cleared de cleared at the start of the day or cleared de cleared on the day of the simulation The underlying curve used in any of the calculations is fixed at 6am on the day of simulation To assist in any associated ASX queries the user is encouraged to do the following Download the OTC portfolio used in the simulation Keep a copy of any custom OTC trades uploaded for simulation Download the futures portfolio used in the simulation Keep a copy of any custom futures trades uploaded for simulation Record the date and time of the simulation If the results fields display zero as a result it may imply that the result component is not relevant to the simulation run For example if the IM Futures SPAN is 0 00 this is because the simulation portfolio submitted was made up of only OTC positions and all future positions we 100 completely cross margined To find out the benefit of cross margining Run the simulation without allocating any positions for cross margining Recording the results Run the simulation again with positions allocated for cross margining Compare the results with previously recorded results Copyright 2014 A
42. n be contacted on Email service desk asx com au Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 4 ASX Limited 2 1 2 2 2 3 2 4 2 5 ASX Clear Futures Margin Simulator User Manual V2 3 Setup and Access System Setup The following are required to access ASX Clear Futures Margin Simulator e Internet Explorer 7 8 or 9 e JavaScript enabled browser e ActiveX Controls set to Enabled e Onsite Microsoft Installer MSI package installed for Windows XP Operating System CP Administrator User Setup To create a CP Administrator User 1 Ensure that the ASX Online profile is active Contact ASX Online Help Desk 2 Complete scan and email the following registration form to participants online asx com au ASX Online will send an account confirmation email 3 Receive CP Administration User account confirmation with credentials if applicable from the ASX Online Help Desk by email 4 Enrol a Client Side Digital Certificate CSDC This is required only if the user does not have a valid Single Sign On certificate already installed for ASX provided secure web applications 5 Sign in using the following link https asxmos connect asxonline com CP Client Simulator User Setup To create a CP Simulator User 1 Ensure that the ASX Online profile is active Contact ASX Online Help Desk Request a CP User profile and request a CSDC from the CP Administrator Receiv
43. ns gt is out of range in row lt row number gt When uploading cleared ETD portfolio user is trying to allocate more positions for cross margining than the net position available for an Instrument File Margin Simulation Futures Portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 46 ASX Limited ASX Clear Futures Margin Simulator User Manual Error Message Reason Screen upload fails Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 47 ASX Limited ASX Clear Futures Margin Simulator User Manual 7 Business Continuity Solution The ASX production solution will have a replicated Business Continuity instance ASX will have a single representation of the domain name meaning ASX Customers will not need to make any changes or take any action in an event of an ASX site issue Switching to the Business Continuity instance will be managed by load balancing infrastructure managed by DS Support amp Technology Infrastructure Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 48 ASX Limited ASX Clear Futures Margin Simulator User Manual 8 Appendices 8 1 Appendix 1 Registration Form Registration Form for ASX Clear Futures Margin Simulation administrator user print and email a scanned copy of the completed form to participants online asx com au Margin Simulator Admin Registration Fc 8 2 Appendix 2
44. o controls the functionality of Download OTC simulation Portfolio Portfolio section s selected to be included in simulation will be downloaded or reset when such a request is made 5 3 6 Download OTC Simulation Portfolio To export the trades included in the Simulation portfolio click Download at the top left corner of the screen OTC Portfolio D Reset Note The downloaded OTC simulation portfolio contains the trades in section cleared or custom that has Include in Simulation checked The CSV file containing the downloaded simulation portfolio is in the same format used to upload custom OTC portfolio for simulation 5 3 7 Reset the OTC Simulation Portfolio In order to reset the OTC simulation portfolio Click on Reset OTC Simulation Portfolio at the top left corner of the screen Clicking Reset will remove the trades that have been included in the OTC simulation portfolio Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 33 ASX Limited 5 4 5 4 1 5 4 2 5 4 3 ASX Clear Futures Margin Simulator User Manual Futures Portfolio Screen Overall Summary Futures Portfolio Screen provides a provision for the end user to create a Futures simulation portfolio The simulation portfolio can be made up of either or both of the following components e Existing Futures cleared portfolio Custom Futures portfolio Valid ETD Instrument Codes Following table lis
45. opyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 12 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 4 1 4 Modify Allocations In order to modify allocations 1 Whilst in the Allocations screen the Allocations can be amended by clicking on the window pane icon for that Allocation Alloc Instr Edit BEE A aa Ea A 2 Once clicked the user can enter the Allocation amount in the Allocation Instruction column To confirm the user clicks on the green tick in the Edit column to confirm the entry the record is now in a status of Modified Allocinstr Edit Action Status Last Updated On Last Updated By 3 To submit the modified Allocation for approval the user must select the Allocation s and click on Submit a prompt will ask the user to confirm the submission 2 select S Undo a Submit Reject Approve 4 Once confirmed the status of the record is now Submitted 5 To undo an Instruction modification click Undo either under the Action column or in the header banner The Allocation will now reflect the previous approved Allocation Note When an Allocator is modifying the Allocation amount it must be within the valid range 0 lt Net Position gt whether that be long i e range is 0 3056 in example below or short i e range is 1212 0 in example below per Instrument else an error message will be displayed and erroneous rows will be highli
46. pre defined CSV file template This template can be downloaded by clicking on the Download Template link on the bottom half of the screen Custom Browse Upload Download Template include in simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 37 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 4 5 2 CSV File Format The CSV file that is used to upload custom futures portfolio for Simulation contains the following fields Field Name Required Data Type Instruction to populate the field values 1 BusinessDate Mandatory Date The date the position was held For custom portfolio it will be todays date dd mm yyyy e g 01 12 2013 2 InstrumentCode Mandatory String 10 Unique ASX identifier for an instrument For example IRH14 IRH1494500P Naming convention Future instrument code Component Field Size Sample Instrument Code 2 IR Expiry Month Code 1 H Expiry Year 2 14 Naming convention Option instrument code Component Field Size Sample Instrument Code 2 IR Expiry Month Code 1 H Expiry Year 2 14 Strike price 5 94500 Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 38 ASX Limited Field Name Required Data Type ASX Clear Futures Margin Simulator User Manual Instruction to populate the field values Call or Put 1 P InstrumentName Op
47. rds apply to passwords Passwords must contain characters from at least three of the following four classes e English upper case letters e g A Z English lower case letters e g a z e Numeric values e g 0 9 Special characters e g dollar sign or _ underscore Passwords may not contain the user name or any part of the user s full name Passwords must be at least 8 characters long New passwords must not be the same as the previous password Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 6 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 3 Administration Functionalities Administrators can perform the following functions for CPs user accounts e Create a new user e Edit user details e Enable and disable Firms 3 1 Entity and User Roles Matrices The below matrix outlines the user roles that can be assigned to a given entity Application Support Entity User Role Administrator Allocator Simulator CP Y Y Client Y Y ASX Y Y Y Y The below matrix outlines the functionality that each user role is provisioned with Administrative Margin Simulation Allocation Screens Screen Screens User Role Administrator Allocator Simulator Application Support Note oe screens include Manage Users Manage Firms Create New ser Allocation screens include Allocation Allocation Histo
48. rights reserved 2014 20 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 Performing Simulation 5 1 Overall Simulation Workflow On successful login the welcome landing page is presented The application is designed like a wizard where the user has to click on Next to progress through the process Previous and Start Again icons are provided to go back to previous step s or restart the simulation process This section of the guide provides an overall summary further detail on each step can be found later in this guide In order to perform simulation 1 Start Landing Page The landing page will be presented upon login ASX Margin Simulator HSVAR is applied on e Cleared OTC Portfolio e Additional OTC Portfolio e Cross Margined Futures SPAN is applied on Residual Cleared Futures e Residual Additional Futures Steps To Use This Tool 1 Account Selection Select the CP and account against which the margin simulation is to be run 2 OTC portfolio Import the cleared OTC portfolio and or add additional OTC trades 3 Futures Portfolio Import the cleared futures portfolio and or add additional futures 4 Futures Portfolio Allocate futures positions for cross margining 5 Simulation Results Submit cleared and or custom portfolios for simulation and receive simulation results Disclaimer Results calculated by the ASX Margin Simulator may be subject to additional add ons or other amendments before being c
49. rtfolio batch is rejected The file must be in a CSV file format else an error message will be displayed 5 3 4 1 Download OTC Template Custom Portfolio is uploaded using a pre defined CSV file template This template can be downloaded by clicking on the Download Template link on the bottom half of the screen Custom _Bowse Upload Download Template Include in simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 25 ASX Limited ASX Clear Futures Margin Simulator User Manual 5 3 4 2 CSV File Format The CSV file that is used to upload custom OTC portfolio for Simulation contains the following fields and properties Field No Field Name Required Data Type Instruction to populate the CSV Field Values 1 TradeType Mandatory String 10 Acceptable Values include e CPPAYSFIX To be used when CP running the simulation is Paying Fixed Leg of the IRS e CPPAYSFLOAT To be used when CP running the simulation is Paying Floating leg of the IRS e CPPAYSBASIS To be used when the IRS trade being simulated is a basis SWAP 2 Notional Mandatory Number Notional Amount of the trade For e g 1000000 3 Currency Mandatory String 3 Currency code of the SWAP Note currently only A trades are accepted For example AUD 4 StartDate Mandatory Date Start date of the SWAP trade dd mm yyyy For example 16 03 2013 5 EndDate Mandatory Date End date of the SWAP trade dd m
50. ry Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 7 ASX Limited ASX Clear Futures Margin Simulator User Manual V2 3 3 2 Create a New User To create a new user 1 Click Create New User in the navigation panel When Create New User has been clicked the Create New User screen is displayed Create New User m User Search AOL User Name Search AOL Users 2 Search for usernames that have already been set up in ASX Online ASX Online usernames are case sensitive 3 If the username is not found then user has to be setup in ASX Online prior to granting them access in ASX Clear Futures Margin Simulator If a match is found the following details will be populated ASX Online User Name First Name Last Name Email Address Firm Code Ensure all details are correct and enter a relevant Contact Number for the CP User 4 Nominate the user role User roles include Administrator Simulator Allocator 5 CPs have the ability to manage their own Users and User privileges Request a digital certificate on the user s behalf by checking Request Certificate and click Create User to apply changes This will send a request to ASX Online Help Desk for a VeriSign digital certificate 6 Click Close to end the user creation process 3 3 Edit User Details To edit user details 1 Click Manage User in the navigation panel 2 Once Manage User has been selected the Mana
51. then the Allocated Positions field will be disabled To try out Cross Margin simulation contact the relevant ASX Relationship Manager for a demo account 5 4 7 Include in Simulation The simulation portfolio is defined as the combination of cleared and custom portfolio that will be submitted to margin simulator engine to calculate the margin requirements The ASX Clear Futures Margin Simulator provides the flexibility to include either or both of custom and cleared futures portfolios in the simulation run The futures portfolio screen provides an Include in simulation toggle checkbox against the cleared and custom portfolio sections to include the associated portfolio in the simulation run Cleared mpor E Include in simulation Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 41 ASX Limited ASX Clear Futures Margin Simulator User Manual Include in simulation Custom Browse Upload Download Template Note Include in simulation toggle checkbox also controls the functionality of Download Futures simulation Portfolio Portfolio section s selected to be included in simulation will be downloaded when such a request is made 5 4 8 Download Futures Simulation portfolio To export the trades included in the Simulation portfolio the user can click on Download Futures Portfolio On clicking the Download a CSV file gets saved on the user s PC at the chosen location
52. tional String 40 Type of Instrument Refer to Valid ETD instruments Expiry Optional Date mmiyyyy Expiry Month of the contract For example 03 2013 LongPosition Mandatory Number Long position of the contract For example 100 ShortPosition Mandatory Number Short position of the contract For example 120 NetPositions Mandatory Number Long Position Short Position For Example 60 StrikePrice Optional Number The strike price for the option Condition To be entered only for an Option Position For example 97 375 Call Put Optional Character Call or Put options Valid values P C For example C Condition To be entered only for an Option Position SettlementPrice Optional Number The settlement price for the contract Note The Current version of ASX Clear Future Margin Simulator does not allow the user to upload the settlement price for Simulation Purpose Upon custom portfolio upload all settlement prices are replaced by previous day EOD prices For example 96 300 for futures 0 060 for options Copyright 2014 ASX Limited ABN 98 008 624 691 All rights reserved 2014 39 ASX Limited ASX Clear Futures Margin Simulator User Manual Field Name Required Data Type Instruction to populate the field values 11 AllocatedPositions Optional Number The positions for eligible contracts required to be cross m
53. ts the instrument codes that are allowed in the futures portfolio screen the Valid ETD instrument set also contains Interest rate options positions Interest rate future positions that are not enabled for cross margining Such positions can contribute to margin offsets but such positions cannot be cross margined Instrument Code Instrument Name Eligible for Cross margining IB ASX 30 Day Interbank Cash Rate Futures Yes IB ASX 30 Day Interbank Cash Rate Options No IR ASX 90 Day Bank Accepted Bill Futures Yes IR ASX 90 Day Bank Accepted Bill Options No Ol ASX 3 Month Overnight Index Swap Futures No YT ASX 3 Year Treasury Bond Futures Yes YT ASX 3 Year Treasury Bond Options No YD ASX 3 Year Treasury Bond Intra day Options No YO ASX 3 Year Treasury Bond Overnight Options No XT ASX 10 Year Treasury Bond Futures Yes XT ASX 10 Year Treasury Bond Options No XD ASX 10 Year Treasury Bond Intra day Options No XO ASX 10 Year Treasury Bond Overnight Options No XS ASX 10 Year Interest Rate Swap Futures No YS ASX 3 Year Interest Rate Swap Futures No Retrieve Cleared Portfolio and Allocations In order to retrieve cleared portfolio and allocations Click on Import on the top left hand side of the screen Existing cleared future portfolio can be used in ASX Clear Futures Margin Simulator by importing the cleared futures portfolio The cleared portfolio as well as the Al
54. urther detail provided in table below 3 4 2 Administration Users CP Administration users will be able to view and enable and disable any Client entities that sit underneath the CP s structure 3 4 3 Simulator Allocator Users As per user roles defined in the Entity and User Role Matrices Simulator or Allocator Users will not have access to the Manage Firms screen The table below outlines the potential scenarios for enabling and disabling of Firms Scenario Impact e CP Allocator Simulator Administrator unable to log into Margin Simulator will be presented with a System Error nati e Client Simulator for associated Client Firm unable to access Margin Se ee Simulator will be presented with a System Error if Client Firm is only associated with one CP Firm Client Simulator will be able to select alternative CP Firm if associated with multiple CP Firms and can access Margin Simulator screen e CP Allocator for enabled CP Firm able to select Client and House and access Allocation screen Application Support enables a e CP Simulator for enabled CP Firm able to select Client and House and CP Firm access Margin Simulation screen e Client Simulator for associated Client Firm user able to access Margin Simulator e CP Allocator for associated Client Firm unable to select Client and Application Support disables a access Allocation screen Client Firm e CP Simulator for associated Client Firm unable to select Client and

ASX Clear(Future) Margin Simulator - User Manual

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