Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or war-ranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of mer-chantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions con-tained in this publication.
This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should con-sider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so.
Eurex derivatives (other than EURO STOXX 50® Index Futures contracts, EURO STOXX® Select Dividend 30 Index Futures contracts, STOXX® Europe 50 Index Futures contracts, STOXX® Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/ Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futures contracts, DAX® Futures contracts, MDAX® Futures contracts, TecDAX® Futures contracts, SMIM® Futures contracts, SLI Swiss Leader Index® Futures contracts, Eurex inflation/commodity/weather/ property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons.
Trademarks and Service Marks
Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trade-marks of DBAG.
Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra.
iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures.
Eurex is solely responsible for the creation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® nei-ther sponsors nor endorses the product’s use. ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives.
SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG.
The STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Lim-ited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto.
Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products.
All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatso-ever for the underlying product to which the Fixing prices may be referenced.
PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc.
Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc.
BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or oth-erwise, wholly vest with BSE. Any violation of the above would constitute an offence under the laws of India and international treaties gov-erning the same.
Table of Contents
1 Introduction . . . 11
1.1 Purpose . . . 11
1.2 Prerequisites. . . 11
1.3 How to Use . . . 12
1.4 Common Window Controls . . . 12
1.4.1 Overview . . . 12 1.4.2 Window Header . . . 13 1.4.3 Control Button . . . 13 1.4.4 Min/Max/Close Button . . . 13 1.4.5 Simulation/Production Distinction . . . 13 1.4.6 Menu Bar . . . 13 1.4.7 Menu . . . 13 1.4.8 Branding Logo . . . 13
1.4.9 Vertical Scroll Bar . . . 14
1.4.10 Horizontal Scroll Bar . . . 14
1.4.11 Buttons . . . 14 1.4.12 Message Bar . . . 14 1.4.13 Display Field . . . 14 1.4.14 Entry Field . . . 14 1.4.15 Table . . . 15 1.4.16 Field Group . . . 15 1.4.17 Radio Buttons . . . 15 1.4.18 Quick-Link . . . 15 1.4.19 Quick Find. . . 15
1.5 User Guide Conventions . . . 15
1.5.1 Menu Bar . . . 16 1.5.2 Table . . . 16 1.5.3 Field Group . . . 18 1.5.4 Context Menu. . . 19 1.5.5 Mouse Usage . . . 19 1.5.6 Global Context . . . 20 1.5.7 Shortcuts . . . 20
1.6 General Functions and Features. . . 21
1.6.1 Eurex Online Help. . . 21
1.6.2 Order ID and Trade ID . . . 21
1.6.3 Timeout Error Message . . . 21
1.6.4 Moving Columns. . . 21
1.6.5 Selecting Rows or Columns . . . 21
1.6.6 Default Buttons . . . 21
1.6.7 When Changes Affect Windows . . . 22
1.6.8 Message History . . . 22
1.7 Tool Bar - Access to Menu Actions . . . 22
1.8 Starting the Application . . . 27
2 Clearing Overview . . . 28
2.1.1 Types of Membership . . . 28
2.1.1.1 General Clearing Members . . . 29
2.1.1.2 Direct Clearing Members . . . 30
2.1.1.3 Non Clearing Members . . . 30
2.1.1.4 Registered Customers . . . 30
2.1.2 Member Product Assignments. . . 30
2.1.3 Account Types . . . 31
2.1.3.1 Position Accounts . . . 31
2.1.3.2 Premium Accounts . . . 34
2.1.3.3 Cash/Securities Account. . . 34
2.1.4 Overview of Member Type and Account Relationships . . . 35
2.1.5 Guarantees . . . 35 2.1.5.1 Margin . . . 35 2.1.5.2 Clearing Fund. . . 36 2.1.5.3 Company Capital . . . 36 2.1.5.4 Requirement Calculation . . . 36 2.1.5.5 Cash Transactions. . . 37
2.2 Client Asset Protection . . . 38
2.2.1 Activation of CAP . . . 38
2.2.2 Types of Client Asset Protection Solution . . . 38
2.2.3 Client Asset Protection Solutions . . . 39
2.2.4 The Pool Concept - Introduction . . . 39
2.2.5 The Pool Concept - In Detail. . . 40
2.2.6 Maintenance of Collateral Pools . . . 41
2.2.7 Collateral Processing . . . 41
2.2.7.1 Collaterals Pledged on Xemac® . . . 41
2.2.7.2 Collateral Deposits . . . 42
2.2.7.3 Collateral Withdrawals . . . 43
2.3 Use of Windows and Reports . . . 44
2.3.1 Types of Membership . . . 44
2.3.2 As of Date . . . 44
2.4 Clearing Process and Feasible Transactions. . . 45
2.4.1 Position Management . . . 46
2.4.2 Exercise and Assignment of Stock Options . . . 47
2.4.3 Exercise and Assignment of Stock Options (Eurex/ISE Link) . . . 48
2.4.4 Notification and Allocation for Futures on Bonds . . . 49
2.4.5 Settlement of Cash Settled Futures . . . 49
2.4.6 Exercise and Assignment of Options on Futures . . . 50
2.4.7 Settlement of Cash Settled Options (other than Options on Stocks) . . . 50
2.4.8 Settlement of Futures Contracts on Energy . . . 51
2.4.9 Premiums and Fees. . . 52
2.4.10 Margin . . . 52
2.4.11 Daily Settlement . . . 53
2.4.13 Historical Trade Transfers. . . 54
2.4.14 Clearing Procedure for Eurex/ISE Link Products . . . 54
2.5 Position Keeping of Options and Futures. . . 55
2.5.1 Purpose of Position Keeping . . . 55
2.5.2 Information on Position Balance and Movements . . . 56
2.5.3 Trade Adjustments . . . 57
2.5.3.1 Trade Separation . . . 58
2.5.3.2 Trade Open/Close Adjustment . . . 60
2.5.3.3 Trade Account Transfer . . . 61
2.5.3.4 Historical Trade Transfers (HiTT). . . 62
2.5.4 Give-up and Take-up Trades [Modified] . . . 63
2.5.5 Position Adjustment . . . 64
2.5.5.1 Position Closing Adjustments . . . 66
2.5.5.2 Member Internal Position Adjustment. . . 67
2.5.5.3 Position Transfer between different Members . . . 68
2.5.6 Strategy Trade Position Maintenance . . . 69
2.5.7 Duties of the Exchange . . . 69
2.5.8 Duties of the Member . . . 69
2.6 Fulfillment of Obligations from Executed Trades. . . 70
2.6.1 Exercise and Assignment of Options Contracts . . . 70
2.6.1.1 Purpose. . . 70
2.6.1.2 Exercise. . . 70
2.6.1.3 Automatic Exercise . . . 71
2.6.1.4 Manual Exercise . . . 72
2.6.1.5 Assignments . . . 73
2.6.1.6 Exercise/Assignment of Positions in Eurex/ISE Link Products . . . 73
2.6.1.7 Duties of Eurex . . . 76
2.6.1.8 Duties of the Clearing Member . . . 76
2.6.1.9 Duties of the Exchange Member . . . 76
2.6.2 Delivery Notice and Allocation of Eurex Futures Contracts . . . 77
2.6.2.1 Purpose. . . 77
2.6.2.2 Delivery Notice . . . 77
2.6.2.3 Allocation . . . 78
2.6.2.4 Duties of the Clearing House . . . 78
2.6.2.5 Duties of the Clearing Members . . . 78
2.6.2.6 Duties of the Exchange Members. . . 79
2.6.3 Settlement of Eurex Options and Eurex Futures Contracts . . . 79
2.6.3.1 Delivery and Payment . . . 79
2.6.3.2 Cash Settlement . . . 79
2.6.3.3 Creation of Futures Positions . . . 79
2.6.3.5 Settlement of KRX products . . . 80
2.6.4 Payment versus Payment . . . 81
2.6.5 Settlement of EEX Electricity Future Contracts . . . 81
2.6.5.1 Cascading Expiration for EEX Electricity Futures. . . 81
2.6.5.2 Cash Settled Electricity Future Contracts. . . 83
2.6.5.3 Physically Settled Electricity Future Contracts . . . 83
2.6.5.4 EEX EUA Futures . . . 83
2.6.5.5 VAT for Energy Deliveries . . . 84
2.6.5.6 Margin Deposits . . . 84
2.6.5.7 Intraday Margin . . . 84
2.6.5.8 Duties of Clearing Department . . . 85
2.6.5.9 Duties of the Clearing Members . . . 85
2.6.5.10 Duties of the Exchange Members. . . 85
2.6.5.11 Settlement of Options on Electricity Futures (EEX) . . . 85
2.7 Clearing of OTC Flexible Contracts Transactions. . . 86
2.7.1 OTC Flexible Contracts Parameters . . . 86
2.7.2 OTC Flexible Contracts Supported Transactions . . . 87
2.8 Premiums, Fees and Daily Variation Margin . . . 90
2.8.1 Traditional Style Option Premiums. . . 90
2.8.2 Fees . . . 91
2.8.3 Daily Variation Margin . . . 92
2.8.4 Additional Windows and Reports . . . 93
2.8.5 Duties of the Clearing House . . . 93
2.8.6 Duties of the Clearing Members . . . 93
2.9 Risk Protection . . . 94
2.9.1 Limit Maintenance . . . 94
2.9.2 Effects of Breaching Limits . . . 95
2.10 Risk-based Margining. . . 96
2.10.1 Summary. . . 96
2.10.2 Formation of Margin Classes and of Margin Groups . . . 97
2.10.3 Components of Margin Requirement . . . 97
2.10.4 Calculation of Margin Requirement . . . 98
2.10.4.1 Reporting the Total Margin Calculation for an Account . . . 99
2.10.4.2 Netting . . . 99
2.10.4.3 Reporting the Calculation of Futures Spread Margin . . . 99
2.10.4.4 Reporting the Calculation of the Premium Margin . . . 99
2.10.4.5 Reporting the Calculation of Current Liquidating Margin . . . 99
2.10.4.6 Reporting the Calculation of Additional Margin . . . 100
2.10.4.7 Margin Requirement for GC Pooling Trades . . . 100
2.10.5 Margining for OTC Flexible Contracts Transactions . . . 101
2.10.6 Margin Requirement for an Exchange Member Account. . . 101
2.10.7 Margin Requirement for a Clearing Member . . . 102
2.10.8.1 Interest Rate Definition . . . 102
2.10.8.2 Interest Calculation . . . 102
2.11 Daily Settlement . . . .103
2.11.1 Purpose. . . 103
2.11.2 Management and Revaluation of the Pledged Collateral . . . 103
2.11.2.1 Management and Revaluation of Securities Collateral . . . 104
2.11.2.2 Cash Amounts . . . 105
2.11.3 Margin Cover . . . 106
2.11.4 Daily Settlement of Cascading EEX Futures . . . 106
2.11.5 Daily Settlement of the Eurex/KOSPI Product. . . 106
2.11.6 Duties of the Clearing House . . . 107
2.11.7 Duties of the Members. . . 107
2.12 Give-up Trades . . . .108
2.12.1 Purpose. . . 108
2.12.2 Specifying a Give-up Trade. . . 109
2.12.3 Acceptance of a Give-up Trade . . . 109
2.12.4 Refusing a Give-up Trade. . . 109
2.12.5 Unsuccessfully Processed Give-up Trade [Modified] . . . 109
2.12.6 Cancelling a Give-up Trade. . . 110
2.12.7 Duties of the Clearing House . . . 110
2.12.8 Duties of the Members. . . 110
2.13 Management of the GCM - NCM Relationship . . . .110
2.13.1 Purpose. . . 110
2.13.2 Duties of the Clearing House . . . 111
2.13.3 Duties of the Members. . . 111
3 Window Flow Diagram @X-tract Clearing GUI . . . .112
4 Window Layouts and Descriptions . . . .115
4.1 Startup Windows. . . .115 4.1.1 System Connection . . . 115 4.1.2 Login/Logout . . . 116 4.1.3 Main Menu . . . 118 4.1.4 Message Log . . . 124 4.2 Trade Management . . . .127 4.2.1 Position Overview . . . 127 4.2.2 Clearing Filter. . . 132
4.2.3 Position Transfer Bulk Load . . . 135
4.2.4 Position Close Out Bulk Load . . . 139
4.2.5 Position Adjustment - Close Out and Position Adjustment - Account Transfer . . 143
4.2.6 Position Transfer Entry. . . 147
4.2.7 Position Detail Overview . . . 152
4.2.8 Position Detail Filter . . . 159
4.2.9 Position Detail Maintenance - Trade Separation . . . 163
4.2.10 Position Detail Maintenance - Account Transfer and O/C Adjustment . . . 166
4.2.11 Position Detail Maintenance - Text . . . 172
4.2.13 Position Transfer Filter. . . 181
4.2.14 Give-up Overview [Modified]. . . 182
4.2.15 Give-up Filter [Modified] . . . 190
4.2.16 Give-up Maintenance . . . 195
4.2.17 Take-up Overview . . . 201
4.2.18 Take-up Filter. . . 207
4.2.19 Take-up Maintenance . . . 211
4.2.20 OTC Flexible Contracts Clearing. . . 217
4.2.21 OTC Flexible Contracts Filter. . . 227
4.2.22 Flexible Contracts Trade Separation . . . 230
4.3 Settlement . . . .233
4.3.1 Exercise Overview . . . 233
4.3.2 Exercise Filter - Overview . . . 240
4.3.3 Automatic Exercise Parameter Maintenance . . . 243
4.3.4 Exercise Assignment Overview [Modified] . . . 247
4.3.5 Notification Overview. . . 250
4.3.6 Notification Detail Overview . . . 253
4.3.7 Notification Allocation Summary Overview . . . 256
4.3.8 Allocation Overview. . . 258
4.3.9 Futures Deliverable Position Overview . . . 261
4.4 Collateral . . . .264
4.4.1 Collateral Pool Overview . . . 264
4.4.2 Collateral Pool Relations . . . 268
4.4.3 Collateral Pool Status . . . 271
4.4.4 CSD Overview . . . 274
4.4.5 CSD Detail [Modified] . . . 275
4.4.6 Collateral Account Overview [Modified] . . . 277
4.4.7 Collateral Status Detail [Modified] . . . 281
4.4.8 Security Deposit Overview [Modified] . . . 284
4.4.9 Specific Equity Collateral Assignment Overview . . . 289
4.4.10 Collateral Transaction Overview [Modified] . . . 293
4.4.11 Collateral Transaction Entry [Modified] . . . 298
4.4.11.1 Security. . . 298
4.4.11.2 Cash . . . 300
4.5 Risk Management . . . .302
4.5.1 Daily Margin Overview. . . 302
4.5.2 Margined Position Overview . . . 305
4.5.3 Guarantee Overview . . . 308
4.5.4 Risk Monitoring Maintenance [Modified] . . . 311
4.5.4.1 Stop Release Tab . . . 311
4.5.4.2 Limit Maintenance Tab . . . 318
4.5.4.3 Action Level 1 - Warning . . . 319
4.5.4.4 Action Level 2 - Member Slowdown. . . 319
4.5.4.5 Action Level 3 - Member Stop. . . 319
4.5.4.6 Intraday Change of Settings . . . 320
4.5.4.8 Manual Member Slowdown . . . 321
4.5.4.9 Event Log Tab . . . 325
4.5.5 Margin Requirement Information . . . 327
4.6 Cash . . . .330
4.6.1 Daily Cash Transaction Overview. . . 330
4.7 Info . . . .333
4.7.1 Clearing Board . . . 333
4.7.2 Market Supervision Messages . . . 340
4.7.3 Settlement Price Overview . . . 343
4.7.4 Ticker Board . . . 347
4.7.5 Product Selection . . . 350
4.7.6 Contract Selection . . . 352
4.7.7 External Underlying Selection . . . 354
4.7.8 Product Statistics Overview. . . 356
4.7.9 Contract Statistics Overview . . . 359
4.7.10 Collateral Security Information . . . 363
4.7.11 Deliverable Bonds Overview . . . 367
4.7.12 Option Margin Parameter Overview . . . 370
4.7.13 Exchange Rate Overview [Modified] . . . 373
4.7.14 Contract Mapping . . . 377
4.8 Member . . . .380
4.8.1 Member General Information . . . 380
4.8.2 Member Relationship Overview . . . 387
4.9 Settings . . . .390 4.9.1 Profile Selection . . . 390 4.9.2 Profile Maintenance . . . 394 4.9.3 Preferences . . . 401 4.9.3.1 General . . . 402 4.9.3.2 Text Field . . . 409 4.9.3.3 Member . . . 412 4.9.4 Change Password . . . 414 4.10 Security . . . .416
4.10.1 Product Assignment Maintenance [Modified]. . . 416
4.10.2 Product Assignment Maintenance – Import . . . 422
4.10.3 User Security Profile Maintenance . . . 426
4.10.4 PIN Maintenance . . . 430 4.11 Help . . . .434 4.11.1 On this window... . . 434 4.11.2 About.... . . 435 4.11.3 What’s new.... . . 436 4.12 Auxiliary Windows . . . .437 4.12.1 Print Functionality. . . 437 4.12.1.1 Print Table. . . 437 4.12.1.2 Print Window . . . 439 4.12.2 Sort Table . . . 440 4.12.3 Find . . . 442
4.12.4 Quick Find. . . 444 4.12.5 Column Selection . . . 445 4.12.6 Export Table. . . 448 4.12.7 Confirmation Dialogs . . . 450 5 Appendix . . . .451 5.1 Function Keys . . . .451 5.2 Mnemonics. . . .453 5.2.1 Window Menu . . . 453 5.2.2 Buttons . . . 454
5.3 Icon Names of Eurex Clearing GUI . . . .455
5.4 Table of OTC Flexible Contracts Maintenance Codes . . . .459
5.5 Table of Exchanges . . . .461
1
Introduction
This document provides a detailed description of the Eurex front-end clearing application
@X-tract, which supports all clearing functions through its graphical user interface.
Note: Data contained in the screenshots and samples in this publication are for illustrative purposes only and should not be relied upon as a true representation of the current market.
1.1
Purpose
This document is intended for member clearing personnel using the system. The purpose of the "Eurex @X-tract Clearing User Guide" is to:
Identify the supported business functions
Explain the structure and the content of the windows
Familiarize the user with the "look and feel" of @X-tract and its features
This user guide is intended to be a reference guide, where information about @X-tract windows can be quickly retrieved. The user guide focuses on giving detailed descriptions of all windows and related functions.
The user guide consists of 4 chapters and an appendix:
Chapter 1 Introduction introduces the user guide, generic functions and how to start the application.
Chapter 2 Clearing Overview provides an overview of the clearing functions.
Chapter 3 Window Flow Diagram @X-tract Clearing GUI gives an overview of the Eurex clear-ing front-end system and window flow.
Chapter 4 Window Layouts and Descriptions describes the Eurex clearing front-end windows in detail.
The Appendix provides additional information.
1.2
Prerequisites
To ensure that each user can clear electronically and effectively run @X-tract, the following prerequisites need to be met:
A full installation and configuration of Eurex. The user should check with his network and system administrators that all network, hardware and Eurex front-end software configuration requirements have been met.
A valid user ID and password for the Eurex back-end. A login identification and password for the Eurex front-end. A valid clearer license for Eurex.
1.3
How to Use
This document covers use by readers of the exchanges Eurex, EEX and the Vienna Stock Exchange (WBAG - Wiener Börse AG), but does not describe WBAG-specific market and/or system settings. The applicability of chapters is stated at the respective places in the document. When referring to the electronic system the term Eurex is used in a generic way that can be applied to all exchanges that are valid in the respective context.
1.4
Common Window Controls
1.4.1
Overview
The following section provides an overview of the standard window components and introduces specific terms that are used in this document.
The window snapshots shown in this user guide are taken from an Intel platform using Windows as operating system. The look and feel on your workstation may differ slightly from the snapshots shown in this user guide.
1.4.2
Window Header
The window header displays the current window’s title.
1.4.3
Control Button
The Control button enables the user to manipulate the active window.
Double clicking the left mouse button (assumption is a right-hand mouse) closes the window. Other typical window options are enabled via a single click, such as Move or Resize. Resizing the window is also possible by dragging the window corner which also enlarges the tables to display additional information.
1.4.4
Min/Max/Close Button
Min. Button: When the user clicks the Min. button, the window and all its child windows are minimized to an icon.
Max Button: When the user clicks the Max button, the window is maximized. Close Button: Clicking the Close button closes the window and all its child windows.
1.4.5
Simulation/Production Distinction
Each window title of the simulation GUI application is preceded by the prefix "SIMU-". The production GUI application has no such prefix.
Note: It is recommended that the simulation and production GUI application is distinguished by the use of different colors.
1.4.6
Menu Bar
The menu bar contains the menus available in the window. Menus are accessible by either clicking with the left mouse button on the menu bar or pressing a mnemonic (<ALT> key + underlined letter).
1.4.7
Menu
Each menu of the menu bar contains several menu items that can be chosen by either clicking with the left mouse button on the menu item or pressing the mnemonic (underlined letter) on the keyboard.
Note: When a menu item is pulled down and the user switches to another workspace without closing the menu, the menu is still visible in the new workspace due to specific Java behavior.
1.4.8
Branding Logo
Each window contains the branding logo at the right side of the menu bar. By clicking once on the branding logo the Main menu is brought into the foreground. A double click brings all windows of this GUI instance into the foreground.
1.4.9
Vertical Scroll Bar
The vertical scroll bar allows the user to scroll to and view the parts of a window that may currently not be on the screen, such as the list rows that are currently outside the visible boundary of the table.
1.4.10
Horizontal Scroll Bar
The horizontal scroll bar allows the user to scroll to and view the parts of a window that may not be on the screen, such as the list of columns that are currently outside the visible boundary of the table.
1.4.11
Buttons
Several windows contain buttons that can be used to execute the function indicated by the button label. For example, clicking the Submit button initiates a transaction and closes the window after its successful completion.
Buttons are only enabled if their action is executable. Some buttons are disabled (shaded), unless valid data has been entered to all mandatory fields of the window.
1.4.12
Message Bar
Responses and error messages related to an action in the window, or one of its child windows, are displayed in the message bar at the bottom of the window. The system provides messages also in message bubbles, which is useful for messages longer than the displayed window width. The message bubble is shown when remaining for a while with the mouse pointer above the message bar.
1.4.13
Display Field
A window may contain one or more display fields showing information for the user. Values displayed within display fields cannot be changed.
1.4.14
Entry Field
A window may contain one or more entry fields. In these fields, data can be entered and modified using the keyboard. In some cases, field specific context menus are available via the right mouse button to set or change data.
In free editable text fields, valid values are all characters according to the ASCII character set (Range: 32 to 126) except the following characters, which are not allowed:
“|” (pipe symbol), “!” (exclamation mark) and the “*” (asterisk) as first character. A mandatory field must be filled before the dedicated action can be executed.
An inquiry icon is placed next to some entry fields. A reinquiry of the window for the defined value is performed after clicking it.
1.4.15
Table
Tables display information in the format of a table. This information cannot be edited.
1.4.16
Field Group
A field group combines two or more display/entry fields logically belonging together and/or buttons, which allow the user to specify certain settings or functional selections.
1.4.17
Radio Buttons
Radio buttons are used to make a selection where only one choice of many is allowed. They never initiate or conclude an action; they are only used to set choices.
1.4.18
Quick-Link
A Quick-Link is added to each new/modified window and indicates that the window has
changed. Click the link to open the appropriate section in the “What's new” online help window.
1.4.19
Quick Find
The Quick Find field on the right end of the toolbar supports quick search functionality. This field is always enabled and optional. If the user starts to type into the Quick Find field, the table in the window shows only those lines containing the search criteria. If columns are selected before the user starts typing into the Quick Find field, the Quick Find only searches the selected columns for the entered search criteria. In order to indicate which columns are used for the search, these columns are highlighted. The text ‘Filtered’ in the window name indicates that Quick Find filter is active.
1.5
User Guide Conventions
To standardize Eurex front-end window descriptions and functions, this guide uses a standard set of terms, abbreviations, etc. The following paragraph explains the terms used for the window descriptions.
Each window description provides the user with information about the specific structure of the window and its contents. Therefore, the description for each window includes one or more of the following items:
Menu bar
tables and specific mouse usage within the tables
Field groups and specific mouse usage within the field groups Buttons
1.5.1
Menu Bar
The description of the window menu contains: (1) Menu bar commands
(2) Menu items for each command (3) An explanation of the function
(4) The corresponding keyboard shortcuts (if applicable)
Menu bar description example
1.5.2
Table
Tables display information.
Table example
The title and a description of the content describes the columns of a table. Also described is how to use the mouse to issue a command for each specific field or column. A column is selected by clicking the title of that column.
Menu Bar (1) Item (2) Description (3) Shortcut (4)
Window Save Settings Save the current window settings. Ctrl+S
Clear Settings Restores the window settings to the default.
Close Close the window with no further action.
...
The following features are supported in all tables:
The window settings can be configured to meet the requirements of the individual users. The order of columns can be changed by dragging the column using the right mouse button to the desired position. A column can be deleted from the table display to temporarily hide
information. These settings can be saved and restored using the Save Settings menu. The default settings of a window can be restored with the menu item Clear Settings.
To improve the visual appearance of windows containing tables, the background color of all tables can be defined in the General tab of the Preferences window. The user can select dif-ferent background colors for all tables in the system in the General tab of the Preferences window.
The user can also set different background colors for individual columns by using the pop-up color menu, which is opened by clicking the right mouse button on the column header. The menu offers a set of seven colors that can be applied to the background color of this column. This coloring effect can be used together with the striping effect for tables and results in shadings of the background color.
The color settings of the table can be saved together with all other table settings via the Window/ Save Settings menu action of the window that contains this table. This feature is not available for tables in logging windows such as the general Message Log and window specific message logs.
Table description example
1.5.3
Field Group
A field group combines two or more fields. These allow the user to specify certain values. Mandatory entry fields appear different from regular entry fields. Mandatory fields have a yellow background in comparison to regular entry fields, which have a white background.
Field group example
As part of the window description, the field group description lists the following information for each of its elements:
(1) Field identifier (2) Identifier type
(3) Function/field description
(4) Indicates whether a context menu is provided Values for the identifier type within a field group are as follows:
B - Button D - Display field E - Entry field S - Selection
If a field specific context menu exists for the field, an asterisk "*" is placed in the context menu column, "CT" (CT = ConText menu).
A button allows the user to execute a certain command, e.g. submit an order. The button label and its corresponding command or action are described. An ellipsis (three dots) "..." after the button label indicate that clicking the button opens another window to execute that command. Buttons are enabled as soon as all mandatory entries/settings have been made.
Position Overview Table Column (1) Description (2)
Exch Exchange ID
ClgMbr Member ID of the Clearing Member
ExchMbr Member ID of the Exchange Member
Field Group description example
1.5.4
Context Menu
Some entry fields have a context menu, which provides a list of possible values for the field and can be opened by clicking the right mouse button in the field. The maximum number of items which can be shown in a context menu can be configured in the General tab of the Preferences window. If there are more items in the list than can be displayed in the context menu, the marker “more” appears at the top and bottom of the menu; the scrollbar can be used to move to the desired items in the list. The right mouse button populates the entry field with the selected value.
Display Context Menu example
1.5.5
Mouse Usage
The usage of a standard right hand mouse is described as follows: SC-L single click the left mouse button
DC-L double click the left mouse button SC-R single click the right mouse button
Position Detail Overview Field Group
Identifier Type Description CT (4)
Exch D Exchange ID
Contract E Contract identification:
Options - Call/Put, Underlying, Expiration month and year, Strike price, Version number
1.5.6
Global Context
Context menus that are not field-specific but affect the contents of the whole window are described in the last section of the window description. To access a global context menu or table click the right mouse button outside of any field groups within the window. Context menus are available only in active windows and fields.
1.5.7
Shortcuts
Instead of using the mouse, the user can also initiate an action by using the keyboard. According to the conventions of this user guide, mnemonic letters are shown within the window
description. Keyboard commands of the application do not overwrite the platform-specific commands. Therefore, handling may be different on the different platforms in some cases. W is a mnemonic. The combination of <ALT> + W allows the selection of the Window
menu.
Pressing the combination of the <ALT> key and the underlined letter of a menu item selects that menu command or function.
Changing fields within a window is also possible by using the <TAB> key to move to the next field. Pressing the <SHIFT> + <TAB> key combination moves to the previous field. Pressing <ALT> + <TAB> key combination switches between windows.
The arrow-up and arrow-down keys can be used to fill and modify the quantity and limit fields.
Every window with a Cancel button can also be closed with the <ESC> key. On every window with a Submit button the <ENTER> key also triggers the submission of the corresponding request.
The common window controls Ctrl+C for Copy, Ctrl+V for Paste and Ctrl+A for Select All are provided in windows which can support it.
1.6
General Functions and Features
1.6.1
Eurex Online Help
The window descriptions of this user guide are provided as an online help for the @X-tract Clearing GUI. This facility offers a rich source of information about the system and its functions, and is quickly available.
1.6.2
Order ID and Trade ID
The nine digit order IDs and six digit trade IDs contain the characters 0-9 and A-Z. These alphanumeric formats for order and trade IDs allow large number of orders and trades.
1.6.3
Timeout Error Message
The error message “TIMEOUT DURING LOGIN”, indicates that no response has been returned from back-end while logging in. The error message “TIMEOUT OCCURRED” is displayed in all overview windows after a specific time without a response from back-end.
1.6.4
Moving Columns
It is possible to configure the tables in each window to an individually defined layout using the right mouse button. Click the column header and drag that column to the desired position to accomplish this. For some windows, it is also possible to change the sort order of the rows of the table using the Sort... menu function.
1.6.5
Selecting Rows or Columns
Multiple rows or columns in a table can be selected by holding the control key <CTRL> and clicking the rows or columns to be selected. A closed set of rows or columns can be selected by clicking the first row or column to be selected, holding the shift key <SHIFT> and left-clicking the last row or column of the set to be selected. All the rows or columns between the selection are selected.
1.6.6
Default Buttons
Some windows offer a default button. A border surrounding the button identifies default buttons. When all mandatory fields are filled, the user can press the enter key to trigger the default button, as an option to using the mouse.
1.6.7
When Changes Affect Windows
Changes occur in active windows on the front-end: Immediately
For most windows, changes take effect and can be seen immediately. After closing and reopening the window
In some windows, changes occur after the active window is closed and reopened. After reselecting a profile
When a profile is used, it needs to be reselected in order to effect changes on it to the current window.
Saved changes in the window configuration are seen after starting the next clearing session. When the user's product assignment is changed, the user sees the change only by logging in
after the nightly batch run on the back-end has finished.
Some windows have a Reload icon. Clicking this icon refreshes the data in these windows.
1.6.8
Message History
Double-clicking the message box of a window activates the Message Log window containing the last 50 window related messages that have been sent to the user since the window was last opened.
1.7
Tool Bar - Access to Menu Actions
A set of icons provides access to menu actions. These icons make various menu functions available in any given window and can be accessed directly from the toolbar. Clicking an icon performs the corresponding function exactly as if the function had been chosen via the menu, shortcut, or hotkey (as applicable). The following is a sample of all possible icons (note that no window has all icons available as depicted here).
Example of a toolbar
The icons are left aligned and there is a separating space to form icon groups for “Window”, “Select” and “Columns”. The title of an icon appears in a pop-up field when the cursor is left to rest on it for a brief time. The icons also appear to the left of the corresponding pull-down menu items.
A vertical toggle button, which is located on its left side, allows the user to collapse the toolbar. A collapsed toolbar is hidden and a horizontal toggle button is displayed which allows the user to expand the toolbar again.
The state of the toolbar (expanded or collapsed) can be saved using the Window/Save Settings menu action.
In the following sections, the individual icons are depicted in large size, and the related functions are briefly described.
Function Tool Bar Icon Description
Save Settings Saves the current window settings.
Clear Settings Clears the current window settings.
Sort Clicking this icon opens the Sort window.
Find Opens the Find window to search for table content.
Print Opens the Print Functionality dialog.
Import Opens the Import Table window to import the table
content.
Export Opens the Export Table window to export the table
content.
Copy Copies the selection.
Filter Clicking this icon opens the filter which corresponds to the window. This icon is used in cases where there are no differentiated sort criteria in the filter window; otherwise the various criteria are presented separately (profile, product, contract, etc.)
Profile Selection
Clicking this icon opens the Profile Maintenance window.
Product Selection
Clicking this icon opens the Product Selection window.
Contract Selection
Clicking this icon opens the Contract Selection window.
External Underlying Selection
Clicking this icon opens the External Underlying Selection window.
Strategy Selection
Clicking this icon opens the Strategy Selection window.
Delete Columns
This icon is used to remove columns from a table. Select the column or columns to be deleted. The <SHIFT> key can be used to select a block of columns as follows: click the end left or right end of the desired block, hold down the <SHIFT> key and click the other end of the block, and the block is highlighted. Separate non-contiguous columns can be highlighted by holding down the <CTRL> key and clicking the desired columns.
Clicking the Delete Columns icon deletes the
highlighted columns in the table (actually the columns are only hidden; the underlying data is, of course, not affected).
Add Columns This icon restores the original column configuration to the table.
Select Columns
Clicking this icon opens the Column Selection window.
Freeze Columns
This function allows the user to select a block of columns on the left side of a table which remain visible while the rest of the columns are scrolled to the back left. Select a column from which the block to remain visible is frozen (including the selected column), click the Freeze icon, and the scroll bar is reduced to the unfrozen block of columns to the right of the frozen block. Scrolling across in the unfrozen block leaves the frozen block visible; the scrolling columns disappear under the frozen block.
Unfreeze All Columns
This icon removes a frozen block setting as described above. The scroll bar is restored to full size under all columns, and the entire table scrolls as usual.
Reload The Reload icon Refreshes the content of the table. This
button becomes a Stop button while long inquiries are performed.
Stop Stops the inquiry.
Autofit All Adjusts the widths of all columns in the selected table
to fit their respective content
On this window...
Opens the Help window.
Quick Find Supports quick search functionality. This field is always
enabled and optional. If the user starts typing into the field, the table displays only those lines containing the search criteria.
The following icons support the separate features of the Product Assignment Maintenance [Modified] window:
Expand Expands the displayed groups.
Collapse Collapses the displayed groups.
Function Tool Bar Icon Description
Assign Product Assigns the selected product or products. The
assignment can be done for a trader or a group of traders.
Deassign Product
De-assigns the selected product or products. The de-assignment can be done for a trader or a group of traders.
Add Group This function allows the user to add a new sub-group.
The added sub-group is maintained in the user’s local profile.
Delete Group This function allows the user to delete a sub-group. The
user can only delete sub-groups maintained in the local profile.
1.8
Starting the Application
The workstation contains three icons on the desktop.
The "StartGateR35" icon starts the communication links with Eurex.
The "Start Eurex 11.0 Clearing" icon starts the Eurex clearing GUI.
The "StopGateR35" icon stops the communication links with Eurex.
To start a clearing session, the communication links with the back-end have to be established using the “StartGateR35” icon. Clicking the “@X-tract” icon starts the clearing application. At the end of the session, the “StopGateR35” icon needs to be clicked and the communication with Eurex is closed.
Start:
@X-tract:
Stop:
StartGate X-tract StopGate2
Clearing Overview
This chapter covers:
An overview of the clearing structure, the clearing process, reports and feasible transactions Position keeping and fulfillment of obligations from executed trades
Premiums, fees and daily variation margin Risk-based margining
Daily settlement Give-up trades Member relationships
2.1
Clearing Accounts Structure
In this section and its subsections, all statements for Eurex also apply to EEX, unless explicitly stated otherwise.
2.1.1
Types of Membership
Four types of membership define the clearing house account structure:
General Clearing Member (GCM): Also referred to as Clearing Members (CMs). Direct Clearing Member (DCM): Also referred to as Clearing Members (CMs).
Non Clearing Member (NCM): NCMs are market participants without a clearing license. Non Clearing Member trades are cleared by the clearing house through a Clearing Member. Registered Customer (RC): RCs are not trading members of Eurex Clearing cleared markets1.
Registered Customer trades are cleared by the clearing house through a Clearing Member. If a member’s:
ISETradingAllowed flag is checked (on the Cooperations tab of the Member General Informa-tion window), they are able to trade on the ISE.
OCCClearingAllowed flag is checked (on the same tab of the same window), they are able to clear their, and their NCM’s, Eurex/ISE Link-related positions at Eurex.
NCMs are only able to trade on the ISE if their ISETradingAllowed and their GCM’s OCCClearingAllowed flags are checked.
The three types of memberships imply different duties and requirements as described below.
2.1.1.1 General Clearing Members
General Clearing Members who are also Exchange Members have the following duties and requirements:
For Eurex (including Eurex/ISE Link) and EEX related transactions:
GCMs can trade on the market and settle their own and their client transactions as well as the transactions of their Non Clearing Members/Registered Customers.
GCMs are required to provide the clearing house with margin for their own, their client and their Non Clearing Member/Registered Customer positions.
GCMs are responsible for the cash settlement of their own, their client and their Non Clearing Member/Registered Customer contracts of cash settled products.
GCMs are responsible for providing and booking the variation margin resulting from the daily revaluation of their own, their client and their Non Clearing Member/Registered Customer futures contracts and “futures style” options contracts.
GCMs pay and receive premiums (only for options) and pay transaction fees for themselves, their clients and their Non Clearing Members/Registered Customer.
GCMs are responsible for the timely delivery of securities or payment for securities of their own, as well as their clients and their Non Clearing Members/Registered Customer cash mar-ket transactions.
GCMs must provide access to central bank accounts (that is, for EURO payments RTGS accounts)
GCMs are required to link for physical settlement with the Eurex Central Counterparty (CCP) or to arrange an agreement with a third party that is already linked to it.
For Eurex (not applicable to EEX):
GCMs guarantee and must effect delivery for all the exercises and assignments concerning their own, their client and their Non Clearing Member/Registered Customer positions. GCMs are responsible for the timeliness of delivery notices and assignments of government
bonds, when settling their own as well as their client and their Non Clearing Member/ Registered Customer contracts.
GCMs must hold an account with their home central securities depositories (CSD), with Clearstream Banking Frankfurt, with their home central bank (CB) and within one of the payment banks denominated by Eurex for the clearing of products in currencies different from Euro or Swiss Franc.
The GCM can have additional accounts at the CSDs supported by Eurex. These accounts can be own accounts or custodian accounts.
GCMs are supposed to provide a “Power of Attorney” for accounts at payment banks used for foreign currencies, so that Eurex Clearing AG is able to instruct payments on behalf of the Clearing Member.
2.1.1.2 Direct Clearing Members
Direct Clearing Members have the same duties and are subject to the same requirements as GCMs. However, a DCM may clear only for himself, his clients and for market participants that are part of affiliated companies. This is, for example, the case when a branch of a DCM is registered as a separate market participant.
2.1.1.3 Non Clearing Members
Non Clearing Members are market participants in trading systems cleared by the clearing house who have no contractual relationship with the clearing house. A Clearing Member of the clearing house carries out their clearing.
Eurex does not set any margin requirements for Non Clearing Members; rather, these are set by the GCM, in line with Eurex minimum requirements. Consequently, premiums, fee payments, variation margins, deliveries arising from cash market transactions, deliveries resulting from exercise or assignment of stock options, or delivery notices and assignments of futures contracts on bonds are settled through the GCM/DCM. Non Clearing Members do not need to have an account with a CSD.
2.1.1.4 Registered Customers
Direct customers of the Clearing Member that do not have a trading license for Eurex or for EEX cooperation products can become Registered Customers to benefit from Client Asset Protection using the Individual Clearing Model.
Positions and assets of the RC will be held in segregated accounts at Clearing House level. RCs will be able to monitor their positions and collateral through reports under their own RC ID. A Clearing Member of the clearing house carries out their clearing.
For details please refer to Eurex Clearing Circular 092/12.
2.1.2
Member Product Assignments
The member security coordinator assigns product groups as well as individual products to the member’s traders and trader sub-groups. Please refer to the Eurex User Manual - System Security for more information on the product assignment function. The Clearing Member is responsible for setting the maximum order quantities for products and product groups for its Non Clearing Members and for its own traders and trader sub-groups by using the Product
Assignment Maintenance [Modified] window. Please refer to the @X-ceed Trading User Guide for more information.
2.1.3
Account Types
This section describes the account structure in Eurex Clearing AG and its relation with the different types of membership. There are three types of accounts a member can have at the clearing house. These are position, premium and cash/securities accounts.
2.1.3.1 Position Accounts
The options, futures and cash market trades executed by each member are held separately from other members in the clearing house system. A member's trades are further separated into principal, agent and market maker accounts. The accounts of each Non Clearing Member are associated with a single Clearing Member.
For option transactions, each member has two principal accounts and one agent account. Those members who deal in options and are authorized market makers have two principal accounts, one agent account and two market maker accounts. However, in the futures market, each member has two market maker accounts, two principal accounts and one agent account.
Principal Accounts
Principal accounts comprise the current proprietary business of the Exchange Member. These accounts are designated P1 and P2 and are kept gross. This means within the same options series or futures contract, long as well as short positions are maintained. Long positions are open, exercised, or due positions, which have not yet been settled. Short positions are open or assigned positions for which settlement has not yet taken place.
All assigned short positions and all exercised long positions are removed from member accounts in the end-of-day processing of the exercise/assignment day. They are replaced by margined delivery obligations (valid for all agent/principle/market maker accounts).
Market Maker Accounts
Market maker accounts are made up of the deals, entered into a market maker account, resulting from the acceptance by a member of a market maker's quotes in options or futures. Proprietary orders entered by a market maker in the options market can be posted to the market maker accounts or to the principal accounts. These are designated M1 and M2. ‘M’ accounts are not available for Eurex/ISE Link products. Market maker accounts are held net, i.e. the position in an option series or a futures contract is either short or long. Corresponding bought and sold positions in the same options series (or in the same futures contracts) are netted. Market maker accounts can show open and exercised long positions when net-long positions are exercised. They can also contain open and assigned short positions that have not yet been settled.
As above, all assigned short positions and all exercised long positions are removed from member accounts after delivery or payment for exercises and assignments.
Agent Accounts
Agent accounts are available to trading members to hold transactions and positions executed on behalf of clients. As default setup, the agent account A1 is assigned to Trading and Clearing Members. The agent accounts (A2 - A9) are available for Clearing Members who either offer the Net Omnibus Solution to their clients or have specifically requested the assignment of the additional accounts to their Member ID. All agent accounts are kept gross.
Note that the A9 account is designated as a dedicated Net Omnibus segregated account.
As above, all assigned short positions and all exercised long positions are removed from member accounts after delivery or payment for exercises and assignments.
The following processing principles apply to the agent accounts:
In combination with the A1 account, A2 - A9 accounts allow for the separation of non-segre-gated agent business from segrenon-segre-gated and affiliated agent business. For further information about the A2 - A9 accounts, refer to document ‘X4104 System Overview and Information Manual’.
Any trades entered with account type G1/G2 accounts results in a position in the A1 account until the trade has been taken up.
For a take up by order or take up by transaction, the take up member is able to select any agent account as long as the selected agent account has been assigned to the member ID. For example, a Clearing Member offering the Net Omnibus solution can accept take ups by order/ transaction for any of the nine agent accounts (A1 - A9) plus two proprietary accounts (P1 + P2).
Give up by order is only possible for A1 accounts, while give-up by transaction is possible for all agent accounts (A1 - A9).
For trades where the member type (determining the range of available agent accounts)/prod-uct does not fit to the new agent accounts, the following mapping applies:
Mapping Table for Full Trade Using Additional Agent Accounts
For EEX products, the value added tax for positions agent accounts is calculated on gross positions as per normal.
Available Agent Accounts for Clearing Members
Product Destination Account
No Agent Accounts Any P1
A1 Any A1
A1 - A9 Options Clearing Corporation
Product
Using Agent Accounts
The usage of the agent accounts depends on the selected Client Asset Protection solution and the internal preferences of the Clearing Member.
As outlined above, independent of the Client Asset Protection solution, Clearing Members can request the assignment of additional agent accounts to their Eurex Derivatives Member ID. The table below provides an overview of how the additional accounts must be used depending on the setup applicable:
General Clearing Member Setup
Description A Account Usage Collateral Pool Coverage
• Clearing Member does not offer Net Omnibus solution to any clients
• Only A1 account • A1 = Non-segregated client business
• Non-segregated collateral pool
• Clearing Member does not offer Net Omnibus solution • Clearing Member has requested assignment of additional agent account to their Eurex derivatives member ID • A1 - A9 accounts are available for Eurex derivatives • Differentiation of different client types possible, e.g. to differentiate affiliated business
• A1 - A9 = Non-segregated client business; accounts can be differentiated as needed by the CM
• Non-segregated collateral pool
• Clearing Member offers Net Omnibus segregation
• A1 - A9 accounts are available for Eurex derivatives • Differentiation of different client types possible, e.g. to differentiate affiliated business A1-A8 = Non-Segregated client business A9 = Net Omnibus segregated client business • Non-Segregated collateral pool • Net Omnibus collateral pool
2.1.3.2 Premium Accounts
The clearing house runs a specific internal premium account for options transactions for all currencies for each member account. It posts the premiums of all option transactions executed on the exchange to the premium account that relates to the relevant position account and the corresponding currency. Premium accounts are settled daily. The clearing house communicates the balance of each premium account to the Non Clearing Member and to the Clearing Member who settles the account via the system.
Clearing members pay and are liable for their own premiums and those of their Non Clearing Members. The total amounts per currency of all the premium accounts belonging to a Clearing Member are posted to the internal cash accounts overnight.
2.1.3.3 Cash/Securities Account
For each Clearing Member, Eurex manages internal cash accounts for all currencies to which premiums, fees, margin requirements, cash settlements as well as other cash obligations resulting from the clearing procedure are posted. The daily balances of the Clearing Member currency accounts in a Eurex currency is cleared by debiting (or crediting) the Clearing Member central bank accounts or the central bank accounts of its correspondent bank. For GBP and USD, the debits or credits are performed using the payment banks in the corresponding countries. For transactions in USD performed in EEX, the corresponding CBF cash accounts are used. However, credit balances are only paid to the CM as described above if the clearing house does not require them as security for the cover of the CMs margin liabilities.
The clearing house also manages multiple internal collateral accounts for each Clearing Member, which mirror the holding of securities in one of the Clearing Member's collateral accounts at the CSD.
EUREX
CM ACCOUNTS NCM ACCOUNTS
POSITIONS PREMIUMS FEES
CASH/ SECURITIES
ACCOUNTS
POSITIONS PREMIUMS FEES
PRINCIPAL CLIENTS MARKET MAKER PRINCIPAL CLIENTS MM PRINCIPAL CLIENTS MM PRINCIPAL CLIENTS MM PRINCIPAL CLIENTS MM PRINCIPAL CLIENTS MM
2.1.4
Overview of Member Type and Account Relationships
The following diagram shows the member type and collateral account requirement matrix.
2.1.5
Guarantees
The diagram below shows the different types of guarantees that are possible for Eurex members:
To differentiate between the usage of cash and securities within the different types of guarantees, notations such as margin securities, (clearing) fund cash or capital securities are used. These are referenced with “M” for margin, “F” for clearing fund and “C” for company capital in windows and reports.
Interest on Cash margin may be paid on the cash balances of Eurex currencies of all these accounts.
2.1.5.1 Margin
Clearing Members can cover their margin requirements with securities or cash.
Margin
Clearing Fund
Company Capital
Cash Securities
Company Capital Cash Securities
2.1.5.2 Clearing Fund
Securities and cash are possible as clearing fund assets. The clearing fund requirement is calculated daily, depending on the risk of the Clearing Member. The margin requirement is used as a measure for the risk of the Clearing Member. Eurex members who participate in the Eurex/ KRX Link need to make an additional contribution to the clearing fund.
2.1.5.3 Company Capital
Cash, securities and the company capital itself are taken into account when determining the total capital of the member company. The company capital requirement is calculated daily, depending on the risk of the Clearing Member. The Clearing Member margin requirement is used as a scale for the risk.
2.1.5.4 Requirement Calculation
The total margin requirement of a Clearing Member for the current business day and two average amounts (for n and m business days) are evaluated with the clearing fund margin factor or the company capital margin factor. Consequently, the calculation process results in three evaluated margin amounts. The highest amount of either of the evaluated margin amounts or the respective minimum amount defines the clearing fund or company capital requirement and is compared with the member current clearing fund or company capital contribution.
Eurex Market Supervision determines and enters the following parameters for the calculation: Number of business days n and m (not to be greater than one year)
Clearing fund margin factor Company capital margin factor
Minimum amount for clearing fund contribution (DCM/GCM) Minimum amount for company capital contribution (DCM/GCM) Whether the member participates in the Eurex/KRX Link
2.1.5.5 Cash Transactions
Eurex Market Supervision initiates the following transactions as required:
Clearing fund call, if the clearing fund contribution is less than the clearing fund requirement. Clearing fund withdrawal if the clearing fund contribution is more than the clearing fund
requirement.
Company capital call if company capital total is less than the company capital requirement. Company capital withdrawal if the company capital total is more than the company capital
requirement.
Each cash transaction is accumulated on the level of Clearing Member, currency, cash transaction type and value date. Mapping between different currencies exist and cash transactions are settled in the mapped currency. For each Clearing Member using CCORP as clearing house, the accumulated cash transactions are reported in the raw data report RPTCD310. Closing cash transactions (cash calls or cash withdrawal) are not calculated and therefore not reported in RPTCD310. The collateral reports RPTCD020 CASH AND SECURITY MOVEMENT and SPECIFIC EQUITY COLLATERAL as well as RPTCD031 DAILY CASH AND SECURITIES VALUATION provide the information about cash balances.
A summary about the daily cash transactions is available in the report RPTCD009 DAILY CASH TRANSACTIONS. Correspondent banks can also receive the reports RPTCD011 DAILY CASH ACCOUNT STATEMENT FOR ACCOUNT HOLDER and RPTCD071 MONTHLY CASH ACCOUNT STATEMENT FOR ACCOUNT HOLDER displaying the resulting cash instructions.
The cash balance displayed on the Daily Cash Transaction Overview window is the total of the margin cash balance used to cover margin requirements, the company capital cash balance and clearing fund cash balance. All cash movements including the cash transactions can be reviewed on the report RPTCD010 DAILY CASH ACCOUNT STATEMENT FOR CLEARING MEMBER, report RPTCD070 MONTHLY CASH ACCOUNT STATEMENT FOR CLEARING MEMBER and on the Daily Cash Transaction Overview window.
2.2
Client Asset Protection
Eurex Clearing’s Client Asset Protection (CAP) solution allows Clearing Members and customers to select different levels of asset protection depending on individual risk-cost profiles. In co-operation with leading market players, a legal concept has been developed that offers the provision of client collateral to Eurex Clearing. In addition, the solution provides segregation for positions as well as for cash and securities collateral.
2.2.1
Activation of CAP
The Client Asset Protection solution of Eurex Clearing for the Individual Clearing Model for NCMs was technically implemented with Eurex Release 13.0 on November 15, 2010.
The CAP service for the Individual Clearing Model for Registered Customers was activated in November 2012, for details please refer to Eurex Clearing Circular 092/12. The CAP service for the Net Omnibus Clearing Model was activated on January 14, 2013, for details please refer to Eurex Clearing circular 118/12.
2.2.2
Types of Client Asset Protection Solution
Eurex Clearing offers three types of segregation solution: Individual Clearing Model
Net Omnibus Clearing Model Existing Elementary Clearing Model
Individual Clearing Model for Non Clearing Members and Registered Customers
Margin requirements for a given Non Clearing Member/Registered Customer are covered by a dedicated collateral pool which only holds the collateral of one specific Non Clearing Member/ Registered Customer.
Net Omnibus Clearing Model
Positions and collateral are separated from Clearing Member proprietary positions.
Positions are held in a segregated Net Omnibus client account (A9) and/or on the Non Clear-ing Member account.
The margin requirement is calculated on a net level for the Segregated Agent account; should a Non Clearing Member select Net Omnibus segregation, the Non Clearing Member’s margin requirement will be added, and the total margin requirement must be covered by the segre-gated Net Omnibus collateral pool.
Existing Solution
Existing setup is maintained and Clearing Members use proprietary collateral to cover client (Non Clearing Members, Registered Customers and agent clients) and proprietary business. Portability of positions is possible, depending on the co-operation of the Clearing Member. Protection of client collateral is provided by the Clearing Member.
Even where a given Clearing Member offers Client Asset Protection, clients (Non Clearing Members/Registered Customers and agent clients) can decide against segregation.
Please refer to the “Eurex User Manual - System Overview and Information Manual” for more information on Eurex Clearing Segregation Solutions.
2.2.3
Client Asset Protection Solutions
Clearing Members are able to combine different Client Asset Protection solutions, thus Clearing Members active in products cleared by Eurex Clearing can choose between the following setups: Existing solution, i.e. Elementary Clearing Model for all Clearing Member clients (agent clients
and Non Clearing Members).
Individual Clearing Model for Non Clearing Members/Registered Customers (plus Elementary Clearing Solution for certain Clearing Member clients).
Net Omnibus Clearing Model (plus existing solution for certain Clearing Member clients). Net Omnibus Clearing Model and Individual Clearing Model for Non Clearing Members (plus
Elementary Clearing Model for certain Clearing Member clients). In the event of a multi-market setup, the following limitations apply:
Non Clearing Members which clear through the same Clearing Member in several markets supported by Eurex Clearing will have the same Client Asset Protection for the Individual Clearing Model setup on all markets cleared by the particular Clearing Member.
The Net Omnibus Clearing Model is only available for Eurex Transactions and Transactions in EEX cooperation products cleared with Eurex Clearing AG. The model allows Clearing Mem-bers located in the United Kingdom (UK) to apply the UK CASS rules in relation to their cus-tomers or Non-Clearing Members (NCMs). An NCM that clears through the same Clearing Member in several markets will have to use a separate member ID for the Eurex market to uti-lize the Net Omnibus Clearing Model.
Only the derivatives clearing system allows Clearing Members to distinguish segregated agent clients from non-segregated agent clients.
Participation in the General Clearing Member netting for Xetra International Markets may restrict participation in Client Asset Protection on Clearing House level. For further details please refer to the final release notes for CCP 6.0.
2.2.4
The Pool Concept - Introduction
The main principle to enable client asset segregation within the Eurex Systems is the ‘multiple pool’ concept. Currently, one collateral pool grouping multiple external collateral accounts and cash collaterals into one overall collateral balance was maintained in the Eurex System per Eurex Clearing Member.
By introducing a pool ID, Clearing Members are able to maintain multiple collateral pools, each assigned to an external securities collateral account and grouping the appropriate cash
transactions reflecting the cash collateral balances.
Collateral assets, both securities collateral and cash collateral balances, can only be assigned to one collateral pool, as such allowing the Clearing Member to segregate its proprietary collateral assets from its client collateral assets.
