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Xemac User Manual

1. Figure 53 Generated Reports View 5 8 3 Processing Reports 5 8 3 1 General comments The functions for report definitions that is Display Edit and Generate can be requested via the Report Definition tabular view The functions for generated reports that is Display Save As CSV Save As Excel Save As HTML Save as PDF Save as TXT Save as XML Page Setup Print and Delete can be requested via the Generated Reports tabular view The user cannot modify the format of the columns Xemac deletes generated reports after 12 business days in the Generated Reports tabular view It is possible to delete generated reports at any time regardless of this time limit The following reports are automatically generated in Xemac e Allocated Collateral e Allocation Changes e Allocations e Claim Amount e Collateral Overview e Collateral Pool e Credit and Debit Instructions 144 Chapter 5 Working with Xemac e Current Claims e Daily Change Global Amount e Debit and Credit Instructions e Deletion by System e Detailed Claim Amount CMSI if applicable These reports are made available to the user during the stipulated period up to 12 business days 5 8 3 2 Microfiches All Xemac Default Reports are made available as microfilm The microfilms are made available after the batch run in the evening of the 10th and the 20th
2. EUREX Deutsche Boerse AG and the Swiss Stock Exchange for financial derivatives EURIBOR Euro Interbank Offered Rate GCM General Clearing Member GUI Graphical User Interface ID KZ Identification Code User ID in Xemac International Securities Identification ISIN Number KTO Account in German KONTO KUSTA Client Master Data System of Clearstream Banking Frankfurt M Million NCM Non Clearing Member NCSC Non Collective Safe Custody ON Overnight PDF Portable Document Format file format PKS Position Keeping System RBS Rapid Batches 155 Chapter 7 Glossary RTS Real Time Settlement in CASCADE SDS 1 2 Same Day Settlement SIN Securities Identification Number SUALCO Xemac Summary Collateral and Exposure Statement STD Standard Processing Night time settlement SWIFT Society for Worldwide Interbank Financial Telecommunication TN Tomorrow Next T security Transferred security TXT Text file format German Securities Identification Number WKN Wertpapierkennummer WPA Wertpapierauftrag WSS Securities Service System XLS Excel file format XML Extensible Markup Language file format 7 1 2 Functional Glossary e Allocated collateral Collateral that is tied to a Claim As the provider of collateral it is not possible to allocate this collateral substitutions are the exceptions to the rule As a Collatera
3. iojxi Counterparty 7069 System Contract No 2005000025 Version 1 Identification Xemac Partner Controls Processing Information Own Profile Participant 6335 Name ABC Bank Client Reference BLZ 60050000 ACC 1234567 Client ABCABC Counterparty Participant 7069 Name DEUTSCHE BUNDESBANK Client Reference Figure 30 Contract Conclusion Xemac Partner Section The Xemac Partner section stipulates the counterparties involved If a Contract Conclusion has been confirmed and checked it is no longer possible to modify the entries made in Own Profile or Counterparty When confirming a Contract Conclusion either a Client Reference or a Client can be selected Table 27 Field description of window Contract Conclusion Section Xemac Partner Own Profile Xemac Partner Section Own Profile vane res commen o Participant Output ale participant number is displayed Name Output The name of the customers institution is displayed in this field Client Reference Output This field displays the Client Reference that refers to the Contract Conclusion Client Output The client s name of the customer displayed in this field 92 Chapter 5 Working with Xemac Table 28 Field description of Contract Conclusion window Xemac Partner Section Counterparty Xemac Partner Section Counterparty So This field contains the Xemac participant Paninip
4. SIN Settlement Location Type Nominal Value A Collateral Value 1 DE0001041887 CBF E 11 759 000 00 14 909 445 11 2 DE0001240190 CBF E 995 000 00 1 027 872 69 3 DE0001780807 CBF E 17 047 000 00 16 779 560 59 4 DE0002100732 CBF E 700 000 00 359 194 76 DE0002100781 CBF E 2 000 000 00 1 026 270 74 6 DE0002101151 CBF E 370 000 00 190 212 06 DE0002131042 CBF E 85 000 000 00 88 411 840 20 8 DE0002146826 CBF E 3 151 000 00 3 102 183 13 PCoon14 294 9 lonr Vad AEA nAn AN ANE BOD AZ Selected Value Select Collateral to be allocated SIN Settlement Location Type Nominal Value A Collateral Value Figure 10 Manual Allocation Release Allocate Section The available free and eligible collateral can be displayed in the Eligible free Collateral list box Here the individual positions are sorted in ascending order according to their securities identification number German Securities Identification Code ISIN Common Code or Cusip The collateral to be allocated can be selected by clicking on the left mouse button The field Selected Value displays the nominal value of the position If the Collateral Provider does not want to allocate the aggregate position partial values can be selected Therefore the user must click in the Selected Value field and overwrite the existing value with the required nominal value If this value does not correspond to the smallest tradable unit
5. General information Columns in alphabetical order Report No Client Reference Data as of Comment Participant No Credit Account Reference Currency Date of Entry ID Debit Account Page only on pdf file Instruction No Instruction Status Instruction Type Nominal Value Amount Participant No Processing Time Securities Description Settlement Date Settlement Location SIN 209 Appendix 3 Reports in Xemac Report Rejected Instructions This report shows the rejected Credit or Debit Instructions for the Xemac participant including historical ones It is used by the Collateral Provider and can be generated on request from the Report Definitions view The following columns are included in the report Table 88 Description of Columns of Report Rejected Instructions General information Columns in alphabetical order Report No Client Reference Data as of Comment Participant No Credit Account Reference Currency Date of Entry ID Debit Account Page only on pdf file Instruction No Instruction Status Instruction Type Nominal Value Amount Participant No Processing Time Rejection Reason Securities Description Settlement Date Settlement Location SIN Transaction Reference 210 Appendix 3 Reports in Xemac Report Deletion by System This daily report s
6. OK Cancel Figure 23 Client References Client Data Section There are four user configurable possibilities listed below for referencing a client of which the first is the system generated default option 74 Chapter 5 Working with Xemac Table 19 Possibilities for referencing a client No Institute Type Institute Custody Account Custody Account Reference Type Reference 1 Blank Blank Blank Blank BIC According to custod 2 Blank Blank BLZ or et S eed ACC YP BIC 4 BLZ or eal AA Blank Blank ACC YP BIG According to Ble According to custody J PLZ or institution type prz or account type ACC yp ACC yp Table 20 Existing plausibility while entering Client References Institute Digits of Institute Custody Account Digits of Custody Type Reference Type Account Reference BIC 8 or 11 alphanumerical BIC 8 or 11 alphanumerical BLZ 8 numerical BLZ 8 numerical KTO 1 to 11 numerical KTO 1 to 13 numerical A Client Reference is also required even if the user is active exclusively for his own institution This is the so called empty or blank Client Reference In this Client Reference none of the above fields is filled The system automatically creates a blank Client Reference the user does not need to create it explicitly If for instance a user is acting on behalf of another bank which is connected to his institution w
7. Appropriation Transfer Transfer External and Transfer EGC For a participant this view shows the ISINs with Nominal Value and Collateral Value e With a negative sign when the respective ISINs are allocated to a Claim view from the Collateral Provider side e Without a sign positive when the ISINs are received in the pool view from the Collateral Taker side 114 Chapter 5 Working with Xemac J 6335 Allocated Collateral 5 x Allocation View Output Columns Filter Options Please select value vi k A A Reset Filter K SIN Type Settlement Nominal Value Allocation System Counterparty Counterparty Location Amount Type Claim No Client 37 DEQOOAOESC91 E CBF 348 000 Transfer EGC 2010000037 7525 GC Pooling USD Classic Basket 38 DEOOOAOESDMO E CBF 7 770 000 Transfer EGC 2005000007 7525 39 DE000A0E97W2 E CBF 26 500 000 Transfer EGC 2005000007 7525 40 DEQOOAOFAAA E CBF 300 000 Transfer EGC 2010000037 7525 GC Pooling USD Classic Basket 4l DE000AOGQZ74 E CBF 448 000 Transfer EGC 2008000097 7525 Ubereignung EGCPX 42 DEQOOAOGIRES E CBF 3 870 000 Transfer EGC 2005000007 7525 43 DEOQOOAOHN164 E CBF 1 477 000 Transfer EGC 2005000007 7525 44 DEQOOAOHN6S1 E CBF 35 000 000 Transfer EGC 2005000007 7525 45 DEOOOAOHSYCS E CBF 51 730 000 Transfer EGC 20050
8. c 125 Table 46 Field description of New Credit Instruction view Section Accounts Section for CBL 129 Table 47 Field description of New Exposure Request view Header ccccccceeesecceeeeeteeeeseneeeeeeeeess 130 Table 48 Field description of New Exposure Request view Exposure Request Section 130 Table 49 Field description of New Exposure Request view Account Section cccccceceeseeeseeeteeeeee 132 Table 50 File Transfer SWIFT instruction MECHANISM cccecccecseseceesecececseeeeeeceeeeeeeeseeeeeesseeaeeesseeaeens 133 Table 51 Description of the Xemac behaviour depending on the instruction settlement date 133 Table 52 Text of status row depending on the instruction StatuS ccceeseceeseeeeeeeeeeeeneeteeseneeeeeseneeees 135 Table 53 Field description of view New Debit Instruction Header n snnusennnnnnnnnnnnnnrnnnrnnrnnnrrnrennnns 137 Table 54 Field description of New Debit Instruction view Debit Instruction Section cee 138 Table 55 Available function Status of Online instructions c ccccceeeeeceeeee cece eeseaeeeeeeeseeeeeseaeeesaeeseneeeeaes 141 Table 56 Available function Status of File Transfer SWIFT or IBM Websphere MQ instruction 141 Table 572 Time Of Report Generatio Messeren n ae aiae aa ERa OEA 146 Table 58 Penod of Report Generaties eanas Van
9. Claim Details Section nnnnnnnnnnnnnnnnnnnnnnnrnrrnnrrnnrnnnnne 103 Table 35 Description of field settings of a selected Claim Header ccccccesscesseseecesseneeeeeseeeeesseeetens 106 Table 36 Description of field settings of a selected Claim Xemac Partner Own Profile Section 106 Table 37 Description of field settings of a selected Claim Kemac Partner Counterparty Section 107 Table 38 Description of field settings of a selected Claim Claim Details Section ceeeeeeeereees 107 Table 39 Exposure adjustment and collateralisation for CMS Claims c ccccceeesceeeeeeseeeeeesaeeeeneeeeaes 110 Table 40 Field description of Display Allocated Security view Header ceseceeceeceeeeeeeeseneeeeeeeees 117 Table 41 Field description of Display Allocated Security view Identification Section e 118 Table 42 Field description of Display Allocated Security view Allocation Section eeeeeees 120 Table 43 Field description of Collateral Pool Value view ccccscsesescteceseeeseaeeeaeaeaeseaeaeaeaeaeaeaeaeaeaeaeaes 121 Table 44 Field description of New Credit Instruction view Header s snsesnnnnrrnnrrnnnrnrnnrrnrrrnrernrns 125 Table 45 Field description of New Credit Instruction view Credit Instruction Section
10. DEUTSCHE BORSE Clearstream croup Xemac User Manual June 2015 Xemac User Manual June 2015 This document is the property of Clearstream Banking S A Clearstream Banking No part of this document may be reproduced or transmitted in any form or by any means electronic or mechanical including photocopying and recording for any purpose without the express written consent of Clearstream Banking Information in this document is subject to change without notice and does not represent a commitment on the part of Clearstream Banking or any other entity belonging to Clearstream International S A Unless otherwise stated all times are given in Central European Time CET Copyright Clearstream International S A 2015 All rights reserved Table of contents 1 INTRODUCTION me saaovacctvecceads 1 1 1 OBJECTIVE OF THIS USER MANUAL 0cccccccceesssesaccececeesesssesaeeeseseesenesaeaeseseeeesssesaeaeceseesesenseaneeees 2 1 2 BASIC REQUIREMENTS FOR THE OPERATION OF XEMAC 000s0seeseseseeeseseseseseseseseseeeseseseeeseseseeeseeees 2 WELCOME TO XEMAG socio sccectesccelesicossecessentece eeoa Aaaa a Ea AAE a A EEEIEE AEE EE aai 3 2 1 FUNCTIONAL OVERVIEW ac re cheer nc ec tales sare ca a a a Pe ae 4 2 2 EOGGINGINTOXEMAGSIVIAIN VIEW 2 e 52 coset achee star a tu sehasdlc se ae te a a 6 2 3 TABULAR VIEWS AN Di RUBE VIEWS an ccxeds att teteaigunsiciiadaa a aaa oa atu tute aaae iaae E 8
11. 113 Chapter 5 Working with Xemac J 6335 Collateral Positions loj x Collateral Positions View Output Columns Filter Options e x C a E SIN Settlement Nominal Value Collateral System Counterparty Location Amount Status Claim No CBL 800 000 Free X50257807957 CBL 250 000 Reserved for Debit X50256298164 CBL 7 050 000 Free x 0258790400 CBL 12 500 000 Pledged 2000000016 7500 X50259231974 CEL 1 072 000 Free 696 x50260981658 c 100 000 Free c BL x80264382176 x80267452927 BL BL A n wo X50257807957 t t a a t 98 ti X30267636495 C 10 000 000 Free XS0268275749 C 200 000 Free X30268436341 CBL 60 000 Free X50269226238 CBL 49 000 000 Pledged 2000000016 X30271757832 CBL 650 000 Free X30271757832 CBL 300 000 Reserved for Debit X50272191791 CBL 200 000 Free X30272401356 CBL 35 000 000 Pledged 2000000016 X50273120716 400 000 Free X 0273564434 48 850 000 Free 09 X50273564434 18 250 000 Pledged 2000000016 710 X50273972397 400 000 Free 711 x80276060083 100 000 000 Pledged 2000000016 Il co J o amp J in J o an J o J J o co g BEES j tma f tea j a a alee Figure 35 Tabular View Collateral Positions 5 6 2 2 Tabular View Allocated Collateral This tabular view displays the allocated collateral The possible allocation types are Pledge
12. 142 Chapter 5 Working with Xemac 5 x 9G 6335 Current Report Definiti Report Definitions View Columns Filter Options C o H Ga Report Name Automatic Point No Report Generation in Time 1999000281 Allocated Collateral Active End of Day 2000000017 Allocated Collateral per CRef After morning re evaluation 1999000271 Allocation Changes Active End of Day 1999000270 Allocations Active End of Day 1999000287 Claim Amount Active End of Day 2010000253 Collateral Overview Active End of Day 1999000275 Collateral Pool Active End of Day 2000000044 Collateral Pool per CRef End of Day 1999000299 Collateral Positions Active End of Day 1999001017 Contract Conclusions Number After morning re evaluation 1999000272 Credit and Debit Instructions Active End of Day 1999000273 Current Claims Active End of Day 1999000280 Current Client References After morning re evaluation 1999000303 Daily Change Global Amount Active End of Day 2008000003 Debit and Credit Instructions Active End of Day 2008000226 Eligible Securities per CDef After morning re evaluation 1999000292 Historical Allocation Instructions After morning re evaluation 1999000294 Historical Claims After morning re evaluation 1999000295 Historical Contract Conclusions After morning re evaluation 1999000293 Historical Credit Debit Instruction After mo
13. Own Status Participant No Status of Contract Conclusion System Contract No Version of Contract Conclusion Version of Contract Definition 206 Appendix 3 Reports in Xemac Report Eligible Securities per CDef This report includes an overview of all securities eligible for a specific Contract Definition It is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 83 Description of Columns of Report Eligible Securities per CDef General information Columns in alphabetical order Report No Contract Definition No Data as of Haircut Participant No Name of Contract Definition Reference Currency Responsible Institute ID Securities Description Page only on pdf file Settlement Location CBF Settlement Location CBL SIN Limit Version of Contract Definition Report Own Contract Definitions This report contains all Contract Definitions entered by the Xemac participant as Collateral Taker for example Eurex or Deutsche Bundesbank It is used by the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 84 Description of Columns of Report Own Contract Definitions Ge
14. Rejected instructions are deleted automatically within Xemac after 12 bank business days and can then only be found under Historical Instructions 5 7 3 How to enter Collateral in the Collateral Pool 5 7 3 1 Entry of Instructions One way to enter securities in the collateral pool is by using the New Credit Instruction function The instruction is carried out for the sub account 550 in CASCADE or the Reservation Account in Cmax The following example shows how to enter credit instructions online Assumption The user would like to enter securities with ISIN DEQ001060473 for the Nominal of 100 000 into the collateral pool with a required Client Reference First it is necessary to assign an Instruction Number between 1 and 799999 in this example 17756 in the Credit Instruction section 2101 x Participant 6335 Instruction No Credit Instruction Accounts Processing Information Instruction No ____ 17756 Security Code ISIN SIN DE0001060473 4 911 BERLIN LAND LSA01 08A119 1 Depository Nominal Value 100 000 Date CBL Settlement Date 24 01 2013 Transaction Reference Message Reference Comment Rejection No Reason A OK Cancel Figure 41 Credit Instruction Credit Instruction Section An error message will be issued if this field is not filled in or if the given instruction number was already used on the same day
15. User Enables activation deactivation of the Xemac Bubble Help Mandatory Field Bubble Help function User Colour User Pre Filter Mandatory Field 85 Chapter 5 Working with Xemac Settings Window ee a Enables activation deactivation of the Xemac Information Message function The messages Mandatory Field appear during processing entry check confirm reject of instructions and other functionalities within Xemac User Reference currency Output The reference currency is EUR ISO code The code is by default the last one entered The User Mandatory Field choice can be made between German Securities Code y Identification Code ISIN Common Code and Cusip This field shows the default write directory of Xemac It must be indicated on installing the Xemac client and can be referenced in the settings screen Xemac uses this directory by default to save configuration and log files Information This field shows the current write directory of Output Xemac It shows the directory currently used for Current Write Directory saving reports User Information Message Information Default Write Directory 86 Chapter 5 Working with Xemac 5 4 5 4 1 How to set up Contract Conclusions This section illustrates how the user can confirm and check a Contract Conclusion entered by the Collateral Taker for example the Deutsche Bundesbank or Eurex thereby establishing the legal validi
16. 124 Chapter 5 Working with Xemac The securities identification number of the security must be entered in the SIN field in the format indicated in the Code field in this example DE0001060473 with the Nominal Value 100 000 The user may also enter additional information for this instruction in the Comment field The current date is displayed in the Settlement Date field by default The user can modify the date for a future settlement The entry must be a bank working day and no back dated entries are allowed Selectdate ee January 2015 gt gt Mo Tu We Th Fr Sa Su 29 30 34 1 5 el 7 8l 12 134 15 16 19 20 21 22 2 26 27 28 29 3 2 3 a 5 6 Accept Cancel Figure 42 Credit Instruction Select Date The following table provides an overview of the information that will be displayed and what entries can be made in each field Table 44 Field description of New Credit Instruction view Header Header vee rome come The Xemac participant number of the customer s Panicipant Output institution is displayed here The instruction is identified by a unique number Instruction No Output assigned by the user This field is blank for a new credit instruction Table 45 Field description of New Credit Instruction view Credit Instruction Section Credit Instruction Section The instruction is identified by a unique n
17. 16R SETPRTY 95Q REAG CUSTOMER BIC of receiving agent 97A SAFE 63350000 Credit account 16S SETPRTY 16R SETPRTY 95R SELL DAKV BLZ 12345678 Client Reference Custody Account Type and Reference 116S SETPRTY 16R SETPRTY 95R DECU DAKV BIC 12345678 Client Reference Institute Type and Reference 116S SETPRTY 70C PACO Debit Instruction with Client Reference Comment 116S SETPRTY 16R SETPRTY 95Q PSET DAKVDEFF Place of settlement 116S SETPRTY 16S SETDET 183 Appendix 3 Reports in Xemac Appendix 2 Claim Adjustment Request Hereunder a summary of the fields required for the sending of SWIFT format MT527 messages Claim Adjustment Requests Name of information element and condition ISO label Mandatory Sequence A General Information Comments on particularities regarding technical implementation or parameterisation 20C SEME 16x Senders reference 20C Unique reference used in the sender s application Client s Collateral 20C CLCI 16x Instruction 20C Reference O Reference assigned to the instruction by the customer Sender s Collateral 20C SCTR 16x Transaction 20C Unique reference identifying the collateral management Reference O transaction from the customer s point of view Function of the 23G PONEN message M The only permitted qualifier f
18. The securities settlement for GC Pooling trades in both currencies is different in the actual mode of settlement Depending on the Terms of the trade entered by the customer the settlement of Euro trades takes place either in RTS or SDS It is known that for GC Pooling front legs of Overnight ON trades are settled in RTS on the same day whereas the rest are settled in SDS on T 1 or later depending on the Term Settlement of trades for USD GC Pooling takes place in RTS only e Are there any differences in the trading settlement days between Euro and CHF Trading will be offered on Target open days with additional consideration for the CHF currency calendar observed by the CCP e As a Collateral Taker in both Euro and USD GC Pooling trades how can segregate the assets received in both exposures Will my collateral pool reflect the respective receipts The allocated collateral view report and the Allocations report indicate the assets allocated to from several Claims individually Within the pool the assets received in the framework of GC Pooling in Euro and USD are reflected together without any distinction This implies that when the same ISIN is received through both exposures the nominal values are summed up and a single line is seen in the pool e Can Iuse the assets received in GC Pooling trades in one currency to deliver in another Although this is not currently offered this is already recogn
19. e Substitution Substitution implies the release of already allocated securities and their replacement with those that are eligible and free in the pool For Euro GC Pooling Claims a release will always be accompanied by automatic substitution of equivalent value of the requested release e Transfer Transfer EGC Collateral pledged as Transfer or Transfer EGC results in the full transfer of securities to the Collateral Taker e Unallocated Collateral 161 Chapter 7 Glossary 7 1 3 Collateral that is not allocated to a Claim and is thus available for future Claims Free The provider of collateral may use it for a different purpose in this case Also the Collateral Taker can use securities received as Free and subsequently transfer these using allocation type Transfer e User ID The user ID is composed of ten digits The first four digits contain the participant number of the Xemac User account number and the remainder are allocated uniquely to the participant at random e Valuation Collateral is initially valued on the date of the first allocation to a Claim and then on a daily basis in order to check whether all Claims are still sufficiently covered On top of this collateral is re valued for each change in the allocated collateral positions The collateral value is fixed by calculating the market value of the respective collateral and applying the haircut for this collateral group
20. Identification Eligibility Contract Details Processing Information Allocation Type GCP Reuse Pledge Transfer Not Permitted Appropriation Full transfer of titie Permitted Basket EGCP Transfer External Full transfer of title for external use Exclusively Transferred securities only Transfer EGC Full transfer of title for GC Pooling securities Soe ars ee Accrued Interest Valuation Claim Amount Premium Evaluation Method Inclusive Exclusive Home Basket for GCP Reuse Time to Maturity Concentration Limit Limit Overall none Limit per Clearer Lee Figure 21 Contract Definition Contract Details Section Eurex Reuse 1 7525 Display Contract Definition a jol x Responsible Institute 7525 Contract Definition No 41 Version 14 Identification Eligibility Contract Details Processing Information Allocation Type GCP Reuse O Pledge Transfer Not Permitted Appropriation Full transfer of title Permitted Basket l Transfer External Full transfer of titie for external use oO Exclusively Transferred securities only Transfer EGC i Full transfer of title for GC Pooling securities E On Accrued Interest Valuation Claim Amount Premium Evaluation Method Inclusive Eurex Clearing GC Pooling 1 00 Exclusive C Home Basket for GCP Reuse Time to Maturity Concentration Limit
21. Related reference containing the customer s account 6335 and instruction number 590001 16S LINK 16S GENL 16R TRADDET 998A SETT 20101026 Settlement date for current day 998A TRAD 20101026 Trade date 35B ISIN DE0001135242 Securities code 70E SPRO Credit Instruction without Client Reference Comment 16S TRADDET 16R FIAC 36B SETT UNIT 500000 Nominal value 97A SAFE 63350000 Debit account 16S FIAC 16R SETDET 22F RTGS YRTG Settlement type 22F SETR COLO Type of settlement transaction Credit instruction 16R SETPRTY 95R REAG DAKV 63350550 Credit account 116S SETPRTY 16R SETPRTY 95Q PSET DAKVDEFF Place of settlement 116S SETPRTY 16S SETDET 180 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Example of MT542 Credit Instruction with Client Reference SWIFT Message Fields and Contents Comments 16R GENL 20C SEME TEST MT542 2 Instruction reference 23G NEWM 98A PREP 20101026 16R LINK 20C RELA KT63350105900020 Related reference containing the customer s account 6335 and instruction number 590002 16S LINK 16S GENL 16R TRADDET 998A SETT 20101027 Settlement date for future day 998A TRAD 20101026 Trade date 35B ISIN DE0001135242 Securiti
22. T EUREX GCP Eligible Asset Eligible Asset Eligible Asset EAD securities w l Pi Haircut Excluded Individual Securities Included Individual Securities SIN Settlement Location SIN Settlement Location Haircut 1 ATOOOOAOGLY4 CBF Own Issues v Close Figure 19 Contract Definition Eligibility Section Euro GC Pooling Classic This section determines the collateral groups and or specific securities defined by the respective Collateral Taker as eligible For a Collateral Provider the underlying securities eligible for a Claim are displayed in the view Collateral Pool Value and can also be saved in Excel More details are available in section 5 6 4 Collateral Pool Value View Table 17 Field description of Contract Definition window Eligibility Section Eligibility Section vane Tit an This field shows a list of all available Available Collateral Groups Output collateral groups in Xemac This field shows which collateral groups are defined as Eligible for this Included Collaleial Groups Contract Definition with the corresponding haircut Here individual securities are listed which are explicitly excluded and Excluded Individual Securities therefore not eligible for this Contract Definition although they might be a part of an included collateral group Here individual securities are listed along with the hairc
23. Table 25 Field description of window Settings Settings Window Participant Number Output This field displays Xemac participant number Participant Name Output This field contains the name of the institution At present the Xemac sub account of the Se ere Output position keeping system is 550 for all Xemac participants CASCADE F Settlement date Output Current settlement date is displayed in this field User User ID Output This field displays the user ID User Mandatory Field Enables user to select the language English or Language German Select whether the user wants to activate the Xemac colour function The colours will be visible in the following Xemac Windows Historical Credit Debit Instruction Rejected Instructions Status not checked and Mandatory Field Instructions without PKS Notification The colours will not be visible in the following Xemac windows Check Manual Selection Historical Allocations Instructions Allocation Instructions without PKS Notification View of Credit Instructions and View of Debit Instructions Enables activation deactivation of pre filter functionalities as Client Reference Counterparty Settlement location or ISIN under icon Collateral see Figure 2 Xemac View Collateral Positions when pre filter is activated in Settings User Enables activation deactivation of filter a aie functionalities in the tabular views
24. Table 63 Description of Columns of Report Claim Amount General information Columns in alphabetical order Report No Claim Amount Data as of Claim Currency Participant No Client Reference Currency Client Reference ID Collateral Value Page only on pdf file Counterparty Counterparty Client Counterparty Client Reference Cover Ratio GCP Basket Instruction Reference Event Name of Counterparty Own Claim No Own Contract No Own Status Participant No System Claim No System Contract No Valuation Time Version 189 Appendix 3 Reports in Xemac Report Current Claims This report shows all the participant s Current Claims with Entry Confirmed Checked status with the current Claim value The signs of the Claim amount can either be positive no sign or negative depending on whether the participant is Collateral Taker or Collateral Provider The sort order is Client Reference Own Claim Number and System Claim Number The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 64 Description of Columns of Report Current Claims General information Columns in alphabetical order Report No Claim Amount Data as of Claim Currency Participant No Client Reference Cu
25. iol x Own Claim No System Claim No Version Own Contract No System Contract No Version Xemac Partner Claim Details Processing Information Own Profile Participant 6335 Name ABC Bank Client Reference BLZ 60050000 ACC 1234567 x Client ABCABC Counterparty Participant 7069 lw Name DEUTSCHE BUNDESBANK v Client Reference x Figure 33 Claim Xemac Partner Section 101 Chapter 5 Working with Xemac The following table shows how the fields of the section are filled in together with the input possibilities for individual fields Table 31 Field description of Claim window Header Header Number Name Field Status Own Claim Number System Claim Number Version of the Claim Own Contract Number System Contract Output Version of the contract Output Pre filled Input possibilities not filled in not filled in not filled in not filled in not filled in not filled in Table 32 Field description of Claim window Xemac Partner Own Profile Section Xemac Partner Own Profile Section Participant Output Name Client Reference Client Optional entry Filled in according to the individual settings Filled in according to the individual settings not filled in not filled in Table 33 Field description of window Claim Section Xemac Partner Counterparty Xemac Partner Counterparty Secti
26. posh raga aie Figure 5 Logon window The user must log on with user ID and 8 digit password When assigning a user ID for the first time Clearstream Banking provides the user with an initial password It is required to change the password upon initial login To change this password the user will have to use the Change button 15 Chapter 3 How to access the system X Xemac Logon Production Version 5 6 A r clearstream Eia HE B RSE User ID 6335000783 New Password Repeat New Password Log on Return Figure 6 Change password window In the Change Password dialog the new password must be entered twice An error message will be issued if the password does not contain at least eight digits A password change can be abandoned by clicking on the Return button A password is valid for 30 days after which Xemac will request the user to change the password An error message is issued if the user tries to re assign a password that was already used before The entries must be confirmed with the Log on button It is possible to abandon the Logon process with the Cancel button Upon expiry of a password the user will get an Error Message Password expired please change password and will be directed to the Change Password dialog 3 3 Security Concept A customised user profile can be assigned to each employee of the customer s institution The institution sti
27. 141 Chapter 5 Working with Xemac 5 8 Reports This section shows how to display report definitions and to generate save print and delete reports 5 8 1 Brief Description Xemac enables the user to activate predefined reports for each area for example for Claims or Collateral The reports can be broken down according to their source of origin into e Reports from tabular views e Reports defined by CBF Xemac Default Reports A report can be generated automatically at a predefined point in time or manually directly on request The server makes the generated reports available as hard copy printouts or as files If required the reports for allocated collateral and collateral pool can be limited to one Client Reference by using the Allocated Collateral per CRef and or Collateral Pool per CRef Likewise the Eligible Securities per CDef report enables the user to generate the list of assets eligible for the selected Contract Definition 5 8 2 Views in Xemac Report definitions and generated reports are displayed in predefined views These cannot be modified by the user The Generated Reports view is selected as default view The views described hereafter refer both to the report definitions made available to the user and to the generated reports 5 8 2 1 Report Definitions This tabular view displays all report definitions made available to the user It includes all report definitions provided by Xemac
28. 250 000 000 00 232 464 375 00 250 000 000 00 7 DEOOOBLB3ML7 CBF JE 150 000 000 00 131 873 127 18 150 000 000 00 F LOONIE SA I Lama E O ESSE m DDD LLL LOLOL Os f a pa m gt Iv Substitution Automatic Selection Selected Value Select Collateral to be released SIN Settlement Location Type Nominal ValuesA Collateral Value Date Time 1 DE000A0Y2YM7 CBF E 150 000 000 00 139 576 800 00 21 07 2012 05 54 27 OK Cancel Figure 13 Manual Allocation Release Release Section automatic selection An error message will be issued if the user has already selected collateral manually for allocation or if this is selected after activating the checkbox The instruction is entered as soon as the Ok button is pressed The required collateral for allocation is now earmarked If an instruction for substitution is entered manually it makes no difference whether the collateral to be allocated is selected in Allocate section first or whether the required collateral to be released is first earmarked in the Release section The entry of the substitution instruction has to be concluded with the button OK e After the collateral to be released has been selected and e When Xemac is to select the collateral to be allocated by activating the Substitution Automatic Selection checkbox or the collateral has been manually selected in the Allocate section As soon as the Ok button has been pressed Xem
29. Allocation Status Active Identification Allocation a Own Profile Participant 6335 Name ABC Bank Client Reference BLZ 60050000ACC 1234567 Counterparty Participant 7500 Name EUREX CLEARING AG Client Reference Contract Claim Reference Currency Own Contract No 3 EUR v Own Claim No 30 Haircut 5 6 Exchange Rate 4 00000 Cover Ratio 211 Accrued Interest 0 EUR as of 07 01 2013 Collateral Value 3 634 628 92 EUR 3 Collateral Value 3 634 628 92 Valuation Date 08 01 2013 Close Figure 39 Collateral Allocation Section This section contains details of the counterparty and the contract as well as of the Claim to which the selected collateral has been allocated The following information is displayed Chapter 5 Working with Xemac Table 42 Field description of Display Allocated Security view Allocation Section Allocation Section peasan commen Own Profile Output The Xemac participant number of the user is displayed Participant p here Feeds prome Output The name of the user is displayed here ame Own Profile NE Client Reference Output This field contains the client reference Counterparty Output Here the Xemac participant number of the counterparty Participant p is displayed oe Output The name of the counterparty is displayed here Counterparty Output The Client Reference of the counterparty is displayed Client Reference P here Contract Claim Output This field cont
30. GC Pooling Optional entry Mandatory Entry for Euro GC Pooling Optional entry Optional entry Comment By checking this checkbox Xemac will automatically trigger request for CBL securities in cases of insufficiency of eligible assets in Xemac pool The underlying feature enables a participant to select the return of free CBL assets from the Reservation Account to the collateral source account in Creation four times per day After SDS1 14 00 16 00 and End of day This SWIFT address is exchanged within messages between CBF and CBL It is mandatory if the participant wants to deliver CBL assets The Reservation Account in Creation is similar to the Xemac sub account The Reservation Account is unique across all Xemac Client References The Segregated Account corresponds to the Collateral Taker account in Creation The Segregated Account must be unique across all Client References The Clearer ID as provided by Eurex is entered here In a contract based on Contract Definition Euro GC Pooling it is mandatory for the Contract Conclusion to be confirmed and checked It can be entered or modified ONLY by Clearstream Five alphanumeric digits can be entered for Clearer ID The Member ID as provided by Eurex is entered here In a contract based on Contract Definition Euro GC Pooling it is mandatory for the Contract Conclusion to be confirmed and checked It can be entered or modified ONLY by Clearstream Five
31. Market Value in Trading Currency Nominal Value Amount Price Date Quotation Securities Description Settlement Location SIN Trading Currency Type Xemac Price 199 Appendix 3 Reports in Xemac Report Collateral Pool Value only in Excel format via Claim Amount or Claim Number available tabular views This report shows the available free collateral for a specific Claim which could be allocated The report is used by the Collateral Provider and can be generated on request from the Claim Amount and Claim Number tabular views The following columns are included in the report Table 75 Description of Columns of Report Collateral Pool Value General information Columns in alphabetical order Own Claim No Basket System Claim No Collateral Value Claim Amount Limit Relevant Claim Amount Nominal Value Amount Securities Description Settlement Location SIN Unused Limit Type Report Collateral Positions This report displays for all a participant s Client References Collateral Positions of all ISINs with Free Pledged or Appropriated status with respective Nominal Market and Collateral Value Market Value and Collateral Value are displayed only for securities with Pledged or Appropriated status It is used by the Collateral Provider and the Collateral Taker and
32. di ccscccs scasenisdieaceteiscwd che daidee sadied oda Sodnaee a ecbudebidecweeeseanlenaenscasdeaebinent 119 Gollateral Pool Valus VION sect aceaetecctelce oer ee teaceet cps Gace aca ce crt eee cotati cm aeh sce sauce ee waar creak ee seea 121 Credit Instruction Credit Instruction Section ccc ccceceesseceeeeneeeeeeeaeeessesaeeesecaeeeeesaeeeeesaaes 124 Credit Instruction Select Date aicsvscsrest stu dekedeageeecsacicetcseansetadansd kedaee len tenaaet andeekedeaeale Gatos 125 Credit Instruction Accounts Section Settlement Location CBP cccccccecsseeeeessteeeeeeaes 127 Credit Instruction Accounts Section Settlement Location CBL ccccccccecsseeeeesteeeeeeaes 128 Manual Exposure Request Exposure Request Section Basket ECB cseeeeeeeeees 130 Manual Exposure Request Accounts Section c ccccceeseneeseeseneeseeeeneeseeeneeseeseneeeeeseneeees 131 Manual Exposure Request Accounts Section c ecccceeseceeeeseneeseeseneeseeeeneeeeeneneeseeseneeees 132 New Debit nstrucion IFICIGS CMIPly sssrinin nied piace itera 137 New Debit Instruction Accounts Section Settlement Location CBP ccccceeseeeeeeeees 139 New Debit Instruction Accounts Section with Source Account Settlement Location CBL 140 New Debit Instruction Accounts Section with BIC Settlement Locati
33. e Xemac Participant Customers of Clearstream Banking Frankfurt making use of Xemac They may act either as Collateral Taker like Deutsche Bundesbank Clearstream or Eurex or as Collateral Provider e Xemac Pool Consolidation of all securities collateral of a Xemac participant for each Client Reference e Xemac Standard Report The Xemac system provides all participants with standard reports that cannot be altered Allocated Collateral Allocation Changes Allocations Daily Change Global Amount Claim Amount Current Claims Collateral Pool Collateral Positions Credit and Debit Instructions Technical Glossary e Bubble Help Context help This is the on screen context sensitive help function The bubble help messages can be activated deactivated in the Settings menu e Checkbox Selection field with which the underlying function can be activated checked or deactivated unchecked For example the Active for Automatic Report Generation checkbox is not checked in the Schedule section for reports In contrast with a radio button the checkbox is independent and only serves to activate or deactivate a function It is possible to activate as many checkboxes as are required at the same time e Choice List Selection list dropdown menu with available features These features can be selected and adopted in the entry field Compared to the list box the choice list displays a list of characteristics that can
34. or e Rejected Entry Rejected or Deletion Rejected status The last modified user ID of the user is captured as User in the Client Reference Historical Client References This view contains the historical information of the Client References that were created and subsequently deleted 73 Chapter 5 Working with Xemac 52 3 Processing Client References 5 2 3 1 How to create new Client References New client data can be created with the New function 5 2 3 1 1 Client Data Tab There are two ways of entering Client References 1 Identification per institution as displayed by the Institute Type and Institute Reference fields 2 Identification per custody account as displayed by the Custody Account Type and Custody Account Reference fields In both groups the fields can be filled in the following way It is possible to enter a BIC code BIC a bank code BLZ or an account number ACC in the Institute Reference or Custody Account Reference field The corresponding code BIC BLZ or ACC must be entered in the Institute Type or Custody Account Type field ip Participant 6335 ABC Bank Client Data Settlement Data Processing Information Client Reference Institute Type Institute Reference Custody Account Type w Custody Account Reference oo Client Comment Date Creation Deletion
35. status Deletion Confirmed Checked Tabular View Automatically Confirmed This view contains all Claims that were automatically confirmed on the day of the entry or on the day before for example newly entered Claims increases of Claim Amounts Tabular View Claim Number This view contains all Claims that were open valid in the system providing similar information as Claim Amount sorted sequentially by Claim Number Unlike the Claim Amount view where only the current valid Claim is displayed this view displays the Claims in all existing statuses Tabular View Daily Change Global Amount For a Collateral Taker this view displays all Claims that were modified during the current business day including those requiring further action for example approval rejection How to maintain Claims 99 Chapter 5 Working with Xemac 5 5 3 1 Brief description Using the Claims icon it is possible to maintain Claims in Xemac that is the global amounts notified to Deutsche Bundesbank and the securities to be pledged to Eurex to meet margin requirements as well as any other Claim towards a Collateral Taker How the functions described in this section are called up depends on the status of the Claim that is a certain status is sometimes a prerequisite for certain activities The Call by Originator table below originator person entering the Claim displays the valid combin
36. the originally allocated securities will not necessarily be released at the end of the respective trade net Claim concept e Transferred T securities my pool are not displayed as ISINs that can be allocated through the Manual Allocation view Why is that This can be due to following reasons 1 Reuse is not enabled in Contract Definition 2 The GCP Reuse checkbox is not checked in the respective Claim 3 The security may have a Collateral Value zero e Is it possible to reuse T securities from all baskets Within NCB Claims reuse is allowed only for assets received through the GC Pooling ECB Basket Within Claims linked to Contract Definitions allowing Eurex reuse all baskets are set up as eligible e see a change in the composition of ISINs in my pool even when do not have any transactions on a given day Transferred securities have been substituted by Eurex Clearing AG and replaced by other securities of equivalent collateral value The system ensures that the overall collateral value will always be maintained e How can monitor pending repo trades in CASCADE The pending status can be viewed in CASCADE by the option KVAI AA Auftragsart 01 Lastschrift Bank Account of the Seller Gutschrift Bank Account of the Buyer 169 Chapter 8 Frequently Asked Questions Baskets for GC Pooling EGCP DEQOOA0AE077 AOAE07 WKN ISIN EGCPX DEQOOAOWKKX2 AOWKKX GCP Equiti
37. there is no information as to whether the instrument is an equity or investment fund or a fixed income or similar security e The security s remaining time to maturity is less than one day e There is no information on the dates for maturity and repayment Collateral can only be allocated to a Claim if the Collateral Taker that is Deutsche Bundesbank Clearstream or Eurex has defined the securities as eligible for collateralisation Allocations in Xemac against any Claim of a participant or Client Reference can be done only from the eligible list of securities These criteria are stipulated within the Contract Definitions see section 5 1 Contract Definitions are the basis for Contract Conclusions Xemac maintains on going verification that this criterion remains to be met for collateral already allocated to a Claim Below is a list of collateral groups set up in Xemac 43 Chapter 4 Key functions and basic principles Table 10 Overview of available collateral groups in Xemac BBK SIPO2 EAD BBK EAD BDE EAD BDF EAD BDI EAD CBF EAD DNB EAD ECB EAD NBB EUREX EUREX GCP EUREX GCP ECB MXQ EUREX GCP EQUITIES EUREX GCP INT MXQ EUREX GCPX Index AEX Index ATX Index BEL 20 Index CAC 40 Index DAX 30 Index DJ Euro Stoxx 50 Index IBEX 35 Index MDAX Index OMX Hel 25 Index PSI 20 Index SMI Deutsche Bundesbank securities pool 2 Eligible Asset Database Deutsche Bundesbank BBK Eligible Asset Database
38. 1 BE6222243816 2 BE6222243816 3 BE6225487279 4 BE6225487279 5 BE6226915971 r AOALD a Add Remove Add Remove Own Issues O Excluded Close Figure 17 Contract Definition Eligibility Section for Deutsche Bundesbank NCB X 7500 Display Contract Definition Responsible Institute 7500 Contract Definition No 2011000003 Version 1 identification Eligibility Contract Details i Processing Information Available Collateral Groups Included Collateral Groups a Group Name Haircut 9 4 BBK SIPO2 Deutsche Bun Add 2 EAD BBK Eligible Asset Eligible Asset Eligible Asset Eligible Asset Remove Haircut Excluded Individual Securities Included Individual Securities SIN Settlement Location fl SIN Settlement Location Haircut w Add Add Remove Own Issues O Excluded mm Figure 18 Contract Definition Eligibility Section Eurex 67 Chapter 5 Working with Xemac ioixi Responsible Institute 7525 Contract Definition No 1 Version 14 Identification Eligibility Contract Details Processing Information Available Collateral Groups 7 Included Collateral Groups _ GroupName _ Group Name Haircut Deutsche Bunja Eligible Asset
39. 5 7 3 How to enter Collateral in the Collateral Pool The Comments field for any instruction helps to describe any user necessary information 134 Chapter 5 Working with Xemac The following table shows the texts of the status bar depending on the instruction status Table 52 Text of status row depending on the instruction status Instruction Status Text in status bar of full view System Instruction has been transferred to the position keeping system PKS for disposition Execution The instruction was executed successfully Rejected As the settlement deadline was exceeded The Instruction could not be executed It was rejected in CASCADE Due to insufficient holdings available Due to imminent capital adjustments Due to a public holiday As the assigned instruction number already exists It was rejected in Creation Collateral insufficiency Settlement issues Security not in eligibility basket 5 7 5 5 7 6 How to modify a Credit Instruction The Edit function enables the user to modify online credit instructions that have not yet been checked Credit instructions made through File Transfer SWIFT or IBM Websphere MQ cannot be modified An online credit instruction must be new or modified and in either case not yet checked By selecting the instruction via the Status not checked tabular view it is possible to modify t
40. 7 1 Contact Doinionn Typo NGB seas scncsise Aen an satelies dans Sane cis danas s satiaiiews Ames Natl 45 4 7 2 Contract Dann Type CMS siissvuissusnce seach ciediay iebaeecsesalsoasce iaien ds vatpenadbiabadadiansrauesabeead oes 45 4 7 3 Contact Detinition ype Euro GC Pooli screnricemi ia Ea 45 4 7 4 Contact Darmin Tipe EWS sonore nni iendseieusnlsiauies ipndh sa iiss sadiataseaataneracesatebaalaes 46 4 7 5 Contract Definition Type CICA SUC GIT sscnistiss snensetrepinseves alowsseiaiaslaniseSiceseiavasieiaieseaedssiia 46 48 MARK TO MARKET occian a R O R A O 47 4 8 1 Elaa Ee e e eE A E E T O T E E E 47 4 8 2 Calculation Ol Accrued Imere Stenson E E 48 4 9 AUTOMATIC ALLOCATION RELEASE ssia isiu a a a a a a a Eaa 49 4 10 MANUALALLOCATIONIRE LEAS Eisercice a E E E E 49 4 10 1 Brief COSCHDUON svcsiss ccccssnanceesnaacecesssanieessacsieeesant REE EAEEREN EEEREN ENEE AAE NEEE EE NEREA 49 4 10 2 How to manually allocate Collateral sists sscincuscateeeessabesesssatsdestiandessssagcserniasacessctavietisnsiensausiets 50 4 10 3 Howto manually release Collateral 21 cccscccccccecesscsenceceeneeceneesanaecseneeceneeessassseneecseneessaness 53 4 10 4 How to Substitute Collateral ssrin aaa E AAE EEE EARRA 55 4 10 5 Manual Allocation Release in GC Pooling Claims ccsccccccceceeceeenseceeseeceeeeessseseeseeseneeeesnees 57 4 10 6 Xemac views of Allocation Instructions ss1esssssnnnnnnesnannnnnnnnnnaannnnnnnnennannnnnannnnaannnnn
41. ANNE BABS ZW MALO L 0001 ISRT SP01SEC L DATA KXKU ANNE BALO L 0001 ISRT SP01SEC L DATA KXSI AN MA L 0001 ISRT SP01SEC L DATA KXVD AN L 0001 ISRT SP01SEC L DATA KXVA AN NE BA KP BS ZW LO L 0001 ISRT SP01SEC L DATA MENU 214 Appendix 4 Access Rights 3 Xemac User as user checking the entry 0001 ISRT SPO1SEC DATA KXAA 0001 ISRT SPO1SEC DATA KXAU ANKT ZW 0001 ISRT SPO1SEC DATA KXFO ANKT ZW 0001 ISRT SPO1SEC DATA KXKU ANKT ZW 0001 ISRT SPO1SEC DATA KXSI AN 0001 ISRT SPO1SEC DATA KXVD AN 0001 ISRT SP01SEC DATA KXVA ANKT ZW 0001 ISRT SPO1SEC DATA MENU Poo Jie ie ee i Fase Resi Cie alee a le i ape ie 215 Appendix 5 CASCADE Foreign Currencies Appendix 5 CASCADE Foreign Currencies The following 20 CASCADE Foreign Currencies are currently also applicable in Xemac JPY is not applicable Table 92 CASCADE Foreign Currencies Currency Country AUD Australia CAD Canada CHF Switzerland CNY China CZK Czech Republic DKK Denmark EUR EWWU GBP Great Britain HKD Hong Kong HUF Hungary MXN Mexico NOK Norway NZD New Zealand PLN Poland RUB Russia SEK Sweden SGD Singapore TRY Turkey USD USA ZAR South Africa 216 INDEX 217 Index Index ACCESS Rights eeccccsccnierinninesere ssni 16 214 Accrued Int rest coesione rekreo Eda 48 Adopt the current contract essseseeeeeeeeeeeeeereeeeee
42. Banco de Espana BDE Eligible Asset Database Banque de France BDF Eligible Asset Database Banca d Italia BDI Eligible Asset Database De Nederlandsche Bank DNB Eligible Asset Database European Central Bank ECB Eligible Asset Database National Bank Belgium NBB Eurex Clearing Eligible Securities Database GCP EAD excl non approved Relayed Links and Close Links ECP ECB MXQ EAD excl Issuer Groups 3 4 7 8 9 and Asset Type 11 Eurex Equities GC Pooling Eligible Securities Database GCP INT MXQ Eurex Int Maximum Quality Eligible Securities Database GCPX EAD excl Asset Type 03 of Issuer Group 3 4 and 11 Amsterdam Exchange AEX Index Swiss Market Index SMI Xemac checks the quality requirements for collateral which have been already entered into the collateral pool If collateral fails to be eligible it cannot any longer be used to collateralise Claims In such a case Xemac tries to substitute the security with another from the collateral pool of the participant 44 Chapter 4 Key functions and basic principles Securities held in CASCADE that is Collective safe custody as well as in Creation can be used to provide collateral for GC Pooling or within the Xemac system The assets eligible for GC Pooling can be obtained through the report Eligible Securities per CDef with respect to the individual settlement locations CBP and CBL 4 7 1 Contract Definition Type N
43. Best tibertrag w EuGCP 2008000237 26 02 2010 12 05 57 6335111111 13964 Eligible Securities per CDef Eurex margining 2008000237 26 02 2010 12 03 29 6335111111 34775 7 Eligible Securities per CDef Deutsche Bundesbank 2008000237 26 02 2010 12 00 32 6335111111 43734 Collateral Pool per CRef BLZ 60050000 ACC 1234567 2000000049 26 02 2010 11 59 37 6335111111 Allocated Collateral per CRef BLZ 60050000 ACC 1234567 2000000022 26 02 2010 11 59 04 6335111111 Deletion by System 1999001087 26 02 2010 07 29 16 MASCHINELL List of Change Global Amount 1999001084 26 02 2010 07 29 16 MASCHINELL Daily Change Global Amount 1999001113 25 02 2010 13 07 27 MASCHINELL Collateral Positions 1999001109 25 02 2010 13 07 09 MASCHINELL Claim Amount 1999001097 25 02 2010 13 07 09 MASCHINELL Allocated Collateral 1999001091 25 02 2010 13 07 08 MASCHINELL Collateral Pool 1999001085 25 02 2010 13 06 09 MASCHINELL Current Claims 1999001083 25 02 2010 13 06 09 MASCHINELL Credit and Debit Instructions 1999001082 25 02 2010 13 06 08 MASCHINELL Allocation Changes 1999001081 25 02 2010 13 05 56 MASCHINELL Allocations 1999001080 25 02 2010 13 05 51 MASCHINELL Deletion by System 1999001087 25 02 2010 07 27 36 MASCHINELL List of Change Global Amount 1999001084 25 02 2010 07 27 36 MASCHINELL Daily Change Global Amount 1999001113 24 02 2010 13 06 45 MASCHINELL
44. Clearing being the Central Counterparty to all such trades Upon receipt of instructions linked to a trade and subsequent cash confirmation the Claim is revised to the resultant net Claim with Eurex Clearing with underlying changes in the respective version number Whenever a participant enters into a Repo trade the version of the resulting net Claim is incremented by 1 The previous Claim version is then moved to Historical Claims 42 Chapter 4 Key functions and basic principles 4 6 11 Processing for Contract Definition Type Clearstream For this Contract Definition Type the same rules apply as for Contract Definition Type NCB More information can be found under section 4 6 7 Processing for Contract Definition Type NCB 4 7 Securities eligibility for Xemac Before a security can be entered into the collateral pool to use it as collateral Xemac checks whether it meets certain quality standards with respect to e Status of security that is is the security active already due or deleted e Securities group e Securities type and e Dates of maturity If a security meets the stipulated standards it is deemed as eligible for Xemac A security may not be eligible for Xemac for the following reasons e The security is redeemed or no longer exists e The security is part of a securities group or securities type not accepted as collateral by Xemac e The security type has not been specified that is
45. Current Client References Yes References Allocated Collateral Yes Allocated Collateral per CRef No Allocation Changes No Allocations No Gater Collateral Pool No Collateral Pool per CRef No Collateral Pool Value Yes Collateral Positions Yes Collateral Overview Yes Historical Allocation Instructions Yes Contract Conclusions Number Yes Contract Historical Contract Conclusions Yes Conclusions Own Contract Conclusions Yes Third Party Contract Conclusions Yes Eligible Securities per CDef No Contract a Definitions Ea Contract pewnlene Yes Third Party Contract Definitions Yes Credit and Debit Instructions No Instructions Historical Credit Debit Instructions Yes Rejected Instructions Yes N A Deletion by System No 4 Collateral Pool Value is not a standard report but it can be saved in Excel format 188 Appendix 3 Reports in Xemac Report Claim Amount This report displays all current Claim Amounts in Entry Confirmed Checked status The signs of the Claim amounts can either be positive no sign or negative depending on whether the participant is Collateral Taker or Collateral Provider The Collateral Value is always displayed without any sign implying positive value The sort order is Claim Amount Counterparty and then Counterparty Client Reference The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report
46. Figure 3 Tabular View Cla lini AMOUNT isseseass incest sisiadetss joaadesionauenes E A AAAS EA EEE E OE 9 Figure 43 Full ViGW Oams acinomae E Caen ds SaceemRSe acted Sus bias 11 Foue S LOGON WIMGOW sainan a Reanae Se cedes See aiaaat dated sea cewndt Gheaias Senaduteanted obeenianas 15 Figure 6 Change password WINDOW sssccusaccuse dct inan a aa caste wads ace idh E a S 16 Figure 7 Section Processing Information Claim ssssssrisisaisirisii osiin soda ntyssncdneedeivdieed evince saan araram an NaS 33 Figure 8 Compulsory Claim Decrease isrann angaia aaa aaa ENa Seon ete EE 48 Figure 9 Manual Allocation Release Instruction Data Section essssseesseseesssrrsserrnsrirnnsrinnnnrinnnsrinnnnne 51 Figure 10 Manual Allocation Release Allocate SeOCtiON 0 0 eeceeeeeeeeeeeeeeeceeeeeeeeeeeeeeeeeeeseeeeeeseneaeeeeeeeeeess 52 Figure 11 Manual Allocation Release Xemac Partner Section 20 0 cceeeeceeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeens 53 Figure 12 Manual Allocation Release Release Section eccccceesceeeeeeeeeeeeeeeeeeeeeeeeeeeeseneeeeeeeeeaeeeeeeeeeens 54 Figure 13 Manual Allocation Release Release Section automatic Selection ceeeeeeeeeeeeeeeeeneeees 56 Figure 14 Eligibility CHECK sissisodan eee Maine ene eis 63 Figure 15 Contract Definition Identification for Deutsche Bundesbank NCB Section seeee 64 Figure 16 Contract Definition Identificatio
47. Limit Overall none Limit per Clearer Close Figure 22 Contract Definition Contract Details Section Euro GC Pooling Details on the Contract Definition with the Contract Definition type NCB Clearstream CMSI Euro GC Pooling or Eurex are displayed in this section Table 18 Field description of Contract Definition window Contract Details Section 70 Chapter 5 Working with Xemac Contract Details Section nine Prt tenon Pledge and Appropriation for Contract Conclusion having Contract Definition type NCB Clearstream CMSI or Eurex With the CD Type Eurex Appropriation stands for a Full Title Transfer Transfer for transfer of Allocation Type securities to a CCB Cash Correspondent Bank Transfer External for Transfer of securities between international customers Transfer EGC for transfer of securities corresponding to trades in GC Pooling This value for this field is NULL for Contract Definitions with Contract Definition type NCB Clearstream CMSI or Eurex For Euro GC Pooling this field contains a specific value as shown in the Figure above It displays the required percentage of collateral that needs to be added to a Claim in order Claim Amount Premium Output to be fully collateralised Thus if the value is 1 then for a Claim of 100 the pro
48. NE 84 5 4 HOW TOSET UP CONTRACT CONCLUSIONS irristan aee a aaa aiana aa A teen ia steeds 87 5 4 1 Briol DeSUS AAAA 87 5 4 2 VIGWS EE E E A EEE E E PE EEE E E E E E E ied 88 5 4 3 Processing Contract CONnCIUGIONS sscisos seiscsasasestossbsiscadssieLaczsiabtieessitaseehsandagsabachind Mitdes aeeates 89 5 5 HOW TO ENTER CLAIMS IN XEMAGC ss sccccccececseseseeeecececeesesssaeeeseseeeesenesaeeeseceesesesesaeeeeeeeeseseseaaeeeees 97 SSL BOT TIO SCOT ON sno as esa iipad elon Dea amie sera eee eas 97 5 52 VOWS TI XOMAC aan tas ene aeiaessivae caigeneaTaa pat anmeaeaes 97 5 5 3 Howtomantain Claim Seseent 99 5 6 HOW TO DISPLAY COLLATERAL wxctere mano iaaea a a aa E aa ai 113 5 6 1 BCT DOSC NON sana saa a 113 5 6 2 AOMaAa VONS aron stud cause sha decals az au i iaass oa aabadeaieipadecaeaaeaebacapassla catesdy ata ducaieaeaunieiasdcaed 113 5 6 3 FIOW 10 GISDIAV Collateral orsu aenn Ea EE E 117 5 6 4 Collateral Pool Vale Vi W m iz os sesce antes oth ans attada cc ania detowsidabiccecs Dieter a sasiesitel aadi 120 5 7 INSTRUCTIONS HOW TO ENTER AND REMOVE COLLATERAL cscccececsesseseceeeeececsesaeaeceeeeseeeseaeaeees 122 5 7 1 BNET DESCO O ariran a a a a a aN 122 5 7 2 VICWS HTX ema asanare TE ase ae a a ee 123 5 7 3 How to enter Collateral in the Collateral Pool 2 ccccccccsscscsssscseneeceeeeeseseeseeesseneesssntesaes 124 5 7 4 Howtodisplay Gi Credit Instruction siruina E 134 a75 Howto modly ASCENT INSiruUctiO
49. Name fields are entry fields for specific customers and are otherwise disabled for entry e The respective Client Reference must be selected by the user for the credit instruction Alternatively the client can be selected in the Client field The field can also remain blank A sample credit instruction is shown below for Client ABCABC 126 Chapter 5 Working with Xemac iH 6335 New Credit Instruction i Participant 6335 Instruction No Credit Instruction Accounts Processing Information Settlement Location CBF CBL Debit Account Account 6335000 Name ABC Bank Original Instructor Account Name Credit Account Account 6335 550 Name ABC Bank Client Reference BLZ 60050000 ACC 1234567 M Client AB CABC OK Cancel Figure 43 Credit Instruction Accounts Section Settlement Location CBF An overview of the entries in the Accounts section is as follows Accounts Section for Settlement Location CBF Settlement Location Input CBF is selected per default rn ae Output The CASCADE main account of the participant Debit Account The name of the debit account holder is Output Name displayed here This field displays the account of the originating Output party and is currently only available for specific customers i This field displays the name of the originating e
50. Output assigned by the user This field is blank for a new debit instruction Table 54 Field description of New Debit Instruction view Debit Instruction Section Debit Instruction Section The instruction is identified by a unique number nstruction No Input assigned by the user Security This field displays the code of a security the Gude y Output German Securities Identification Code ISIN Cusip or Common Code Security p t Depending on the code this field displays the SIN p securities identification number Security name Output Here the name of the security is displayed a Security This field contains the nominal value of the Nominal Value Input collateral to be entered The nominal value must be a multiple of the smallest tradable unit Settlement Date by the user as explained above CBL Transaction The CmaX ID TRCI of the message exchanged Reference between CmaX and Xemac Message Reference between CmaX and Xemac l It is possible to add further information to the debit P ae Depending on the settlement location the Accounts tab undergoes a change in view When the settlement location is CBF the standard debit account and credit accounts displayed are the CASCADE accounts for example 6335 550 and 6335 000 as seen in the figure below 138 Chapter 5 Working with Xemac 2G 6335 New Debit Instruction lolx Participant 6335 Instruction No Debit Instruction Account
51. The two right columns show who can see the Claim with the respective status that is only the person entering the Claim only the Deutsche Bundesbank Eurex or both 25 Chapter 4 Key functions and basic principles Table 3 Status display for entry of Claims Description of status Claim can be seen by Person entering Collateral Claim Taker New Modify Yes No Check Entry Checked Yes Check rejection Reject rejection Table 4 Status display for deletion of Claims Description of status Claim can be seen by Person entering Collateral Claim Taker Delete Yes No s s s i s rej S Check rejection Deletion Rejected Checked Reject rejection Deletion Checked Confirmed Y N Y Y Y Y Y Y 26 Chapter 4 Key functions and basic principles 4 3 4 3 1 4 3 2 Four eyes Principle Certain functions in Xemac need to be checked such as when status changes from Entry to Entry Checked or from Entry Checked Confirmed to Entry Confirmed Checked Such a check function increases the security and is supported by the four eyes principle Xemac thus ensures that a Claim is not entered and checked by the same user of the Xemac participant The following are subject to the four eyes principle e Client References e Contract Conclusions e Claims e Exposure Requests and e Instructions The four eyes principle is explained below using a Claim with De
52. This also refers to Contract Conclusions based on Contract Definition type CMS Claim reductions to Eurex based on the Contract Definition Type Dt Bok must be confirmed manually For bilateral Contract Conclusions the same mechanism as the one is place in the case of Deutsche Bundesbank applies Xemac automatically confirms modifications made to a Contract Conclusion by Deutsche Bundesbank Eurex or bilaterally e Reduction of the Global Amount The Collateral Provider reduces the amount of an existing Claim After the Collateral Taker has manually confirmed and checked the reduction Xemac releases the surplus collateral so that only the reduced global amount is collateralised e Reference Currency The reference currency is stipulated in the respective Contract Definition The collateral value of a Claim is reported either in the reference currency or in Claim currency The Euro is the default reference currency e Release of Collateral Upon release of allocated collateral it is automatically returned to and available from the Xemac pool e Report Definition The report definition stipulates the layout of a report that is which columns are displayed in which order and how the rows are sorted However each view can be sorted and displayed according to the user s requirements e Same Day Settlement SDS Same day settlement in securities or cash after placing instructions e Shortage of Cover See Margin Deficit
53. Windows applications should find that they quickly gain familiarity with Xemac 2 WELCOME TO XEMAC 2 1 Chapter 2 Welcome to Xemac Functional overview Security and cash collateralised transactions are gaining increasing importance within the international finance markets Consequently market participants require an effective collateral management solution in order to be able to achieve optimal allocation of securities To support this market requirement the Xemac product offers an extensive service for the administration and management of securities collateral for Clearstream customers The Xemac product facilitates customer collateral management administration by automating the majority of required tasks This enables flexible use of collateral across the following markets 1 Pledge collateral in favour of the Deutsche Bundesbank within the scope of money market interventions of the European System of Central Banks ESCB In addition to the disposition account at Deutsche Bundesbank where collateral is held available for pledging customers can also provide collateral in Xemac for money market interventions of the ESCB The collateral in Xemac can be used to collateralise all money market interventions This includes the open market interventions as well as intraday and overnight loans among others 2 Pledge collateral for the derivatives exchange Eurex This includes the deposit of full or partial cover for margin requi
54. allocation This feature enables use of external files from Collateral Takers defining prices and haircuts of eligible assets to be used for the evaluation within the Claims Evaluation Methods Common Eurosystem Pricing Hub used for Claims based on Contract Definition Type NCB Eurex Clearing used for Evaluation Method Output Claims based on Contract Definition Type Eurex Eurex Clearing GC Pooling used for Claims based on Contract Definition Type Euro GC Pooling Clearstream used for Claims based on Contract Definition Type Clearstream Home Basket for GCP reuse The flag determines if the evaluation of T securities should follow the same criteria as applicable within the home GC Pooling Claims The Concentration Limit is a Limit per security defined by Eurex Clearing to be allowed for allocation in the Claim Limit Overall applies for Claims based on Contract pan Definition Type Eurex where a Concentration Limit Output GC Pooling Reuse is Not Permitted Limit per Clearer applies for Claims based on Contract Definition Type Euro GC Pooling for Equities only 72 Chapter 5 Working with Xemac SMA 5 2 1 5 2 2 5 2 2 1 5 2 2 2 5 2 2 3 Save client data as Client References Client References are necessary if the user is active in Xemac on behalf of underlying financial institutions In this case each underlying i
55. alphanumeric digits can be entered for Member ID Entry in this field can be 11 alphanumeric characters Entry or modify functions It will be validated if the RTGS Account is a valid settlement bank of the Ancillary System CEDELULLASI This field is filled only for a CBL customer It is used for reporting purposes It is allowed to input five digits Entry or modify functions Between the last two fields if one is filled the other field must also be filled 78 Chapter 5 Working with Xemac 5 2 3 1 3 Client Reference example The following example shows how to proceed when creating a Client Reference e The Participant and Participant Name are automatically filled in with the account number and name of the Collateral Provider e Via the choice list BLZ is selected in the Institute Type field The value 60050000 is entered in Institute Reference e Via the choice list ACC is selected in the Custody Account Type field The value 1231234 is entered in the Custody Account Reference field e The Client field may remain blank in which case an alert is issued that can be ignored by pressing OK In this case GC Pooling ABC is entered in the Client field e The Auto Provisioning flag is ticked e The Auto Return flag is not ticked e The BIC Collateral Provider is entered as ABCDEF99 e The Reservation Account is entered as 12345 e The Segregated Account is entered as 5432
56. amendment Deutsche Bundesbank will manually confirm the reduction In this case Deutsche Bundesbank carries out a manual confirmation as it first needs to make sure that no more than the newly reduced global amount is being used Xemac releases the surplus collateral as soon as Deutsche Bundesbank has confirmed the reduction Table 7 Steps for reducing global amounts Step Collateral Provider Collateral Taker Xemac Modify Claim 1 reduce amount User 1 2 Check Claim User 2 3 Check global amount actually used 4 Confirm Claim manually User 1 40 Chapter 4 Key functions and basic principles Step Collateral Provider Collateral Taker Xemac 5 Check confirmation of Claim User 2 6 Release surplus collateral System Report collateralised 7 global amount to Dt Bbk Collateral Taker 4 6 8 4 6 8 1 Processing for Contract Definition Type Eurex Entering a Claim Amount with Eurex In order to provide Eurex with collateral the customer enters a Claim with a correspondingly Claim Amount into the system Xemac will automatically carry out the confirmation after checking Xemac then allocates eligible collateral to this Claim and reports the allocated collateral to Eurex The following table illustrates the sequence in which the required actions are carried out Table 8 Activities for the initial notification of a Claim Amount to Eurex Step Collateral Provider E
57. and all other Contract Conclusions where Clearstream Banking Frankfurt acts as a counterparty except Secured instruments CMSI as mentioned above In both cases the customer institution is always the Collateral Provider The provision of collateral to Eurex includes the full or partial cover for margin requirements pursuant to the exchange s Risk Based Margining System The margin requirement depends on the clearing status that is whether the customer is General Clearing Member GCM Direct Clearing Member DCM or Non Clearing Member NCM For further details on the mentioned Contract Definitions refer to section 5 1 Contract Definitions are the basis for Contract Conclusions Contract Conclusions created or set for deletion by Deutsche Bundesbank Clearstream or Eurex Clearing AG must be manually confirmed by the customer institution Both general principles take effect here sections 4 3 Four eyes Principle and 4 4 Reciprocal confirmation 87 Chapter 5 Working with Xemac After the Xemac partner has changed and checked a Contract Conclusion Xemac automatically confirms and checks this Contract Conclusion which automatically goes from Entry Checked to Entry Confirmed Checked status The Xemac partner will inform the participant of any changes made 5 4 2 Views in Xemac Xemac provides the user with a range of predefined views for displaying Contract Conclusions These views cannot
58. be altered The following views mainly refer to the status of a Contract Conclusion The Contract Conclusion number The Historical Contract Conclusions Participant s Own Contract Conclusions and The Contract Conclusions that still need to be confirmed or checked and The Third Party Contract Conclusions Oe view Manager Contract Conclusions iol x Select View View Origin Description Standard View Memac Contract Conclusions Number xemat Historical Contract Conclusions xemat Own Contract Conclusions Xemac Status not checked Xemac Third Party Contract Conclusions Figure 28 Xemac Contract Conclusions Default View 5 4 2 1 Tabular View Contract Conclusions Number This view displays all Contract Conclusions in the following stages Entry Deletion Checked Entry Deletion Checked Confirmed Entry Deletion Checked Rejected 88 Chapter 5 Working with Xemac e Entry Confirmed Checked e Entry Deletion Confirmed Rejected and e Entry Deletion Rejected Checked 5 4 2 2 Tabular View Historical Contract Conclusions This view displays all Contract Conclusions e For which the data in the Identification section has been modified at least once e That have been deleted Deletion Confirmed Checked status 5 4 2 3 Tabular View Own Contract Conclusions This view is available at the same time and is made exclusively ava
59. been created since the creation of a Claim this function allows the adaptation of the modified contract version as the basis for this Claim Before this activity the Claim refers to an older version of the specified Contract Conclusion after this activity it refers to the current version The adaptation can be viewed in any tabular view exception Historical Claims view From the tabular view the respective Claim can be displayed in a full view before adapting the current Contract Conclusion version The Adaptation must be carried out by the Collateral Taker only It is not possible to adapt the current contract version for the Claim if the Collateralised from of the Claim differs from the Valid from of the Contract Conclusion An error message will be displayed The Collateral Provider Accept s the current contract version in the selected view by selecting the required Claim s and right clicking on the Claim according to the four eyes principle and then selecting Modify Accept A pop up window appears with the text Should the current contract version be adapted for the marked lines If the question is confirmed by clicking on Yes the system will check the selected rows If it is possible to carry out the adaptation for each selected Claim Xemac will set the contract version of each selected Claim to the current contract version If the selected area consists of one or more rows that do not hav
60. checking a Claim in the tabular view The user will be asked whether it is required to check all selected rows e Scroll Bars The horizontal scroll bar is at the lower margin of the tabular view The user can use it to move the tabular view to the left or the right The vertical scroll bar is on the left side of the tabular view and is used to move the screen contents up or down e Tabular View The tabular view of the Claims section provides an overview of several Claims Each Claim is displayed on a separate row 163 8 FREQUENTLY ASKED QUESTIONS 8 1 Chapter 8 Frequently Asked Questions FAQ General What is the difference between Contract Definitions and Contract Conclusions The Contract Definition is the basis for Contract Conclusions The Contract Definition stipulates general conditions such as eligibility criteria haircut allocation type Claim amount premium and accrued interest for the accepted collateral Further the Contract Definition stipulates the reusability evaluation method and the application of concentration limit The Contract Conclusion stipulates who are the counterparties involved and which Contract Definition is taken as basis for the Contract Conclusion The advantage of this procedure is that one Contract Definition can be used as the basis for several Contract Conclusions How shall the Collateral Provider set up a Contract Conclusion with Deutsche Bundesbank Eurex or any other
61. combinations of transactions and relevant functions on the basis of the KX context menu Table 91 Possible Combinations of transactions and functions of the KX context menu Functions Transactions Display AN Copy KP Check KT Delete LO Manual A R MA PKS Notification BF Collaterals KXSI Contract Conclusions KXVA Contract Definitions KXVD ERG a wee BOG Eau aan 213 Appendix 4 Access Rights In order for a user to log into the Xemac application access to a minimum of one transaction for example KXKU AN on top of the transaction KXAA should be provided Authorisations for Sample User in IMS IM SECUINP Format N B an empty space is explicitly required between the equals sign and the first letter of the function 1 Normal Xemac User incl Dt Bbk and Eurex with all Xemac Functions L 0001 ISRT SP01SEC L DATA KXAA L 0001 ISRT SP01SEC L DATA KXAU ANNE BA KT BS ZW LO L 0001 ISRT SP01SEC L DATA KXFO ANNE BA KT BS ZW MALO L 0001 ISRT SP01SEC L DATA KXKU ANNE BAKT ZW LO L 0001 ISRT SP01SEC L DATA KXSI AN MA L 0001 ISRT SP01SEC L DATA KXVD AN L 0001 ISRT SP01SEC L DATA KXVA AN NE BA KP KT BS ZW LO L 0001 ISRT SP01SEC L DATA MENU 2 Xemac User as user making the entry without Check Function L 0001 ISRT SP01SEC L DATA KXAA L 0001 ISRT SP01SEC L DATA KXAU ANNE BABS ZW LO L 0001 ISRT SP01SEC L DATA KXFO
62. e Client References e Instructions e Allocation Instructions and e Exposure Requests The versioning and status concept is uniformly applicable except for Claims based on Contract Definition Type CMSI The version of those Claims will only be changed if the Claim value has changed 24 Chapter 4 Key functions and basic principles 4 2 1 4 2 2 Particularities with respect to Contract Conclusions Only the responsible institution is authorised to modify Contract Conclusions This is Deutsche Bundesbank for Contract Conclusions with Contract Definition type NCB Clearstream for Seurities Lending Contract Conclusions based on Contract Definition type Clearstream or Contract Conclusions with Contract Definition type CMSI Eurex for Contract Conclusions with Contract Definition type Eurex or Euro GC Pooling any other Collateral Taker for bilateral Contract Definitions based on the Contract Definition Clearstream If only a modification of Own Contract Number in the Contract Conclusion is intended it can be done by a single user and does not require any confirmation by another user Also the version number does not undergo any change due to this modification Particularities with respect to Claims The version is only increased by 1 for all activities that have to be confirmed by the counterparty If the user only changes his Own Claim Number and or the Commen
63. for the valuation date even if an older price was referenced for the purpose of computing the overall Claim Accrued interest is displayed in the Claim currency If the trading currency of the valued security differs from the Claim currency the conversion is carried out in Euro If it was not possible to determine any accrued interest the Accrued Interest field is filled with 0 00 in the full view of the Allocation section Automatic Allocation Release One of the main tasks of Xemac is to allocate collateral provided by a Xemac participant to the respective Claims The allocation process represents the link between collateral and individual Claims and also serves to collateralise Claims A Contract Conclusion is always based on one of the Contract Definition types NCB Clearstream CMSI Euro GC Pooling or Eurex As a rule these are set to automatic allocation If the Collateral Provider enters a new Claim in Xemac or increases the Claim Amount of an existing Claim Xemac will automatically allocate collateral after automatic confirmation This means that Xemac will allocate collateral from the collateral pool to the Claim accepted by the Collateral Taker Similarly when the Collateral Taker agrees to the reduction of the Claim Amount Xemac will release surplus collateral so that only the reduced Claim Amount is collateralised Xemac checks the eligibility of allocated collateral on a dai
64. of a month and at the end of each month They cover all default reports that were generated after the last deadline If one of the days is a Saturday Sunday or public holiday the microfilms are generated on the following bank business day 5 8 3 3 How to display a report definition The reference currency is always displayed in EUR The Security Identification Code is always presented in the format defined within the Settings screen 15 x Report No 1999001091 Name Allocated Collateral Participant 6335 Schedule Name Allocated Collateral Automatic Report Generation m Reference Currency Code ISO Code EUR ISIN Generation Time Period Figure 54 Reports Schedule Section If the Automatic Report Generation checkbox is checked the report is automatically generated at the desired date and frequency If this checkbox is unchecked the report is only made available upon manual request Xemac will 145 Chapter 5 Working with Xemac return to the tabular view of the report definition with Cancel Section 5 8 3 4 report describes this procedure in detail It is possible to request a specific Generation Time and Period and provide this information to CBF upon initialisation of the reporting profile when the above checkbox is checked The point at which reports will be generated can be selected within the following options Table 57 Time of Report Generation Generation Time Re
65. positions transfer is subsequently reflected in Xemac 151 Chapter 6 Xemac in Clearstream s system environment If the disposition was successful the instruction will be reflected in Xemac and the entered security will be available in the collateral positions to collateralise Claims The settled instruction is given PKS Notification Executed status in Xemac If the disposition was not successful the instruction will not be reflected in Xemac and the instruction is given a rejected status in Xemac The following could be reasons for a rejection e A lack of positions e Pending corporate actions e A public holiday e Exceeding the settlement deadline RTS instructions are not carried forward at the end of RTS but are deleted from the verified instruction e The instruction number assigned in Xemac already exists in CASCADE e Failed plausibility check within CASCADE 6 1 1 2 Debit Instruction If the Collateral Provider wants to remove collateral from the Xemac collateral pool the required information must be entered in the following fields in Xemac Instruction Number Xemac will issue an error message if the instruction number of a previously entered instruction is used Securities Identification and nominal value Credit account xxxx 000 where xxxx is the customer s participant number Debit account xxxx 550 Xemac adds the following data to the details Ultimate beneficiar
66. reject a manual allocation release A manual allocation release instruction can be rejected as long as it is in Entry status and has not been created or modified by the same user An allocation release can be rejected using the Status Not Checked tabular view of the Allocation Instructions function The required row must be selected and Xemac will change to the full view of the Manual allocation release The rejection will be confirmed by pressing Yes in the Instruction to be rejected dialog window provided by Xemac By confirming the rejection with Yes the instruction is in Entry Rejected status If the rejection is terminated by pressing No the selection is not saved The instruction remains in Entry status If a rejected instruction is not checked within three bank business days of its rejection it will be deleted How to delete a manual allocation release The Delete function enables user to delete e Newly created instructions that have not yet been checked or e Rejected instructions A newly created but not yet checked instruction can be deleted by all Xemac user profiles The sections of the Manual allocation release full view are described in sections 4 10 2 How to manually allocate Collateral and 4 10 3 How to manually release Collateral All fields are output fields and filled according to the entry options described in the above mentioned s
67. rejects the reduction of the global amount If the second Deutsche Bundesbank employee rejects the reduction of the global amount the four eyes principle was not conclusive Only Deutsche Bundesbank can see the following processing information 35 Chapter 4 Key functions and basic principles Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Confirmation 11 12 2012 11 11 11 7069555555 Rejection 11 12 2012 13 13 13 7069777777 After both employees have reached a common conclusion the request by the Collateral Provider can either be checked or rejected irrevocably If it is checked Check will be entered into the fourth row Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Confirmation 11 12 2012 11 11 11 7069555555 Check 11 12 2012 13 13 13 7069777777 If the reduction has been irrevocably rejected by the Deutsche Bundesbank the third row will display Rejection and the fourth row Check Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Rejection 11 12 2012 11 11 11 7069555555 Check 11 12 2012 13 13 13 7069777777 2 Case The first Deutsche Bundesbank employee rejects the reduction of the global amount If the first Deutsche Bundesbank employee rejects the reduction of the global
68. representing the CBF account number If a Client Reference has been assigned by the counterparty for the claim to be adjusted the following entry is required DAKV yyyycccl 2345678901 ddd1 234567890123 yyyy the CBF account number ccc Institute Type saved in the Xemac Client Reference 12345678901 Institute Reference saved in the Xemac Client Reference ddd Custody Account Type saved in the Xemac Client Reference 1234567890123 Custody Account Reference saved in the Xemac Client Reference End of Subsequence A1 Collateral Parties Collateral Instruction Narrative 70E 70E CINS 10 35x Provides additional information on the collateral instruction is always used and will be copied in the Xemac claim comment but will be truncated to 50 characters Optional Repetitive Subsequence A2 Linkages 20C PREV 16x 20C Message reference of the linked message which was previously sent Must contain value of the SEME Previous Message Reference End of Subsequence A2 Linkages Optional Sequence B Deal Transaction Details 98B TERM 8c 4 c Closing Pate lt M 29B Qualifier OPEN is always used 19A TRAA N 3 a15d The new Xemac Exposure Claim Amount and not the 19A amount by which the Claim is adjusted It must be positive The Xemac Claim Currency Transaction Amount O Example MT527 Claim Adjustment Request Claim
69. respective Client Reference must be selected The corresponding field is automatically selected Credit Account Client Reference Credit Account Client Optional entry If the OK button is clicked the exposure request is saved and sent to Cmax If the window is closed with the Cancel button the entries will not be saved and the window will be closed As soon as securities are booked on the Reservation Account in Creation the ISINS and nominal satisfying the Exposure Request are notified to Xemac 132 Chapter 5 Working with Xemac Corresponding credit instructions with settlement location as CBL are automatically triggered in Xemac These instructions when viewed through the View of Credit Instructions display the exposure number in the Comments field in the example WG EXPOSURE NO 0000001234 The credit instructions are reflected in Xemac and no corresponding movements are registered in CASCADE The Exposure Requests generated through this mechanism are of the as much as possible AMAP type This implies that when the countervalue of the available ISINs corresponding to the requested basket is smaller than the requested amount the collateral management system will still send a collateral notification to the extent possible Thus where a user has requested for example 100M of EGCP assets it is possible that assets worth only 60M may is credited to pool Provided th
70. s with the dedicated Client Reference specifically for the Repo seller Collateral Provider For participants intending to use CBL assets for EGC trades there are two alternatives Enter credit instructions for assets with settlement location as CBL in Xemac see 5 7 3 3 Instructions for CBL Settlement Location for more details or Enter manual Exposure Requests see 5 7 3 4 Entry of manual Exposure Request for a certain countervalue amount Correspondingly when assets are reflected in Xemac they are ready to be used in GC Pooling trades if the required eligibility criteria are met The securities are transferred from the account of the Seller to the Buyer through Eurex Clearing CCP automatically on subsequent processing The blocking and transfer of the underlying assets from the seller to Eurex and onwards to the buyer corresponds to the counter value of the trade entered into by the participating members 20 Chapter 3 How to access the system 3 5 4 Participation in Collateral Management Secured Instruments Assumption The customer wants to issue financial instruments for example certificates and collateralise them by pledging or appropriating securities to Clearstream as a fiduciary The required steps are described briefly as follows 1 Xemac provides a Contract Definition with the Contract Definition type CMSI as a basis for the Contract Conclusions of the customer with Clearstream Based on this Contr
71. sub account e How is collateral evaluated in Xemac The valuation of collateral depends on the evaluation method linked to specific Contract Definition For each evaluation method a different price source is applied Consequently the collateral value of an ISIN can be different based on the Claim to which it is allocated This is particularly relevant for reuse of collateral out of GC Pooling e Is the accrued interest integrated in the calculation of the collateral value It depends upon the setup in the Contract Definition For example in the case of Claims entered towards Collateralisation Eurex Clearing Pledge the Contract Definition specifically excludes the inclusion of accrued interest in the calculation of the collateral value In the case of Claims entered towards Deutsche Bundesbank the Contract Definition specifically incorporates the inclusion of accrued interest in the calculation of the collateral value They are integrated until value date 1 e What does the Collateral Provider need to do when he is acting in Xemac for connected institutions Client References can be assigned to the institutions connected to the Collateral Provider He has only to define a proprietary collateral pool for each client e How shall the Collateral Provider modify an incorrect Client Reference If the change only concerns the name of the Client Reference spelling mistakes etc it can be overwritten in Xemac If however the Client
72. tabular view as required Zeroes after the decimal point are not displayed for amounts The leading zeroes of acommon code are also never displayed Each Claim is displayed with the respective information in one row Chapter 2 Welcome to Xemac Within a tabular view the user can select one or more lines via keyboard or mouse e A row can be selected by clicking on the mouse or arrow up or down e A section can be selected with click and SHIFT click where the first click highlights the beginning and the second click the end of the section or be pressing SHIFT arrow up or down To process a Claim the respective Claim must be highlighted with the mouse and then the user must select one of the commands from the menu Alternatively the user can use the context menu by clicking on the right mouse button If the user wants to display a position a double click with the left mouse button has to be done on a selected row or ENTER has to be pressed The Output menu provides the following options to a user e Save As CSV e Save As Excel e Save As HTML e Save As PDF e Save As TXT e Save As XML e Page Setup e Print It is important to note that saving printing the output produces the same data as displayed on screen that is with the applied sort filter criterion More details on reports are available in section 5 8 Reports It is possible to quit the tabular view with the Close button o
73. the selected directory by clicking on Ok By pressing the Cancel the user can return to the tabular view After output into the file the saved report remains in the tabular view of the generated reports The report can be printed out or saved several times 5 8 3 7 How to print out generated reports The Print function can be used to print out a generated report After selecting this function the user will automatically change to the Print window The procedure is the same as for standard user interfaces After the pages have been printed out the generated report remains in the tabular view of the generated reports The user can print out the report again at any time 5 8 4 Data Transmission Products Reporting Apart from reports available in Xemac customers have the possibility to order claim related reporting also via DVP Datenversandprodukt products The first group of products is based on MT569 messages where all the information regarding a customer s claim is available The MT569 messages are generated on a daily basis and sent to the customer at the end of the day Customers can select from following types of reporting e Xemac Summary Collateral and Exposure Statement SUALCO contains information on the customer s claim in Xemac e Xemac Detailed Collateral and Exposure Statement DEALCO generated for each claim separately and contains comprehensive information on a
74. this flag in GC Pooling Claims Such Claims are by default enabled for reuse through the Contract Definition e As a CBF customer will be able to define a separate cash account other than the 6 series account defined upon setup No The commercial bank settlement for the user as CBF customer will be routed through the 6 series account only e How can it be ensured that enough cash is available at the disposal of CBL treasury The success of GC pooling trades is critically dependent on appropriate cash and securities provisioning In so far as cash provisioning for USD trades is concerned the customer as cash provider is required to ensure that sufficient credit line is available on the cash account 170 Chapter 8 Frequently Asked Questions e What is the difference between the eligibility profiles of assets that are eligible for GC Pooling trades in cash currencies There is no difference between the eligibility of securities between CHF EUR and USD GC Pooling e Will there be any difference in the valuation of assets between exposures in trading currencies No There is no difference in the intrinsic value of collateral between the currencies They are only expressed differently per Claim currency although it is also expressed in the Euro Reference Currency where the values are the same for the same ISIN and nominal e Does securities settlement for GC Pooling trades in USD take place in the same way as trades in Euro
75. to the Reservation Account in CmaX the Xemac sub account 550 The selection of the respective Client Reference can be found in section 5 7 3 2 Instructions for CBF Settlement Location A 6335 New Credit instruction ioixi Participant 6335 Instruction No Credit Instruction Accounts Processing Information Settlement Location CBF CBL Debit Account Participant 6335 Name ABC Bank Source Account 54321 Credit Account Client Reference BLZ 60050000 ACC 1234567 M Reservation Account 12345 Client ABCABC h Cancel Figure 44 Credit Instruction Accounts Section Settlement Location CBL The following table provides the overview of the entries required for the credit of a CBL security 128 Chapter 5 Working with Xemac Table 46 Field description of New Credit Instruction view Section Accounts Section for CBL Accounts Section for Settlement Location CBL ene Settlement Location Settlement Location Input The user must select CBL as Settlement Location r Output This field displays the Xemac participant number Nie Agonum Output Displays the name of the debit account holder Debit Account This field should contain the Creation source account Source Account Input number from which the securities are to be transferred in favour of the Reservation Account Credit Account Reservation Account T
76. to the result of the disposition The instruction status reflects the disposition result 6 1 1 1 Credit Instruction If a Collateral Provider wants to enter collateral in the Xemac collateral pool the required information must be entered in the following fields in Xemac e Instruction Number e Securities Identification Number either German Securities Identification Code ISIN Common Code or Cusip nominal amount and comment e Credit account xxxx 550 where xxxx is the customer s participant number e Debit account xxxx 000 Xemac adds the following data to the details e Ultimate beneficiary account number and name This field is deduced from the participant details The customers Xemac_ participant number corresponding to the participant no of the instruction and the name data from KUSTA are taken over e Instruction type Securities Transfer 01 e Settlement date A credit instruction is subject to several plausibility checks validations in Xemac After these checks the instruction is entered in the verified CASCADE instructions as a securities transfer with settlement type RTS free of payment without matching instruction The settled instruction is first given Instruction without PKS notification status Instructions originated from Xemac cannot be modified in CASCADE The next step is the disposition in CASCADE Depending on the result of the disposition the change of
77. vane deste cosas ieaevag e E enecexisn ehameuns iemedes vaemexes eaemesin E 24 4 2 VERSIONING AND STATUS CONCEPT ssicncsaxadexcanschasusyeacaxessdaienes ioameneeveciex ie vesneqes sdadensawtineysa EEEE E 24 4 2 1 Particularities with respect to Contract Conclusions 1 ccssccseseeceeneeceneesssseeseneerenneetsnens 25 4 2 2 Paricularities wihrespect 0 Cl AlNS cieissesassizsactorsieciedsindabsccdsnsoeas insist ognidneseatiastoctisatessiazeas 25 4 3 FOURE YES PRINCIPLE si csiccvdsviccevestcecedds shane ves eseceqaastenevjssnsteevtestaneqesedeceqen are a AEE 27 4 3 1 Particularities with respect to Contract Conclusions cccccssccccssssscessesseeessesseeeseenneeeesennnees 27 4 3 2 Particulares wimrespect to CANS assisen ronbos herrani inrait 27 4 3 3 Particularities with respect to Exposure RequestS ssssssssrnessarnnsnnrneraannssnnnnnnaannnnnnnnne 28 4 4 RECIPROCAL CONFIRMA MON 2icscadercezedescscazedst eea oaaae aea aad aradi eaoaai 28 4 5 PE XAMPWES dctvocccdstetezquaratzededesceeadeccnacecssesaromarsaeenatontadas seaceqnasansads abeeeasteesecasctesedasssuscedss seaceestooseeanr 29 4 5 1 Example Initial notification of Global Amount towards Deutsche Bundesbank 00 29 4 5 2 Example Reduction of a Global AMOUN c ssccccscccecececeeeeesnseeseneeceeeeeceneesaaesseneessnneesnaness 30 4 5 3 Example Reduction of a Global Amount rejected by Collateral Provider 22 ccccceeee 31 4 5 4 Example Re
78. will happen directly after the automatic check and is valid for the initiation or increase of Claim Amounts If on the other hand the Collateral Provider decides to reduce the Claim Amount the Collateral Taker is required to confirm the reduction Deutsche Bundesbank Eurex generally carries out confirmations within half an hour How shall the Collateral Provider transfer collateral for Xemac 165 Chapter 8 Frequently Asked Questions The different possibilities to transfer securities in the Xemac pool are For CBL securities Xemac online credit instructions Exposure Requests For CBF securities Xemac online credit instructions File Transfer SWIFT and IBM Websphere MQ e Which collateral is eligible Can any security be entered into the Xemac collateral pool Refer to the Eligibility section of this User Manual for a more detailed description The Contract Definition lists all eligible securities for the concerned Contract Definition The Collateral Provider can enter only securities eligible for Xemac within the collateral pool These are securities that meet certain standards of quality regarding criteria such as instrument status instrument group instrument type and dates for maturity and repayment e Can a third party enter securities in the collateral pool of the Collateral Provider No The Collateral Provider remains the only institution able to transfer collateral from his main account into his Xemac
79. 00007 7525 46 DEQOOAQJBVGO T CBF 15 000 000 Transfer EGC 2005000006 7525 47 DEQOOAOJFCN T CBF 5 000 000 Transfer EGC 2005000006 7525 48 DEOOOAOTOASS E CBF 2 314 000 Pledge 1999000005 7069 49 DEQOOAOJQSKs T CBF 15 000 000 Transfer EGC 2005000006 7525 50 DEQOOAOKABP3 E CBF 25 000 000 Transfer EGC 2005000007 7525 51 DE000A0KAH03S E CBF 15 440 000 Transfer EGC 2005000007 7525 52 DEQOOAOKAISO E CBF 100 000 000 Pledge 1999000005 7069 53 DEQOOAOKASOO E CBF 50 000 000 Transfer EGC 2005000007 7525 54 DEQOOAOKAV21 E CBF 4 612 000 Transfer EGC 2005000007 7525 55 DEQOOAOKPOE6 E CBF 17 760 000 Transfer EGC 2008000098 7525 Ubereignung EGCPX 56 DEO00AOKPOS56 E CBF 6 797 000 Transfer EGC 2005000007 7525 57 DEOOOAOLICYS E CBF 25 374 000 Transfer EGC 2005000007 7525 58 DEOQOOAOMFBAO E CBF 202 000 Transfer EGC 2010000037 7525 GC Pooling USD Classic Basket 59 DEQOOAONKNCS E CBF 3 449 000 Transfer EGC 2005000007 7525 60 DEQOOAONKXX4 E CBF 242 000 Transfer EGC 2010000037 7525 GC Pooling USD Classic Basket 61 DEOOOAONSKG9 E CBF 43 000 000 Pledge 2000000016 7500 62 DE000A0PM797 E CBF 25 000 000 Pledge 1999000005 7069 Figure 36 Tabular view Allocated Collateral 5 6 2 3 Tabular View Collateral Overview The tabular view combines the information available in the two existing Collateral Positions and Allocated Coll
80. 09 8500 EUR Relevant Claim Amount 2 003 640 209 8500 EUR Overcollateralisation 36 2850 EUR Overcollateralisation after Simulation 36 2850 EUR Instruction Data Allocate Release i Xemac Partner Processing Information Instruction Instruction No Comment Contract Own Contract No System Contract No 2005000027 Claim Own Claim No 2727 System Claim No 2005000017 Rejection No Reason OK Cancel Figure 9 Manual Allocation Release Instruction Data Section It is possible to reassign the Instruction No of an instruction that has been successfully executed The fields Own Contract No System Contract No Own Claim No and System Claim No display the respective information on the Contract Conclusion or Claim for which collateral is to be allocated or released Detailed information can be found on the contracting parties in the Xemac Partner section The following figure shows the Allocate section in the full view of Manual Allocation Release 51 Chapter 4 Key functions and basic principles 9G 6335 Manual Allocation Release 5 x Claim Amount 2 003 640 209 8500 EUR Relevant Claim Amount 2 003 640 209 8500 EUR Overcollateralisation 36 2850 EUR Overcollateralisation after Simulation 36 2850 EUR Instruction Data Allocate Release Xemac Partner Processing Information Eligible free Collateral
81. 1 e The Clearer and Member ID are entered as CLEAR and MEMBE respectively The Client Data and Settlement Data sections look now as below A 6335 new client Reference la xi Participant 6335 ABC Bank Client Data Settlement Data Processing Information Client Reference Institute Type BLZ v Institute Reference 600500000 oO 4 Custody Account Type A Custody Account Reference 1231234 Client GC Pooling ABC Comment Date Creation Deletion OK Cancel Figure 25 Client References Example Client Data Section 79 Chapter 5 Working with Xemac lolx Participant 6335 ABC Bank Client Data Settlement Data Processing Information CBL BIC Collateral Provider ABCDEF99 Reservation Automatic Return Reservation Account 12345 After SDS1 C At 14 00 v Automatic Provisioning At 16 00 End of Day Segregated Account ID Cash Clearer ID CLEAR RTGS Account Member ID MEMBE Creation Cash Account 1 OK Cancel Figure 26 Client References Example Settlement Data Section By pressing the OK button Xemac checks and accepts the entered Client Reference This newly created Client Reference is given the Entry status An error message will be issued if the user t
82. 111 A MOCAT OM erroris s 24 Automatic Allocation Release cccccccccssseeseeeeees 49 Automatic Confirmation c ccccccceeseeeees 28 37 99 Batch process csccsscveseceenteseciieon cece eiseeenes 17 CASCAD Biwces uinscss ccticerscunnterteaiviccrssesuecstatvectseeeteess 124 CASCADE Foreign Currencies 0 0 ee eeeeeeeeees 218 Claim Adjustment Request eee eeeeeeeeeeees 108 Claim Amount ccccceeccccceceesseseceeeeeeeenes 97 98 104 Claim Amount Premium cc ccccccceeeesseeees 53 169 Claim Check cccccccccccccccececeseseseseseseseeeeeeess 109 165 Claim Deletion ssseseseseseseseserererererererererererererene 111 Claim Details 0 cccccccccccceesessceceeeeeeeenseaees 103 107 Claim Display sccsincssideie ccsgetsectessooesstesyeevepeuseseeaineess 105 Claim Increase ccccccccccccccccsecesecececeseeeseseseeeeeeess 110 Claim Modification ccccccccccccccececeseseseseseeeeeeess 105 Claim N W ccccccccccccccccccecesecesecesececeeesesesssesseeeeeess 100 Claim Reduction seseseseserererererererererererererererere 110 Claim Rejections 110 Clai Seiner Scecievstecstdeccoasecs 7 25 27 28 34 37 39 97 Clearer and Member ID sseeseeeseseresererererererererererene 20 Cle arta vvecccseicsscacccvescie seve ccrenccvacvsxdeessebacecasvexes 43 46 Client Reference ccccccceceeeeees 7 38 73 79 166 Client Reference Check cccccccccccccccs
83. 4 Figure 28 Xemac Contract Conclusions Default VieW s ccczsssssccesiseccavasseseecasseceenassescdessveceenes ssetacabvaceroes Sebalaats 88 Figure 29 Contract Conclusion Identification S CtiON c ccceeceeeeeeeeeeeeeeeeceaeeeeeaeseeneeseaeeesaaeseeneeeeenees 90 Figure 30 Contract Conclusion Xemac Partner Section ccccccecececeesceeeeeeeeeaeeeeaaeeeeneeseeeesaeseeneeesnees 92 Figure 31 Contract Conclusion Controls Section csini aS 93 Figure 32 Xemac Default View Cl AMS aisre a aa a tai aaia A E NA Ea iaa 98 Figure 33 Claim Xemac Partner SSCUOM sisirin iieiea nekien Saad yeas iaai eea iaiia aeiia ioni 101 Figure 34 Claim Claim DGtailS SOCOM eis sisecessessceesasecendsssacedeassccensavsecntasspdceeds saccades saceeesavsazeeea aaceadenaees 103 Figure 35 Tabular View Collateral Positions sicc2scccces cvonuact nsnsi aa aaa 114 Figure 36 Tabular view Allocated Collateral sssrsrssrrssnrnnisnsernninnrvnisaneinninnnssnnnn anna aeaa 115 Figure 37 Tabular View Collateral Overview sssssersessssessrrrreerenessreresrrrnerirerrrerneesinenseernnereentseernnesnne nes 116 Figure 338 Collateral Identification Section siisii inerea nna aeaa a iA aiaa Te Figure 39 Figure 40 Figure 41 Figure 42 Figure 43 Figure 44 Figure 45 Figure 46 Figure 47 Figure 48 Figure 49 Figure 50 Figure 51 Figure 52 Figure 53 Figure 54 Collateral Allocation Section sas
84. 5 Working with Xemac Conclusion now Adapted must be Accepted by the Collateral Provider two users 5 6 How to display Collateral This section explains how collateral can be displayed in the collateral pool It will also be shown how to convert the market value or collateral value of a security into another currency 5 6 1 Brief Description In order to collateralise Claims the provider of collateral should pledge collateral in favour of the Collateral Taker for example Deutsche Bundesbank or Eurex in the form of eligible securities 5 6 2 Xemac Views Xemac provides the user with predefined views for displaying collateral These views cannot be altered Xemac provides three different views Collateral Positions Allocated Collateral and Collateral Overview 5 6 2 1 Tabular View Collateral positions This tabular view enables the user to display collateral Positions This covers all unallocated status free as well as collateral pledged in favour of any Collateral Taker status pledged or appropriated The Type column determines whether the securities belong to Own pool E or are received due to Euro GC Pooling Repo trades T Looking at the collateral positions it is possible to see in the Collateral Status whether collateral is free pledged reserved for allocation reserved for release reserved for debit or appropriated
85. BF Collateral Pool Participant 6335 ABC Bank Client Reference BLZ 60050000 ACC 1234567 ABCABC Trading Currency Reference Currency Market Price 109 85 Market Place EUR eae Price Type Eurex Valuation Rate as of 07 01 2013 Pool Factor 1 Xemac Price 10985 SS nae sai Indexation Coefficient 1 a 07 01 2013 Nominal Value 3 505 000 EUR Market Value 3 850 242 50 EUR Market Valje 3 850 242 50 Close Figure 38 Collateral Identification Section This section summarises all details of the required collateral The fields are pre filled as follows Table 40 Field description of Display Allocated Security view Header Header ee O o ooo This field contains the ID of a security Depending on the Code Output default settings of the Xemac environment the German Securities Identification Code ISIN Common Code or Cusip is displayed here The securities identification number of the collateral is SIN Output displayed here This field shows the allocation status of the collateral It is Allocation Status blank if the collateral is free in the collateral pool or Active if it is allocated to a Claim 117 Chapter 5 Working with Xemac Table 41 Field description of Display Allocated Security view Identification Section Identification Section ee e O This field contains the ID of a security Depending on the default settings of the Xemac environment the German Securitie
86. Basket Data as of Client Reference Participant No Collateral Status ID Denomination Currency Reference Currency Exchange Rate Page only on pdf file Issuer Country Issuer Group Issuer Name Last Redemption Date Market Value in Reference Currency Market Value in Trading Currency Nominal Value Amount Price Date Quotation Securities Description Settlement Location SIN Trading Currency Type Xemac Price 198 Appendix 3 Reports in Xemac Report Collateral Pool per CRef This daily report displays for one specific Client Reference of a participant the securities with Free Pledged or Appropriated collateral status The securities are classified by Client References and collateral status and are summed per block The report is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 74 Description of Columns of Report Collateral Pool per CRef General information Columns in alphabetical order Report No Basket Data as of Client Reference Participant No Collateral Status Client Reference Denomination Currency Reference Currency Exchange Rate ID Issuer Country Page only on pdf file Issuer Group Issuer Name Last Redemption Date Market Value in Reference Currency
87. CADE 122 Chapter 5 Working with Xemac 5 7 2 5 7 2 1 5 7 2 2 5 7 2 3 There are two ways of crediting online CBL securities by entering credit instructions with CBL as Settlement Location or by entering Exposure Requests Exposure Requests facilitate the booking of quantities of securities in the pool The participant only needs to indicate the countervalue amount and the quality of securities that needs to be booked for example 50M in ECB quality 2 Customers who are File Transfer FT participants can submit Xemac credit and debit instructions for CBF securities via the LiMa File Transfer interface 3 Customers who are SWIFT participants can submit Xemac credit and debit instructions for CBF and CBL assets via SWIFT 4 Customers who are IBM Websphere MQ participants can submit Xemac credit and debit instructions for CBF securities via the LiMa IBM Websphere MQ interface Views in Xemac To display instructions Xemac provides several predefined views which cannot be altered The views describe the possible stages of any instruction These stages may vary depending on the instruction mechanism Online Exposure Request File Transfer SWIFT or IBM Websphere MQ Tabular View Historical Credit Debit Instructions This view displays all credit debit instructions created by the user or by CBF over the last 12 bank business days Tabular View Status not checked This view displays all un
88. CB For Deutsche Bundesbank the list of eligible assets with all relevant information for example issuer groups or asset types is downloaded on a daily basis from the Deutsche Bundesbank Extranet With the launch of Triparty Cross border services in the Eurosystem Deutsche Bundesbank acts additionally as a CCB Correspondent Central Bank in Xemac for other NCBs National Central Banks and as each NCB might have different eligibility criteria to be applied by Xemac Deutsche Bundesbank provides one list of eligible securities per NCB to CBF via the Bundesbank Extranet As a result the Contract Definition Type NCB is used solely for Deutsche Bundesbank claims or other NCB claims where Dt Bbk acts as a CCB Additional securities and haircuts can be rendered eligible by defining them in the respective contract definition It is important to note that if an ISIN mentioned here also belongs to a security group the evaluation of this ISIN would be based on the haircuts specified in the Contract Definition and not on the haircuts mentioned within the security group 4 7 2 Contract Definition Type CMSI The basis for the eligibility of securities for CMSI Claims represents the collateral group EAD CBF EAD securities with settlement location CBF The Collateral Group is created based on the File provided to CBF via the Bundesbank Extranet 4 7 3 Contract Definition Type Euro GC Pooling The eligibility of securities for E
89. Clearstream 8261 The eligibility of securities may vary depending on the specific Contract Definition eligibility setup The evaluation method Clearstream is used with prices delivered by external providers 46 4 8 Chapter 4 Key functions and basic principles Mark to Market 4 8 1 Re evaluation of collateral 4 8 1 1 Xemac evaluates the securities received as collateral at regular intervals This procedure ensures that the determined collateral value reflects the selling price which could be fetched on collateral liquidation All prices must meet the quality requirements defined within Xemac eligibility and will be provided on a daily basis by the respective Contract Owner The price determination for securities collateral is carried out exclusively for eligible securities Securities that are no longer eligible for Xemac are not valued and their prices whether in percentage per thousand or unit terms will be set to zero Xemac displays the collateral value in the security s trading currency and in the Claim currency of the underlying Contract Definition If trading currency and Claim currency do not match the conversion is carried out in Euro Once a security is allocated to a Claim based on the Contract Definition Euro GC Pooling Eurex Clearstream or CMSI the price is visible in both the market value and the collateral value By special request of the Contract Owner Dt Bbk onl
90. Collateral Taker The Collateral Provider needs to contact the Collateral Taker and request him to enter a Contract Conclusion in Xemac He will then have to confirm and check it If the Contract Conclusion is relating to one of the customers of the Collateral Provider he will have to add the Client Reference when confirming the Contract Conclusion The Collateral Provider wants to check a Claim but it is no longer available Why As arule the Collateral Taker as the person checking the Claim will check entered processed and deleted Claims directly or on the same day after the person entering the Claim the Collateral Provider has finished his her task However the Collateral Taker has three bank working days to carry out the check otherwise the Claim will automatically be deleted by Xemac and have to be re entered by the Collateral Provider Why is it sometimes impossible for a Collateral Provider to check a specific Claim It is possible for the Collateral Provider to enter modify or delete Claims However the four eyes principle supported by Xemac stipulates that the person entering the Claim and the person checking the Claim must not be identical within the same institution How quickly will the Collateral Taker confirm the Claims entered by the Collateral Provider In general an increase of the global amount of a Claim will be automatically confirmed to the extent of collateral available This automatic confirmation
91. Exposure Request is checked it is sent to CBL for the selection of ISINs that match the basket and value requested The tab page Exposure Request is depicted below 129 Chapter 5 Working with Xemac iol xi Participant 6335 Instruction No Exposure Request Accounts Processing Information Instruction No 1234 Type Manual Amounts Requested Amount 1 000 000 EUR Required Amount EUR Basket ECB Currency Con Date GCP INT MXQ Additional Information System Claim No Settlement Date 14 01 2015 RTS Instruction No Comment Rejection No Reason E Lo Ji cance Figure 45 Manual Exposure Request Exposure Request Section Basket ECB An overview of the entries in the section Exposure Request is as folllows Table 47 Field description of New Exposure Request view Header es O e a The Xemac participant number of the customer s Pamioipalt Oulper institution is displayed here The instruction is identified by a unique number Instruction No Output assigned by the user This field is blank for a new exposure request Table 48 Field description of New Exposure Request view Exposure Request Section Exposure Request Section reuse commen instructi ri N nau The instruction is identified by a unique number i P assigned by the user Output The type is always Manual for a manual exposure request Amounts H
92. Increase without Client Reference SWIFT Message Fields and Contents 16R GENL 28E 1 ONLY Page Number Continuation Indicator 20C SEME MSGP002 Sender s Reference 20C CLCI INSTRO02 Client s Collateral Instruction Reference 20C SCTR 2012003601 Sender s Collateral Transaction Reference 23G NEWM Function of the Message 98A EXRQ 20141022 Execution Requested Date 22H CINT PADJ Instruction Type Indicator 22H COLA SLOA Exposure Type Indicator 22H REPR PROV Client Indicator 16R COLLPRTY 95R PTYA DAKV XXXXMSC NONREFMSC NONREF Party A 16S COLLPRTY 16R COLLPRTY 95R PTYB DAKV YYYYMSC NONREFMSC NONREF Party B 16S COLLPRTY 70E CINS Adjustment reason Collateral Instruction Narrative 16R LINK 20C PREV MSGP002 Previous Reference 16S LINK 16S GENL 16R DEALTRAN 98B TERM OPEN Closing Date 19A TRAA EUR2000000 00 Transaction Amount 16S DEALTRAN Appendix 3 Reports in Xemac Appendix 3 Reports in Xemac The following reports are possible in Xemac Table 62 Available Reports in Xemac Category Report name in alphabetical order per category Identical view exists Claim Amount Yes Current Claims No Claims Daily Change Global Amount Yes Detailed Claim Amount CMSI No Historical Claims Yes olen
93. Mirisi E A EE A S 135 5 7 6 Howto CHECK Credit IISTUCT ONG sara a O vases 135 OT Howto AEIGISCHECIE TINS TI CHOMNG naa cps iuacs co dante bade ina toca ha ras dhcp AS 136 5 768 How to trejecr Creat TISTUCHONG kyssar nean AA A ER 136 5 7 9 DEDINS FOCUONS ainsin a 136 5 7 10 Functions available depending on the Status of the Credit or Debit Instructions 141 5 8 REPORT Si dscalvsmecacariaceasacauacacetenccaeidauccauetenataestanccdeatouetasansdetdustabeedsatanncadetinatasiwenccdeetenetasstenccauatatacas 142 5 8 1 BOT DOSCHDUON PR EE EEA E O E E E E 142 5 8 2 Views INK COIN GC sss svtsancdei tavben ae EN EAA A E E AAA A EEANN 142 5 8 3 PIOCESSING PRD OMS wsiccssiacsceesassecsessncedesanndnsseeadedenean cence tanevsebbancdedbuedenveenaeeeveseaenssaeneseyiueade 144 5 8 4 Data Transmission Products Reporting a siccesscccceessncccsssencvesssnncseeriasesvescnesseseeaesseueaneseveueaes 148 5 9 BUBBLE HELP iwccccssieaeveat niece raea veneered E here toed eee 149 6 XEMAC IN CLEARSTREAM S SYSTEM ENVIRONMENT cccsseesssecesseeeeseeseeeeesneeseseeeeeeeees 150 6 1 SETTLEMENT LOCATIONS CASCADE CREATION s cccccsesssssscceseceesessseeaeeeseceesessseeaeeeseeeesesenaes 151 6 1 1 CASCADE CBF Settlement LOCATION sastcctscserssveses scvessianaznicngscedsopsznent dns anane aidas e pna 151 6 1 2 Creation CBE Settlement Location jsscie canssocssaznisesiseesesteaantacadenscosetaanesaadeensnttesaesteadeascisas 153 T GL
94. Nea a R aE a ERARE 146 Table 59 Field description of Display Report view Header cccccccscceeceeeeeeeeeeaeeeeeeeeeeeeseneeeeeeeeess 146 Table 60 Field description of Display Report view Schedule Section ccceceeceeceeeeeeeeeeteeeeeeeeees 146 Table 61 Field description of File Save into WINKOW c ccccscsesesetseseeeaeaeseaeaeaeaeaeaeaeaeaeaeaeaeaeaeaeaeaeaeaeaes 147 Table 62 Available Reports IN KOM aC sccccisscscsdeseeveccensenssteseeetcteusecceeevsensenenstescneneectenensaesesensettendaubesteenscetatiens 188 Table 63 Description of Columns of Report Claim Amount cccccccesceesceeceeeeeeeeeeeaeeeeeeeeeeeesenaeeeeeeeess 189 Table 64 Description of Columns of Report Current Claims c ccccccccesccceceeeeeeeeeenaeeeeeeeeeeeeeeaeeeeeeeess 190 Table 65 Description of Columns of Report Daily Change Global Amount eceeeeeeeeeeeeeeeeeeeeeees 191 Table 66 Description of Columns of Report Historical Claims ccceccceeceeceeeeeeeeeenneeeeeeeeeseeeenaeeeeeeeess 192 Table 67 Description of Columns of Report Detailed Claim Amount CMSP c c ccceeeeeeeeeeeneeeeeeeees 193 Table 68 Description of Columns of Report Current Client References cccccecsecceceeeteeeeeeneeeeeeeeees 193 Table 69 Description of Columns of Report Allocated Collateral ccccccccceseeeeeeseceeeeeseeeeeeeaeeseaeee
95. OSSAR gee ee ee eS ER ar RR Sree roe pene ee eee 154 Veale GLOSSARY WEY TERMS esccoucs vestectesadehctovheetansebecmvasdeqehcsenchepevinequisseleedarandenue a aE 155 FLL ADOrEVA NONS sz scaccsszcassasaatenoisnaes aaa eaa aaoo iaa a TS 155 Pde Funcional GIOSS ANY assasonar aE a nE a EDITO 156 7 1 3 VEETEE MEITE Ig AEEA EEA A AA EA rerrrrere 162 8 FREQUENTLY ASKED QUESTIONS crair anaa aE a aaa aE aaa 164 8 1 FAQ GENERAL rarase A r EA 165 8 2 FA QEGGS POOLING is tcctsssszectavesnezcantasincaasstancteatteataaanaavaansaeragea sp sunddesutngsatanqeean S AREEN ARGS 168 9 YOUR HOTLINE TO XEMAG sssini ene Sen ced 173 APPENDICES iscir inaasa ea aa a aaa a aa a eaaa aa ee 175 APPENDIX 1 CONNECTIVITY VIA SWIFT ISO 15022 x 0 ccccecsaccceswsasdessesadencswessaseseneee sea sa sdeseenacensswansdeseeioedan 176 APPENDIX 2 CLAIM ADJUSTMENT REQUEST cctccscosecesvsascecsestecadenstsaeseennedadivsassedieneeensansavieosennenacd aateeseeioeens 184 APPENDIX 9 REPORTS INXEMA acses enan eese EAER S E EEEa raaa as Ia IEG 188 APPENDIX AG CESS RIGHTS irosss iiaeia niaaa aai aa i anaia a aeiaai eg iadaa iM ees 212 APPENDIX 5 CASCADE FOREIGN CURRENCIES ccscseeecceeecececsesaaecesecececseseeaeceseeeeeeseseeaeceeeesesesesteaeeas 216 Index of Illustrations FIGUIe T KeMac Main NIC Wasssansiss stdoastisteunss Status a Aa 6 Figure 2 Xemac View Collateral Positions when pre filter is activated in Settings cccceesseeeseeeeeeees 8
96. Reference SCTR must match with the System Claim Number of an actual claim in Xemac for which the Xemac Collateral Provider equals PARTY A and the Collateral Taker equals PARTY B e Execution Requested Date EXRQ must be equal to Xemac business date e Instruction Type Indicator CINT must equal PADJ e Response status REST must be empty e Transaction Amount TRAA must be positive must be consistent with the Xemac format must not be equal to the current value of the Claim Amount currency must match Claim Currency An example of the MT527 message can be found under Appendix 2 Claim Adjustment Request 5 5 3 7 How to check Claims Tabular View Status not checked The Check can be carried out in any tabular view exception Historical Claims view Before checking a Claim in the tabular view the user can review it in more detail in the full view Claims can be checked with the following statuses e Entry e Entry Rejected e Deletion e Deletion Rejected Claims can be checked in the selected view by highlighting the required row s A pop up window will appear with the text Should the marked lines be checked If the question is confirmed by clicking on Yes the system will check the selected rows If each selected row is a verifiable Claim each selected Claim will receive Entry Checked status If the selected area consists of one or more rows that do not have the required s
97. Reference is in itself incorrect the Collateral Provider will have to delete it and create a new one 166 Chapter 8 Frequently Asked Questions e How shall the Collateral Provider rectify the fact that he entered collateral for the wrong Client Reference He will need to enter a debit instruction in Xemac for the wrong Client Reference the collateral will then be removed from the pool and transferred back to his main account In addition he will then enter a credit instruction in Xemac for the correct Client Reference the collateral entered for the correct Client Reference will then be separated in CASCADE and made available in his collateral pool e The Collateral Provider has entered and checked a Claim for an incorrect Client Reference and the confirmation has already been issued How can he rectify this The Claim and the relevant Contract Conclusion must be deleted and a new Contract Conclusion created with the desired Client Reference This should be followed with the creation of a new Claim based on the new Contract Conclusion e How can participants print or save tabular views and reports The Output field in the menu bar of the tabular view provides access to print and save functions select either Print or Save As The procedure is the same for reports e How is the Xemac software distributed The software is available as a software download from the Clearstream website www clearstream com under Produ
98. SCHINELL Check 11 12 2012 10 26 34 MASCHINELL Close Figure 7 Section Processing Information Claim The first two rows of the processing information for a Claim contain information on the activities of the Collateral Provider rows three and four contain information of the counterparty that is Deutsche Bundesbank Eurex or any other Collateral Taker even if these activities are carried out automatically like in the present case The following statuses are possible e Entry e Deletion e Check e Confirmation or e Rejection The statuses mentioned hereafter are also available for credits and debits e Transfer e Execution or e Rejection 33 Chapter 4 Key functions and basic principles 4 6 1 These statuses are described in section 4 6 5 Special cases for Instructions Debits and Credits The processing statuses are listed in the first column The columns Date and Time display the date and time when activities occurred The user ID of the employee who performed the respective action is displayed in the column User If Xemac performs an action the column User will display MASCHINELL or System If the action is performed by CASCADE then the column will indicate CASCADE This is explained in details in sections 4 6 2 4 6 4 and 4 6 5 that is Special cases for Claims Special cases for Contract Conclusions and Special cases for Instructions Debits and Credit
99. Section Identification Section ene This field displays the Xemac participant Responsible institute Output number of the institution that set up this Contract Conclusion that set up the Contract Conclusion unique number assigned by the user This field contains the name of the Contract Name Output Conclusion assigned by the responsible institution Contract Definition This field contains the number of the Number Output underlying Contract Definition for the Contract Conclusion Contract Definition Output This is the name of the underlying Contract Name Definition for the Contract Conclusion Contract Definition This field displays the current version of the Output Contract Definition that refers to the Contract Version E Conclusion are This field displays the Contract Definition type a Rennon Output NCB Clearstream CMS Euro GC For Contract Conclusions based on Contract Definition types NCB CMSI or Eurex the own status is indicated as Only Collateral Provider and by Contract definition type Clearstream can be also status Only Collateral Taker For Contract Conclusions based on Contract Definition type Euro GC Pooling the status is displayed as Both Valid from p entered for the Contract Conclusion Entering Claim Period Valid until Own status Output This field is not currently filled 71 Chapter 5 Working with Xemac
100. System Another employee of the Collateral Provider will subsequently check this Claim Xemac allocates available collateral to this Claim from the Xemac pool The stipulated Claim Amount is now collateralised The Collateral Provider can structure his collateral pool using Client References if for example the collateral of individual divisions is required to be separately managed in which case the procedure is slightly different Ts The Collateral Provider relates to the structure of his collateral pool by assigning a Client Reference Based on the above mentioned Contract Definition Eurex enters a Contract Conclusion into the system The Collateral Provider adds the respective Client Reference to the Contract Conclusion before carrying out the confirmation Then a second employee of the Collateral Provider institution checks the confirmation of this Contract Conclusion The next step is to enter collateral into the collateral pool by way of credit instruction This collateral is now available for allocation The Collateral Provider can now enter a Claim in Xemac using the respective Client Reference The Claim Amount corresponds to the amount that the Collateral Provider has pledged to Eurex as full or partial cover for margin requirements pursuant to its Risk Based Margining System Another employee of the Collateral Provider will subsequently check this Claim Xemac allocates available collateral to this Claim from the
101. TN HPF 3 56 282 000 DEQOOAAOLUFE CBF RBS NV 08 UND OIL F 24 000 DEQOOAALVQES CBF RBS NV CA BO 210 A20 7 000 Free DEQOOA0ABS26 CBF RBS NV SILBER 03 UND 50 000 Free DEQOOADACI46 CBF LB HESS THUER OPF 826 500 000 Free DEQOOAQAD7F4 CBF SDB IHS 09 09 12 1 007 000 000 Free DEQOOAOAD7G2 CBF SDB IHS 09 09 12 734 500 000 Free DEQOQAQAEHRS CBF T3 LAGO ONE GMBH 08 56 A 8 794 226 152 92 Free CBF BERLIN LAND L5A04 12A174 550 000 Transferred EGC Transfer EGC wll ole D m t c e z w wo 10 E BF Free a m G3 e e of t m B Ga a m n i x mie 18 ma Sum Market Value in Reference Currency 48 462 400 136 66 Sum Collateral Value in Reference Currency 4 491 400 954 39 Figure 37 Tabular View Collateral Overview 116 Chapter 5 Working with Xemac 5 6 3 How to display Collateral The Display function is used for this purpose The corresponding information is displayed across several sections which are illustrated below 5 6 3 1 Identification Section Securities A 6335 Display Allocated Security E iol x Code German Securities Identification Code SIN ADAY4W Allocation Status Active Identification Allocation Security Code German Securities Identification Code Depository SIN ADAY4W 1 093 LBBW 15 625VAR 06 0 Type E Basket Settlement Location C
102. UERTT LSA 05 15R 30 000 000 00 32 166 864 3 DE0001053205 E CBL BAYERN SA05 135101 75 000 000 00 76 733 175 4 4 DE0001053213 E CBL BAYERN SA 06 145102 50 000 000 00 51 690 713 5 DE0001240257 E CBL BD LAENDER 26 LSA 07 14 100 000 000 00 105 335 044 6 DE0001240281 E CBL BD LAENDER 29 LSA 08 15 40 000 000 00 43 597 444 7 DE0001240299 E CBL BD LAENDER 30 LSA 08 14 50 000 000 00 52 749 570 2 8 DE0001590537 E CBL NIEDERS SCH A 10 15 A211 30 000 000 00 30 830 000 8 9 DE0001590636 E CBL NIEDERS SCH A 05 15 5203 100 000 000 00 107 470 400 7 10 DE0001590693 e CBL NIEDERS SCH A09 14A 209 50 000 000 00 51 775 638 7 11 DE0001726339 E CBL LAND NRW SCHATZ02R434 48 000 000 00 49 453 474 9 12 DE0003078887 E CBL ERSTE ABW EO MTN 03 13 45 000 000 00 46 410 218 1 43 DE0007483141 E CBL DG HYP OE PF R 944 15 000 000 00 15 510 771 4 14 DE000A0AE077 T EGCP EUREX REPO EO GC ECB 0 00 6 840 043 233 9 15 DEOQOOAOBNQX7 E CBL BERLIN LAND LSA04 14A1 125 000 000 00 131 698 959 3 DEOOOAODRH78 E CBL BERLIN LAND LSA05 15A1 144 000 000 00 155 120 940 0 v gt Sum E Collateral 4 896 361 782 37 EUR Save As Excel 2 Sum T Collateral 6 840 043 238 91 EUR Total Sum 11 736 405 021 28 EUR Close Figure 40 Collateral Pool Value view The following table illustrates the field settings of the view Table 43 Field description of Collateral Pool Value view Collateral Pool Value
103. USOM sar E 0700 until 1745 e Deutsche Bundesbank cccccceccceeceeeceeeceeeceeeceeceeeeeeeeeeens 0700 until 1800 Clearstream sorrc ARAE EATARRA KERRE aes 0630 until 1810 Overview of the essential steps Notification of a Global Amount to Deutsche Bundesbank or to another NCB Assumption The Collateral Provider wants to notify Deutsche Bundesbank or NCBs also any other Collateral Taker in a bilateral contract conclusion of a global amount for the very first time The required steps are described briefly as follows 1 Xemac provides a Contract Definition with the Contract Definition type NCB as a basis for Contract Conclusions of customers with Deutsche Bundesbank Basic definitions are made with regard to eligible securities collateral haircut allocation type inclusion exclusion of accrued interest reusability and evaluation method 2 Based on this Contract Definition Deutsche Bundesbank enters a Contract Conclusion into the system The Collateral Provider confirms this Contract Conclusion 17 Chapter 3 How to access the system Then a second employee of the Collateral Provider checks the confirmation of this Contract Conclusion The next step is to enter collateral in the collateral pool by way of credit instruction This collateral is now available for allocation The Collateral Provider can now notify Deutsche Bundesbank of a global amount He can enter a Claim with a corresponding global amou
104. Window Name Field Status Comment Own Claim No Derived from selected Claim System Claim No Derived from selected Claim Claim Amount Derived from selected Claim Relevant Claim Amount Derived from selected Claim The securities identification number of the SIN collateral or the basket in the case of T collateral is displayed in this column Type The type T or E is indicated here 121 Chapter 5 Working with Xemac omg 5 7 1 Basket Output The settlement location CBF or CBL for E Settlement Location Output collateral and blank for T collateral is indicated Securities Description Output Here the security description is displayed Nominal veldecamednt Output In case of T collateral it is always zero The column displays the collateral value in the Collateral Value Output Claim currency The field displays the sum of the collateral value Sum Ee Sollateral uitput of free own E collateral in the Claim currency The field displays the sum of the collateral value Sum T Collateral Output of free transferred T collateral in the Claim currency The field displays the sum of the collateral value ee of Collateral Output of own E and transferred T all eligible free collateral in the Claim currency Collateral Pool Value Window Name Comment This column displays the basket short name only for T securities here The nominal value of the coll
105. With the change of the Claim the required allocations and or releases take place automatically Reducing the Claim Amount Other than GC Pooling Claims the Xemac partner must confirm Claims when the global amount of the Claim with Entry Checked status is decreased by the Collateral Provider After the Collateral Taker has confirmed and checked the reduction Xemac reduces the global amount and releases the surplus collateral If the Claim Decrease Request was not accepted by the Collateral Taker the Rejection Reason column will contain the reason for the rejection Automatic Claim Adjustment For Claims towards CMSI automatic exposure adjustment and linked collateralisation is carried out as below Table 39 Exposure adjustment and collateralisation for CMSI Claims Exposure Adjustment Collateralisation Around 13 30 Immediately after exposure adjustment Around 19 00 Next day during the morning re evaluation If Xemac identifies that insufficient collateral is available within the collateral pool to meet the adjusted Claim Amount then Xemac will not reduce the Claim Amount but show the cover ratio below 100 The Collateral Provider must credit additional collateral into the collateral pool 5 5 3 8 How to reject Claims Only Claims with Entry or Deletion status can be rejected To reject means that the user as the person checking the Claim is reviewing an entered processed or deleted Claim
106. Xemac pool The Claim Amount stipulated by the Collateral Provider is now collateralised 19 Chapter 3 How to access the system 3 5 3 Participation in GC Pooling Assumption The customer wants to transact in Eurex Repo in the GC Pooling segment The required steps to conduct this activity for the first time are described briefly as follows 1 10 Xemac provides the Contract Definition type Euro GC Pooling as the basis for Contract Conclusions with Eurex Clearing AG The participant enters the Client Reference that is intended to be used for Repo trades The participants cannot enter modify the Clearer and Member ID The entry of a Segregated Account is mandatory for any EGC participant A participant intending to deliver CBL securities must enter the Reservation Account and BIC Collateral Provider Clearstream user enters modifies the Clearer and Member ID as provided to the participating member by Eurex Clearing AG Eurex Clearing enters a Contract Conclusion into the system This is confirmed by the participant using the dedicated Client Reference with the specified Clearer and Member ID Clearstream user establishes a Claim of ZERO value between the intending participant to the trade and Eurex The customer has to select the Claim Currency which corresponds to the Basket he wants to trade on Eurex Repo The next step is to provide collateral to the GC Pooling collateral pool by way of credit instruction
107. Zoids TADOS and 2 geereeerrre cere er ence ee rrere sn rrrrrentererren rere erreren ener reer rr cet rrt Cen eT rrrrn are tyr terete rn tty rret 8 23 2 PU VIEW sas casi aa subs Sass Lanna waza nestbad ny sca dats EE E E E AE E 11 2 4 CONTEXT MENUS naa a a 12 2 4 1 Contex Menus tor ICONS nyrsio AE bones ccelaionietennesaaeas 12 2 4 2 Menu item Options How to define a view as standard vieW se sssnsseeseesennnnneereerennnne 13 HOW TO ACCESS THE SYSTEM sisiccisses cates descceseedccsdecesstecessscextundesanvestocasdiseesivesstmacznncdecacevausecewsseviae 14 3 1 STARTING THE APPLICATION incisis A E aA E A A aexaaie 15 3 2 HOW TO LOG INTO XEMAC AND CHANGE THE PASSWORD 0s0s0s0eseeeeeeesseeseseseseseseseeeseseseeeseseeeeees 15 3 3 SECURIMY CONCEPT sirme E aa AEA a AAE 16 3 4 OPENING HOUR Sacia a E a ES 17 3 5 OVERVIEW OF THE ESSENTIAL STEPS aasian aaia a E E A A EA S 17 Role is Notification of a Global Amount to Deutsche Bundesbank or to another NCB 00 17 38 2 Pledging Collateral in favour Of EUrex iz sscicctssatascessssesesviausdessiasdachseigeies nealcaresteeaviatienedesseudiees 18 3 5 3 Pahticipation inGC POOUNG sssrinin aana AEE EEEE 20 3 5 4 Participation in Collateral Management Secured Instruments 2 c ccccccecceeseeeeeneeeteetnenees 21 KEY FUNCTIONS AND BASIC PRINCIPLES sicccccciccaciccccccceececcsncssesterceccesseseceetiesecececaccusctattisteseesevecs 23 4 1 INTRODUCTION ey cceesccecesesncecs
108. a mance Output party and is currently only available for specific customers Credit Account This field displays the account to which the Output Account p collateral is credited Xemac sub account 550 Credit Account This field displays the name of the credit Output Name account This field displays the Client Reference of the beneficiary of the collateral Selection of the Client Reference is essential for crediting securities to the respective collateral pool such that they are directly used within the corresponding Claim Credit Account This field displays the name of the beneficiary of Optional entry Client this collateral 127 Original Instructor Account Credit Account Client Reference Optional entry Chapter 5 Working with Xemac 5 7 3 3 Instructions for CBL Settlement Location When the settlement location is selected as CBL only valid Client References containing BIC Source Account and Reservation Account are available for selection by the user If the system cannot find a valid Client Reference that matches the input it generates an error message This prevents the entry of credit instructions with settlement location as CBL against an invalid Client Reference The Xemac participant number and name are displayed automatically Xemac prompts the user to enter the source account number The user must enter here the Source Account number from which the securities must be moved
109. a the context menu of the individual functions function codes Example Transaction Contract Conclusions Function Display New Edit Delete Check Confirm Reject Coding example Table 90 Access rights Coding example Position 1 4 4 Digit Transaction Code Position 9 10 Here it can be indicated whether the user is allowed access for a i function code allowed or not and or disallowed Position 11 100 The Function codes with two digits must be separated from the i Transaction codes by a blank character CM Application SECU CM Function SECU Functions Code Transaction Code Claim KXFO Display AN New NE Edit BA Check KT Confirm BS Reject ZW Manual Allocation MA Delete LO Function codes for the Transaction code KXFO are AN NE BA KT BS ZW MA and LO 212 Appendix 4 Access Rights If coded as in the below example the user with Transaction code KXFO receives access authorisations for the function codes AN NE BA KP LO a _ lt lt aN 1234 901234567890123456789 KXFO AN NE BA KP LO If coded as in the below example the user with Transaction code KXFO receives all access authorisations except for the function codes KP and LO 1 2 1234 901234567890123456789 KXFO KP LO The following are the possible
110. able Collateral list box is empty The collateral selected for release is displayed in the Collateral set for release list box in the Release section The Allocated Collateral list box is empty How to check a manual allocation release Entered allocations and releases must both be checked within three bank business days of their entry Otherwise these instructions will be deleted The Check function is used for this purpose The respective instruction must be in Entry or Rejection status It will not be possible for the user to check instructions that have already been generated or modified by his institution An allocation or release can be checked using the Status Not Checked tabular view of the Allocation Instructions function The required row must be selected right clicked and Check selected Xemac will change to the full view of the Manual Allocation Release The Check will be confirmed by pressing Yes in the Instruction to be checked dialog window provided by Xemac By confirming the check with Yes the instruction is in Entry Checked status An error message is issued if part of the instruction allocation or release cannot be executed In this case the entire instruction is labelled as deficient If the check is terminated by pressing No the selection is not saved 59 Chapter 4 Key functions and basic principles 4 10 9 4 10 10 How to
111. ac will change to the tabular view from where the Manual Allocation Release function was initiated After entering the substitution instruction the collateral selected for allocation can neither be used for other allocations nor be removed from the collateral pool This can only be done after the respective instruction has been rejected and then deleted If the window is closed with the Cancel button the entries will not be saved Due to concurrent activities of other users there may be a temporary change in the collateral pool such that the collateral designated for allocation may no longer be available An error message will then be issued The entire instruction 56 Chapter 4 Key functions and basic principles 4 10 5 4 10 6 that is the allocation as well as the release is rejected by Xemac and is labelled with the Rejection status in the processing info The substitution instruction must always be checked by another user at the customer s institution Only after this check or confirmation will Xemac carry out the substitution instruction and substitute the allocated collateral The user is now able to make use of the released collateral Manual Allocation Release in GC Pooling Claims The following points are important for consideration if the user is a participant in a GC Pooling Claim and wants to carry out a Manual Allocation Release e A security release is always accompanied by an Au
112. act Definition Clearstream enters a Contract Conclusion in the system The customer as the Collateral Provider confirms this Contract Conclusion Then a second employee of the Collateral Provider checks the confirmation of this Contract Conclusion The next step is to enter collateral in the collateral pool by way of credit instruction This collateral is now available for allocation The Collateral Provider can now enter one or more Claims of ZERO value Another employee of the Collateral Provider will subsequently check these Claims The Collateral Provider can now use the automatically generated System Claim Number of each Claim and issue so called Collateral Management Secured Instruments The issued volume of those instruments for example certificates will be collateralised within the entered Claims The exposure will be automatically calculated by Clearstream on a daily basis Xemac allocates available collateral to these Claims from the Xemac pool of the Collateral Provider The automatically calculated Claim Amount is now collateralised The customer can structure his collateral pool using Client References if for example he wants to manage collateral of individual divisions separately 1 The Contract Definition with Contract Definition type CMSI provided by Xemac remains applicable The Collateral Provider relates to his clients or the internal structure of his collateral pool by allocating a Client Referenc
113. ader it is possible to reset the sorting to the default order A filter menu bar is available in every tabular view This filter option will be either visible or hidden depending on the flag set in the Settings menu of Xemac This setting can be modified by every user and stored individually The filter is activated after data within the tabular view is fully loaded at 100 It is possible to filter views with up to 5 criteria by clicking the button All criteria are combined with the mathematical operator and The first dropdown menu contains a list of all columns of the specific tabular view The third dropdown menu offers a list of available entries in the field chosen in the first dropdown menu but also allows the entry of different values The tabular view will be filtered after clicking the Filter button A click on the Reset button deletes all entered filter values and shows the full list of records of the tabular view The column width is adjusted automatically users can also amend this by dragging the column line on table header The maximum character length of an element in the column determines the column width If the title is the widest data field it determines the width However due to reasons of representation there are exceptions to this rule Columns can also be repositioned according to user requirements With the menu item Columns it is possible to include and exclude columns from the
114. ails tab will display the valuation date and time of collateralisation above the fields Collateral Value and Cover ratio as DD MM YYYY HH MM SS 5 5 3 6 How to modify a Claim 5 5 3 6 1 Online via Xemac Client The only version that can be modified is the current version The user can modify Claims with the following statuses e Entry e Entry Checked e Entry Rejected e Entry Confirmed Checked e Entry Rejected Checked 105 Chapter 5 Working with Xemac After the Claim Amount has been reduced it can be edited again after the confirmation or rejection of the counterparty has been received Xemac will block this Claim for such periods The scope of modifiable fields is limited The user can fill in the modifiable fields in accordance with the checks described in section 5 5 3 2 How to enter a Claim for NCB Clearstream CMSI and Eurex The system checks the entered data after the confirmation of the entries with the OK button After processing the system increments the version of the Claim by 1 if the Claim had the Entry Confirmed Checked status before processing After processing an existing Claim there is a further Claim in the system with the same Claim number but with a higher version increased by 1 The previous version can therefore no longer be issued The version remains unchanged as long as the Claim did not have Entry Confirmed Checked stat
115. ains the own contract number assigned Own Contract No p by the user Contract Claim Output This field contains the own Claim number assigned by Own Claim No p the user Cover Ratio the total Claim Amount Accrued Interest in the Claim currency Collateral Value currency Te An ISO code admitted in Xemac can be selected The Ref Currency Optional market value or collateral value is converted in the Reference Currency entry reference currency The content of the Allocation section remains unchanged Ref Currency ee Exchange Rate Output The determined exchange rate is displayed in Euro Ref Currency an As of Date Output The date of the exchange rate is displayed Ref Currency Output This field displays the collateral s market value in the Collateral Value p reference currency 5 6 4 Collateral Pool Value View Contract Claim This field displays the haircut for the instrument that is Output fae Haircut applied within the allocation The Collateral Pool Value view shows per Claim the collateral value in Claim currency not including the Claim Amount Premium as well as the nominal value of free and eligible assets CBF and or CBL that can be allocated to the given Claim In order to support the Xemac participant s use of GC Pooling this view provides further clarity by providing additional sum values of free T and free E securities Own collateral E is also displaye
116. alis Eurex Clearing Pledge DEOOOLBWOPP2 LBBW 1 7 Ubereign m Best Ubertrag w EuGCP DEOOOLBWOPP2 LBEW T00 ves Yes 17 00 Yes Yes 1 00 Yes Yes 1 00 Yes Yes 375 000 000 00 1 00 Yes Yes 2008000001 al 3 2011000005 2012000002 DE000LBw0PP2 LBBW DEOOOLBWOPP2 LBBW 3 DEOOOLeWoPP2 LaBW 0873 IDEOOOLBWOPP2 LBBW DEOoOLBWwoPP2 LBBW 100 Yes No 100 Yes No 1 00 Yes Yes ca 1 on en 9 3 1 Clearstreai Figure 14 Eligibility Check Table 14 Field description of Eligibility Check window Eligibility Check Window Participant Output This field displays the Xemac own participant number Output This field contains the code as defined in the Code Output settings German Securities Identification Code ISIN Common Code and Cusip must be entered here Output The table shows the Contract Definitions for which the requested security is eligible with the following columns Responsible Institution Contract Embedded table Output Definition No Version of Contract Definition Name of Contract Definition SIN Securities Description Haircut Settlement Location CBF Settlement Location CBL and Limit The user must enter a SIN in the format displayed in Code field After pressing the Check button the Contract Definitions for which the security is eligible will be displayed in the table below The window can be closed b
117. allocated per Current Claim per Participant with Nominal Value Market Value and Collateral Value Nominal Value and Collateral value are displayed positive no sign or negative depending on whether the participant is Collateral Provider or Collateral Taker The Market Value is always displayed positive The report is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view Following columns are included in the report Table 70 Description of Columns of Report Allocated Collateral per CRef General information Columns in alphabetical order Report No Allocation Type Data as of Basket Participant No Claim Currency Client Reference Client Reference Currency Client Reference ID Collateral Value in Claim Currency Page only on pdf file Collateral Value in Reference Currency Counterparty Counterparty Client Counterparty Client Reference Market Value in Reference Currency Nominal Value Amount Own Claim No Participant No Securities Description Settlement Location SIN System Claim No Type 195 Appendix 3 Reports in Xemac Report Allocation Changes This daily report shows all successfully executed movements of collateral during the day All allocations and releases to the Claims where the participant is Collateral Taker values with no sign indica
118. ame ABC Bank Client Reference BLZ 60050000 ACC 1234567 Client ABCABC Counterparty Participant 7069 Name DEUTSCHE BUNDESBANK Client Reference Client OK Cancel Figure 11 Manual Allocation Release Xemac Partner Section 53 Chapter 4 Key functions and basic principles The Release section can be used to release allocated collateral The Release tab shows Releasable Nominal columns DA 6335 Manual Allocation Release E 2 003 640 209 8500 EUR Relevant Claim Amount Claim Amount Value and Releasable Collateral Value x 2 003 640 209 8500 EUR Overcollateralisation 36 2850 EUR Overcollateralisation after Simulation 36 2850 EUR instruction Data Allocate Release 1 Xemac Partner Processing Information Allocated Collateral SIN Settlement Location Type Nominal Value A Collateral Value Releasable Nominal Value Releaseabl 7808 CBF E 2 953 000 00 2 906 672 28 2 953 000 00 a CBF JE 116 849 000 00 115 7 6 849 000 00 CBF E 24 771 000 00 2 1 000 00 CBF iE 109 364 000 00 1 9 364 000 00 CBF E 150 000 000 00 _1 150 000 000 00 CBF E 250 000 000 00 2 250 000 000 00 CBF E 150 000 000 00 3 150 000 000 00 S NRA RAL AR N TT Danana annaa 4 gt Substitution Automatic Selection Selected Value Select Collateral to be released SIN Settlement Location Type Nominal Value A Collateral Value Date Time Cancel SS OK Figure 12 Ma
119. ame Client Reference to confirm more than one Contract Conclusion For each Contract Conclusion the customer as Collateral Provider can enter multiple Claims The initial set up of the Claim Amount to zero is solely the customer s responsibility The automatically generated System Claim Number of the Claim will be used in the issuance process of a new collateral secured instrument All processes are either automatic or executed by Clearstream The customer is only required to keep the pool adequately collateralised In the event of a CMSI Claim the Claim Amount will be automatically calculated by Xemac twice a day An exposure within Xemac between the Collateral Provider and Clearstream as fiduciary will represent the sum of the evaluated issued volumes of all underlying Collateral Management Secured Instruments as a product of positions and prices The collateralisation of the Claim Amount will also be done by the system automatically Processing for Contract Definition Type Euro GC Pooling After the required Contract Conclusion is established between the participant and Eurex Clearing the Clearstream user creates an initial Claim of value zero in the corresponding currency and basket All processes are either automatic or executed by Clearstream The customer is only required to keep the pool adequately collateralised In the event of a Euro GC Pooling Claim the Claim is impacted due to trades entered between participants and Eurex
120. amount the processing information will look like this Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Rejection 11 12 2012 11 11 11 7069555555 Only Deutsche Bundesbank can see this information The rejection of a reduction of the global amount must also be processed by a second Deutsche Bundesbank employee who can either check or reject it This is illustrated under a and b 2a The second Deutsche Bundesbank employee checks the rejection of the reduction If the second Deutsche Bundesbank employee checks the rejection of the reduction of the global amount Deutsche Bundesbank has rejected it irrevocably The Collateral Provider will be able to see the following processing information 36 Chapter 4 Key functions and basic principles Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Rejection 11 12 2012 11 11 11 7069555555 Check 11 12 2012 13 13 13 7069777777 2b The second Deutsche Bundesbank employee rejects the rejection of the reduction If the second Deutsche Bundesbank employee rejects the rejection of the reduction of the global amount that is both Deutsche Bundesbank employees disagree the four eyes principle was not conclusive Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Co
121. and finds it incorrect 110 Chapter 5 Working with Xemac The rejection can be displayed in any tabular view exception the Historical Claims view Before rejecting a Claim in the tabular view the user can review it in more detail in the full view The user can reject Claims in the selected view by highlighting the required row s A pop up window will appear with the text Should the marked lines be rejected If a confirmation is given by clicking on Yes the system will check the selected rows If a selected row is a Claim that can be rejected it will be given Entry Rejected or Deletion Rejected status If the selected area consists of one or more rows that do not have the required status or that the user created modified or deleted only the correct Claims will be processed as described above A pop up window will appear displaying an error message that can be deactivated by clicking on OK The view will not be closed automatically if all the rows could not be processed automatically If the rejection is terminated by clicking on No the selection is not saved The Claims remain unchanged with the same status as before the selection 5 5 3 9 How to delete Claims The required Claim must be selected in the tabular view Xemac changes to the full view The OK button is replaced by the Delete button in the full view for deletions User can delete e Claims that were ent
122. and use all the benefits of GC Pooling e What is the difference between GC Pooling and GC Pooling Select e Before the new product has been presented GC Pooling was a form of anonymous interbank market which could only be used by our direct customers with a Banking licence and an existing account GC Pooling Select opened new opportunities to a new segment of non banking customers who can act as cash providers to banks quickly and easily benefiting from the advantages of trading through a clearing house What is planned for the future New functions and features are being continuously implemented to enhance the attractiveness of the product In this respect the introduction of new GC Pooling baskets is expected shortly and also enhancements of GC Pooling Select products 172 9 YOUR HOTLINE TO XEMAC 173 Chapter 9 Your Hotline to Xemac Customers can reach their functional contact for Xemac under the following telephone number 49 0 69 211 1 2757 Please do not hesitate to contact us if you have further questions concerning this User Manual or concerning the application itself We will be very glad to be of service Hints and suggestions for improvement are also always welcome If you have any technical problems with the Xemac application please contact the following number 49 0 69 211 1 1910 174 APPENDICES 175 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Appendix 1 Connectivity v
123. ani Output number of the counterparty Name Output This field contains the name of the counterparty P that is Deutsche Bundesbank This field contains the respective Client Client Reference Output Reference of the Counterparty This field contains the respective Client of the All three parameters in the Controls section are set to Automatic by default and cannot be altered iojxi Counterparty 7069 System Contract No 2005000025 Version 1 Identification Xemac Partner Controls Processing Information Allocation Claim Confirmation Contract Change Confirmation Automatic Automatic Automatic Manual Manual Manual Figure 31 Contract Conclusion Controls Section For Contract Conclusions with Deutsche Bundesbank and Eurex Claims are automatically confirmed when modified for the first time or increased The counterparty has always to manually confirm a deletion using the four eyes principle The Collateral Provider must manually confirm new Contract Conclusions or those that have been set for deletion whereas contract changes are confirmed automatically 93 Chapter 5 Working with Xemac 5 4 3 2 How to modify Contract Conclusions The Edit function enables the user provided that the Contract Conclusion is in Entry Confirmed Checked status to modify or delete the Own Contract Number If the Own Contract Number is deleted in the Identification
124. at additional assets are delivered in Creation on the Collateral Source Account the user can initiate another manual exposure for the differential amount If there are no assets available on the Collateral Source Account the Exposure Request will be rejected with Collateral Insufficiency In order to use this functionality efficiently customers must be set up as AutoAssign also named Auto Allocation in the contract setup in Cmax This is irrespective of whether the Automatic Provisioning flag is selected in the Xemac Client Reference 5 7 3 5 File Transfer SWIFT IBM Websphere MQ Instruction Mechanism To transmit debit or credit instructions for CBF assets through File Transfer SWIFT or IBM Websphere MQ the MT542 ISO 15022 message type is used The following are the key points regarding the functionality Table 50 File Transfer SWIFT instruction mechanism Functionality Description e Entered from 07 00 till 17 45 Instruction Timings e Any instructions delivered outside these opening hours will be rejected e Successful instructions transmitted to Xemac with immediate status of Entry Checked Entry Checks e Failed instructions will be Rejected Unlike with online instructions German A O and U characters are not acceptable Deletion or Modification e Not possible After successful bookings in RTS reverse of instructions bookings can be performed e Delivery Free of Paymen
125. ate Xemac directly converts the entered amount into the reference currency EUR displayed in the Amount field By clicking on the Transfer button this EUR amount will be transferred to the Requested Amount field of the New Exposure Request view so that a request can be sent to CmaX with this converted currency amount The Accounts tab is shown below 131 Chapter 5 Working with Xemac MG 6335 New ExposureRequest ioixi Participant 6335 Instruction No Exposure Request l Accounts i Processing Information Credit Account Participant 6335 zj Name ABC Bank Client Reference BLZ 60050000 ACC 1234567 v Reservation Account 12345 Client ABCABC v a Cancel Figure 47 Manual Exposure Request Accounts Section An overview of the entries in the Accounts section is as follows Table 49 Field description of New Exposure Request view Account Section Accounts Section Comment Participant p Xemac Reservation Account p number as saved in the Xemac Client Reference This field displays the Client Reference of the beneficiary of the collateral Selection of the Client Optional entry Reference is essential for crediting securities to the respective collateral pool such that they are directly used within the corresponding Claim This field displays the name of the beneficiary of this collateral Either the client or the
126. ateral tabular views The amounts of the Nominal Value Amount Collateral Value in Reference Currency and Collateral Value in Claim Currency fields are always displayed either beginning with no sign indicating a positive value or with a negative sign depending on the view opened Collateral Provider or Collateral Taker The amount of the Market Value in Reference Currency field is always displayed with no sign indicating a positive value The screen also displays the two Sum Market Value in Reference Currency and Sum Collateral Value in Reference Currency fields in the bottom of the view The sum fields are adjusted accordingly to the filters set in the filter menu 115 Chapter 5 Working with Xemac M 6335 Collateral Overview Boxi Collateral Overview View Output Columns Settlement Securities Nominal Value Collateral Allocation Location Description Amount Status Type T0008011614 CBF RZB OESTER 09 11 4 P 1 000 000 Free ATOOOBO20185 CBF RAIFF WOHNBAUBK 06 17 CV 500 000 Free f AT0000385067 CBL OESTERREICH 01 11 91 275 000 Free BE0000304130 CBL BELGIQUE 04 35 44 1 540 000 Pledged Pledge DEQOOAAROO1 c AAREAL BANK MTN HPF 3 3 70 526 000 Free DEQOOAAROO1 C AAREAL BANK MTN HPF 5 3 1 401 000 Appropriated Appropriation DEQOOAAROO41 CBF AAREAL BANK I5 09 12 15 646 000 Free DEQOOAAROOS8 CBF AAREAL BANK NTN HPF S 38 1 307 000 Pledged Pledge DEQOOAAROO74 C AAREAL BANK M
127. ateral is displayed The Save As Excel button enables the user to save the contents of the Collateral Pool Value view in an Excel file with two worksheets Collateral Pool Value and Claim Data The Collateral Pool Value worksheet will contain both the columns and the information from the table for eligible free collateral The total will be displayed in the Collateral Value column at the bottom of the same worksheet with the corresponding exposure currency in the next column The Claim Data worksheet shows the Own Claim No System Claim No Claim Amount and Relevant Claim Amount fields Instructions How to enter and remove Collateral To cover Claims only securities collateral from the Xemac collateral pool can be used This section shows how to e Enter collateral in the collateral pool and e Remove collateral from the pool Brief Description Itis possible to address the Xemac collateral pool via the following options 1 All customers can enter online Instructions to credit the collateral pool Credit Instructions or debit the collateral pool Debit Instructions for CBF and CBL assets The movements in CASCADE take place between the main customer account 000 and the Xemac collateral sub account 550 the movements in Creation between the Collateral Source Account s and the Reservation Account in CmaX similar to sub account 550 in CAS
128. ation with both entries The reduction by the Collateral Provider can now be confirmed or rejected by an Deutsche Bundesbank employee Depending on the outcome Deutsche Bundesbank needs to perform certain actions 34 Chapter 4 Key functions and basic principles 1 Case The first Deutsche Bundesbank employee confirms the reduction of the global amount If the first Deutsche Bundesbank employee confirms the reduction of the global amount the processing info will look like Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Confirmation 11 12 2012 11 11 11 7069555555 Only Deutsche Bundesbank can see the third row A second Deutsche Bundesbank employee must process this confirmation within the scope of the four eyes principle This employee can either check or reject it This is illustrated under a and b 1a The second Deutsche Bundesbank employee checks the reduction of the global amount The reduction of the global amount by the Collateral Provider is accepted by Deutsche Bundesbank after the second Deutsche Bundesbank employee has checked it Now the following processing information is displayed Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Confirmation 11 12 2012 11 11 11 7069555555 Check 11 12 2012 13 13 13 7069777777 1b The second Deutsche Bundesbank employee
129. ations of status and functions A Claim is always entered in Xemac by the Collateral Provider The Collateral Provider maintains the Claim Amounts creation modification and deletion The reduction of a Claim Amount initiated by a Collateral Provider requires approval by the Collateral Taker An increase is automatically confirmed It is possible to have several versions associated with one Claim number If there is a version of the Claim in process only the version with Entry Confirmed Checked status can be processed The same will happen as in the case of a deletion of a Claim After the check and manual confirmation by the counterparty the Claim will automatically become historical The following table illustrates which functions are accessible to the user as the originator of a Claim Table 30 Claim Status originator The Claim s status is Collateral Provider Collateral Taker Confirmation Confirmation Checked Confirmation Rejected D 2 D am Deletion Checked Rejection Checked Pa Lu N lt Yes Yes Yes Yes LLI ead Yes Yes Yes Yes a 1 Here is shown which activity the person entering the Claim carried out previously 2 Here is shown which activity the counterparty carried out previously 3 Claims with this status may be displayed with the obsolete status Entry Checked It is only after the counterpar
130. atus Actor Number Check 201200001 2 Entry checked a User 2 As the change in this example was the reduction of the global amount Deutsche Bundesbank must carry out a manual confirmation and check After successful confirmation this version of the Claim is in Entry Checked Confirmed status Function System Claim Version Status Actor Number Confirmation 201200001 2 Entry checked confirmed i r 30 Chapter 4 Key functions and basic principles After the successful check this version of the Claim is in Entry Confirmed Checked status The version remains unchanged in each case Function System Claim Version Status Actor Number Check 201200001 2 Entry confirmed checked of User 2 After these four steps have been carried out Deutsche Bundesbank also accepts the reduction entered by the Collateral Provider Now Xemac can release allocated collateral so that only the reduced global amount is collateralised Xemac transfers the previous version with the higher global amount into the historical database Historical Claims view 4 5 3 Example Reduction of a Global Amount rejected by Collateral Provider Function System Claim Version Status Actor Number Modify Edit 201200001 2 Entr oF y y User 1 What happens to the Claim if the User 2 of the Collateral Provider does not agree with the modified Claim The Claim will be rejected instead of c
131. back to Eurex before making further allocations from the Collateral Taker who now becomes Collateral Provider Similarly all existing allocations from a Collateral Provider to Eurex are released back to the Collateral Providers pool before further allocations are made from the side of Eurex to this participant who has now become a taker in the net Claim For example A 50 Million M worth of Collateral Value of securities is transferred in the pool from Eurex due to a Repo Trade the instruction type is Allocation The Net Claim here is 50M B If the customer now enters into another trade of 70 Million as Repo Seller the existing allocations collateral value 50M are released to Eurex and additional allocation of 20M is made to Eurex whereby the net Claim becomes 20M from 50M The instruction by which the release of 50M and allocation of 20M takes place is classified as Change of Direction in the Historical Allocation Instructions view 4 10 6 2 Tabular View Status Not Checked This view displays all unchecked allocation or release instructions entered by the Collateral Provider It also displays Instructions that are generated due to GC Pooling trades and are pending Cash Confirmation by the counterparty Such Instructions are visible in this view in Entry status 58 Chapter 4 Key functions and basic principles 4 10 6 3 Tabular View Rejected Allocation Instructions T
132. be collateralised by a Claim no entry appears on the detailed report for that Claim The following columns are included in the report Table 67 Description of Columns of Report Detailed Claim Amount CMSI General information Columns in alphabetical order Report No Claim Amount Data as of Claim Currency Participant No Client Reference Currency Client Reference ID Nominal Value Amount Page only on pdf file Participant No Price Date Price Source Quotation Securities Description SIN System Claim No Version Xemac Price Report Current Client References This report displays all the participant s current Client References with date of creation for the Xemac that have Entry Checked status It is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 68 Description of Columns of Report Current Client References General information Columns in alphabetical order Report No BIC Collateral Provider Data as of Clearer ID Participant No Client Reference Currency Client Reference ID Creation Date Page only on pdf file Member ID Participant No Reservation Account Segregated Account Status Client Reference 193 Appe
133. ble 84 Table 85 Table 86 Table 87 Table 88 Table 89 Table 90 Table 91 Table 92 Description of Columns of Report Own Contract Conclusions ccceceeeeeeeeeeceeeeeeeeeeeeees 205 Description of Columns of Report Third Party Contract Conclusions ceceseeceeeeeeeeeeeeeee 206 Description of Columns of Report Eligible Securities per CDef c ccceceeseeeeeeceeeeteteeeeeees 207 Description of Columns of Report Own Contract Definitions 0 0 0 0 cccceccsseeeeeesteeeeeeneeeesenaes 207 Description of Columns of Report Third Party Contract Definitions ee eeeeeeeeteeeeeenees 208 Description of Columns of Report Credit and Debit Instructions c000ceseeeeeeeeeeeeeeeees 208 Description of Columns of Report Historical Credit Debit Instructions eeeeeeeeeeeeeeeeeeee 209 Description of Columns of Report Rejected Instructions ccccessceceesenceceeseeceeeeseneeeeenenees 210 Description of Columns of Report Deletion by System cc ccccsssceceeseceeeeseneeeeeseneeeeenenees 211 ACCESS HGMIS GOGING examples siaina a na E NTa E AA aides E ASASI EANA 212 Possible Combinations of transactions and functions of the KX context Menu 213 CASCADE Foreign Currencies sinusni iea E AA A E EE 216 1 INTRODUCTION Chapter 1 Introduction Objective of this User Manual The Xemac User Manual is on
134. c provides predefined views for displaying instructions for the automatic manual allocation or release These views can be accessed via the Allocation Instructions icon 57 Chapter 4 Key functions and basic principles 4 10 6 1 Tabular View Historical allocation instructions This view displays all manual and automatic allocation release instructions in Entry Confirmed Checked status For instructions generated in GC Pooling contracts the Comment field displays values Table 13 Overview of values in the Comment field of GC Pooling Allocation Instruction Value Description Alphanumerical number Repo Trade number of GC Pooling Trade EGC POOL SUBS Substitutions made by the new automatic reuse substitution EGC POOL REALLOC __ Instructions generated due to the daily Claim revaluation Comments if any entered by user to for example release substitution an ISIN User entered The Instruction Type field carries the type of instruction entered either manually or by the system The various types included are Allocation Release Substitution and Change of Direction The Change of Direction allocation type is applicable only in cases of GC Pooling Claims It is visible for instructions that result in a Collateral Provider becoming Collateral Taker in a net Claim or vice versa In such cases the current allocations to a Collateral Taker are released
135. checked online credit or debit instructions entered by a user This view will not show debit or credit instructions made through File Transfer SWIFT and IBM Websphere MQ as all such instructions have an immediate status of Entry Checked Tabular View Instructions without PKS Notification This view displays all credit and debit instructions entered through any existing mechanism that have been sent to the respective settlement location CASCADE Creation and are still awaiting feedback settlement confirmation from the position keeping system For example e When instructions are sent and are awaiting the completion of the SDS1 for RTS processing to commence e Any instructions pending a future value date CBF assets only e Any CBL instruction awaiting feedback from Creation settlement Debit or credit instructions entered online or through File Transfer SWIFT or IBM Websphere MQ can be entered with future value dates All such instructions will be visible in the Instructions without PKS Notification view between the entry date and the effective settlement date 123 Chapter 5 Working with Xemac These instructions are automatically deleted on settlement date at the end of the relevant Xemac RTS Online period 5 7 2 4 Tabular View Rejected Instructions This view displays all debit instructions created by the user or CBF that have subsequently been rejected by the settlement systems CASCADE Creation
136. cked FS ae A 12 Now the Claim is in Entry Checked status The very first generation of a Claim is the initial notification of a global amount which Xemac will confirm automatically Xemac sets the status to Entry Checked Confirmed in the first 29 Chapter 4 Key functions and basic principles step and to Entry Confirmed Checked in the second step The version remains unchanged Function System Claim Version Status Actor Number Confirmation 201200001 1 Entry checked confirmed penta Check 201200001 1 Entry confirmed checked Seth After these four steps only the Claim entered by the Collateral Provider is accepted by Xemac on behalf of Deutsche Bundesbank and can be collateralised by Xemac 4 5 2 Example Reduction of a Global Amount In order to explain the manual confirmation and check of a Claim Amount it must be changed and the global amount reduced If the Collateral Provider has confirmed the changes made to the Claim with OK Xemac creates a new version of the Claim under the existing system Claim number where the new version is increased by 1 This version is given the Entry status Function System Claim Version Status Actor Number Modify Edit 201200001 2 Entry ar User 1 The next step is the check This changes the status to Entry Checked The version remains unchanged Function System Claim Version St
137. cked Confirmed the Reject entry must be selected in the menu bar of the context menu To reject a Contract Conclusion with Entry Checked Rejected status the Confirm entry in the menu bar or context menu must be selected and the choice can be confirmed by clicking OK when receiving the message Should the marked lines be rejected An error message will be issued if the selected rows do not have the appropriate status or were created modified by the same user The selected Contract Conclusion is rejected after pressing the OK button If the rejection is terminated by pressing Cancel the selection is not saved and the status of the selected Contract Conclusion remains unchanged Contract Conclusions that were not checked after a rejection will not be deleted contrary to the deadline of three bank business days after the date of entry This enables user to carry out the confirmation rejection or check at leisure It is the responsibility of the responsible institution to monitor this process 5 4 3 6 Functions available depending on the Contract Conclusion status The availability of functions described above depends on the status of the Contract Conclusion The following tables provide an overview of which functions are available for which Contract Conclusion status These arrangements do not apply to the modification of the Own Contract Number Table 29 Call by originator The Claim s
138. confirmation the Collateral Provider can assign the respective Client Reference to the Contract Conclusion To ensure that these Claims are collateralised participants are required to enter collateral into the Collateral Pool This is then available for allocation One can remove surplus collateral from the pool Should there be a need for the allocated collateral for a different purpose it can be substituted with other collateral On request Xemac will automatically select available and eligible collateral for substitution Participants can view the Collateral Positions and Allocated Collateral during the Xemac online opening hours Xemac automatically allocates available collateral to Claims The collateralised global amount or the collateralised Claim Amount corresponds to the value of the collateral pledged in favour of the Deutsche Bundesbank Eurex or any other partner With the icon Settings the following options are available language bubble help colour filter information messages and the Security Identification Number SIN The standard reports available in this release can be printed out as lists or issued as files CSV XLS HTML PDF TXT XML for further processing Chapter 2 Welcome to Xemac 2 2 Logging into Xemac Main View The main view of Xemac appears directly after successful logon All screens and sub menus are accessible from the main menu Access to Xemac functionality is obtained by left c
139. ct Definition contains individual parameters for the settlement and management of Claims such as eligibility and valuation criteria Each Contract Conclusion between a Collateral Provider and a Collateral Taker is based on the Contract Definition type Clearstream CMSI Euro GC Pooling Eurex or NCB e Control parameters In the control parameters the provider of collateral enters unilateral instructions for Xemac in addition to the parameters stipulated in the bilateral agreement In the current release all three parameters are set to automatic e Creation Creation is the settlement engine at CBL equivalent to CASCADE in CBF All assets indicated with Settlement Location CBL in Xemac settle over Creation e Eligibility criteria 158 Chapter 7 Glossary Specification within the Contract Definition as to which collateral the Xemac partner will accept for the collateralisation of a Claim e Empty Client Reference See Blank Client Reference e Four eyes principle See Check e Generated report The Collateral Provider and the Collateral Taker can create a report by generating it from the report definition In addition Xemac automatically generates standard reports e Global amount The Collateral Provider informs the Collateral Taker for example Deutsche Bundesbank with a global amount by way of a Claim that is collateralised in Xemac and based on a Contract Conclusion with Co
140. ct and Services Global Securities Financing Global Liquidity Hub CSD services Triparty Collateral Services Xemac Xemac Technical Specifications Customers are notified before each release For downloads customers have to be logged in on the Clearstream website under the My Clearstream section What happens in cases of coupon payments on Transferred securities In such a case the coupon payment will be made directly on the account of the Collateral Taker and in turn credited to the Collateral Provider through a compensation process e How are redemptions handled In the event of forthcoming redemptions for securities that are pledged appropriated or transferred towards a Collateral Taker it is necessary to request that Clearstream transfers the securities back to the main account It is therefore necessary to ensure that sufficient alternative securities remain within the collateral pool to allow substitution 167 8 2 Chapter 8 Frequently Asked Questions FAQ GC Pooling Why use GC Pooling The compelling advantage of GC Pooling is the possibility to reuse received collateral for further money market transactions refinancing within the framework of ECB open market operations in Xemac and to reuse received collateral for Eurex Margining purposes What are the key elements Secured money market trading on an anonymous basis Euro CHF and USD funding against standardised fixe
141. cted at the end of the RTS cycle due to lack of held free securities available in Xemac pool Substitution Processing Substitutions are possible for all allocation types If a substitution cannot be performed at the first attempt Xemac will turn off automatic substitution The processing order is as follows e Allocation types Pledge and Appropriation e Allocation type Transfer e Allocation type Transfer EGC N B When processing large quantities of debit instructions for which substitutions need to be generated the Xemac Client will be briefly unavailable in the affected Client Reference for the entry of debit credit instructions allocation and changes of Claim Amounts Remarks e The CASCADE KVAS FA function will not be available as entry and removal of settlement block will be done by Xemac e As with other CASCADE instruction types File Transfer SWIFT and IBM Websphere MQ participants can receive confirmations rejections via Remote Data Transmission The data fields that are part of the message formats are described separately in the Appendix to this document 5 7 4 How to display a Credit Instruction The Historical Credit Debit Instruction and View of Credit Instructions tabular views provide information on the required credit instruction All fields of the Credit and Accounts sections are output fields and contain the entries described in section
142. curities code 70E SPRO Debit Instruction without Client Comment Reference 16S TRADDET 16R FIAC 36B SETT UNIT 500000 Nominal value 97A SAFE 63350550 Debit account 16S FIAC 16R SETDET 222F RTGS YRTG Settlement type Type of settlement transaction 22F SETR COLI Debit instruction 16R SETPRTY 95R REAG CUSTOMER BIC of receiving agent 97A SAFE 63350000 Credit account 16S SETPRTY 16R SETPRTY 95Q PSET DAKVDEFF Place of settlement 116S SETPRTY 16S SETDET 182 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Example of MT542 Debit Instruction with Client Reference SWIFT Message Fields and Contents Comments 16R GENL 20C SEME TEST MT542 4 Instruction reference 23G NEWM 998A PREP 20101026 16R LINK 20C RELA KT63350105900040 Related reference containing the customer s account 6335 and instruction number 590004 16S LINK 16S GENL 16R TRADDET 998A SETT 20101026 Settlement date for current day 998A TRAD 20101026 Trade date 35B ISIN DE0001135242 Securities code 16S TRADDET 16R FIAC 36B SETT UNIT 500000 Nominal value 997A SAFE 63350550 Debit account 16S FIAC 16R SETDET 22F RTGS YRTG Settlement type 22F SETR COLI Type of settlement transaction Debit instruction
143. d as an itemised listing with individual SIN type E basket blank settlement location CBF or CBL and corresponding nominal and collateral value in Claim currency 120 Chapter 5 Working with Xemac Transferred collateral T received in connection with GC pooling is displayed consolidated in one line and in one amount In contrast to own collateral E there is no itemised listing of the relevant T collateral The view will show one single line for the T position with the basket SIN type T corresponding basket short name settlement location blank nominal of zero and collateral value of the relevant total The Collateral Pool Value view can be opened from the Claim Amount and Claim Number tabular views In one of these views the required Claim must be selected Right clicking on the Claim opens the context menu where the item Collateral Pool Value must be clicked to open the corresponding view D 6335 Collateral Pool Value i loj x Claim Details Own Claim No 20050 Claim Amount 6 840 000 000 EUR System Claim No 2005002005 Relevant Claim Amount 6 840 000 000 EUR Eligible free Collateral SIN Type Basket _ SettlementLocation Securities Description Nominal Value A Collateral Value 1 AT000B049010 E CBL UNICR BK AUS 11 14 MTN 10 000 000 00 10 217 756 7 2 DE0001040384 E CBL BAD W
144. d by clicking on No the selection will not be saved Checked credit instructions that cannot be processed in the position keeping system s on posting date will automatically be deleted during the overnight batch Xemac labels such instructions with Rejected The checked credit instructions via all mechanisms are displayed in the Historical Instructions view for up to 12 bank business days after their entry Xemac deletes these instructions at the end of this period How to delete Credit Instructions It is possible to delete the following online instructions e Newly created instructions that have not yet been checked e Modified instructions that have not yet been deleted or have already been rejected All users including the person entering the instruction can delete newly created instructions that have not yet been checked To delete an online credit instruction it must be selected in the Status not checked tabular view Right clicking and selecting Delete performs the required deletion If closed with Cancel the instruction remains unchecked or rejected In Xemac instructions entered through File Transfer SWIFT or IBM Websphere MQ cannot be deleted How to reject Credit Instructions Newly created or modified online credit instructions can be rejected if while checking the information is found to be not correct Credit instructions routed through File Transfer SWIFT or IBM Websphe
145. d income and equity baskets Euro cash settlement in Central bank money and CHF and USD cash settlement in Commercial bank money Four GC Pooling baskets for trading with a wide range of ECB eligible assets Possibility to pledge reuse of received securities out of GC Pooling Full automation of the cash processes for domestic and international customers acting in GC Pooling Eurex Clearing as a CCP What is the difference between the baskets Currently there are four GC Pooling baskets The difference between the baskets is based on eligibility criteria defined by Eurex Each basket has its own Contract Definition with predefined eligible collateral that can be used for trading Below is a brief description of the four baskets GC Pooling ECB Basket SIN DE000A0AE077 This basket based on the Eligible Assets Database EAD covers a huge amount of ECB Central Banks Central Governments Agency Credit Institutions etc eligible securities This basket enables the reuse of received collateral for refinancing within the framework of ECB Bundesbank open market operations the GC Pooling market and Eurex Clearing Margining Collateral Group is EUREX GCP Minimum rating for assets is A A3 GC Pooling ECB Basket EXTended Basket SIN DEQOOAOWKKX2 Built on the Eligible Assets Database EAD the GC Pooling ECB EXTended Basket covers tens of thousands ECB Central Banks Central Governments Corporate and oth
146. deanessns 15 Manual Allocation Release ccccecceeeeeeeees 50 57 Manual Allocation Release Check scceseeeees 59 Manual Allocation Release Deletion 00 60 Manual Allocation Release Rejection 60 Manual Allocation Release View ccseceeseeeees 59 Manual Confirmation c c00ceeeeeeeeeeeeeee 28 30 40 Mark to market cccccsessecceeceesesseeeeeeeeeeeeees 24 47 INIICLOTI CHES oh ciesvansscesusce re Er EEE EEEa si 145 IMT O27 oieee i EEEE E EE 108 NCB isien 17 29 40 45 100 Opening HOUS nienieeennennn e 17 Over collateralisation after Simulation 54 55 PASS WOT eiennenn na eeo ae a nET Et 15 Pled Se seis Rai a E 4 18 Processing Information eee eeseesseeeeereeeeeees 33 Reciprocal Confirmation 0 0 0 eee eseeseereeees 28 Reduction of a Global Amount 30 31 32 40 Report Defimition eee eeeceeceeeseeceeeceeneeceeeeeeneeees 142 Report Definition Display ee ee eeeeeeeeeeeeeeee 145 Reports ennn nennen 142 184 188 Reservation Account eeeeesesesseesreeerseresrresrreseesees 76 Responsible Institution eee eeeeeeeereeeeeeees 62 Security Gonception 16 Segregated ACCOUNE A ee eeeeeeeeeeeeeeereesseeseenaes 76 Seting Sra a a E a cee 7 84 SOUrCE ACCOUNT criin eiie enea 128 Status Concept cie cise eviaseieiiee vise rae 24 Subst N ee E a eri as 55 Substitution Automatic Selection ceeeeeseeeee
147. dit Instruction ChecK eeeeeseeeseeererererererererere 135 Credit Instruction Deletion ccccccececeseseeeeeeees 136 Credit Instruction Modification cccccccceeeeees 135 Credit Instruction Rejection eee eeeeeee 136 Credit Instruction View ccccccccccscceceseseseseseseeees 134 Debit Insir ctioi sennie 137 Eligibility Check eee ee eeeesecesecesecssecseeeeeeeeeees 63 Eligibility of collateral eee eesceeeeeesteceeneeeneeeeeee 24 Eligible Securities ceeeeseeceteeeeneeeeees 43 66 166 HUPEX A NEEE E AEE EEREN OE 41 46 Exposure Request 00 ceeeeceeseeseeeeeeseeeseeeseesaeenaes 129 File Transfer eveiss segec cles Musee avai oss 133 141 Four eyes Principle cece eeeeeseeereeeeeeees 27 34 Pull ViGW opni ort aA athe bededant een eee 11 GC Pooling 4 20 42 45 53 57 58 104 Generated Reports 0 eee eeceeeeseceseeeeeees 142 143 Generated Reports Deletion ee eeeeeeeeeee 147 Generated Reports Generation cece 147 Generated Reports Print eee eeeeeeeeeeee 148 167 Generated Reports Save ieceeeeceseeseeeseeeseeeees 147 Historical Database cecceeeessseceeeeeeneeceereeeneeeees 31 IBM Websphere MQ eeceeceeseeseeeseeeneenees 133 141 Initial notification of a Global Amount 0 29 Instructions ccccccccccecsesseecececeesessaeceeeeeeseees 38 122 FEO BOD P E E A caver tits 6 LOGON WINKOW ss 2 csccssceessesessssestesssoebetesresteepsoo
148. duction of a Global amount rejected by Deutsche Bundesbank 00 02 32 4 6 PROCESSING INFORMATION ja Sescares toee seat acatet ra aa aE a E a E a E hectare tedsuatteecanns 32 4 6 1 Example Processing information Claitms ccc cccceense cesses ceenenneseenensesnensnsecsensnneseanenees 34 4 6 2 speclalcases Tor GlalME ncessdrei in aAa A A aAA 37 4 6 3 Special cases for Client REfCrENCES ccccccccesccsescececeeceneeesaecseneeceeneecenesasaseseneecseneeseanens 38 4 6 4 Special cases for Contract CONCIUSIONS serinin ea a a a 38 4 6 5 Special cases for Instructions Debits and Credits 2 cccccccsecccesseceeseeceeesesseceeneecsneeessnees 38 4 6 6 Processing information for GIANNIS sisien andaan a aa iaaa aa bed 39 4 6 7 Processing for Contract Definition Type NCB sic s 2c c0nscssscnnsetsseenseninennsessteensensnennsoaseeennenaee 40 4 6 8 Processing for Contract Definition Typo Eurex sniacineuncannRiie aha 41 4 6 9 Processing for Contract Definition Type CMS ccssssccccssssccccsescecnenecsesssnessesnenessensenessnenensns 42 4 6 10 Processing for Contract Definition Type Euro GC POOWi eeeecccceeeeeeeeeenteeeeeenneeeeeennees 42 4 6 11 Processing for Contract Definition Type Clearstream scscccceccceseesessneeceeetesesneanesees 43 4 7 SECURITIES ELIGIBILITY FOR XEMAGC s sssecccceccesesssesaeeececeesesesesaeeeceeeeseseneeaesececeesenenaeaeeeceseeseeesaes 43 4
149. e Based on the Contract Definition Clearstream enters a Contract Conclusion into the system As this Contract Conclusion refers to the client of the Collateral Provider and not his institution the Client Reference must be added on confirmation Then a second employee of the Collateral Provider checks the confirmation of this Contract Conclusion The next step is to enter collateral into the client s collateral pool by way of credit instruction This collateral is now available for allocation The Collateral Provider can now enter one or more Claims of ZERO value stating the respective Client Reference 21 Chapter 3 How to access the system 7 Another employee of the Collateral Provider will subsequently check these Claims 8 The Collateral Provider can now use the automatically generated System Claim Number of each Claim and issue so called Collateral Management Secured Instruments The issued volume of those instruments for example certificates will be collateralised within the entered Claims The exposure will be automatically calculated by Clearstream on a daily basis 9 Xemac allocates available collateral to these Claims from the Xemac pool of the Collateral Provider The automatically calculated Claim Amount is now collateralised 22 4 KEY FUNCTIONS AND BASIC PRINCIPLES 4 1 4 2 Chapter 4 Key functions and basic principles Introduction This chapter provides an introduction to the basic pri
150. e the cash proceeds are transferred to the customer at the earliest time possible 47 Chapter 4 Key functions and basic principles e f the release is not granted by the respective NCB by 09 30 on the next business day then the suspended cash proceeds will be paid out manually to the Dt Bbk In order to be able to identify for what reason the re evaluation has taken place and also why the claim version has changed it will be visible in the Claim overview in group box Additional Information zioz Own Claim No System Claim No 2006000001 Version 8182 Own Contract No 5000013005 System Contract No 2006000001 Version 4 Xemac Partner Claim Details Processing Information Contract Data Own Contract No 5000013005 System Contract No 2006000001 Contract Version 4 Contract Name BANKABCD Claim Data Own Claim No Amount 3 754 856 817 95 Currency EUR Collateralised from 01 10 2013 Collateralised until Comment DE00013 Claim Control Additional Information K GCI Instruction Reference Event Corporate Actions Last Valuation Date amp Time 02 10 2013 07 41 05 Collateral Value 3 755 015 818 81 EUR Cover Ratio 100 00 Figure 8 Compulsory Claim Decrease The field Instruction Reference Event in the group box Additional Information mirrors the reason for compulsory claim decrease and will contain the relevant information as below Tab
151. e 55 SWIFT prer 133 141 176 Tabular View porieen a eae EESK 9 Under collateralisation after Simulation 55 User promlesissiiscty sien thochetidiaeiee ei aes 16 VERSIONING scission in AEE evel nomen 24 218
152. e Creation platform Every customer in Creation is identified by a five digit account number for source account s In principle this is equivalent to the four digit CASCADE main account 000 In order to be able to use assets in GC Pooling or in another Claim these assets must be available in the collateral account the Reservation Account This account is equivalent to the CASCADE sub account 550 The assets held in the Reservation Account Own assets and Segregated Account received assets in the frame of GC Pooling trades are visible in Xemac with the CBL settlement location The assets held in Reservation Account are reflected in Xemac as Free or Pledged E and those in Segregated Accounts as Free or Pledged T In order to enable allocation in GC Pooling Claims the assets must be in any of the above collateral accounts For a participant who is a provider in the Claim the assets must be delivered out of the Reservation Account where they are Free E For a participant who is currently a taker who is required to return the assets the securities must flow back from the Segregated Account where they are Free T If the participant has reused any of such assets for example in a Dt Bbk Claim the assets are seen as Pledged T Xemac then carries out the required substitution to make the assets available as Free T For a participant who is curre
153. e Newly created Client References that have not yet been checked e Client References with Entry Checked status e Modified client data that has been rejected or has not yet been checked e Client References set for deletion Deletion Entry status It is not possible to delete Client References for which there is e A valid Claim or e A Contract Conclusion or e Free collateral available in the collateral pool The Client Data section is displayed in section 5 2 3 1 How to create new Client References All fields are output fields and filled according to the entry possibilities described in the above mentioned section The OK button is replaced by the Delete button in the full view for the deletion If the selected Client Reference is to be deleted the Delete button must be pressed Xemac will check whether this deletion is acceptable The respective Client Reference is given Deletion status The Client Reference is no longer available after the deletion has been checked The deletion will not be carried out if the full view is closed with the Cancel button 5 2 3 4 How to display Client References The Display function enables the user to view client data regardless of the Client Reference s status All the fields of the Client Data section are output fields They are filled according to the entry possibilities described in section 5 2 3 1 How to create new Cli
154. e and comments The settlement date is filled only when the status of the instruction is Rejected or Successfully executed otherwise it is empty A special error code might be mentioned in the comment field in the case of a Rejection Instructions entered by the user and deleted on same day are not included in the report The report is used by the Collateral Provider and is automatically generated at end of day The following columns are included in the report Table 86 Description of Columns of Report Credit and Debit Instructions General information Columns in alphabetical order Report No Client Reference Data as of Comment Participant No Instruction No Reference Currency Instruction Status ID Instruction Type Page only on pdf file Nominal Value Amount Securities Description Settlement Date Settlement Location SIN 208 Appendix 3 Reports in Xemac Report Historical Credit Debit Instructions This report shows the historical Credit and Debit Instructions executed with Instruction Successful or Entry Rejected status possibly with comment for rejection reason It is used by the Collateral Provider and can be generated on request from the Report Definition view The following columns are included in the report Table 87 Description of Columns of Report Historical Credit Debit Instructions
155. e of the many documents made available to customers Table 1 Documents available for the customer Document Target Group Content Xemac User Manual Operations Department Functional overview of Xemac this document Special Terms amp Conditions Collateral Management Legal Department Special terms and Conditions of the participation of customers in the Xemac application Xemac Installation Technical Contacts Technical interface and installation Manual requirements The Xemac User Manual e Describes the functions supported by Xemac e Explains the structure and content of the application windows and e Familiarises users with the Xemac system and its features The main focus is on a detailed description of the application windows and their functions 1 2 Basic Requirements for the operation of Xemac The following requirements must be met in order to use Xemac e The customer has acknowledged the Special Terms for the Management of Collateral e The security administrator of the customer has set up the rights to access The user has been given an user ID and a password for Xemac e The Xemac client has been fully installed and configured The network administrator and the system administrator of the user are required to make sure that all network hardware and software requirements have been met as described in the Xemac Installation Manual Users experienced with
156. e participant enters a contract for example with Deutsche Bundesbank Dt Bbk for his client and enters the Claim Amount in Xemac on behalf of his client e Client Reference A Reference number that Xemac participants can use for subdividing their collateral pool The clients are identified by means of Client References e Cmax Cmax is the collateral management system linked to the Creation settlement engine at CBL The assets held by participants in the collateral accounts at CmaxX can be used to collateralise Claims in Xemac CBL assets can be used to pledge Eurex NCB CMSI Clearstream or GC Pooling Claims e Collateral Only securities are eligible as collateral for Contract Definitions with NCB Clearstream CMSI Eurex or Euro GC Pooling Contract Definition types e Collateral Pool See Xemac pool e Collateral Provider 157 Chapter 7 Glossary Xemac participant providing any Collateral Taker for example Deutsche Bundesbank or Eurex with collateral on the basis of a Claim e Collateral Taker Collateral is pledged in favour of the Collateral Taker through a Claim Deutsche Bundesbank is for example the responsible institution for Contract Definitions of type NCB Eurex for Contract Definition types Eurex and Euro GC Pooling and Clearstream is the responsible institution for Contract Definitions of type CMSI and Clearstream e Collateral Value The co
157. e the required status or whose Collateralised from date differs with the Valid until date of the Contract Conclusion only the correct Claims will be processed as described above The system updates the view The rows containing the Claims for which it was not possible to adapt the current Contract Conclusion will remain in the previous version of the Contract Conclusion A pop up window will display an error message which can be deactivated by clicking on OK The view will not be closed automatically If the user terminates the adaptation by clicking on No the selection will not be saved The Claims will remain unchanged with the same Contract Conclusion version as before the selection For example for Contract Definition type Eurex the respective responsible institution can change the eligibility of securities collateral or the haircut in the Contract Definition This generates a new version of the Contract Definition The responsible institution Taker will need to Adapt the Contract Conclusion to this newer version of the Contract Definition In order for the changes to take effect on the Claim the Collateral Provider must Accept the Claim to the new Contract Conclusion Whenever the Contract Definition undergoes a change due to reasons as indicated above the Contract Conclusion must be Adapted by the Collateral Taker However an underlying Claim that is based on the original Contract 112 Chapter
158. eaes 194 Table 70 Description of Columns of Report Allocated Collateral per CRef ccccccscsssssssesssesseetseaeees 195 Table 71 Description of Columns of Report Allocation Changes cccceeeeeseeteeeeeeeeeseeeeeeeseeeeeeeeneaeens 196 Table 72 Description of Columns of Report Allocations ccccccceceeeeeeeeceeeeeeeeeeeeeeaeaeeeeeeeseesenieeeeeeeess 197 Table 73 Description of Columns of Report Collateral Pool cccccccececsscceceeeeeeeeeeaeeeeeeeeeeeeseneeeeeeess 198 Table 74 Description of Columns of Report Collateral Pool per CRef cccccccecseceeceeeeeeeeseneeeeeeees 199 Table 75 Description of Columns of Report Collateral Pool Value cccccececeeeeeeeeeeeeeeeeseeeeneeeeeeeeess 200 Table 76 Description of Columns of Report Collateral Positions c ccccceeeeeeeeeeeeceeeeeeteeeeeeneeeeeeeeess 200 Table 77 Description of Columns of Report Collateral Overview 2 c ccccceceeeeeeeeeaeeeeeeeeeeeeeenneeeeeeess 201 Table 78 Description of Columns of Report Historical Allocation Instructions ccccesceeesereeeeeeees 202 Table 79 Description of Columns of Report Contract Conclusions Number ccceeceeeeeeeeeeeeeeeeeees 203 Table 80 Description of Columns of Report Historical Contract Conclusions ccceeeeeseseteeeteteeeee anaes 204 Table 81 Table 82 Table 83 Ta
159. ections The OK button is replaced by the Delete button in the full view for the deletion Xemac deletes the instruction after the deletion has been confirmed by pressing the Delete button If the function is closed with Cancel the instruction data still has to be checked 60 5 WORKING WITH XEMAC Chapter 5 Working with Xemac ell 5 1 1 5 1 2 6 1 2 1 5 1 2 2 Contract Definitions are the basis for Contract Conclusions Brief Description Xemac can be used to e Provide collateral for money market interventions of the ESCB For that purpose the user enters into an agreement with Deutsche Bundesbank e Pledge securities to Eurex as full or partial cover for margin requirements pursuant to the exchange s Risk Based Margining System e Provide collateral to meet cash clearing requirements associated with the CBF STD night time settlement processing e Participate inthe cash driven GC segment with a huge amount of ECB Bundesbank eligible securities in the standard GC Pooling ECB Basket with additionally 50 equities in the GC Pooling Equity Basket then tens of thousands eligible securities in the GC Pooling ECB Extended basket and latest introduced GC Pooling INT MXQ Basket with eligible securities issued by central banks central governments and supranationals in non EUR currencies Customers can execute Overnight ON Tomorrow Next TN and One Week Tender harmonised with ECB Tend
160. ed When the RECU settlement party is delivered the BUYR settlement party should also be delivered e When all fields related to settlement parties DECU RECU SELL and BUYR are empty the Xemac default Client Reference is used the blank Client Reference To describe the settlement parties fields 95P 95R are 95Q are needed When using format 95P Q a field 97A is required 178 Appendix 1 Connectivity via SWIFT syntax ISO 15022 For a credit instruction the Client Reference has to be added as follows Xemac field of Client Reference SWIFT qualifier Description Institute Type Reference RECU Receiver s Custodian Custody Account Type Reference BUYR Account Beneficiary For a debit instruction the Client Reference has to be added as follows Xemac field of Client Reference SWIFT qualifier Description Institute Type Reference DECU Deliverer s Custodian Original instructor account Custody Account Type Reference SELL etrucior The following tables show examples for credit and debit instructions with and without Client References 179 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Example of MT542 Credit Instruction without Client Reference SWIFT Message Fields and Contents Comments 16R GENL 20C SEME TEST MT542 1 Instruction reference 23G NEWM 998A PREP 20101026 16R LINK 20C RELA KT63350105900010
161. ed with Cancel In a Contract Conclusion based on Contract Definition Euro GC Pooling it is possible to Confirm only one Contract Conclusion per Client Reference with a Clearer and Member ID However it is possible to confirm more than one Contract Conclusion with another Client Reference with a different combination of Clearer and Member ID It is not possible to confirm a Contract Conclusion without a Clearer and Member ID Contract Conclusions not confirmed within three bank business days of their entry will not be deleted contrary to the deadline otherwise applicable This enables the user to carry out the confirmation rejection or check at leisure It is the responsibility of the responsible institution to monitor this process 94 Chapter 5 Working with Xemac 5 4 3 4 How to check Contract Conclusions The Collateral Provider must always manually check newly created Contract Conclusions or Contract Conclusions set for deletion This concerns the following statuses e Entry Checked Confirmed e Entry Checked Rejected e Deletion Checked Confirmed and e Deletion Checked Rejected Contract Conclusions are checked by right clicking on the Contract Conclusions icon and clicking on Status not checked First the row s that should be checked must be selected in the tabular view and then the selection can be confirmed via the Should the marked lines be checked window prov
162. eeeees 75 Table 22 Field description of Client Reference window Settlement Data Section ccc 78 Table 23 Available functions depending on status of Client Reference cccceceeececeesteeeeeesteeeeeenteeeeeens 83 Table 24 Representation of date or number depending on language eeeeeceeeeeteeeteeeeeeeetnaeeeeettaeeeeeens 84 Table 25 Field description of WINDOW Settings oneitan enida eaa iaaa 85 Table 26 Field description of Contract Conclusion window Identification Section ccs 91 Table 27 Field description of window Contract Conclusion Section Xemac Partner Own Profile 92 Table 28 Field description of Contract Conclusion window Xemac Partner Section Counterparty 93 Mable 297 CAPY ONOMA lOi scgeciec cia chectecet rec sach ixevec caucecetes a a cre ctee te thedoe 96 Table SOs Claim Stews OrmgiiatOn s seccecacg zeke sceces ces cien RE Beaieye tel cedcer tue gant eeetel eadestia Lie edietioases 100 Table 31 Field description of Claim window Header ccceecseseseseeceeeeeeaeaeaeseaeaeaeseaeaeaeaeaeaeaeaeaeaeaeaes 102 Table 32 Field description of Claim window Xemac Partner Own Profile Section ccccceeeeeees 102 Table 33 Field description of window Claim Section Xemac Partner Counterparty cceeeeeeees 102 Table 34 Field description of Claim window
163. ent References This function can be left with the Close button 81 Chapter 5 Working with Xemac 5 2 3 5 How to check Client References The creation processing deletion or rejection of Client References takes effect only after the check has been carried out using the Check function However the Client References must have been e Newly created or processed but not yet checked Entry status e Newly created or processed and rejected Entry Rejected status e Set for deletion but not yet checked Deletion status or e Set for deletion and rejected Deletion Rejected status and must not have been newly created or modified by the person checking the Client Reference Client References set for deletion are subject to a feasibility check as described in section 5 2 3 3 How to delete Client References The check is carried out via the Status not checked view The row s that should be checked must first be selected The selection can be confirmed via the Should the marked lines be checked window provided by Xemac An error message will be issued if the selected area contains Client References that do not fulfil the aforementioned requirements or the feasibility check as described in section 5 2 3 3 How to delete Client References The respective rows will be highlighted in colour It is possible to actively use entered and processed Client References after comm
164. er Code ABCDEF99 ee ia OK Cancel Figure 51 New Debit Instruction Accounts Section with BIC Settlement Location CBL 140 Chapter 5 Working with Xemac 5 7 10 Functions available depending on the Status of the Credit or Debit Instructions 5 7 10 1 Online Instructions The available functions depend on the status of the credit or debit instruction The following table is an overview of all combinations of status and available functions Table 55 Available function Status of Online instructions Available function depends on status of instruction Function Status Entry Entry Entry PKS notification Issued PKS of instruction Checked Rejected notification Rejected Display Yes Yes Yes Process Yes poe Delete Yes poe Check Reject Yes 5 7 10 2 SWIFT IBM Websphere MQ or File Transfer Instructions Unlike online instructions there are restrictions on modifying deleting checking or rejecting File Transfer SWIFT or IBM Websphere MQ instructions The following table is an overview of all combinations of status and available functions Table 56 Available function Status of File Transfer SWIFT or IBM Websphere MQ instruction Available function depends on status of instruction Function Status Entry Entry Entry PKS notification Issued PKS of instruction Checked Rejected notification Rejected Display Process Delete Check Reject 5 ae z
165. er Term Xemac offers various Contract Definitions that are the basis for creating a Contract Conclusion and this section explains how those Contract Definitions can be displayed Views in Xemac Third Party Contract Definitions Contract Definitions of Deutsche Bundesbank NCB Clearstream Clearstream and CMSI and Eurex Eurex and Euro GC Pooling The tabular view contains all Contract Definitions for which the user is not the Responsible Institution For responsible institutions Deutsche Bundesbank Clearstream or Eurex the Contract Definition will be displayed with Contract Definition type NCB Clearstream CMS Euro GC Pooling or Eurex Own Contract Definitions The tabular view is exclusively made available to the Collateral Takers Deutsche Bundesbank Clearstream and Eurex The Collateral Provider can also double click on this field but the resulting screen will be empty 62 Chapter 5 Working with Xemac 5 1 2 3 Eligibility Check The view enables the user to query a specific SIN and display all contract definitions where the SIN is eligible 6335 Eligibility Check la xi Participant 6335 ABC Bank Code ISIN SIN Responsible Contract Version Name ae oe z Arai Pse A Meat COA DARIA Sin Securities Description Haircut Settlement Location CBF Settlement Location CBL Limit 1 5 Deutsche Bundesbank DEOOOLBWOPP2 LBEW 3 2011000004 1 Collater
166. er issuers etc eligible securities This basket enables the reuse within the GC Pooling market Collateral Group is EUREX GCPX GC Pooling Equity Basket SIN DEQOOA1EZNP6 This basket which includes all eligible securities from GC Pooling ECB Basket plus Top50 Equities of the HDAX index on Xetra enables the reuse within the GC Pooling Equity market and Eurex Clearing Margining Collateral Groups included are EUREX GCP and EUREX GCP Equities GC Pooling INT MXQ Basket SIN DE000A1PHUP5 168 Chapter 8 Frequently Asked Questions This Basket includes eligiblie securities issued by Central banks Central Goverments and Supranationals in non EUR currencies Minimum rating for assets is AA Aa3 e What are the trading hours Main trading hours 07 30 18 00 CET with cutoff time for overnight Euro GC Pooling 17 00 CET GC Pooling Equity Overnight 15 00 CET USD GC Pooling Currently not possible CHF GC Pooling Currently not possible e Will get the Claim Amount Premium back on the return leg of the Repo When the Claim becomes zero or in the case of a change of direction change from Collateral Provider to Collateral Taker the system returns the Claim Amount premium automatically to the original provider s pool e Will I get back the securities provided originally as Repo Seller The original securities provided by the seller will be returned However there is no link between the Repo trades that is
167. eral Positions Pre filter xi Please select an option Filter selection lt No Filter gt lt No Filter Client Reference Counterparty Settlement Location SIN Criterion Figure 2 Xemac View Collateral Positions when pre filter is activated in Settings Information Messages Providing the options to display or hide a number of information messages Security identification code options offered German Securities Identification Code ISIN Common Code and Cusip Left mouse clicking on one of the icons of the main view leads to the Standard View defined in the menu Options For example if the tabular view Claim Amount is defined as Standard View in the menu Options left clicking on the icon Claims will directly open the tabular view Claim Amount More information is available in section 2 4 2 Menu item Options How to define a view as standard view For the icons Collateral and Reports the Standard View cannot be changed 2 3 Tabular views and full views Certain terms required for working with Xemac are described below by using an example on Claims Xemac provides the user with two views for individual sections e Tabular view this is an overview in tabular form of for example all Claims currently available in Xemac e Full view it contains detailed information and entry fields for example for a selected Claim The tabular views and full v
168. ere the value of the assets required from CmaX Requested Amount p must be entered Amounts Output The field contains the calculated amount required Required Amount p for SDS RTS and under coverage types Amounts input The field specifies the basket for the requested Basket p securities Date l Settlement Date Output Current date is the default date 130 Chapter 5 Working with Xemac Exposure Request Section vane rese commen o Additional Inform Output This field contains the System Claim No It is System Claim No p always blank for a manual exposure request RTS Instruction No always blank for a manual exposure request instruction here Rejection a Rejection No Output Displays the rejection code Rejection Reason Output Displays the rejection reason An Exposure Request is always sent to CmaxX in the reference currency EUR But as Xemac is multi currency capable a Selected Currency to Euro currency converter view can be accessed by clicking on the Currency Converter button x Entry Amount 1 000 000 USD Exchange Rate 1 17820 as of 13 01 2015 Amount 848 752 33 EUR Transfer Close Figure 46 Manual Exposure Request Accounts Section In this view a currency other than EUR can be selected from the dropdown list Then the required value in the selected currency can be entered in the Entry Amount field By using the visible exchange r
169. ered but not yet checked Entry status e Entered Claims that have been rejected Entry Rejected status e Claims that have been checked Entry Checked status e Claims with Entry Confirmed Checked status and e Claims with Entry Rejected Checked status It is important to note that rejected Claims must be deleted However Xemac validation prevents User 2 from acting on this The status of the Claim remains Checked if the window is closed with the Delete button The version of a Claim set for deletion is incremented by 1 and given Deletion status lf the window is closed with Cancel a version with Deletion status is not generated 5 5 3 10 How to adapt the current Contract Conclusion for already existing Claims Contract Definitions with 7525 Eurex 8261 Clearstream For Contract Definitions with the responsible institutions 7525 and 8261 an adaptation of Contract Conclusions and Claim for the customer is not necessary if 111 Chapter 5 Working with Xemac the Contract Definition was changed The process of adaptation is processed automatically within the night time batch processing Contract Definitions with 7500 Eurex 7069 and 8509 Dt Bundesbank and bilateral Contracts The Accept function enables the user to adopt the current contract version for Claims with Entry Confirmed Checked status If a new version of the Contract Conclusion has
170. erived from selected Claim Own Claim Number Optional entry Derived from selected Claim Last Valuation Time Derived from selected Claim Collateral Value Cover Ratio The sum of the collateral value of all the collateral allocated to this Claim is displayed in the Claim Currency The sum is rounded to two figures after the decimal point This field displays the quotient of the collateral value divided by the Claim Amount multiplied by 100 The value is displayed to two decimal points without being rounded In a GC Pooling Claim this field is calculated by dividing the Collateral Value by the required collateral value to collateralise the Claim considering the Claim Amount Premium Derived from selected Claim Derived from selected Claim Collateralised from Derived from selected Claim 107 Chapter 5 Working with Xemac Claim Details Section Collateralised until Output Derived from selected Claim Optional entry Derived from selected Claim By selecting it enables to reuse the transferred collateral received through GC Pooling trades in the standard basket for a further GCP Reuse Optional entry pledge in a Claim with Contract Definition Type NCB to Deutsche Bundesbank and Contract Definition Eurex to Eurex Xemac generates an automatic Claim Decrease Request for a EUREX Reuse Claim whenever the Xemac participant in the role of GC Pooling Collateral Taker is short of T securitie
171. es DE000A1EZNP6 A1EZNP GCP INT MXQ DEO00A1PHUP5 A1PHUP e How can display settled instructions in CASCADE To view the settled transactions the option is KVDU ID Buchungstag Settlement Date Umsaizart Enter L for debit or G for credit Bank Konto Account depending on debit or credit side Kontrahent Optional Counterparty account number WKNIISIN Optional Queried ISIN e Is it possible to enter manual allocation release for a CBL paper Yes There is no difference in that respect between CBF and CBL papers e How can customers enter bulk credit of CBL papers Customers can enter a manual Exposure Request for a Euro amount with respect to a certain basket currently ECB EGCP EGCPX GCP Equities and GCP INT MXQ Securities corresponding to the quality of papers required are then transferred from the main source account to the Reservation Account in Creation and are visible in Xemac after Creation settlement e have opted for Automatic Provisioning Will Xemac ensure that enough papers are available for GC Pooling trades before the start of the SDS batch Yes For customers with the Automatic Provisioning flag ticked Xemac triggers automatic requests to have enough papers before the start of SDS batch provided that eligible assets are available in Creation e Why is it not possible to click the checkbox GCP Reuse It is not required and not permitted to activate
172. es code 16S TRADDET 16R FIAC 36B SETT UNIT 500000 Nominal value 97A SAFE 63350000 Debit account 16S FIAC 16R SETDET 22F RTGS YRTG Settlement type 22F SETR COLO Type of settlement transaction Credit instruction 16R SETPRTY 95Q REAG CUSTOMER BIC of receiving agent 97A SAFE 63350550 Credit account 16S SETPRTY 16R SETPRTY 95R BUYR DAKV BLZ 12345678 Client Reference Custody Account Type and Reference 70C PACO Credit Instruction with Client Reference Comment 116S SETPRTY 16R SETPRTY 95R RECU DAKV BIC 12345678 Client Reference Institute Type and Reference 116S SETPRTY 16R SETPRTY 95Q PSET DAKVDEFF Place of settlement 116S SETPRTY 16S SETDET 181 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Example of MT542 Debit Instruction without Client Reference SWIFT Message Fields and Contents Comments 16R GENL 20C SEME TEST MT542 3 Instruction reference 23G NEWM 998A PREP 20101026 16R LINK Related reference containing the 20C RELA KT63350105900030 customer s account 6335 and instruction number 590003 16S LINK 16S GENL 16R TRADDET 998A SETT 20101027 Settlement date for future day 98A TRAD 20101026 Trade date 35B ISIN DE0001135242 Se
173. eseseseeeeeeeees 82 Client Reference Deletion ccccccccccececeseeeseeeeees 81 Client Reference N W ccccccccccccccecesesessseesseeseess 74 Client Reference Processing cee ceeeseeeseeeseeeees 80 Client Reference Rejection eee eee eeeeeeee 82 Client Reference View ccccccccccccceceseseseseseeeseeeeess 81 OMS ieee ee asec Be cease eet 21 42 45 104 Collateral wcec2s sce eo scc hobs ec cs icc bes E a 113 122 Collateral Groups cece eee cee eseeereeereeeeeeeeeees 24 43 Collateral Pool ccccccccccccecsssseececeeeesenseaees 122 166 Collateral Release ccccccccccccccececeseseseseseseseeeseeeeess 53 Collateral Status cccccccccccccccecesecececeseseseseseeeeeeess 113 Collateral VieW cccccccccccccccccceceseseseseseeeseseseeeeeeess 117 Compulsory Claim Decrease 0 0 0 eee eects 47 Context Menus cccccccccccccccececeseseseseseseseseeeseeeeess 12 Contract Conclusion 7 25 27 38 87 165 Contract Conclusion Check ccccccccecececeseseseeeeees 95 Contract Conclusion Confirmation ccccceceeees 94 Contract Conclusion Modification ccccceceeeeees 94 Contract Conclusion Rejection eee eee 95 Contract Conclusion View seseseseseresererererererererene 90 Contract Definition eseeesesererereeene 43 62 87 165 Contract Definition View eeeeseseseseresererererererereren 64 Credit Inst cHo iie 124 Cre
174. ey functions and basic principles Function Date Time User Confirmation 11 12 2012 11 11 11 MASCHINELL Check 11 12 2012 11 11 12 MASCHINELL 4 6 3 4 6 4 4 6 5 Special cases for Client References Client references are maintained by the customer The processing information for Client References consists of only two rows with the entries Entry and Check Special cases for Contract Conclusions New and deleted Contract Conclusions are always processed by a counterparty under the four eyes principle The processing information is identical to that of the reduction of the global amount for Claims with Deutsche Bundesbank The control parameter Contract Change Confirmation is automatically pre set in the Contract Conclusion Changes made to the Contract Conclusion by the counterparty are thus confirmed and checked automatically Special cases for Instructions Debits and Credits After creating a new debit or credit instruction or after processing and checking an existing instruction it is transferred to the position keeping system of CASCADE or Creation Date and Time are identical to the respective values of Check OK is entered as the User The processing information now displays the following rows Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Transfer 11 12 2012 10 10 10 System The instruction can either be exec
175. f the collateral is displayed Output Nominal Value Trad Currency The market value of the collateral is displayed in the Output Market Value trading currency Market Place This field displays the marketplace where the instrument is traded and from which the price is received Trad Currency Output The date of the price is displayed as of Date Trad The Xemac Price is the Market Price including the pool Currency Output factor and the indexation coefficient Xemac Price An ISO code accepted by Xemac can be selected The market value or collateral value is converted to the reference currency The contents of the Allocation section remain unchanged Collateral Pool This field displays the name of the client of the provider of Output collateral for the contract or Claim to which the collateral Trad Currency Pool Factor Ref Currency Reference Optional entry Currency 118 Chapter 5 Working with Xemac Identification Section Ref Currency Exchange Rate Output Ref Currency as of Date Market value 5 6 3 2 Allocation Section Ref Currency aa DA 6335 Display Allocated Security The determined exchange rate is displayed according to the reference currency The date of the exchange rate is displayed The market value of the collateral according to the reference currency Code German Securities Identification Code SIN ADAY4
176. fication for Eurex Euro GC Pooling EGCP basket Section Table 15 Field description of Contract Definition window Header Contract Definition Header This field displays the participant Output number of the responsible institution for example Deutsche Bundesbank Older Contract Definitions are single digit numbers since 2011 it is always Responsible institution Contract Definition No Version Output 10 digits It starts with the current year followed by an incremental number of Contract Definitions for that year per customer for example 2012000001 Starts with the number 1 and Output l increments thereafter 65 Chapter 5 Working with Xemac Table 16 Field description of Contract Definition window Section Identification Identification Section Name eta status Dosoription This field displays the participant Responsible institution Output number of the responsible institution that is Dt Bok Contract Definition No Output Described as above This field displays the name assigned Name Output to the Contract Definition by Clearstream Banking This field displays the underlying see Contract Definition type These are Contract Definition Type Output NCB Clearstream CMSI Euro GC Pooling or Eurex This field contains the code as defined i t in the settings German Securities Gode only Enr Sh Pooling Output identifica
177. for which the Period Output report is to be generated 146 Chapter 5 Working with Xemac 5 8 3 4 How to generate a report Reports are immediately generated using the Generate function from the view Report Definitions The immediate generation is carried out regardless of what is specified in the Automatic Report Generation Generation Time and Period fields The user can generate several reports at once by highlighting the required report and selecting Generate in the context menu Each generation must however be confirmed separately The report is immediately created after confirming the generation with Yes Xemac provides no notification of report completion in the tabular view of the generated reports For that purpose it is necessary to change to this tabular view and refresh this view on a regular basis The function can be quit at any time with Cancel 5 8 3 5 How to delete generated reports The Delete function can be used in the Generated Reports tabular view to delete a generated report Reports can only be deleted one at a time N B Only reports that were generated manually can be deleted the automatically generated reports will be deleted from the Xemac system after 12 days The selection must be confirmed in the Do you really want to delete report lt Name gt pop up window The highlighted report is irrevocably deleted with Delete 5 8 3 6 How t
178. from section to section by clicking on the title bar of the section The section s fields are provided according to the function invoked Entry fields and output fields are distinguishable as follows entry fields have a white background and output fields have a grey background Many entry fields allow the selection of the input data directly from a choice list 11 Chapter 2 Welcome to Xemac 2 4 2 4 1 The header displays further information on activated functions The header is visible at all times regardless of which section the user is in Context Menus If the user right clicks on an icon or a selected row of a tabular view the context menu of the selected icon or tabular view will pop up The context menu contains activities which can for example be used on a selected Contract Conclusion The user can initialise transactions using the context menu Xemac provides context menus for icons and tabular views Alternatively it is possible to carry out any of the available commands via the tool bar menu Context Menus for Icons The user can right click on any of the following icons to request the context menu for that icon e Instructions e Allocation Instructions e Exposure Requests e Claims e Collateral e Reports e Client References e Contract Definitions or e Contract Conclusions The context menus of these icons e Show a list of available tabular views and full views for the c
179. ge only on pdf file Contract Definition No Contract Definition Type Contract Modification Counterparty Counterparty Client Counterparty Client Reference Description of Contract Conclusion Own Contract No Own Status Participant No Status of Contract Conclusion System Contract No Version of Contract Conclusion Version of Contract Definition 205 Appendix 3 Reports in Xemac Report Third Party Contract Conclusions The report shows all Contract Conclusions of a Xemac participant with a specific Client Reference acting as a Collateral Provider with the Collateral Taker All records with Entry Confirmed Check or Blocked status will be displayed The report is used by the Collateral Provider and can be generated on request from the Report Definitions view The following columns are included in the report Table 82 Description of Columns of Report Third Party Contract Conclusions General information Columns in alphabetical order Report No Allocation Data as of Allocation Type Participant No Client Reference Currency Client Reference ID Confirmation Claims Page only on pdf file Contract Definition No Contract Definition Type Contract Modification Counterparty Counterparty Client Counterparty Client Reference Description of Contract Conclusion Own Contract No
180. he Xemac partner has checked a modified Contract Conclusion Xemac automatically confirms and checks it that is the Contract Conclusion automatically goes from Entry Checked to Entry Confirmed Checked status 5 4 3 1 How to display a Contract Conclusion The Display function can be used to view information on a specific Contract Conclusion However it is a prerequisite that the Xemac partner has processed this Contract Conclusion thoroughly within the scope of the four eyes principle The sections and the displayed information are explained below using a Contract Conclusion with Deutsche Bundesbank as an example Each section is listed in the Display function Pere Counterparty 7069 System Contract No 2005000025 Version 1 Identification Xemac Partner Controls Processing Information Responsible Institute 7069 Name DEUTSCHE BUNDESBANK Own Contract No 1234567890 Name ABC Bank Contract Definition Number 1 Name Deutsche Bundesbank Version 3 Type NCB Own Status Entering Claim Period Se ee Valid from 17 03 2005 Only Collateral Taker Valid until Both Close Figure 29 Contract Conclusion Identification Section The System Contract Number and Version fields ensure uniqueness of a Contract Conclusion The user can modify the Own Contract Number field at any time 90 Chapter 5 Working with Xemac Table 26 Field description of Contract Conclusion window Identification
181. he original entries on the collateral SIN Nominal Value and the client Client Reference Client The Comment can also be modified By clicking on the OK button the processed instruction is checked and accepted by Xemac This instruction is given Entry status If the screen is closed with the Cancel button the changes will not be saved How to check Credit Instructions In the case of online instructions the Check function transfers the movement request to the position keeping system CASCADE Creation for processing Credit instructions routed through File Transfer SWIFT or IBM Websphere MQ do not need to be Checked as they have an immediate status of Entry Checked An online credit instruction must be new modified or rejected and an all cases not created or modified by the same user The check is carried out via the Status not checked tabular view The row s to be checked are first selected Right clicking on the Check button performs the Check The user should confirm the Should the marked lines be checked message An error message will be displayed if the selected area contains rows that do not have the appropriate status or were created modified by the same user 135 Chapter 5 Working with Xemac a er 5 7 8 5 7 9 On confirmation of the check with Yes the instruction will receive the Entry Checked status If the check is terminate
182. hecked The Claim is now in Entry Rejected status The version however remains unchanged Function System Claim Version Status Actor Number Rejection 201200001 2 Entry rejected oe y rej User 2 When User 1 and User 2 do not agree on the contents of the Claim the two following scenarios can arise e Consequent to agreement on the Claim in its initial form User 2 carries out the check This changes the Claim s status to Entry Checked The version remains unchanged Function System Claim Version Status Actor Number Check 201200001 2 Entry checked o User 1 31 4 5 4 4 6 Chapter 4 Key functions and basic principles e If User 1 agrees with User 2 that the contents of the Claim need to be rectified then User 1 rectifies the error by changing the Claim The Claim returns to Entry status The version remains unchanged Function System Claim Version Status Actor Number Modify Edit 201200001 2 Entr GF y y User 1 User 2 now checks the modified Claim This changes the status to Entry Checked The version remains unchanged Function System Claim Version Status Actor Number Check 201200001 2 Entry checked r y User 2 Bundesbank Example Reduction of a Global amount rejected by Deutsche If Deutsche Bundesbank rejects the reduction made by the Collateral Provider to the global amo
183. his field displays the Reservation Account number as saved in the Xemac Client Reference This field displays the Client Reference of the beneficiary of the collateral Selection of the Client Optional entry Reference is essential for crediting securities to the respective collateral pool such that they are directly used within the corresponding Claim This field displays the name of the beneficiary of this collateral Either the client or the respective Client Reference must be selected The corresponding field is automatically selected Output Credit Account Client Reference Credit Account Client Optional entry 5 7 3 4 Entry of manual Exposure Request This functionality is available to participants holding assets in the Creation environment at CBL who want to use the Auto Allocation mechanism offered by Cmax An Exposure Request can be entered by right clicking on the Exposure Requests icon and selecting New The entry of an instruction number the value of the assets required and basket quality that is ECB EGCP EGCPX GCP ECB MXQ GCP Equities or GCP INT MXQ is required The comment field is optional On the Accounts tab the user must select the corresponding Client Reference to which the credit of ISINs is required After the Exposure Request is entered it must be checked by the second user as part of four eyes principle As soon as the
184. his view displays all Allocation Release instructions that have been subsequently rejected 4 10 6 4 Tabular View Allocation instructions without PKS notification 4 10 7 4 10 8 Allocation instructions that have been sent by Xemac to a position keeping system that is CASCADE or CmaxX Creation but no feedback settlement confirmation has been received from the respective position keeping system Typically this corresponds for example to the situation where instructions are sent to CASCADE during the batch settlement cycle How to view existing manual allocation release instructions The respective allocation instruction must be selected from a tabular view The full view can be accessed via the context menu of this view The Status row provides the user with further information on the current status of entered instructions The Claim Amount Relevant Claim Amount Overcollateralisation and Overcollateralisation after Simulation fields show values only as long as notification from the position keeping system has not yet been issued The respective values refer to the current version of the Claim The fields could be labelled Undercollateralisation instead of Overcollateralisation and Undercollateralisation after Simulation instead of Overcollateralisation after Simulation The collateral selected for allocation is displayed in the Collateral to be allocated list box in the Allocate section The Eligible Avail
185. hows all objects that were deleted automatically because they were not checked within three bank working days It is available for every Xemac participant and generated automatically after morning re evaluation Relevant objects can be Instructions Claims Client References and Contract Conclusions If these objects are entered with New Edit or Delete and are not checked within three bank working days they are deleted automatically by Xemac and reported in this report The following columns are included in the report Table 89 Description of Columns of Report Deletion by System General information Columns in alphabetical order Report No Date Data as of Note Participant No Object Description Reference Currency Object Status ID Operation Page only on pdf file Own Reference System No Time Transaction User Value 211 Appendix 4 Access Rights Appendix 4 ACCESS RIGHTS The rights of access to functions are controlled by specific transaction and function codes which are stored in the Security system The level of the transaction codes is given by the main menu in Xemac The following are the functions in the Main Menu where access can be controlled Claims Collateral Contract Conclusions Contract Definitions Client References Instructions Exposure Requests A further access level can be defined vi
186. ia SWIFT ISO 15022 Customers can connect to Xemac via SWIFT ISO 15022 Messages in this format can be received and delivered in Xemac via the following connectivity channels e File Transfer e SWIFT or e IBM Websphere MQ The following message types can be processed in Xemac e Inbound Delivery instruction SWIFT MT542 description and examples hereunder e Outbound Collateral and Exposure Statement SWIFT MT569 please refer to the CBF Connectivity Handbook Part 2 for details Delivery instruction via SWIFT MT542 Only relevant fields for Xemac instructions are hereunder described All others will be handled as for CASCADE transfer instructions For Xemac credit and debit instructions without Client Reference blank Client Reference Name of information ISO label Comments on particularities regarding technical element and implementation or parameterisation condition3 Mandatory Sequence A General Information 20C SEME 16x Senders reference 20C an Unique reference used in the sender s application 23G NEWM Puneti arine 23G The only permitted qualifier for customers entering message M Xemac instructions via SWIFT is NEWM 3 Mandatory specification M conditional mandatory specification B optional specification O optional default specification D 176 Appendix 1 Connectivity via SWIFT syntax ISO 15022 gt Repetitive Optiona
187. icipant No Claim Currency Reference Currency Client ID Client Reference Page only on pdf file Collateral Status Collateral Value in Claim Currency Collateral Value in Reference Currency Counterparty Counterparty Client Counterparty Client Reference Market Value in Reference Currency Nominal Value Amount Own Claim No Participant No Securities Description Settlement Location SIN System Claim No Type 201 Appendix 3 Reports in Xemac Report Historical Allocation Instructions This report shows all Historical Allocation Instructions that were successfully settled or rejected and therefore have Entry Confirmed Checked or Entry Rejected Checked status These can be Allocation Release or Substitution instructions The report is used by the Collateral Provider and can be generated on request from the Report Definitions view The following columns are included in the report Table 78 Description of Columns of Report Historical Allocation Instructions General information Columns in alphabetical order Report No Automatic Substitution Data as of Client Participant No Client Reference Reference Currency Comment ID Date of Entry Page only on pdf file Instruction No Instruction Status Instruction Type Participant No Processing Time Settlement Date System C
188. ided by Xemac An error message is issued if the selected area contains rows that do not have the required status or that were created modified by the same user After checking a Contract Conclusion set for deletion it will no longer be possible to enter a Claim for this Contract Conclusion Neither can this Contract Conclusion be changed nor can the deletion be recalled The Contract Conclusion is checked by confirming the check with Ok If the check is terminated by pressing Cancel the selection is not saved and the status of the selected Contract Conclusion remains unchanged 5 4 3 5 How to reject Contract Conclusions The Reject function enables the user to reject Contract Conclusions with the following statuses e Deletion e Deletion Checked e Entry Checked Confirmed e Deletion Checked Confirmed e Entry Checked Rejected and e Deletion Checked Rejected The rejection of a Contract Conclusion is carried out by right clicking on the Contract Conclusions icon and clicking on Status not checked In the tabular view first the row s to be rejected are selected and then the selection can be confirmed in the Should the marked lines be rejected window provided by Xemac 95 Chapter 5 Working with Xemac If the user wants to reject a Contract Conclusion in one of the following status e Deletion Checked e Entry Checked or e Entry Che
189. iews are explained in the following sections 2 0 1 Tabular View Chapter 2 Welcome to Xemac It is possible to display for example several Claims in a tabular view One row is assigned to each Claim The following figure is an example of the view Claim Amount The view name is displayed in the Title Bar of the tabular view B 6325 claim amount iox Claim View Output Columns Filter Options Please select value Participant Claim Claim Collateral Cover Counterparty No Currency Amount Value Ratio 6335 CAD 1 848 525 112 49 1 848 525 112 49 100 00 7069 6335 GBP j 661 422 872 26 661 422 872 26 100 00 7500 6335 EUR 0 0 00 100 00 7069 6335 EUR 0 00 100 00 7525 6335 0 00 100 00 7525 Ill Figure 3 Tabular View Claim Amount The above view shows the available Claims In addition there are tabular views for Contract Definitions Client References Contract Conclusions Claims Collateral Instructions Allocation instructions Exposure Requests and Reports The sorting order of a tabular view is set by default but can be changed by a left or right click on a table header Data can be sorted in ascending or descending order of the values in a column It is possible to sort by up to five columns The sorting order and the ordering number 1 to 5 are displayed before the column name By clicking on the button on the left side of the table he
190. ilable to Collateral Takers 5 4 2 4 Tabular View Status not checked This view displays all Contract Conclusions that any Collateral Taker created or that are set for deletion These are Contract Conclusions that the user institution must still either check or confirm The view consists of Contract Conclusions with the following status e Entry Checked or Deletion Checked e Entry Checked Confirmed e Entry Rejected Checked e Deletion Checked Confirmed e Deletion Checked Rejected 5 4 2 5 Tabular View Third Party Contract Conclusions This view displays all Contract Conclusions for the customer as Collateral Provider that have Entry Confirmed Checked status Therefore it is possible to show all Contract Conclusions in the above mentioned status For Contract Conclusions any Collateral Taker the Collateral Taker is always the responsible institution This is why the user can always display the Contract Conclusions he has entered with his institution or client in the Third Party Contract Conclusions view 5 4 3 Processing Contract Conclusions The Check and Confirm functions described below are used to legally effect the conclusion of contracts entered or set for deletion by any Collateral Taker 89 Chapter 5 Working with Xemac Using the Reject function Contract Conclusions that have not yet been confirmed can also be refused After t
191. im Amount is saved as soon as it is entered with an amount of zero or an amount with a negative sign An error message is issued if the user tries to enter a second Claim for a Client Reference for a Contract Conclusion with the same Contract Definition type that is a Contract Conclusion has been stipulated that already is the basis for another Claim After completion of the entries with the OK button the system checks the entered data and increases the version of the Claim by 1 The entries will not be saved if the window is closed with the Cancel button 5 5 3 3 Special cases for CMSI and Euro GC Pooling Claims Claims on Contract Conclusions based on Contract Definition Type CMSI must be created by the Collateral Provider with an original amount as ZERO It is not possible for a participant to modify the Claim Amount Furthermore the deletion of a CMSI Claim will only be possible if no Collateral secured instrument is assigned to the Claim 104 Chapter 5 Working with Xemac The version changes of CMSI Claims take place if the Claim Amount changes at the end of the automatic exposure calculation in SDS2 or end of day Claims on Contract Conclusions based on Contract Definition Type Euro GC Pooling are created with an original amount as ZERO by Clearstream from the side of the participant as Collateral Provider and Eurex Clearing as the Taker Unlike Claims based on NCB C
192. increases the Claim Amount of an existing Claim thereby resulting into a corresponding allocation in Xemac For Claims based on Contract Conclusions with the Contract Definition type CMS Xemac will automatically increase or decrease Claims A manual modification of such Claims is permitted for Clearstream users only If the Claim Amount of a Claim is reduced the reduction is only effective after the approval of the respective Collateral Taker counterparty For Claims based on Contract Definition type NCB the claim can be reduced to the collateral value of allocated collateral as a result of changes in ISIN eligibility or upcoming corporate event After a Claim reduction and approval Xemac will automatically release collateral Views in Xemac Xemac provides the user with a range of views that cannot be modified or deleted The tabular views display all Claims that the Collateral Provider entered in Xemac on behalf of itself or its clients 97 Chapter 5 Working with Xemac 5 5 2 1 In general both the Own Claim Number and the System Claim Number are displayed The Claim Amount is displayed with a negative sign if the user is a provider of collateral Own Status Provider The corresponding Xemac partner accepting collateral Own Status Taker sees the Claim Amount without any sign implying positive The Claim Amount is displayed in and along with the respective Claim Currency The tabular views con
193. is generated automatically at end of day The following columns are included in the report Table 76 Description of Columns of Report Collateral Positions General information Columns in alphabetical order Report No Basket Data as of Client Participant No Client Reference Reference Currency Collateral Status ID Collateral Value in Reference Currency Page only on pdf file Counterparty Counterparty Client Counterparty Client Reference Market Value in Reference Currency Nominal Value Amount Own Claim No Participant No Securities Description Settlement Location SIN System Claim No Type 200 Appendix 3 Reports in Xemac Report Collateral Overview The daily report combines the Allocated Collateral and Collateral Positions reports It displays what is effectively booked on the CASCADE sub account 550 and on the Creation Reservation Account It displays what is pledged received from counterparties CCP or bilateral or transferred to other counterparties CCP or bilateral The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 77 Description of Columns of Report Collateral Overview General information Columns in alphabetical order Report No Allocation Type Data as of Basket Part
194. ised as an important feature and is contemplated in the roadmap for a future release e Can reuse the assets received in trading currencies in a single NCB Claim in Euro Yes Assets received through GC Pooling trades in the standard basket EGCP in the trading currencies can be subsumed into a NCB Claim in a third currency e What is implied with multicurrency capability Customer can enter Claims with Dt Bbk in all acceptable non Euro currencies a list of such currencies is provided in Appendix 4 Likewise assets received in the framework of GC Pooling that is the EGCP basket can for example be pledged in a single NCB Claim in GBP 171 Chapter 8 Frequently Asked Questions Is it possible to switch the Claim from one currency to another No Each Claim is expressed in a specific currency from the point of creation It is not possible to edit the Claim currency subsequently for an active Claim e Will there be any allocation algorithm within the equity basket that is what will be allocated first equities or bonds Yes Equities are allocated from the Collateral Provider to CCP before bonds are considered Bonds on the other hand are release before equities e What is GC Pooling Select It is the new product of Eurex Repo Eurex Clearing and Clearstream Banking which allows non banking customers such as insurance companies corporations and pension funds to also benefit from the advantages of secured funding
195. it from one of the collateral views Allocated Collateral Collateral Overview or Collateral Positions the ISIN nominal settlement date and settlement location are automatically pre selected The user can change the nominal and settlement date It is also possible to enter debit instruction for a future date A debit instruction entered for a security currently allocated leads to the generation of required substitution instructions When entering a debit instruction from the Xemac Instructions menu the fields are empty and can be filled by the user as needed A635 New Debit Instruction 51x Participant 6335 Instruction No Debit Instruction Accounts Processing Information Instruction No Security Code German Securities Identification Code SIN Depository Nominal Value Date CBL Transaction Reference Settlement Date 02 12 2012 Message Reference Comment Rejection No Reason a ae Figure 48 New Debit Instruction Fields empty The following table provides an overview of the information that will be displayed and what entries can be made in each field Table 53 Field description of view New Debit Instruction Header 137 Chapter 5 Working with Xemac Header Name O Field Status Comment The Xemac participant number of the customer s institution is displayed here The instruction is identified by a unique number Instruction No
196. item Options This does not apply to the icons Collateral and Reports A left mouse click on the item Options from the context menu of the desired icon opens the corresponding View Manager Any view listed in the tabular view View Manager can be defined as standard view Xemac displays all views available for this icon The standard view is labelled with X In order to define a different view as standard view the desired row has to be selected Then the context menu must be opened with the right mouse button and the function Select must be clicked Now the change of standard view must be confirmed by pressing the Yes button after receiving the question Do you want to change the standard view When the standard view is re opened the currently valid view will appear If the user ends the selection with the No button the standard view definition remains unchanged 13 3 HOW TO ACCESS THE SYSTEM Chapter 3 How to access the system 3 1 Starting the Application Clearstream Banking supports the operating systems Windows Server 2008 R2 Standard Windows 7 Enterprise Edition Depending on the configuration users can start Xemac e Via the start menu e Via the Xemac icon on the desktop e Via Windows Explorer 3 2 Howto log into Xemac and change the password After starting Xemac the user sees the following Xemac logon screen Pree n IS TN clearstream
197. ith the bank code 12345678 this Client Reference can be represented by Custody Account Type BLZ and Custody Account Reference 12345678 The following table shows the pre filled fields of the Client Data section with the input possibilities for each field Table 21 Field description of Client Reference window Client Data Section Client Data Section os This field displays the Xemac user participant Participant Output numb i Participant Name Output The name of the user institution is displayed here If the Institute Type field is filled the respective value must be entered here The Bank Identifier Code BIC the bank code BLZ or an account number Institute Type Optional entry ACC may be entered here This field can also be left blank The possible options are shown via a choice list If this field is empty the Institute Reference field must also be blank It is possible to create the field individually according Institute Reference Optional entry to own criteria when creating a Client Reference The field can also be left empty 75 Chapter 5 Working with Xemac Client Data Section Custody Account Type Reference The BIC BLZ or ACC may be entered here This field can also be left empty However if this field is empty the field Custody Account Reference must also be blank If the Custody Account Type field is filled the Custody Account Mandatory respective
198. itting the check with Yes They are given Entry Checked status and can now be used for Contract Conclusions Client References set for deletion are given the Deletion Checked status and are no longer available In addition Xemac updates the Date of Creation or Date of Deletion fields for newly created or deleted Client References If the check is terminated by pressing No the selection is not saved and the status of the Client References remains untouched 5 2 3 6 How to reject Client References A Client Reference can be rejected if the user while checking is not satisfied with a newly created modified or deleted Client Reference However the Client References must have been e Newly created or processed but not yet checked Entry status or e Set for deletion but not yet checked Deletion status and must not have been newly created processed or deleted by the person rejecting the Client Reference 82 Chapter 5 Working with Xemac The rejection is carried out via the Status not checked view The user selects the row s to be rejected and confirms the selection via the Should the marked lines be rejected window An error message will be issued if the selected area contains Client References that do not fulfil the aforementioned requirements This message will also be issued if the Client References were created or modified by the user The selected Client Reference is deac
199. ked or Entry Confirmed Checked Blocked status This report is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definition view The following columns are included in the report Table 66 Description of Columns of Report Historical Claims General information Columns in alphabetical order Report No Claim Amount Data as of Claim Currency Participant No Claim Status Reference Currency Client ID Client Reference Page only on pdf file Collateralised from Collateralised until Contract Version Counterparty Counterparty Client Counterparty Client Reference Instruction Reference Event Name of Counterparty Own Claim No Own Contract No Own Status Participant No System Claim No System Contract No Version 192 Appendix 3 Reports in Xemac Report Detailed Claim Amount CMSI The report displays the detailed Claim information on underlying Secured Instruments based on the CMSI Contract Definition type It is available for Xemac Participants who use this service and will be generated automatically twice a day The sort criteria are based on Client Reference Client System Claim Number and ISIN The report reflects the sum of the evaluated issued volumes of all underlying secured instruments per Claim When there are no secured instruments to
200. l Sequence A1 linkages 20C RELA 16x The qualifier RELA should be used for Xemac customers in order to transmit instruction numbers in the Xemac application and in CASCADE The format is described in the following example 20C RELA KPXXXX0101234560 K is the application indicator here CASCADE P stands for production XXX X is the customer s account Related reference M 20C 01 is the instruction type for securities transfer 0 precedes the 6 digit numeric instruction number to be transmitted to Xemac and CASCADE 123456 is for example the 6 digit instruction number to be transmitted to Xemac and CASCADE It should be greater than 0 and less than 800000 This instruction number should not already be available in Xemac or in CASCADE The automatic generation of instruction numbers will not be considered The last 0 has always to be set constant value End of Subsequence A1 linkages End of Sequence A General Information Mandatory Subsequence B Trade Details 98A SETT YYYYMMDD Settlement date M 98A The settlement date can either be same value date or future value date 98A TRAD YYYYMMDD Trade date M 98A The trade date is mandatory It must be between the Clearstream receipt date and settlement date ISIN1 e1 2 c Identification of Please note that the format of the securities financial instrument 35B ide
201. l Taker this is the collateral that is allocated to the Claim in order to provide the guarantee e Allocation Collateralisation of a Claim which is creating a link between a Claim and one or more items of collateral An un collateralised Claim is therefore moved to to be collateralised status manually through allocation release e Allocation types There are five allocation types currently available Pledge Appropriation Transfer Transfer External and Transfer EGC e Automatic allocation Xemac selects free eligible collateral from the pool of the provider of collateral and allocates it to the respective Claims e Blank Client Reference The Blank empty Client Reference defines the own collateral pool of the Collateral Provider and exists by default To be able to establish a Contract Conclusion for a Euro GC Pooling contract even an empty Client Reference must have the Clearer and Member ID filled e CASCADE Central Application for Settlement Clearing And Depository Expansion of Clearstream Banking Frankfurt e Check Two different persons must enter and check all types of changes to Claims Increases Decreases Deletions etc applying the four eyes principle Via the 156 Chapter 7 Glossary user IDs the system checks the identification of the person entering data and the person checking the entries e Claim A collateralised Claim based on a contract conc
202. l to be allocated automatically or he can carry out the selection manually After the manual allocation release instruction has been entered Xemac checks the feasibility After this the instruction must be checked by another employee of the customer s institution Only after this check or confirmation will Xemac execute the instruction There are two ways to access the functions described below for the Manual Allocation Release 1 Access from Claims first the required Claim must be selected from a tabular view of the function Claim gt Claim Amount or Claim Number Using this view s context menu the function Manual Allocation Release must be selected 2 Access from Allocated Collateral Collateral Positions and or Collateral Overview only for ISINs that are not free in the pool After selecting a row with the required ISIN the user must navigate from this view to the full view of the Manual Allocation Release via the context menu How to manually allocate Collateral This section describes how collateral can be manually allocated to a Claim First an Instruction No must be assigned in the section Instruction Data The entered value must be between 1 and 799999 Comments up to 50 characters can also be entered 50 Chapter 4 Key functions and basic principles OG 6335 Manual Allocation Release s P iol x Claim Amount 2 003 640 2
203. laim No 202 Appendix 3 Reports in Xemac Report Contract Conclusions Number This report shows all Contract Conclusions excluding those with Deletion Confirmed Checked status The report is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 79 Description of Columns of Report Contract Conclusions Number General information Columns in alphabetical order Report No Client Data as of Client Reference Participant No Contract Definition No Reference Currency Counterparty ID Counterparty Client Page only on pdf file Counterparty Client Reference Description of Contract Conclusion Own Contract No Participant No Responsible Institute Status of Contract Conclusion System Contract No Version of Contract Conclusion Version of Contract Definition 203 Appendix 3 Reports in Xemac Report Historical Contract Conclusions The report displays all Historical Contract Conclusions that are no longer applicable for the Xemac participant because they were deleted or rejected or a new version was created They have Blocked status The report is used by the Collateral Provider and the Collateral Taker and can be generated on request from the Report Definitions view The fol
204. le 12 Reasons for Compulsory Claim Decrease Reason for Compulsory Claim decrease Instruction Reference Event Prices or ineligibility Re evaluation Corporate Action Corporate Action 4 8 2 Calculation of Accrued Interest The consideration of accrued interest is parameterised within the underlying Contract Definition e Inclusive 1 Suspended cash is cash blocked due to a corporate action if the re allocation of free eligible collateral is not possible by the Collateral provider Dt Bbk is in this case authorised to keep this cash 48 Chapter 4 Key functions and basic principles 4 9 4 10 4 10 1 Currently Claims based on the Contract Definition types NCB Euro GC Pooling CMSI Clearstream and Eurex Eurex Reuse Eurex Reuse Equity Eurex Reuse EXTended or Eurex Reuse INT MXQ have the accrued interest component set up as part of the collateral value e Exclusive Claims based on the Contract Definition type Eurex Margin ICM or Collateralis Eurex Clearing Pledge have the accrued interest component set up as not part of the collateral value The calculation of accrued interest is only carried out when it is possible to determine an eligible price The determined interest income must reflect the interest in the event of collateral liquidation This is why the calculation of accrued interest is always carried out
205. learstream or Eurex it is not possible for a participant to create or modify the Claim Amount or delete or accept a Euro GC Pooling Claim The version changes of Euro GC Pooling Claims occur due to trades entered into by the GC Pooling participants The Adapt and Accept functionalities are enabled for Clearstream users only In the above cases these features are only in exceptional circumstances used intraday Xemac carries out this upgrade process automatically at end of day if the required conditions are met 5 5 3 4 Special cases for Reuse Claims Though modification of a Claim can be done anytime to bring the Claim to Entry status a restriction applies to the Check of the modified Claim A Check cannot be performed from about six minutes before the commencement of the batch settlement cycle SDS1 until the completion of the batch This restriction for checking of the Claim is applicable to the second user from the side of the Collateral Provider or in the case of Claim reductions to the second user from the side of Collateral Taker It is recommended for participant reusing collateral to leave some buffer in the collateral pool to avoid all settlement failures caused by different evaluation methodology 5 5 3 5 How to display a Claim This function provides a detailed display of the Claims regardless of their status As soon as a Claim is collateralised the Claim det
206. licking on the Main View icons or Right clicking to access the function options a 6225 xemac ain view s6 File ar DEUTSCHE BORSE clearstream croup Instructions Allocation Instructions Exposure Requests Xemac e a C Claims Collateral Reports Client References Contract Definitions Contract Conclusions Settings Figure 1 Xemac Main View The top of the main view contains the icons relative to instructions in general e Instructions In this icon user can credit debit collateral into from the collateral pool More details are available in section 5 7 Instructions How to enter and remove Collateral e Allocation Instructions This feature enables customers to display all types of allocations Pledge Appropriation Transfer Transfer EGC or to even validate and check an allocation or release instruction entered by another user e Exposure Requests This icon enables the user to credit his pool with assets from the CBL pool User can monitor the status of Exposure Requests created in the process Chapter 2 Welcome to Xemac The centre of the main view contains the icons for the following functions in Xemac Claims Customers can maintain global amounts entered with the Deutsche Bundesbank Eurex or any other Collateral Taker except Claims based on Contract Definitions CMSI and Euro GC Pooling The Claims based on these Contract Definitions are maintained by Clearstream On top of
207. llateral value depends on the stipulations made in the Contract Definition NCB Clearstream CMSI Eurex or Euro GC Pooling In the NCB Contract Definition for example the collateral value is calculated as the sum of market value plus accrued interest applying the prevailing haircut For the Eurex Contract Definition accrued interest is not taken into consideration e Confirmation Both Xemac partners must agree on the details of a Claim or Contract Conclusion e Contract Conclusion Agreement between the Collateral Taker and the Collateral Provider on the general conditions for the provision of collateral There can be only one Claim for each Contract Conclusion with Contract Definition type NCB Clearstream CMS Euro GC Pooling or Eurex Collateral Providers who are also acting on behalf of connected institutions should also enter into an agreement Contract Conclusion with the Collateral Taker for each of the clients The Collateral Provider can therefore have several Contract Conclusions with the Collateral Taker one for his own institution and several for his different clients As GCM general clearing member or as DCM direct clearing member it is however not possible to differentiate connected institutions using Client References The Eurex margin requirement depends on the clearing status of the Collateral Provider that is wnether GCM DCM or NCM e Contract Definition A Contra
208. llocated collateral per claim in Xemac The second group is the extension of LIMA products for Xemac by two additional products Exposure Management EXPOMA and Collateral Management COLLMA which will enable customers to receive real time information about adjustments of their Xemac exposures and associated securities movements via MT558 messages For each Xemac customer who wants to participate in the service and receive one or both type s of functional message s a setup for the appropriate new product s in LIMA Produktnutzung will be necessary Xemac will provide LIMA with all necessary data for the generation of MT558 messages If an active DVP product exists for the customer LIMA will send the MT558 message to the 148 29 Chapter 5 Working with Xemac defined customer s SWIFT address These two DVP products will comprise the following functional messages e Exposure Management EXPOMA o MT558 Processing Advice messages as response to MT527 Claim Adjustment request messages o MT558 Claim Notification messages as confirmation to MT527 Claim Adjustment request messages or to manual claim adjustments via the Xemac client o MT558 Claim Notification messages resulting from re evaluation processes processing of GCP trades and the CMSI business e Collateral Management COLLMA o MT558 Collateral Notification messages for all securities movements resulting from claim adjustment
209. lowing columns are included in the report Table 80 Description of Columns of Report Historical Contract Conclusions General information Columns in alphabetical order Report No Allocation Type Data as of Client Participant No Client Reference Reference Currency Contract Definition No ID Contract Definition Type Page only on pdf file Counterparty Counterparty Client Counterparty Client Reference Description of Contract Conclusion Description of Counterparty Own Contract No Participant No Responsible Institute Status of Contract Conclusion System Contract No Valid from Valid until Version of Contract Conclusion Version of Contract Definition 204 Appendix 3 Reports in Xemac Report Own Contract Conclusions The report displays a Contract Conclusions for a Collateral Taker with Entry Confirmed Checked or Blocked status with own status as Collateral Taker The report is used by the Collateral Taker and can be generated on request from the Report Definitions view The following columns are included in the report Table 81 Description of Columns of Report Own Contract Conclusions General information Columns in alphabetical order Report No Allocation Data as of Allocation Type Participant No Client Reference Currency Client Reference ID Confirmation Claims Pa
210. luded with NCB Contract Definition type provides Deutsche Bundesbank with a global amount which can be used as collateral for Repo allocations A collateralised Claim based on a Contract Conclusion with Contract Definition type Eurex provides Eurex with collateral to accord with the Claim Amount This pledged collateral can be used as full or partial cover for margin requirements pursuant to the exchange s Risk Based Margining System A Claim based on a bilateral Contract Conclusion Clearstream Contract Definition type offers the user the possibility to be either Collateral Taker or Collateral Provider A Claim based on a Contract Conclusion with CMSI Contract Definition type provides for the Collateral Provider as issuer of Collateral secured instruments to collateralise securities Clearstream as the Collateral Taker acts as a fiduciary between the issuer and investor A Claim based on a Contract Conclusion with Euro GC Pooling Contract Definition type is required for a participant to enter into Repo transactions in GC Pooling e Claim Currency The Claim currency is stipulated in the respective Claim The possible currencies are those that are eligible in CASCADE Foreign Currency except Japanese Yen The collateral value of a Claim is reported either in the reference currency or in the Claim currency e Client A Xemac participant identifies its clients within Xemac via the Client Reference Th
211. ly basis and regularly checks the Claims on hand against the current value of the collateral Xemac allocates additional collateral if Claims are under collateralised due to price fluctuations On the other hand Xemac releases collateral if Claims are over collateralised due to price appreciation There are other cases in which Xemac will release allocated collateral such as redemption or ineligibility If this results in under collateralisation the Claim Amount would be reduced for NCB Claims Manual Allocation Release Brief description 49 Chapter 4 Key functions and basic principles 4 10 2 Xemac can be used to e Allocate collateral to a Claim section 4 10 2 How to manually allocate Collateral e Release collateral section 4 10 3 How to manually release Collateral and e Substitute collateral that is substitute allocated collateral with available eligible collateral section 4 10 4 How to substitute Collateral The Manual Allocation Release function can be used to allocate release or substitute collateral in Xemac A substitution is a combination of allocation and release of collateral Xemac enables the user to carry out a substitution within a single instruction that is allocate new and release old collateral simultaneously If the customer wants to allocate collateral for example for an allocation instruction or for a substitution he can either have Xemac select the collatera
212. mac Client References The Segregated Account is the participant Creation account for collateral receipts linked to GC Pooling trades Clearer and Member IDs are mandatory for a Contract Conclusion based on the Contract Definition Euro GC Pooling to be established and they can be deleted only if not used in an active Contract Conclusion referring to this Client Reference 76 Chapter 5 Working with Xemac 396335 New Client Reference BIC Collateral Provider Reservation Reservation Account Segregated Account Automatic Return C After SDS1 C At 14 00 C Automatic Provisioning C At 16 00 L End of Day Cash RTGS Account Figure 24 Client References Settlement Data Section 77 Chapter 5 Working with Xemac The following table contains the description for the fields of the Settlement Data section with input possibilities for each field Table 22 Field description of Client Reference window Settlement Data Section Automatic Provisioning Automatic Return BIC Collateral Provider Reservation Account Segregated Account Clearer ID Member ID RTGS Account Creation Cash Account Settlement Data Section Optional entry Optional entry Optional entry mandatory for CBL securities Optional Entry also for CBL securities Optional entry Mandatory Entry for Euro GC Pooling Optional entry Mandatory Entry for Euro
213. n Language Date Number German TT MM JJJJ X XXX XXX XX The Settings window is needed to select or locally change the language and or the SIN used in Xemac The window is requested by clicking on the Settings icon with the left mouse button i5 xi Participant 6335 lv ABC Bank x CASCADE Clearing Sub Account 550 Settlement Date 14 01 2015 User Language Pre filter Bubble Help User ID 6335111111 d activated Z activated 2 German Color n Filter Information Message English us v activated v activated v activated Reference Currency Code ISO Code EUR Code ISIN x information Default Write Directory P Winprog Xemac5 6 Prod write Current Write Directory P Winprog Xemac5 6 Prodiwrite Cancel OK Figure 27 Settings Full View 84 Chapter 5 Working with Xemac The user can e Modify the Language by clicking on the corresponding radio button The change takes effect after Xemac is restarted e Select Colour to be activated deactivated by clicking on the checkbox Any change is immediately applicable e Select Bubble Help to be activated deactivated by clicking on the checkbox Any change is immediately applicable e Select the Code for example ISIN from the list of choices Any change is immediately applicable The following table displays the settings and the respective field descriptions of the Settings window
214. n for Eurex Euro GC Pooling EGCP basket Section 65 Figure 17 Contract Definition Eligibility Section for Deutsche Bundesbank NCB 67 Figure 18 Contract Definition Eligibility Section EUreX ccceccceceseceesceeeeeeeceaeeeeaaeeeeneeseeeesaeeeeaeeesnees 67 Figure 19 Contract Definition Eligibility Section Euro GC Pooling Classic ccsceceeeeeesteeeeseeeeeees 68 Figure 20 Contract Definition Contract Details Section NCB cccsceeeeeeceeeeeeeeeeeeneeseeeeseaeeeeaaeeeenees 69 Figure 21 Contract Definition Contract Details Section Eurex REUSE cccceeeeeeeeeeceeeeeseeeeeneeeeeeees 70 Figure 22 Contract Definition Contract Details Section Euro GC Pooling ceesceceeeeeeeeeeeeeeeeeeeees 70 Figure 23 Client References Client Data SeCtiON 0 ccccceesceceeeeeeeeeeeeseeeeeeeeceaeeeeaaeseeneeseaeeesaaesteneeseeees 74 Figure 24 Client References Settlement Data Section ccecccececeeeeeeeeeeeeeceaeeeeeaeseeneeseeeeesaaeseenaeesenees res Figure 25 Client References Example Client Data Section 00 ccccessceeeeceeeeeeeeeaeeeeneeseeeessaeseeneeesnees 79 Figure 26 Client References Example Settlement Data Section 0 cecsceceeeeeeeeeeeeneeseeeeeeeaeeeeneeesnees 80 Figure 27 SoN FUlll VICW vacexst scat rosauaedysoneaiesosanaies cae rouducaly maa ssnaueh a 8
215. nciples of Xemac e Versioning and status concept e Four eyes principle and e Reciprocal confirmation These basic principles interlock and interrelate The four eyes principle and the reciprocal confirmation influence the version and the status However to further clarify each principle will be explained separately The user will also encounter the following key functions of Xemac e Xemac eligibility of collateral e Collateral groups e Mark to market and e Allocation Versioning and status concept There can be several versions with different statuses for e Contract Conclusions and e Claims The version of the Claim accepted by both Xemac partners is valid and collateralised by Xemac but the user s institution as the provider of collateral can generate a second version If this version is accepted by both Xemac partners it overwrites the previous version and becomes the valid version The Contract Definition with Contract Definition types NCB Clearstream CMSI Euro GC Pooling and Eurex are entered in the system using the four eyes principle However the version of a Contract Definition can change Only the responsible institution that is the NCB Eurex or any other Collateral Taker can initiate the modification of a Contract Definition The execution however will be conducted directly by Clearstream on behalf of the Collateral Taker A status but no version is maintained for
216. ndix 3 Reports in Xemac Report Allocated Collateral The report displays for all a participant s Client References collateral by ISIN allocated per Current Claim per Participant with Nominal Value Market Value and Collateral Value Nominal Value and Collateral value are displayed positive no sign or negative depending on whether the participant is Collateral Provider or Collateral Taker The Market Value is always displayed positive The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 69 Description of Columns of Report Allocated Collateral General information Columns in alphabetical order Report No Allocation Type Data as of Basket Participant No Claim Currency Reference Currency Client ID Client Reference Page only on pdf file Collateral Value in Claim Currency Collateral Value in Reference Currency Counterparty Counterparty Client Counterparty Client Reference Market Value in Reference Currency Nominal Value Amount Own Claim No Participant No Securities Description Settlement Location SIN System Claim No Type 194 Appendix 3 Reports in Xemac Report Allocated Collateral per CRef The report displays for one specific Client Reference of a participant collateral by ISIN
217. neral information Columns in alphabetical order Report No Accrued Interest Data as of Allocation Type Participant No Contract Definition No Reference Currency Contract Definition Type ID Name of Contract Definition Page only on pdf file Participant No Status of Contract Definition Version of Contract Definition 207 Appendix 3 Reports in Xemac Report Third Party Contract Definitions This report shows an overview of the current Contract Definitions where a Contract Conclusion exists with a counterparty acting as taker for example with Eurex Dt Bbk It is used by the Collateral Provider and can be generated on request from the Report Definitions view The following columns are included in the report Table 85 Description of Columns of Report Third Party Contract Definitions General information Columns in alphabetical order Report No Accrued Interest Data as of Allocation Type Participant No Contract Definition No Reference Currency Contract Definition Type ID Name of Contract Definition Page only on pdf file Responsible Institute Version of Contract Definition Report Credit and Debit Instructions This automatic daily report shows a detailed overview of the Debit and Credit Instructions entered by the participants via the online function with the execution status settlement dat
218. nfirmation 11 12 2012 11 11 11 7069555555 4 6 2 Deutsche Bundesbank will now proceed as described for the first case that is another Deutsche Bundesbank employee must check or reject the confirmation after which these activities are made transparent to the Collateral Provider Special cases for Claims Contract Definitions with Contract Definition Types NCB or Eurex provide an automatic confirmation of Claims in the case of the creation of a new Claim an increase of the Claim Amount of an existing Claim and a reduction of a Claim Amount with Contract Definition Type Eurex pledged to Eurex This is how the processing information looks like after the increase of a Claim Amount has been entered and checked Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Increases in Claim Amounts are automatically confirmed and checked as the counterparty only registers the fact that he now is able to dispose of a higher collateralised Claim Amount after the allocation of additional collateral The automatic confirmation and check by Deutsche Bundesbank is indicated by the entry MASCHINELL in User in the third and fourth rows It means that the job is automatic and is performed by Xemac itself Function Date Time User Entry 11 12 2012 08 08 08 63835111111 Check 11 12 2012 10 10 10 6335333333 37 Chapter 4 K
219. nnnne 57 4 10 7 How to view existing manual allocation release instructions cseecsseeeeeeeeeeenneeeeneeeennee 59 4 10 8 How to check a manual alloCation release 2 cccsceccecessenseceensnseceessnsecsessnsessensnsensenenses 59 4 10 9 How to reject a manual allocation release s ccccssecccessnseceensnseceensnseceensnsessensnseseenenees 60 4 10 10 Howto delete a manual allocation release ccccsseccccssenceceensseceensnseceensnneenensnseseenenees 60 WORKING WIT XEMA Gissi cscs ce usc ceg sec cc as eet ea ew eee eee 61 5 1 CONTRACT DEFINITIONS ARE THE BASIS FOR CONTRACT CONCLUSIONS c 0 ccccscceesesssteseeeeeeeeeeees 62 SLi o DOSCHDUON E EE E E E E T E N sessseapietessasenessescae 62 5 1 2 AE e E A P O E N A AE A A banteedisatessbanaes 62 5 1 8 HOW 10 Gisplava COn tract Dennes ste sand ceacaeacs tzandcindasmssntecedcezasanescaszans 64 5 2 SAVE CUENT DATA AS CLIENT REFERENCES sitsen karasie r araa aE An NI aiat 13 Sat BMCT DOSCHDUON siccsszressasszzetsesancessesnazevesnsseesnssnaebensidrsesbousaevsaascvegsbanzatees dd ssasbaanseesssanatensbenee 73 5 22 VIGWS HT XOMAC E E E T E AE E E A E A E E AE 73 5 2 3 Processing Client ROfCrENCES sccccccccceccceseesssescecseneeceneesaeeseneeseeeseseaessanaesseneecsnneetnanens 74 5 2 4 Functions available depending on the status of the Client ReferenCe s ccccceseceeeeeeees 83 53 HOWTO ADJUST THESE TmINGS IN XEMA Carien enaere rae aae
220. not be changed 162 Chapter 7 Glossary e Context Menu Menu that the user can invoke with the right mouse button as on screen pop up menu It provides access to functions by means of menu entries There are context menus for tabular views and icons e Entry field Entry fields have a white background The entry is either obligatory mandatory or optional Entry fields are often pre filled The user can however overwrite pre filled values e Filter A filter option is available for every tabular view in Xemac This filter option is either visible or hidden depending on the flag set in the settings menu of Xemac This setting can be modified by every user and stored individually By using filters it is possible to simultaneously filter each tabular view according to up to five criteria based on the visible columns e Frontend Aggregate of all existing clients at the Xemac participant e Full View The full view of the Claims section provides a detailed view of individual Claims including all the available information e List Box List of positions in which the user can select any required position s Unallocated and available collateral is provided in a list box for manual allocation The positions to be allocated can be selected e Output Field The output field has a grey background Entries cannot be made and the existing values cannot be overwritten e Pop up Window A window that pops up for example when
221. nstitution can be labelled by assigning a Client Reference Assigning Client References allows the user to structure the collateral pool This enables individual divisions to manage the collateral of the underlying entities separately Brief Description The Client Reference consists of two main tab pages Client Data and Settlement Data On the Client Data tab the Institute Type Institute Reference Custody Account Type Custody Account Reference Client and Comment fields can be entered Relevant screens are available in section 5 2 3 1 1 Client Data On the Settlement Data tab the fields required to support the collateralisation of GC Pooling trades are entered Relevant screens are available in section 5 2 3 1 2 Settlement Data Views in Xemac Xemac provides a range of predefined views that cannot be altered The views that can be used to display Client References are described below Current Client References This view contains all the client data that has already been checked and made available to the user for assigning within Claims and Contract Conclusions Status not checked This tabular view contains all the client data that still has to be checked These are Client References that have been e Entered but not yet checked Entry status e Processed but not yet checked Entry status e Deleted but not yet checked Deletion status
222. nt Another employee of the Collateral Provider will subsequently check this Claim Xemac allocates available collateral to this Claim from the Xemac pool of the Collateral Provider The stipulated global amount is now collateralised The case is different if the Collateral Provider has structured his collateral pool using Client References or if he wants to notify Deutsche Bundesbank of a global amount on behalf of one of his clients for the first time 1 The Contract Definition with Contract Definition type NCB provided by Xemac remains applicable The Collateral Provider refers to his clients or the internal structure of his collateral pool by allocating a Client Reference Based on the Contract Definition Deutsche Bundesbank enters a Contract Conclusion into the system As this Contract Conclusion refers to the client of the Collateral Provider and not his institution the Client Reference must be added on confirmation Then a second employee of the Collateral Provider checks the confirmation of this Contract Conclusion The next step is to enter collateral into the client s collateral pool by way of credit instruction This collateral is now available for allocation The Collateral Provider can now notify Deutsche Bundesbank of a global amount on behalf of his client Now he can enter a Claim with the corresponding global amount stating the respective Client Reference Another employee of the Collateral P
223. ntification to be entered in the SWIFT message is M independent of the settings chosen in the Xemac application WKN ISIN Common Code or Cusip End of Subsequence B Trade Details gt Repetitive Mandatory Sequence C Financial Instrument Account Quantity of financial 36B SETT 4 c15d SEIN tabe 36B e g Xemac instructions 36B SETT UNIT 35000 97A SAFE 35x For Xemac instructions field 97A in sequence C Safekeeping account 97A indicates the CBF debit account On a credit instruction it is the main account xxxx0000 of the Xemac customer On a debit instruction it is the Xemac sub account 550 xxxx0550 End of Sequence C Financial Instrument Account 177 Appendix 1 Connectivity via SWIFT syntax ISO 15022 Mandatory Sequence E Settlement Details 22F STCO DAKV 4 c For Xemac instructions 22F STCO DAKV YRTG 22F has to be entered The default value for Xemac instructions is currently YRTG RTS processing Any other code word entered will be rejected Settlement transaction condition M 22F SETR 4 c For Xemac instructions 22F SETR COLO or 22F SETR COLI has to be entered Type of settlement 22F The SWIFT code word COLO has been introduced for transaction M securities transfer from main account to sub account 550 Credit instruction COLO stands for collateral out The SWIFT code word COLI has been introduced for securitie
224. ntly a taker in the GC Pooling Claim and becomes a net provider by virtue of a trade the assets Free T from the Segregated Account are first utilised before taking additional assets Free E from the Reservation Account are allocated 153 7 GLOSSARY 154 Falls fall Chapter 7 Glossary Glossary Key Terms Abbreviations Abbreviation Description ACC Account AM Additional Margin AMAP As much as possible BIC Bank Identifier Code BLZ German Bank Code Bankleitzahl Central Application for Settlement CASCADE Clearing and Depository Expansion CBF Clearstream Banking Frankfurt CBL Clearstream Banking Luxembourg CCB Cash Correspondent Bank CCP Central Counterparty Eurex Clearing AG CLM Current Liquidating Margin CMSI Collateral Management CP Collateral Provider CSC Collective Safe Custody CSV Commaz separated Values file format CT Collateral Taker DCM Direct Clearing Member DEALCO Xemac Detailed Collateral and Exposure Statement Dt Bbk Deutsche Bundesbank DVP Datenversandprodukt Data transmission product EAD Eligible Assets Database ECB European Central Bank EDF Frankfurt Stock Exchange Europe Deutschland Frankfurt Code EGC EGCP Euro GC Pooling ESCB European System of Central Banks E security Own Security Eurex is the joint derivatives market of
225. ntract Definition type NCB The Collateral Taker can then use this global amount as collateral for example for Repo allocation purposes e Haircut Percentage discount on the market value of collateral that is required to determine the collateral value e Increasing the Global Amount Except in a GC Pooling or CMSI Claim the Collateral Provider can increase the amount of an existing Claim The increased global amount is accepted and valid if Xemac is able to collateralise the increased amount after an automatic confirmation and check by the Collateral Taker e Initial Notification Initial notification of a global amount to the Collateral Taker for example Deutsche Bundesbank carried out either by the institution of the Collateral Provider or on behalf of one of his clients e Instruction Credit instructions debit instructions and substitutions are all examples of instructions made by a Xemac participant e Instruction Status Status of an instruction in Xemac or in the position keeping system The instruction is entered and checked in Xemac and transferred to the position keeping system which either executes it or rejects it e Manual Allocation Release The provider of collateral uses this function to substitute allocated collateral First he allocates additional collateral thereby over collateralising the Claim Then he releases the allocated collateral that he requires for another purpose If required Xemac
226. nual Allocation Release Release Section The collateral allocated to the Claim can be viewed in the Allocated Collateral list box Here the individual positions are sorted in ascending order according to their securities identification number in the current example the ISIN This facilitates the search for specific collateral among a larger number of collateral positions The collateral to be released can be selected by clicking with the left mouse button If only a partial amount of the allocated collateral is to be released the selected value can be overwritten with the required partial amount If this value does not correspond to the smallest tradable unit or a multiple thereof Xemac will automatically round up the Selected Value accordingly Pressing the Y select button transfers the selected collateral with the corresponding amount to the Collateral to be released list box After selecting the positions to be processed the amount by which the Claim would be over collateralised or under collateralised is displayed in the Over collateralisation after Simulation field or Under collateralisation after Simulation This enables the user to check how much collateral can still be released If several partial values set for release for a security have been selected these values are summarised in the Collateral to be released list box Collateral can be removed in full or in part from the list of collateral to be
227. o save a generated report The Save As CSV Save As Excel Save As HTML Save as PDF Save as TXT and Save as XML functions can be used to save a generated report The following table shows the fields of the Save as TXT window with the input possibilities for each field Table 61 Field description of File save into window File save into Window Here the directory where the report should be Save as TXT Mandatory saved is selected Group box Files Output a of the displayed file type are on view Pre filled with Participant no Report Name_Date Mandatory Time txt The name can be altered individually File Type Mandatory ee with All Files The type cannot be 147 Chapter 5 Working with Xemac Xemac will propose a File name in the format Participant no Report Name_Date Time txt The date or time refers to when the report was generated The fields are returned in the format YYMMDD or HHMMSS For example the Claim Amount report for participant 6335 that was completed on 15 January 2013 at 18 15 22 has the file name 6335 Claim Amount_130115 181522 txt It is possible to modify the File name and the proposed Save As target directory Xemac will remember this directory and propose it the next time a view or report is to be saved The directory is then also visible under the Current Write Directory field in the Settings view The file is saved in
228. ol Chapter 2 Welcome to Xemac 5 Collateral Management Secured Instruments This service provides the investor with the necessary protection in case of issuer default bankruptcy The issued volumes are collateralised via Xemac The administration of the collateral is carried out by Clearstream which acts as a fiduciary between the issuer and the investor Should the issuer default the collateral is liquidated and paid out to the various investors on a pro rata basis For these purposes Xemac offers the following functions Xemac provides a Contract Definition with the Contract Definition type NCB Clearstream CMSI Euro GC Pooling or Eurex as a basis for the Contract Conclusions Basic definitions are made with regard to eligible securities collateral haircut allocation type Claim amount premium inclusion of accrued interest reusability evaluation method and the application of concentration limit Customers can use Xemac for the institutions linked to the account One can refer to these clients by assigning Client References The Client References can also be used to structure the collateral pool For instance individual divisions can manage their collateral separately Based on the Contract Definition types NCB Clearstream CMSI Euro GC Pooling or Eurex the Collateral Taker initiates Contract Conclusions in the system in favour of the Collateral Provider During
229. on CBL ee 140 C rrent Report Definitions VIEW ssisccesessssctcasaeacaasss seccaivaccezss naa eaa Eaa a aAA EE EA GA EAA 143 Generated Repons VISW ari asenapina E A a a eE ENA 144 Reports Schedule Sectio esinsin a A E NEEE EENE 145 Index of Tables Table 1 Documents avallable tor the CUSTOMNEN jcie cissstsciwisetui twice Miaiseieainuet elaine died Eaa a pE es 2 Table 2 Overview of the functions and their availability cccecceeeesceceeceeceeeeeeeaeeeeaaeeeeneeseaeeeeaaeeeenaeeeeees 17 Table 3 Status display tor entry of Clann cc ccceaas beccisase sedceasivc cannes Se cnaus bec ciaadnsctulaasteiecauaa bes RAN NEn a ET a 26 Table 4 Status display for deletion Of ClalinS cess ccceesass scieais ses tanase coewaad Sestenadescvadis des tumaassscunss oestauadesstudia ennnen 26 Table 5 Status display tor entered Claims iisss2siiaas ses cians ce ccaasteccaunas ce dadas see ciaaae vowaas ioe cauaabds Guba eepcauadeceduaasteetuaaae 39 Table 6 Activities on entering a global amount for the first time 02 0 0 eescceeeeecceeeeeeceeeeeeeeeeeseeeeeeeseeeeeenenees 40 Table 7 Steps for reducing Global amounts sisirin anano aa ara tease ete R ENa a S 40 Table 8 Activities for the initial notification of a Claim Amount to EureX ssssssssessssssseessssssesresrrensrnsenes 41 Table 9 Activities for the reduction of a Claim Amount sssesssseessesnesenssenesenssressrensrensrensnnnsrnnsnnnssnnnsnnennent 41 Table 10 Overview of a
230. on Participant Mandatory Mandatory Here the counterparty can be selected using his name depending on available Contract Conclusions for the selected Client Reference Xemac will then fill in the Name field accordingly Here the counterparty can be selected using his name depending on available Contract Conclusions for the selected Client Reference Xemac will fill in the Participant field accordingly This functionality is not offered for all Contract Definition types Client Reference Output not filled in Output not filled in As a rule the Participant Number and the Name of the Collateral Provider are pre defined and cannot be modified under Own Profile If Deutsche Bundesbank is the Collateral Taker its Name is specified in Counterparty The Counterparty Client Reference is only an output field This addition is also necessary even if a Claim for the own institution is entered In this case the empty Client Reference or the empty client must be explicitly selected in Client Reference or Client respectively At this stage it is possible to enter the Xemac partner either via the field Counterparty Participant or via his Counterparty Name Xemac will in both cases fill in the other field 102 Chapter 5 Working with Xemac The Claim raised can be based on only one Contract Conclusion The following fields of the Contract Conclusion e Own Contract Number e System Claim N
231. or a multiple thereof Xemac will automatically round the Selected Value accordingly Pressing the Y select button transfers the selected collateral with the corresponding amount to the Collateral to be allocated list box If several partial values have been selected to be allocated for the same security category these values are summarised in the Collateral to be allocated list box Collateral can be removed in full or in part from the list of collateral to be allocated by selecting the required position in the Collateral to be allocated list box If the user does not want to remove the entire position the required nominal value must be entered in the Selected Value field The selection is processed on pressing the select button Due to concurrent activities of other users there may be a temporary change in the collateral pool due to which the collateral designated for allocation may no 52 Chapter 4 Key functions and basic principles longer be available An error message will then be issued The entire instruction that is the allocation as well as the release is rejected by Xemac and is labelled with the Rejection status in the processing info After confirming the entry of the instruction with OK Entry status the collateral selected for allocation can no longer be used for other allocations or removed from the collateral pool 4 10 3 How to manually release Collateral A release in
232. or customers entering Xemac instructions via SWIFT is NEWM Execution ae 98A EXRQ 8 n Requested Date M Date at which the instructing party requests the instruction to be executed Instruction Type 22H CINT 4 c Indi M 22H netcalor M PADu is Principal Exposure Adjustment Exposure Type 22H COLA 4 c Indi M 22H ndicator M SLOA is Secured Loan Client Indicator M 22H edie ee PROV Instructing party is the collateral giver 184 Mandatory Repetitive Subsequence A1 Collateral Parties PARTY A M 95R 95R PTYA DAKV 34x Instructing party sending the collateral instruction If the Xemac Client Reference is empty the following entry is required DAKV xxxxMSC NONREFMSC NONREF xxxx representing the CBF account number If a Client Reference has been assigned by the instructing party for the claim to be adjusted the following entry is required DAKV xxxxaaa12345678901 bbb1234567890123 xxxx the CBF account number aaa Institute Type saved in the Xemac Client Reference 12345678901 Institute Reference saved in the Xemac Client Reference bbb Custody Account Type saved in the Xemac Client Reference 1234567890123 Custody Account Reference saved in the Xemac Client Reference PARTY B M 95R 95R PTYB DAKV 34x Counterparty of party A If the Xemac Client Reference is empty the following entry is required DAKV yyyyMSC NONREFMSC NONREF yyyy
233. orresponding icon e Enable the display of a tabular view or full view by left clicking on the item and e Enable the definition of a new standard view by changing to the view manager via Options not available for icons Collateral and Reports With the following icons the full views can be accessed e Client References and Claims users can enter Client References or Claims e Instructions users can enter Credit or Debit Instructions e Allocation Instructions users can check all Allocations Releases and Substitutions e Exposure Requests users can enter manual Exposure Requests e Contract Definitions users can check the eligibility of a security e Contract Conclusions users can enter Contract Conclusions 12 Chapter 2 Welcome to Xemac 2 4 2 Left clicking on the icon Settings allows users to get detailed information about the setup of the views It also allows users to configure the required screen to open up with a single right click Further details are provided in section 5 3 How to adjust the Settings in Xemac The user can select Generated Reports for the icon Reports This takes the user to the tabular view of all generated reports Menu item Options How to define a view as standard view Any view provided by Xemac can be stipulated as the default view for all icons The standard view can be set in the menu
234. port Generation The report is generated after the morning re evaluation The reports are generated after Xemac opening hours After morning re evaluation End of day The following frequency for report generation can be requested Table 58 Period of Report Generation Frequency Report Generation Daily Reports are generated on a daily basis The following table shows the pre set fields of the Schedule section with the input possibilities for each field Table 59 Field description of Display Report view Header Header Reports Description Field status Comment This field contains the number assigned to the Report No Output report by Xemac Name Output The name of the report that is issued Participant Output This field displays Xemac participant number Table 60 Field description of Display Report view Schedule Section Schedule Section Oon e a O Output The description of the report must be specified The report can be generated automatically at the PULoM alle Repar Output specified time and frequency or manually This generation field can be ticked as being Active or not ISO code Output This field is filled in with EUR Code Output The German Securities Identification Code p ISIN Cusip or Common Code Time at which report will be generated Here the frequency is displayed
235. pulates which sections of the Xemac main view can be accessed by an employee and which activity he is entitled to carry out for that section The security administrator on the customer side assigns these access rights in the security system of Deutsche B rse Systems 16 Chapter 3 How to access the system The following table provides an overview of the functions and their availability depending on the icons Table 2 Overview of the functions and their availability Es S Functions Icons gt ee E s 2 62 gt 5 5 58 3 2 Sor 2 O E D 6 2 o aoe odo io fo fs oO e5 0 a z wu lt lt O O Oo oc lt acia Contract Definitions X Client References X X X X X X Contract Conclusions X X X X X X X X Claims X X X X X X X Collateral X X Instructions X X X X X X 3 4 3 5 3 5 1 1 7 A manual allocation release instruction can only be given by users authorised to enter new instructions Any user can use the functions Settings and Reports Opening Hours The overnight batch process performs several control functions The collateral of the user is checked for eligibility and re evaluated Xemac subsequently checks whether all Claims are sufficiently covered If necessary additional collateral is allocated If this is not possible the global amount is reduced Xemac and all its functions are available as follows D
236. r Ctrl S 10 Chapter 2 Welcome to Xemac 2 3 2 Full View Users can switch from tabular view to full view by e Selecting a row of the tabular view and e Double clicking on the selected row or selecting Display in the menu bar In order to enter modify or delete Claims e The context menu must be requested with the right mouse button or alternatively by using the toolbar and e The user must click on a function such as Modify Full views are available for all icons of the Main View Contract Conclusions Claims Instructions etc The following figure illustrates a full view for Claims Own Claim No 1 System Claim No 2007000008 Version Own Contract No System Contract No 2007000008 Version Xemac Partner Claim Details Processing Information Own Profile Participant 6335 Name ABC BANK Client Reference Client Counterparty Participant 7069 Name Client Reference Client BLZ 60050000 ACC 1231234 ABC London Branch DEUTSCHE BUNDESBANK Figure 4 Full View Claims In a full view the user can re enter process or delete Contract Conclusions or Claims depending on the selection previously made in a tabular view The full view is divided into different sections For example the full view Claim includes the sections Xemac Partner Claim Details and Processing Information It is possible to switch
237. rding to the entries in the Xemac Output Number Partner section Contract Version Output Filled in according to the entries in the Xemac Partner section 103 Chapter 5 Working with Xemac Claim Details Section Name Field Status Pre filled Input possibilities Filled in according to the entries in the Xemac Contract Name Output Partner section Own Claim Number Optional entry Not filled in Curren Mandatory Filled in with EUR by default Can be changed y field during creation of a new Claim Collateralised from Output Pre filled with current date Collateralised until Output Not filled in a Claim is always unlimited Blank by default Feature enabled based on Optional entty Contract Definition setup Automatic Claim Decrease Request Optional entry Blank by default This field indicates the reason for automatic Claim changes due to following reasons e CASCADE Instruction Reference of the Instruction reference Output GC Pooling trade or Event Re evaluation due to changes in eligibility and or price or upcoming Corporate event for ISINs allocated in claims Collateral Value Output Not filled in Optional entry Not filled in Cover Ratio Output Not filled in An error message will be provided by Xemac if an Own Claim Number is used that has already been assigned A warning is issued if user enters an Own Claim Number that is in Deletion Checked status The Cla
238. re MQ cannot be rejected as they reach Xemac directly with Entry Checked status Rejection is carried out via the Status not checked tabular view The row s to be rejected must be selected and confirmed via the Reject selected rows window provided by Xemac If one or more rows are selected that do not meet the required validation checks the system will issue a corresponding error message to be deactivated with the OK button Xemac will then process the correct rows and give the rejected instructions the Entry Rejected status If the user terminates the rejection with the No button the selected instructions remain unchanged Debit Instructions 136 Chapter 5 Working with Xemac For debit instructions through File Transfer SWIFT or IBM Websphere MQ the immediate status is Entry Checked Hence like credit instructions these cannot be modified checked deleted or rejected For online debit instructions the procedure to move collateral from the collateral pool into the main CASCADE account is the same as for online credit instructions This also applies to the display processing checking deletion and rejection of the debit instructions The online debit instruction is first created or changed then checked or rejected and finally executed or rejected by the position keeping system It is not possible to debit T securities from the pool When the user selects a security to deb
239. released by selecting the required position in the Collateral to be released list 54 Chapter 4 Key functions and basic principles 4 10 4 box If required partial amounts can be entered in the Selected Value field The selection is processed on pressing the select button It is important to know that it is always the Releasable Nominal and Releasable Collateral Value fields that are carried forward to the Collateral to be released list box Xemac will reject the substitution instruction where such a substitution would lead to an under collateralisation of the Claim If the window is closed with the Cancel button the entries will not be saved The instruction must always be checked by another employee of the Collateral Provider How to substitute Collateral This section describes how collateral can be manually substituted in a Manual Allocation Release instruction After selecting the positions to be processed the amount by which the Claim would be over collateralised or under collateralised is displayed in the header of the Overcollateralisation after Simulation or Undercollateralisation after Simulation field This enables user to check how much collateral can still be released or how much collateral should still be allocated for a manual selection As in the case of entering a release or allocation instruction the user must first assign an Instruction No in the Instruction Data section The en
240. rements pursuant to the exchange s Risk Based Margining System 3 Bi lateral Contracts Bi lateral contracts can be entered into between Customers covering exposures for various purposes for example credit lines for Clearstream 4 General Collateral GC Pooling Repo Launched in March 2005 GC Pooling is a highly liquid market for secured funding in EUR USD and CHF The international participants benefit from anonymous electronic trading within Eurex Repo through a central counterparty CCP within Eurex Clearing with a real time collateral management system Xemac It is easy to trade extremely large tickets and deals can be seamlessly completed and then processed automatically The compelling advantage of GC Pooling is the possibility to reuse received collateral for further money market transactions the Eurex Clearing Margining process and refinancing within the framework of European Central Bank ECB open market operations provided that the bank has a German banking licence GC Pooling Market participants can select the various standardised baskets by predefined terms per currency Customers can execute Overnight ON Tomorrow Next TN and One Week Tender harmonised with ECB Tender Term The bookings on the underlying securities take place in Xemac CmaX CASCADE and Creation automatically Customers can however carry out manual release of a desired ISIN by having free eligible ISIN s of equivalent collateral value in a po
241. ries to recreate a Client Reference that already exists or is in Deletion Entry Checked status A newly created Client Reference is made available only after it has been checked It is only after its creation that it can be used to enter a Claim or Contract Conclusion 5 2 3 2 How to process Client References The Edit function enables user to change the name of a client and enter or modify a comment For that purpose the Client Reference cannot be in the Deletion Checked status Newly created and processed Client References that have not yet been checked can also be processed by the user who entered the corresponding Client Reference in the institution The Client and Comment fields can be modified as required The remaining fields are output fields They are filled according to the entry possibilities described in section 5 2 3 1 How to create new Client References 80 Chapter 5 Working with Xemac The Client field can be deleted In this case an alert is issued that can be deactivated by pressing OK On pressing the OK button the processed Client Reference is checked and accepted by Xemac This Client Reference is given the Entry status Modified Client References are to be checked so that they can be used for Claims or Contract Conclusions 5 2 3 3 How to delete Client References The Deletion function allows the user to delete Client References or modify client data for
242. rning re evaluation 1999000285 Owm Contract Conclusions After morning re evaluation 1999000286 Owm Contract Definitions After morning re evaluation 2008000002 Participant Contract Definitions After morning re evaluation 1999000278 Rejected Instructions After morning re evaluation 1999000290 Third Party Contract Conclusions After morning re evaluation 1999000291 Third Party Contract Definitions After morning re evaluation Figure 52 Current Report Definitions View 5 8 2 2 Generated Reports This tabular view contains all reports that were generated during the last 12 business days They are made available by the server as hard copy printouts or files The user ID of the user who generated the report is entered in the example as 6335111111 The reference MASCHINELL appears for automatically generated reports The Additional Information column shows either the corresponding Client Reference or the Contract Definition for which the report was generated 143 Chapter 5 Working with Xemac 6335 Generated Reports p O x Generated Reports View Columns Filter Options a z Lata reset rer Participant Additional Report Date Time Number No Information No of Generation of of Lines Generation Eligible Securities per CDef Clearstream Securities Lending 2008000237 26 02 2010 12 08 03 6335111111 43595 Eligible Securities per CDef bereim m
243. rovider will subsequently check this Claim Xemac allocates available collateral to this Claim from the Xemac pool of the client The global amount stipulated by his client is now collateralised 3 5 2 Pledging Collateral in favour of Eurex Assumption The customer wants to provide Eurex with collateral via Xemac for the first time The required steps are described briefly as follows 1 Xemac provides six Contract Definitions Margin ICM Collateralis Eurex Clearing Pledge Eurex Reuse Eurex Reuse Equity Eurex Reuse EXTended and Eurex Reuse INT MXQ with Contract Definition type Eurex as a basis for a Contract Conclusion with Eurex The Contract Definition type defines eligibility and other valuation parameters besides permitting reuse of received collateral out of GC Pooling transactions 18 Chapter 3 How to access the system Eurex enters a Contract Conclusion into the system which the Collateral Provider must confirm Then a second employee of the Collateral Provider checks the confirmation of this Contract Conclusion The next step is to enter collateral in the collateral pool by way of credit instruction This collateral is now available for allocation Now the Collateral Provider can initiate a Claim in Xemac with a Claim Amount zero This can subsequently be raised corresponding to the amount that has been pledged to Eurex as full or partial cover for margin requirements pursuant to its Risk Based Margining
244. rrency Client Reference ID Collateralised from Page only on pdf file Contract Version Counterparty Counterparty Client Counterparty Client Reference Cover Ratio Name of Counterparty Own Claim No Own Status System Claim No System Contract No Version 190 Appendix 3 Reports in Xemac Report Daily Change Global Amount This daily report contains all daily changes in Claim Amounts along with Time of the Change New Amount Old Amount and Difference It also includes the Own Claim Number This report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 65 Description of Columns of Report Daily Change Global Amount General information Columns in alphabetical order Report No Action Data as of Claim Currency Participant No Claim Status Reference Currency Counterparty ID Counterparty Client Page only on pdf file Counterparty Client Reference Date Difference GCP Basket Instruction Reference Event Name of Counterparty New Amount Number Old Amount Own Claim No System Claim No Time Version 191 Appendix 3 Reports in Xemac Report Historical Claims This report contains all historical Claims that have Deletion Confirmed Chec
245. rt name is filled in the GCP Basket column 5 5 2 2 Tabular View Status not checked 98 Chapter 5 Working with Xemac 5 5 2 3 5 5 2 4 5 5 2 5 5 5 2 6 5 5 3 This tabular view displays all Claims that are still to be checked that is Claims with the following status e Entry e Entry Rejected e Deletion or e Deletion Rejected Tabular View Historical Claims The Historical Claims view displays Claims that were valid in the past but are no longer valid They have been either modified or deleted since their introduction into the system for example change of status If for example the global amount for Deutsche Bundesbank is increased the previous version with the lower global amount will automatically become historical after that the Claim modification has been checked The same will happen in the case of the deletion of a Claim After the check and manual confirmation by the counterparty the Claim will automatically become historical This view contains all historical Claims with all historical versions displayed in sequence for each Claim However only the versions of a Claim with Entry Confirmed Checked status become historical This view exclusively displays Claims e For which the data has been modified at least once after reaching Entry Confirmed Checked status e That were deleted after reaching the Entry Confirmed Checked status
246. s respectively Intermediate processing statuses are not visible to the other Xemac partner It is only after one party has concluded its activities by means of the four eyes principle that the other party can see the information If for instance the Collateral Provider has entered a Claim the Collateral Taker will only see the message after the entry of the Collateral Provider has been checked The first row of the processing information displays either Entry or Deletion Further processing or the resulting display of processing info is identical for both statuses Example Processing information Claims Assumption the Collateral Provider wants to reduce a global amount reported to Deutsche Bundesbank and change the respective Claim The processing information will look like Function Date Time User Entry 11 12 2012 08 08 08 6335111111 According to the four eyes principle the reduction of the global amount must be processed by another user who can either check or reject it Depending on the outcome Check or Rejection will be entered in the first column of the second row In this example the reduction is checked Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 After the check Deutsche Bundesbank can process the reduction of the global amount From this point in time Deutsche Bundesbank can view the processing inform
247. s other processes with automatic generation of allocation instructions for example re evaluation or manual allocation instructions entered via the Xemac client Bubble Help Xemac provides context sensitive and fast on screen bubble help The bubble help can be activated deactivated via the Settings icon within the Xemac Main View How the Bubble Help works If the user wants to see the Bubble Help for an entry field the mouse pointer must be brought over the field in question and the bubble help text will then pop up automatically 149 6 XEMAC IN CLEARSTREAM S SYSTEM ENVIRONMENT Chapter 6 Xemac in Clearstream s system environment 6 1 Settlement locations CASCADE Creation In order to make collateral available in the Xemac pool to collateralise a global amount for any Collateral Taker via Xemac it is required to transfer positions Transfers of positions from a main account to a sub account Credit Instructions can be entered for the CBF CASCADE or CBL Creation settlement location In a similar way transfers of positions from a sub account to a main account Debit Instructions can be entered for both settlement locations 6 1 1 CASCADE CBF Settlement Location In CASCADE positions are transferred from the CASCADE main account into the CASCADE sub account 550 or vice versa Changes of position in the Xemac pool are first entered by Xemac in CASCADE and then reflected in Xemac according
248. s Identification Code ISIN Common Code or Cusip is displayed here Security Output The depository of the security is displayed here Depository Security Output The securities identification number of the collateral is SIN displayed here Security Output The security description is displayed here Name Security The Type T or E is indicated here Type Securit This field displays the basket short name Ses 4 Output et Security Either CBF for CASCADE or CBL for Creation is displayed Settlement Output here as Settlement Location Location Participant participant that holds the selected collateral Name holds the selected collateral is displayed Collateral Pool This field displays the Client Reference of the provider of Output collateral for the contract or Claim to which the collateral Security Code Output Client Reference refers Name refers Trad Currency Output The applied Market Price depends on the underlying Market Price P Contract Definition Trad Currency Here the quality of the price used for the valuation can be Output Price Type checked This field shows the pool factor of the security which lies Output between 0 and 1 If no pool factor exists the field will display 1 This field shows the indexation coefficient of the security if Indexation Output applicable If no indexation coefficient exists the field will Coefficient display 1 Trad Currency The nominal value o
249. s Processing Information Settlement Location CBF CBI Debit Account Account 6335 550 Name ABC Bank Client Reference BLZ 60050000 ACC Client ABCABC Credit Account Account 6335000 Name ABC Bank Beneficiary Account Name SSS Figure 49 New Debit Instruction Accounts Section Settlement Location CBF For an instruction with settlement location as CBL for debit account the Reservation Account is displayed for the respective Client Reference The Xemac participant number is displayed for the credit account along with the BIC or Source Account on a case by case basis 139 Chapter 5 Working with Xemac 2G 6335 New Debit Instruction Participant 6335 Instruction No Debit Instruction Accounts Processing Information Settlement Location CBF CBL Debit Account Client Reference BLZ 60050000ACC 1234567 Reservation Account 12345 Client ABCABC Credit Account Participant 6335 E Name ABC Bank Source Account 54321 De 6335 New Debit Instruction Participant 6335 Instruction No Debit Instruction Accounts Processing Information Settlement Location CBF CBL Debit Account Client Reference BLZ 60050000 ACC 1234567 Reservation Account 12345 Client ABCABC Credit Account Participant Name ABC Bank Bank Identifi
250. s and if the participant has enabled this new feature This field indicates the reason for an automatic Claim change due to following reasons e CASCADE Instruction Reference of the GC Pooling Automatic Claim Decrease Request Optional entry Instruction Reference Event trade Re evaluation due to changes in eligibility and prices or an upcoming Corporate event see section 4 8 1 1 5 5 3 6 2 MT527 Claim Adjustment request Customers acting as Collateral Providers have the possibility to change the claim amount by sending Claim Adjustment Request via an MT527 message Reporting about adjustments of their Xemac claims Exposure Management EXPOMA and related collateral movements Collateral Management COLLMA via MT558 messages can be received as the answer to an MT527 Claim Adjustment Request message More details about Data Transmission Products can be found under section 5 8 4 Data Transmission Products Reporting This Automation process will only be applicable for Claims based on the Contract Definition Types NCB Eurex and Bilateral Contracts 108 Chapter 5 Working with Xemac The incoming MT527 customer interface will be validated with regards to e Xemac opening hours All MT527 Claim Adjustment requests sent by customers acting as a collateral provider outside Xemac opening hours will be rejected in a timely manner e The Sender s Collateral Transaction
251. s counterparty has only changed his Own Contract No the same applies as described in section 4 2 1 Particularities with respect to Contract Conclusions Particularities with respect to Claims 27 Chapter 4 Key functions and basic principles 4 3 3 4 4 If the user has changed only the Own Claim No and or the Comment the same applies as described in section 4 2 2 Particularities with respect to Claims This also applies if the counterparty has only added or modified the Own Contract Number Particularities with respect to Exposure Requests An Exposure Request entered by one user needs to be validated by the second user Details about Exposure Request are provided in section 5 7 3 4 Entry of manual Exposure Request Reciprocal confirmation Compared to the four eyes principle the reciprocal confirmation does not support the check function within one Xemac participant but between two Xemac participants The following are subject to reciprocal confirmation e Contract Conclusions and e Claims A Claim with Deutsche Bundesbank will be used to explain the reciprocal confirmation It will show the effects on version and status Xemac collateralises a Claim only after both Xemac partners have accepted it In the first step the Claim is both entered and checked by the institution entering the Claim In the second step the Claim is confirmed by the counterparty using the four eyes principle This confirma
252. s transfer from sub account 550 to main account Debit instruction COLI stands for collateral in gt Repetitive Mandatory Subsequence E1 Settlement Parties 95P REAG 4 a2 a2 c 3 c 95R REAG 8c 34x Safekeeping account 95Q REAG 4 35x 95P 95R_ When 95P or 95Q is used 97A should also be used 95Q When 95R is used it should always include DAKV When using 95R the Xemac account should have the following format 95R REAG DAKV xxxx0550 Receiving agent M 97A SAFE 35x For Xemac instructions field 97A in subsequence E1 Safekeeping account 97A indicates the CBF credit account On a credit B instruction it is the sub account 550 xxxx0550 of the Xemac customer On a debit instruction it is the Xemac main account 000 xxxx0000 End of Subsequence E1 Settlement Parties End of Sequence E Settlement Sequence For Xemac credit and debit instructions with Client Reference other than blank In addition to the fields mentioned above Appendix 2 Part Xemac credit and debit instructions with Client Reference blank the following fields must be completed in subsequence E1 when customers refer to particular parts of their collateral pool while crediting debiting instructions in Xemac e The Xemac Client Reference should be entered in the DECU RECU SELL and BUYR settlement parties e When the DECU settlement party is delivered the SELL settlement party should also be deliver
253. scription of Columns of Report Allocations General information Columns in alphabetical order Report No Accrued Interest in Claim Currency Data as of Allocation Type Participant No Basket Reference Currency Claim Currency ID Client Reference Page only on pdf file Collateral Value in Claim Currency Collateral Value in Reference Currency Counterparty Counterparty Client Reference Denomination Currency Haircut Issuer Country Issuer Group Issuer Name Last Redemption Date Market Value in Reference Currency Nominal Value Amount Price Date Quotation Relevant Claim Amount Securities Description Settlement Location SIN System Claim No Type Xemac Price 197 Appendix 3 Reports in Xemac Report Collateral Pool This daily report displays for all a participant s Client References the securities with Free Pledged or Appropriated collateral status The securities are classified by Client References and collateral status and are summed per block The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 73 Description of Columns of Report Collateral Pool General information Columns in alphabetical order Report No
254. section Xemac will issue an alert which can be deactivated by pressing Ok On confirming the modification with OK Xemac will adopt the new Own Contract Number This means that the four eyes principle will not apply if the field Own Contract Number is modified This window can be left with Cancel if no changes were made An error message is issued if this window is closed with the OK button without having made any changes Changes will not be saved if the window is closed with the Cancel button 5 4 3 3 How to confirm Contract Conclusions Newly created Contract Conclusions or Contract Conclusions set for deletion must always be manually confirmed This can only be carried out in the full view Automatic confirmation is not applied The sections of the full view are illustrated in section 5 4 3 1 How to display a Contract Conclusion In the confirmation full view Close is replaced by OK and Cancel If a Contract Conclusion version 1 is confirmed an Own Contract Number can be assigned and a Client Reference can be added if necessary An existing Own Contract Number cannot be reassigned Xemac issues an alert if the user fails to assign an Own Contract Number or enters an Own Contract Number that has Deletion status The Contract Conclusion is confirmed by pressing OK The status of the selected Contract Conclusion remains unchanged if the confirmation is terminat
255. ser to carry out the confirmation rejection or check at leisure It is the responsibility of the responsible institution to monitor this process It is important to know that all Claim processing activities create increase reduce delete and accept towards GC Pooling are conducted on behalf of the Collateral Provider directly between Clearstream and Eurex Clearing The examples below describe the processing actions in non GC Pooling Claims Examples Example Initial notification of Global Amount towards Deutsche Bundesbank If the Collateral Provider confirms the entry of a Claim with OK Xemac will file this Claim in the system under a unique own Claim system number with status Entry and version 1 The following extract illustrates which functions create which version of the Claim with the System Claim Number 201200001 and how the notion of status and version can develop Function System Claim Version Status Actor Number CP New 201200001 1 Entry User 1 In this status Deutsche Bundesbank has not yet been notified of the new global amount as the Claim has not yet been subject to the four eyes principle by the Collateral Provider The next step is the second user check of the Collateral Provider The check merely changes the status to Entry Checked The version remains however unchanged Function System Claim Version Status Actor Number CP Check 201200001 1 Entry che
256. status is aS Collateral Taker Collateral Provider Function Checked Confirmed Confirmed Checked Confirmed Rejected mo KH x 8 o Ke O Entry Entry Rejected Entry Entry Entry Rejected Checked Entry omnim e e e ee eS ee ee 1 Here is shown which activity the counterparty carried out previously 2 Here is shown which activity the customer s institution carried out previously 96 Chapter 5 Working with Xemac 5 9 5 5 1 5 5 2 The table for deleted Contract Conclusions corresponds with that for entered Contract Conclusions The only difference is that Entry is substituted by Deletion in the 2nd and 4th column headings How to enter Claims in Xemac After the user has set up a contract in Xemac and thereafter intends to set up Claims the following sections explain how to e Enter new Claims into the system e Display Claims e Modify Claims Edit Accept the latest version of the Contract Conclusion for the existing Claims only if required intra day Delete Check Claims e Reject Claims Substitute allocated collateral by way of Manual Allocation Release Brief Description A Claim is always based on a Contract Conclusion with Contract Definition type NCB Clearstream CMSI Euro GC Pooling or Eurex A Claim is always entered in Xemac by the Collateral Provider As such the Collateral Provider enters a new Claim or
257. stream relating to the Collateral Management Secured Instruments service Euro GC Pooling which forms the basis of all Contract Conclusions relating to the collateralisation of the GC Pooling transactions Eurex for Contract Conclusions with Eurex The settings icon is available at the bottom right of the main screen Settings Presents a number of user configurable options regarding Xemac presentation see section 5 3 How to adjust the Settings in Xemac Language Providing the options of both English and German Bubble Help Activates or Deactivates user selection for the help facility Once activated the Bubble Help is available in every screen by holding the mouse over the field see section 5 9 Bubble Help Colour Credits debits free and other securities being presented in contrasting on screen colours Filter Activates or deactivates a filter menu bar in all tabular views to enter filter criteria for all available columns Pre filter Activates or deactivates a pre filter see Figure 27 Settings Full View for three different tabular views Collateral Positions Allocated Collateral and Collateral Overview Under icon Collateral It 7 Chapter 2 Welcome to Xemac is performed with one of the following criteria Client Reference Counterparty ISIN and Settlement Location Below is a sample view of Collateral Positions when the pre filter is activated in Settings D Collat
258. struction can only be entered if there is no pending allocation instruction without PKS notification This section illustrates how allocated collateral can be released After the release the collateral is again available and eligible It can be used to cover other Claims or it can be removed from the pool Xemac releases collateral only if the Claim is still sufficiently covered First an Instruction No must be assigned in the Instruction Data section The entered value must be between 1 and 799999 The fields displayed in the header are for reference purposes only The calculation is carried out in the Claim currency The fields Claim Amount and Relevant Claim Amount always refer to the underlying Claim in Entry Checked Confirmed status The Relevant Claim Amount in a Euro GC Pooling Claim shows the Claim including the Claim Amount Premium For example where the Claim is 100 and the Claim Amount Premium is 1 the Relevant Claim Amount displays 101 whereas the Claim Amount displays 100 Counterparty detailed information can be found in the Xemac Partner section D 6335 Manual Allocation Release R o xi Claim Amount 2 003 640 209 8500 EUR Relevant Claim Amount 2 003 640 209 8500 EUR Overcollateralisation 36 2850 EUR Overcollateralisation after Simulation 36 2850 EUR Instruction Data i Allocate i Release Xemac Partner Processing Information Own Profile Participant 6335 N
259. t Key characteristics of e Instruction type will be 01 and Securities transfer type securities transfer COLO COLI e Settlement type will be RTS only Instructions value date e Current date or future value date e Pending credit instructions are rejected on settlement date at the end of the RTS cycle Rejected Instructions e Debit instructions for which substitutions cannot be performed due to lack of collateral are rejected in Xemac at end of RTS Piper SOS Receipt of instructions via Xemac Table 51 Description of the Xemac behaviour depending on the instruction settlement date 133 Chapter 5 Working with Xemac Value date Description e The credit instructions are immediately transferred to CASCADE e For the debit instructions if held free securities are available the instructions are immediately transmitted to CASCADE If no Value date today held free securities are available the instructions are transmitted to CASCADE as blocked securities and the settlement block will be removed from CASCADE by Xemac after successful completion of an automatically triggered substitution e For credit instructions on settlement date the instructions will settle if the balance is available on the account e For debit instructions on settlement date Xemac will try to Future value date settle the instructions and when required will start off the substitution process Debit instructions will be reje
260. t the check by the user s institution and the confirmation through the counterparty are not carried out A new version is not created This also applies if the counterparty has only added or modified the Own Claim Number The system automatically increases the version of the Claim by 1 after processing if the Claim was in Entry Confirmed Checked status before being processed After processing an existing Claim there is another Claim in the system with the same Claim number but with a higher version increased by 1 The original version can no longer be processed The functions available for a Claim depend on the Claim s status For example it is only possible to check Claims that have not yet been checked The user can check a Claim in Entry Rejected status even if he rejected this Claim This allows the user to rectify an error or carry out the check having conferred with the person who entered the Claim Each user authorised to carry out deletions can delete the version of a Claim selected for deletion The previous version with Entry Confirmed Checked status remains valid Xemac stores Claim versions with the status Deletion Confirmed Checked in the historical database The previous blocked version will also be visible as a historical Claim The tabular views display the status of a Claim as described below The following table gives an indication about the changes in status linked to particular functions
261. tain only the current Claims that is all Claims with Entry Confirmed Checked Claim Status Only the tabular views Claim Number Status Not Checked and Historical Claims display Claims with other statuses We Selection Default iew Claims Oj x Select View View Origin Description Standard View xemat Automatically Confirmed xXemac Claim Amount x Xemac Claim Number xemat Daily Change Global Amount Xemac Historical Claims xemat Status not checked Figure 32 Xemac Default View Claims The following sections describe the information displayed per view Tabular View Claim Amount This view displays all current Claims including Claims with blocked status in ascending order of Claim Amount in Claim Currency The Reference Currency is always EUR The Claim Currency can be different from EUR Eligible currencies are those that can be processed in the CASCADE Foreign Currency application The Counterparty is the Collateral Taker or Collateral Provider depending upon the profile of the customer The Own Status can be either Provider or Taker A Claim Amount with cover ratio lower than 100 will be highlighted in red if colour has been selected within Settings For Claims with Contract Definition Type Euro GC Pooling and for all GC Pooling Reuse claims with Contract Definition Type Eurex or NCB the Basket sho
262. tatus or that were created modified or deleted only the correct Claims will be processed as described above An error message will be displayed when not all Claims could be checked The error message will be deactivated by pressing OK The view will not be closed automatically 109 Chapter 5 Working with Xemac The selection is not saved if the check is terminated by selecting No The Claims remain untouched remaining with the same status as before selection If the check is carried out on the day after the entry Xemac will set the date Covered from which is filled in with the previous day s date to the current date Increasing the Claim Amount Claims are automatically confirmed when the global amount of a Claim with Entry Checked status is increased Xemac allocates the corresponding collateral to the Claim Deutsche Bundesbank or Eurex are notified of the collateralised higher Claim Amount or the allocated collateral in the Daily Change Global Amount view If Xemac cannot provide sufficient collateral for the increased Claim Amount because the collateral pool of the customer does not have sufficient eligible collateral Xemac will reduce the entered Claim Amount according to the collateralisation and notify Deutsche Bundesbank or Eurex of the revised amount For Claims towards Euro GC Pooling the value of the Claim with Eurex Clearing net Claim changes automatically with every instruction
263. te positive or Collateral Provider values with negative sign are displayed The status of the manual allocation release has therefore to have the Entry Confirmed Checked status The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 71 Description of Columns of Report Allocation Changes General information Columns in alphabetical order Report No Accrued Interest in Claim Currency Data as of Claim Currency Participant No Client Reference Reference Currency Collateral Value in Claim Currency ID Collateral Value in Reference Currency Page only on pdf file Comment Haircut Instruction No Market Value in Reference Currency Nominal Value Amount Securities Description Settlement Location SIN System Claim No Transaction Type 196 Appendix 3 Reports in Xemac Report Allocations This daily report shows a detailed view of all allocated securities to the Claims with additional information like Xemac Price Quotation Accrued Interest and Haircut The information is sorted by Allocation Type Client Reference and ISIN allocated The report is used by the Collateral Provider and the Collateral Taker and is generated automatically at end of day The following columns are included in the report Table 72 De
264. ted Claims is that Deletion instead of Entry is entered in the first row If a deletion has been confirmed and checked the Claim is no longer available 39 Chapter 4 Key functions and basic principles 4 6 7 Processing for Contract Definition Type NCB 4 6 7 1 Initial notification of a global amount to the Deutsche Bundesbank If a user wants to provide collateral he must accordingly enter a Claim into the system with a respective global amount After the check Deutsche Bundesbank Dt Bbk automatically confirms the Claim Xemac then allocates eligible collateral to the Claim and reports the collateralised global amount to Deutsche Bundesbank The following table illustrates the sequence in which the required actions are carried out Table 6 Activities on entering a global amount for the first time Step Collateral Provider Collateral Taker Xemac 1 Enter Claim User 1 2 Check Claim User 2 Automatic confirmation of Claim 3 System 4 Allocate collateral System 5 Report collateralised global amount to Dt Bbk 4 6 7 2 Increasing global amount towards Deutsche Bundesbank The procedure for increasing the global amount is the same as for an initial entry 4 6 7 3 Reducing global amount towards Deutsche Bundesbank To decrease the collateral pledged to Deutsche Bundesbank the Collateral Provider should reduce the global amount of the Claim After checking the
265. tered value must be between 1 and 799999 Detailed information on the contracting parties can be found in the Xemac Partner section Both sections mentioned and the respective procedures are described in detail in section 4 10 3 How to manually release Collateral The choice is available as to whether Xemac shall automatically select the collateral to be allocated or whether the selection should be carried out manually If the user wants Xemac to automatically select the collateral to be allocated the Substitution Automatic Selection checkbox in the Release section should be checked 55 Chapter 4 Key functions and basic principles lolx Claim Amount 2 003 640 209 8500 EUR Relevant Claim Amount 2 003 640 209 8500 EUR Overcollateralisation 36 2850 EUR Undercollateralisation after Simulation 139 576 763 7150 EUR Instruction Data Allocate Release Xemac Partner Processing Information l L Allocated Collateral SIN Settlement Location Type Nominal ValuesA Collateral Value Releasable Nominal Value Releaseabl 1_ DE0001780807 CBF E 2 953 000 00 2 906 672 28 2 953 000 00 ES 2 DE0002146826 CBF E 116 849 000 00 115 038 716 87 116 849 000 00 3 DE0003157004 CBF E _24 771 000 00 24 729 690 12 24 771 000 00 4 DE0007271629 CBF JE 109 364 000 00 106 430 857 52 109 364 000 00 5 DE000A0Y2YM7 CBF E 150 000 000 00 139 576 800 00 0 00 6 DEOODADY2ZF8 CBF JE
266. this the user can also substitute collateral in this submenu see section 5 5 How to enter Claims in Xemac Collateral Customers can view their collateral positions allocated collateral or both combined through collateral overview More details are available in section 5 6 How to display Collateral Reports Customers can generate reports through this icon The server makes the generated reports available as printout or file see section 5 8 Reports The bottom part of the main view contains the icons relative to the set up of Client Reference Contract Conclusions and Contract Definitions Client References They allow customers to maintain their underlying client details see section 5 2 Save client data as Client References Contract Conclusions Here customers maintain Contract Conclusions with the Deutsche Bundesbank Eurex as well as with any other Collateral Taker see section 5 4 How to set up Contract Conclusions Contract Definitions Four types of Contract Definitions exist within Xemac see section 5 1 Contract Definitions are the basis for Contract Conclusions NCB which is the basis for Contract Conclusions with Deutsche Bundesbank or another national central bank e g BdF NBB etc Clearstream which is the basis for bilateral Contract Conclusions and Securities Lending related products CMSI which is the basis for all Contract Conclusions with Clear
267. tion Code ISIN Common Code and Cusip The basket security identification number for Contract Definition type Euro GC Pooling for example ISIN DE000A0AE077 EGCP or DE000A0WKKX2 EGCP Extended or DE000A1EZNP6 GCP Equities or DEOO0A1PHUP5 INT MXQ is displayed here This field displays the basket short Basket only Euro GC Pooling name for example EGCP EGCPX GCP Equities or GCP INT MXQ Basket SIN only Euro GC Pooling Output 5 1 3 2 Eligibility Section There are different eligibility norms for securities earmarked for Deutsche Bundesbank Contract Definition type NCB and Eurex Clearing AG Eurex and Euro GC Pooling Details are listed below 66 Chapter 5 Working with Xemac J 7069 Display Contract Definition Responsible Institute 7069 Contract Definition No 1 Version 7 f Identification if Eligibility if Contract Details Processing Information Available Collateral Groups Included Collateral Groups San Nee GroupName Haircut READ Bek Eligible Asset Add pmen 0 00 3 EAD BDE Eligible Asset 4 EAD BDF Eligible Asset 5 EAD BDI Eligible Asset EAD securities Eligible Asset gt Remove Haircut Excluded Individual Securities Included Individual Securities SIN Settlement Location SIN Settlement Location Haircut
268. tion and check can be carried out in two ways 1 Manual confirmation and check This is carried out when e Reducing the Claim Amount at Deutsche Bundesbank or any other Collateral Taker and e Deleting a Claim at Deutsche Bundesbank Eurex or any other Collateral Taker 2 Automatic confirmation and check This is carried out when e Creating a new Claim at Deutsche Bundesbank Eurex or any other Collateral Taker e Increasing a Claim Amount at Deutsche Bundesbank Eurex or any other Collateral Taker e Automatic modifications in net Claims take place due to Repo trades under Contract Definition type Euro GC Pooling and Claims in Entry Checked Confirmed status Entry Checked Rejected status and Entry Confirmed Rejected status are being processed by the counterparty within the scope of the four eyes principle which is not yet concluded 28 Chapter 4 Key functions and basic principles 4 5 4 5 1 The user of the institution entering the Claims will be able to view these Claims but in the old Entry Checked status Only after the counterparty has concluded the four eyes principle the user will be able to see the Claim with the current and correct status Entry Confirmed Checked or Entry Rejected Checked Contract Conclusions which are not confirmed within three bank business days of their entry will not be deleted contrary to the deadline otherwise applicable This enables the u
269. tivated by confirming the rejection with the Yes button It will not be possible to use it when entering collateral The Client Reference is given the Entry Rejected status Selected Client References set for deletion are not deleted when the rejection is confirmed with the Yes button They are given the Deletion Rejected status If the rejection is terminated with the No button the selected Client Reference remains unchanged 5 2 4 Functions available depending on the status of the Client Reference As described in previous sections the availability of the New Display Process Check and Reject functions depends on the status of the Client Data The following table gives an overview of which functions are available depending on the status of a Client Reference Table 23 Available functions depending on status of Client Reference Status of Client Reference Entry Entry checked Rejection Deletion checked Deletion Availability of function 83 5 3 Chapter 5 Working with Xemac How to adjust the Settings in Xemac Xemac can be operated in either of two languages German and English The user interface and generated reports are presented depending on the selected language The following table displays how a date or a number is presented depending on the selected language Table 24 Representation of date or number depending on language Representatio
270. tomatic Substitution The manual Release of an ISIN locked in a Euro GC Pooling Claim is possible only if the participant has free Euro GC Pooling eligible ISIN s of equivalent Collateral Value In this case the substitution checkbox is automatically checked Likewise a release is not possible even if the Claim is over collateralised without offering free ISIN s of equivalent value of the requested release e An allocation release instruction until it is executed completely blocks any upcoming further allocation release instructions As instructions linked to the repo trades are carried out in batch settlement modes any open unexecuted allocation release instruction generated just before the commencement of the batch cycle obstructs the execution of the upcoming system generated allocation release instructions in the batch cycle Therefore the XEMAC system does not permit a user to enter an allocation release instruction from about six minutes before as well as during the batch settlement cycle SDS1 The allocation release instructions existing in the system in Entry status are therefore deleted before the commencement of the batch settlements All such deleted instructions are visible through the Deletion by System system generated report These restrictions are applicable to GC Pooling Claims and reuse Claims under the Contract Definition Types NCB and Eurex Xemac views of Allocation Instructions Xema
271. try check rejection or confirmation on which day and at which time If a Claim has been entered the date and time of the entry are displayed along with the user ID of the person entering the Claim After the Claim has been checked the date and time of the check are added along with the user ID of the person checking the Claim etc e Provider of Collateral See Collateral Provider e Real Time Settlement RTS An immediate transfer of ownership takes place for instructions that are settled in RTS Securities entered by way of RTS can immediately be allocated as collateral by Xemac e Reciprocal Confirmation Reciprocal confirmation of changes to a Claim that were made by both counterparties Only after both parties have agreed to the entered or modified Claim does Xemac start to collateralise the Claim or in the event of modifications apply the changes The reciprocal confirmation of Claims can be carried out manually or automatically 160 Chapter 7 Glossary For Contract Conclusions with Deutsche Bundesbank initial notifications and increases of the global amount are automatically confirmed by Deutsche Bundesbank Reductions of the global amount and deletions of Claims must be confirmed manually For Contract Conclusions with Eurex based on the Eurex Contract Definition type newly generated Claims increases and reductions of the Claim Amount are confirmed automatically the deletion of a Claim is confirmed manually
272. ty has applied the four eyes principle that the user will see the Claim in the correct current status 5 5 3 2 How to enter a Claim for NCB Clearstream CMSI and Eurex 100 Chapter 5 Working with Xemac For this purpose the user needs to change to the full view from the tabular view to enter a new Claim as described in sections 2 3 1 Tabular View and 2 3 2 Full View Both the Xemac Partner and Claim Details sections should be used Individual fields of these sections are filled in The originator of the Claim that is the person entering the Claim is the Collateral Provider when creating a Claim A Claim consists mainly of e The Own Claim Number which is optional for the person entering the Claim e The System Claim Number which the system assigns when a Claim is generated e The Claim Version which the system increments by 1 after each activity it is initialised to 1 upon selecting New e The Claim Amount assigned by the Collateral Provider e The Claim Currency assigned by the Collateral Provider e The Comment entered by the person entering the Claim e A Contract Conclusion assigned by the person entering the Claim e The Own Profile data e The Counterparty data and e The additional details to which both parties must agree The client details of the user and the corresponding counterparty are displayed on the Xemac Partner tab
273. ty of the Contract Conclusion It also explains how a Contract Conclusion can be rejected or refused Brief Description The Contract Conclusion is a central element in Xemac e Xemac provides the Contract Definition type NCB for Contract Conclusions with the Deutsche Bundesbank or other NCBs Deutsche Bundesbank is always the end party receiving collateral Collateral Taker The customer institution is always the Collateral Provider e Xemac provides the Contract Definition type Eurex for Contract Conclusions with Eurex Eurex is in this case always the party accepting collateral The customer institution is always the Collateral Provider e Xemac provides the Contract Definition type CMSI for Contract Conclusions with the Clearstream Banking Frankfurt Clearstream is in this case always the end party receiving collateral The customer institution is always the Collateral Provider e Xemac provides the Contract Definition type Euro GC Pooling for customers intending to participate in GC Pooling Repo trades In such Contract Conclusions the Own Status is set to Both For all other types of Contract Definitions this field is set to Only Collateral Provider Thus a participant in a Euro GC Pooling Claim can change from a Collateral Provider to a Collateral Taker and vice versa e Xemac provides the Contract Definition type Clearstream for Bilateral Contract Conclusions
274. umber e Contract Version and e Contract Name are displayed on the Claim Details tab part of Contract Data In general a selection of those fields is not possible except when for example two Contract Conclusions have been set up referring to the same Client Reference in this case Xemac asks the user to choose on the basis of which Contract Conclusion the Claim will be raised The Claim Details section contains all details on the underlying contract as well as details of the Claim and collateralisation ini x Own Claim No System Claim No Version Own Contract No System Contract No Version Xemac Partner Claim Details Processing Information Contract Data Own Contract No x System Contract No 2012000227 v Contract Version 1 y Contract Name ABC ABC ABC ABC Claim Data Own Claim No Amount i Currency EUR x Collateralised from 20 12 2012 Collateralised until Comment Claim Control Additional Information C GCP Reuse Instruction Reference Event Last Valuation Date amp Time Collateral Value EUR Cover Ratio Figure 34 Claim Claim Details Section Table 34 Field description of Claim window Claim Details Section Claim Details Section Field Status Pre filled Input possibilities Own Contract Number Output Filled in according to the entries in the Xemac Partner section System Contract Filled in acco
275. umber Instruction Number assigned by the user Security This field displays the code of a security the l Code Output German Securities Identification Code ISIN Cusip or Common Code SIN p securities identification number Security name Output Security name is displayed here Deposito Depository Optional entry The Depository of the security is displayed here 125 Chapter 5 Working with Xemac Credit Instruction Section ene Security This field contains the nominal value of the Nominal Value Input collateral to be entered The nominal value must be a multiple of the smallest tradable unit Settlement Date p by the user as explained above CBL Transaction Output The CmaX ID TRCI of the message exchanged Reference p between CmaX and Xemac CBL Message Output The unique reference of the message exchanged Reference p between CmaX and Xemac It is possible to add further information to the credit Comment Optional entry instruction here Rejection l Reiection No Output Display the rejection code Rejection Reason Output Displays the rejection reason 5 7 3 2 Instructions for CBF Settlement Location The Accounts tab contains the following fields that must be filled by the user e The Settlement Location must be selected by the user Default is CBF e The debit account and credit account are displayed to the participant e The Original Instructor Account and
276. unt this Claim will be in Entry Rejected Checked status Function System Claim Number Version Status Actor Rejection 201200001 Entry Rejected CT User 1 Check 201200001 Entry Rejected Checked CT User 2 The Collateral Provider cannot see the rejection carried out by Deutsche Bundesbank hence it is displayed in parentheses After the rejection has been checked the previous version of the Claim remains valid with the higher global amount Now the Collateral Provider can either delete the rejected version of this Claim or possibly change the amount after having agreed with Deutsche Bundesbank on a smaller reduction of the global amount Processing Information This section provides all information on the processing status of e A Contract Definition e AClient Reference e A Contract Conclusion 32 Chapter 4 Key functions and basic principles e AClaim e An Exposure Request or e An Instruction The section Processing Information will be illustrated for the function Claims The section s structure is identical for all functions 10x Own Claim No 1 System Claim No 2012000001 Version 151 Own Contract No System Contract No 2012000001 Version 1 Xemac Partner E Claim Details Processing Information Date Time User Entry 114122012 10 22 27 6335620001 Check 11 12 2012 10 26 34 6335620002 Confirmation 11 12 2012 10 26 34 MA
277. urex Xemac 1 Enter Claim User 1 2 Check Claim User 2 Automatic confirmation System Report Claim Amount to Eurex Allocate collateral System Report collateral allocated to Eurex 4 6 8 2 4 6 8 3 Increasing the Claim Amount towards Eurex Increasing a Claim Amount is carried out in the same way as generating a Claim Additional collateral allocations are reported to Eurex Reducing the Claim Amount towards Eurex The Collateral Provider can reduce collateral pledged to Eurex by reducing the corresponding Claim Amount This reduction requires a confirmation from Eurex Xemac automatically releases the surplus collateral as soon as Eurex confirms the reduction Table 9 Activities for the reduction of a Claim Amount Step Collateral Provider Eurex Xemac 41 Chapter 4 Key functions and basic principles Step Collateral Provider Eurex Xemac Modify Claim reduce amount User 1 Check Claim User 2 Report Claim Amount to Eurex Authorise Claim Reduction Generate release instruction for surplus collateral System Report collateral released to Eurex 4 6 9 4 6 10 Processing for Contract Definition Type CMSI At the onset Clearstream will enter a Contract Conclusion based on the Contract Definition Type CMSI which the customer must confirm The customer can use the s
278. uro GC Pooling Claims is based on the Eurex Baskets Eligibility file provided on a daily basis by Eurex Clearing The securities eligible for the respective Contract Definitions are displayed in the Eligible Securities per CDef report The following is the list of baskets and the relevant collateral groups Table 11 Collateral groups for the provision of collateral in GC Pooling Basket Collateral Group ECB Standard GC Pooling Basket EUREX GCP ECB Extended GC Pooling Basket EUREX GCPX EUREX GCP Equities GC Pooling Basket EUREX GCP EQUITIES GC Pooling INT MXQ Basket EUREX GCP INT MXQ 45 Chapter 4 Key functions and basic principles 4 7 4 4 7 5 Contract Definition Type Eurex For this Contract Definition the eligibility is defined by Eurex as part of the Collateral Group Eurex For the Eurex Reuse Contract Definitions the same evaluation and eligibility criteria apply as per the respective GC Pooling basket defined in the Contract Definition This feature is called Home Basket Rule and is briefly described in the definition for Evaluation Method in section 5 1 3 3 Contract Details Section Only the assets received within the respective basket are eligible for reuse Exclusive reuse Contract Definition Type Clearstream This Contract Definition is the basis for various bilateral claims customer vs customer or securities lending related claims where the counterparty is
279. us before being processed Only the data entered by the user is changed in the Claim which then has Entry status The Claim window contains a checkbox named GCP Reuse By checking this the user will be able to reuse the transferred collateral received through GC Pooling trades for a further pledge in a Claim allowing reuse of transferred assets If the checkbox is not checked only own collateral Type E will be allocated to the Claim When checked transferred securities Type T along with own securities will be allocated if allowed through the setup within the Contract Definition When T securities are pledged in a Claim it is not possible to un check the checkbox If the user changes only the Own Claim Number and or the Comment a new Claim version will not be created Checking unchecking the checkbox does only require a Check and no confirmation from the counterparty A new version of the Claim is however created The changes will not be saved if the window is closed with the Cancel button An error message will be issued if this window is closed with the OK button without having made any changes The following table illustrates the field settings of a selected Claim Table 35 Description of field settings of a selected Claim Header Header Own Claim Number Output Derived from selected Claim System Claim Number Output Derived from selected Claim Version of the Claim O
280. uted or rejected Depending on the outcome either Execution or Rejection is displayed CASCADE or Creation is respectively entered as User as the instruction is carried out in this position keeping system If Execution was selected the processing information looks like 38 Chapter 4 Key functions and basic principles Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Execution 11 12 2012 10 10 10 CASCADE OR Function Date Time User Entry 11 12 2012 08 08 08 6335111111 Check 11 12 2012 10 10 10 6335333333 Execution 11 12 2012 10 10 10 Creation Additional information can be found in the status row of the respective full view 4 6 6 Processing information for Claims Claims will be used as an example to illustrate how the statuses are displayed in the processing information The left column displays the function that initiated this status The middle section of the table consists of four rows of processing information and shows their entries for each case The right side indicates whether the Claim in its current status can be seen by the counterparty or by both of them Table 5 Status display for entered Claims Display in processing information Display visible to 1 row 2 row 3 row 4 row Collateral Collateral Provider Taker oe eer Oe poke em ese Fei een oro oomen The only difference with the table for dele
281. utput Derived from selected Claim Own Contract Number Output Derived from selected Claim System Contract Number Output Derived from selected Claim Version of the contract Output Derived from selected Claim Table 36 Description of field settings of a selected Claim Xemac Partner Own Profile Section Xemac Partner Own Profile Section Participant Output Derived from selected Claim 106 Chapter 5 Working with Xemac Xemac Partner Own Profile Section Name Client Reference Client Output Derived from selected Claim Derived from selected Claim Derived from selected Claim Table 37 Description of field settings of a selected Claim Xemac Partner Counterparty Section Xemac Partner Counterparty Section Participant Output Output Client Reference Output Derived from selected Claim Derived from selected Claim Derived from selected Claim Derived from selected Claim A non zero Claim must always be entered with a negative sign preceding the amount Table 38 Description of field settings of a selected Claim Claim Details Section Claim Details Section Own Contract Number Output Derived from selected Claim System Contract Number Derived from selected Claim Version of contract Mandatory Contract Name Output Derived from selected Claim Can only be set to the current version instead of function Adopt Last Valuation Date D
282. uts which are fe Pe explicitly included as Eligible for this Included Individual Securities Contract Definition although they might not be a part of an included collateral group 68 Chapter 5 Working with Xemac Eligibility Section O o e a It detects and excludes Own Issues Own Issues Output for Contract Definition Type Eurex and Euro GC Pooling 5 1 3 3 Contract Details Section 4 7069 Display Contract Definition oj x Responsible Institute 7069 Contract Definition No 4 Version 9 Identification Eligibility Contract Details Processing Information Allocation Type GCP Reuse Pledge O Transfer Not Permitted Appropriation Full transfer of title hei Permitted Basket EGCP Transfer External ull transfer of title for external use O Exclusively Transferred securities only Transfer EGC D Automatic il fi j T ng n Accrued Interest Valuation Claim Amount Premium Evaluation Method Inclusive Common Eurosystem Pricing Hub 2 Exclusive C Home Basket for GCP Reuse Time to Maturity Concentration Limit C Limit Overall none _ Limit per Clearer a coc Figure 20 Contract Definition Contract Details Section NCB 69 Chapter 5 Working with Xemac X 7500 Display Contract Definition E ioj xj Responsible Institute 7500 Contract Definition No 2011000006 Version 2
283. utsche Bundesbank as an example This example illustrates that the four eyes principle impacts the Version and the Status of a Claim When the user with user ID 6335000785 wants to notify Deutsche Bundesbank of a global amount the Claim will then be in Entry status A second user 6335000784 will check this Claim which will then have the Entry Checked status As long as a Claim is in Entry status the Deutsche Bundesbank is unable to see it as the Claim has not yet been subjected to the four eyes principle The user has three bank business days the day on which the Claim was entered and the following two days to check an entered processed or deleted Claim The field Collateralised from is filled by Xemac with the date on which the Claim is checked After the check the respective Claim is available at Deutsche Bundesbank for confirmation the check from the Bundesbank side will always be performed automatically for new or increased Claims Xemac deletes the version in Entry or Deletion status during the morning process if the check has not been carried out by the end of the day it was entered If this was a newly created Claim it will now no longer be in the system If it was a modified Claim the previous version remains valid If it was a Claim in Deletion status the Claim s previous version remains valid in the system Particularities with respect to Contract Conclusions If the user
284. vailable collateral groups in Xemac ceccceeeeeeeeeeeeeeeeeeaeeeeaeeseeeeeseaeeesaeeseaaeeeeees 44 Table 11 Collateral groups for the provision of collateral in GC Pooling c ccccsseceeeeseeceeeesteeeeessteeeeeees 45 Table 12 Reasons for Compulsory Claim Decrease ccccccecceeeceeeeeseeeeeneeeeeeeeeeaeseeaaeseeneeseaeeeeaaesteaaeeeeees 48 Table 13 Overview of values in the Comment field of GC Pooling Allocation Instruction ceeee 58 Table 14 Field description of Eligibility Check WindOW cccseececeeeeeneceeeeeeeceeeeeceeeseeceeeeeeaeeeeeneeeeenenees 63 Table 15 Field description of Contract Definition window Header snsnnnnsnennnnnnnnnnnnnnnnnnnnnnnnrnnnrnrnnne 65 Table 16 Field description of Contract Definition window Section Identification ccc eeeeeeeeeeeeeeee 66 Table 17 Field description of Contract Definition window Eligibility Section 68 Table 18 Field description of Contract Definition window Contract Details Section c cceeeeeeee 70 Table 19 Possibilities for referencing aclioMbesscecstaiarrieiaatsiohderthiwactiaiar niian eun Maasai iS 75 Table 20 Existing plausibility while entering Client References cccccccecssceeesseeeeeeesneeeeessaeeesesseeeeeeea 75 Table 21 Field description of Client Reference window Client Data Section ccccccceceeeseeetesee
285. value must be entered here Alternatively Optional entry Entry it is possible to create the field individually according to own criteria when creating a Client Reference User can assign a name to the Client Reference in Client Optional entry are this field Comment Optional entry User can enter additional information on the Client Reference in this field Date Creation Output Filled with the date of creation when checked by the second user four eyes principle Filled with the date of deletion when successfully Date Deletion Output deleted four eyes principle 5 2 3 1 2 Settlement Data Tab If a Xemac participant has enabled the Auto Provisioning flag within a Client Reference Xemac is allowed to generate an Exposure request on behalf of the participant in order to balance Claim under coverage or to satisfy GC Pooling trades The flag Automatic Return enables the participant to automatically return free CBL assets from the Reservation Account to the collateral Source Account in Creation four times a day After SDS1 14 00 16 00 and at End of Day The BIC Collateral Provider is the alphanumeric SWIFT address assigned to the participant The Reservation Account in Creation CBL is analogous to the sub account 550 in CASCADE CBF Securities held in CBL in the Source Account of the participant must be moved to the Reservation Account The Reservation account is unique across all Xe
286. vider must provide collateral worth 101 The cover ratio will however not consider this as additional collateral So in this case if the Claim is 100 and collateral provided is 101 due to the 1 Claim Amount Premium the cover ratio will be 100 and NOT 101 The parameter Accrued Interest Valuation is used to calculate the collateral value Where specified Accrued Interest Valuation within the Contract Definition interest accrued after the latest interest payment will be added to the bond price for valuation purposes Time to Maturity Output Defined per Contract Definition 2 For Contract Definition type for example Eurex the selection of the allocation type Appropriation represents a declaration of intent to transfer the title right of the respective securities for security purposes to Eurex Clearing 71 Chapter 5 Working with Xemac Contract Details Section nine Prt tenon Depending on selection it allows or restricts the reuse of securities out of GC Pooling Not Permitted reuse of securities is not allowed Permitted reuse is allowed for E and T securities GCP Reuse Exclusively reuse allowed only for T securities Automatic flagged for Contract Definition Euro GC Pooling underlining the fact that received securities will be reused within GC Pooling automatically for other trades This parameter defines the evaluation method used for the securities
287. will also automatically select collateral that is to be allocated e Margin Deficit 159 Chapter 7 Glossary The margin is in deficit when the collateral value falls below the Claim Amount In such a case the Claim is marked in red if the checkbox colour is activated within the Settings screen e Mark to Market Daily process of marking to the market the pledged collateral for re evaluation e Monitoring Xemac monitors on a daily basis whether the collateral is still eligible and the Claims are still sufficiently covered This process takes place over night e Over collateralisation When the collateral value exceeds the Claim Amount e Party accepting collateral See Collateral Taker e Person entering Claim Participant number of Xemac participant entering a Claim into the system If a user enters a Claim for a Xemac participant Xemac records the person entering the Claim by way of the participant number of the Xemac participant on behalf of which the Clearstream user is acting Xemac enters the user ID of the respective Clearstream user in the processing information panel e Pledging The collateral pledged in favour of the party accepting collateral remains in the pool of the Collateral Provider The collateral is labelled electronically showing the Claim to which it is allocated e Processing Information Depending on the status of a Claim or a Contract Conclusion the user can see who carried out the en
288. y account number and name This field is deduced from the participant details The customers Xemac_ participant number corresponding to the participant no of the instruction and the name data from KUSTA are taken over Instruction type Securities Transfer 01 Settlement date The following particularity applies to debit instructions After a debit instruction has been checked Xemac reserves the positions affected by the instruction Hence these positions are not available for any other activities in Xemac During the period from the checking of the debit instruction in Xemac until disposition in CASCADE no changes to the collateral involved are permitted in Xemac 152 Chapter 6 Xemac in Clearstream s system environment 6 1 1 3 Allocation Types Allocation Type Transfer The Wertpapierauftrag WPA will be identified by the following attributes e Auftragsart 01 WP UEBERTRAG Xemac ANEIGN M BST UEB e Lastkonto XXXX 550 Collateral Provider e Gutkonto XXXX 550 Collateral Taker Allocation Type Transfer EGC e Auftragsart 01 WP UEBERTRAG Xemac ANEIGN M BST UEB e Lastkonto XXXX 550 or 7525 550 Eurex Clearing AG Collateral Provider e Gutkonto 7525 550 or XXXX 550 Collateral Taker 6 1 2 Creation CBL Settlement Location Creation is the settlement engine at CBL as CASCADE is at CBF The assets held by customers at CBL are held on th
289. y pressing the Close button 63 Chapter 5 Working with Xemac 5 1 3 How to display a Contract Definition It is necessary to change to the full view of the Contract Definition from the tabular view as described in sections 2 3 1 Tabular View and 2 3 2 Full View Here the user can view the selected Contract Definition The following pages list the necessary sections shown in the Display function All fields are output fields 5 1 3 1 Identification Section J 7069 Display Contract Definition lol xj Responsible Institute 7069 Contract Definition No 4 Version 7 Identification Eligibility Contract Details V Processing Information Responsible Institute 7069 Contract Definition No 1 Name Deutsche Bundesbank Contract Definition Type NCB Figure 15 Contract Definition Identification for Deutsche Bundesbank NCB Section 64 Chapter 5 Working with Xemac 9G 7525 Display Contract Definition m lol x Responsible Institute 7525 Contract Definition No 1 Version 1 Identification Eligibility Contract Details Processing Information Responsible Institute 7525 Contract Definition No Name Contract Definition Type Code Basket SIN Basket Ubereign m Best bertrag w EuGCP Euro GC Pooling ISIN DE000A0AE077 EUREX REPO EO GC ECB EAD EGCP Close Figure 16 Contract Definition Identi
290. y the collateral value is displayed without any price information The evaluation of collateral does not take intraday volatility into account as the contracting parties can control the collateral by means of haircuts or by stipulating collateral groups Re evaluation of collateral allocated in NCB claims Xemac also evaluates securities on the basis of the requirement of NCBs and has to differentiate if the result of the re evaluation Compulsory Claim Decrease has been initiated due to changes in eligibilities and prices or due to upcoming Corporate Actions particularly maturities and interest payments For all claims based on Contract Definition Type NCB modifications in the Morning Re evaluation process applies and two re evaluation processes are added in the evening after Xemac closure Based on these two new re evaluation processes either a Compulsory Claim Decrease due to Re evaluation and or a Compulsory Claim Decrease due to Corporate Action is initiated by Xemac in cases when under collateralised claims cannot be covered within the corresponding re allocation processes In order to inform the Dt Bbk about the Compulsory Claim Decreases notification messages will be sent by Xemac If a claim is under collateralised after the second re evaluation due to corporate actions a request is sent to the respective NCB to release the upcoming cash payment e f the respective NCB confirms the releas

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