Open Day Deutsche Börse IT conference Eurex Clearing s C7 release 3.0 Anselm Jumpertz. 16 October 2014

Transcription

1 Open Day Deutsche Börse IT conference Eurex Clearing s C7 release 3.0 Anselm Jumpertz 16 October 2014

2 Deutsche Börse Group 1 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Flexible contract integration Interface Changes FIXML Reporting Eurex Classic

3 Deutsche Börse Group 2 Functional overview First mandatory C7 release for all Eurex Clearing participants (for ETD) Full position and transaction management will be ported All listed Eurex derivatives products available in C7 Release 3.0 Settlement for all listed products (incl. KRX, TAIFEX and FX) Mirrored booking between C7 and Eurex Classic obsolete New functionalities (e.g. average pricing) Changes in old and introduction of new reports

4 Deutsche Börse Group 3 Scopes for C7 Release 3.0 Transaction and position management New for Release 3.0 Allocation / notification Position transfer Give-up / take-up Average pricing (new) Automatic processing (new) Trade reversal Preliminary price handling Flexible account structure KRX and TAIFEX processing in C7 Enhanced GUI for Release 3.0 FX processing FIXML changes regarding C7 Release 3.0 Available in Release 1.0 and 2.0 Text Adjustment O/C Adjustment Transaction Separation Re-Open Close-Out Exercise/ assignment Calculate Statistics Account Transfer Entitlement New user entitlement concept

5 Deutsche Börse Group 4 Infrastructure overview Full position and transaction management available on C7 Direct trade load in C7 for standard and flexible contracts Booking between C7 and Eurex Classic obsolete Trading Clearing Access Trading reference and market data interfaces Trading interfaces T7 Eurex trades EEX trades C7 Eurex off-book trades Derivatives Clearing GUI Common Report Engine, clearing reference data (reports / files) Eurex Clearing FIXML interface Eurex Trader GUI Eurex off-book Eurex Admin GUI trades Eurex Classic Collateral management prices for validation of Trade Entry GUI......

6 Deutsche Börse Group 5 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

7 Deutsche Börse Group 6 Average Pricing Characteristics Definition and limitations Merging of multiple transactions into one transaction priced with a volume-weighted average price calculated by C7. The request includes at least two transaction with the following characteristics: not pending for approval not average-priced adjustable top-day transactions part of the same position traded either on-exchange or off-book on the same side (buy or sell) with a to open flag Booking logic After a successful validation all participating transactions will be reversed and the new averaged transaction will be booked with a new transaction ID (suffix logic of the original transactions will not be inherited) as well as a new trade type (051) and new transaction type (011). C7 will also display: average price with 10 decimal places residual with number of characters defined per currency Residual is the difference between cash flows and it will always be displayed as a payable amount. The residual will have no impact, because it is cash neutral and it will be shown only for information. KRX / TAIFEX / EEX products as well as trades with a preliminary price will not be supported.

8 Deutsche Börse Group 7 Processing Average pricing Initiate a request for average pricing C7 Derivatives Clearing GUI FIXML Unlimited number of transactions 1000 transactions ID O/C Side TranType Price Status 1 O B A 2 O B A 3 O B A 4 O S A reject Validation reject Validation reject Forecast (optionally) success success Average-priced transaction Average-priced transaction ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Reverse the original transactions Reverse the original transactions

9 Deutsche Börse Group 8 Calculation logic Original transactions 1 @ Total premium Total quantity Volume-weighted average price (rounded) Average-priced transaction Residual: 0.02 Total premium Difference

10 Deutsche Börse Group 9 Demerge Initiate a request for average pricing C7 Derivatives Clearing GUI Average-priced transaction FIXML Transfer back to the initiating account ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Validation Validation rejected accepted rejected accepted Demerge Demerge FIXML ID O/C Side TranType Price Status 1.1 O B A 2.1 O B A 3.1 O B A Reverse the average price transaction Re-booking of the original transactions Reverse the average priced transaction

11 Deutsche Börse Group 10 Demerge Characteristics A demerge splits the average priced transaction into its original transactions in case of an erroneously merged transaction. The request will be initiated in the merge account and will include (all parts of) the averaged transaction. In case of a successful give-up / take-up the transaction must be transferred back in the merge account. A demerge will be allowed after the trading day. A demerge will be booked with transaction type (012) Mistrade Handling Mistrades will be reversed following the general trade reversal logic in C7. The automatic demerge will be part of the reversal chain.

12 Deutsche Börse Group 11 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

13 Deutsche Börse Group 12 Preliminary prices handling (variance futures) T7 Trade Acceptance Preliminary Prices in T7 Final Prices in T7 EoD Participants TradeCapture Report Participants TradeCapture Report Automatic inverse booking of the Preliminary Price and rebooking of the Final Trade with the Final Price C7 Preliminary Prices in C7 marked with a Preliminary Price Tag Final Prices in C7 Definition Trades for variance futures have a preliminary price. Their final price is calculated EoD and the preliminary price is adjusted by the final price. Booking Logic The trades with preliminary price will be automatically adjusted when the final price is available. After the booking of the final trade the transaction does not carry preliminary price tags. Special case The incoming final prices will cancel pending give-ups. After the price is adjusted the give-up is automatically retriggered. A new process ID will be generated. Changes in C7 Release 3.0 The trade with a preliminary price will be adjustable regarding all position and transaction management events excluding average pricing. The preliminary price tag will stay with the transaction after each adjustment. Trade Entry Service Off-book trades need an on-exchange price for validation, so they are available after the booking of the final price.

14 Deutsche Börse Group 13 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

15 Deutsche Börse Group 14 Automatic rules processing Definition Events that automatically trigger the underlying function according to pre-defined parameters for straight-through processing. Characteristics Parameters Configurable in nature and control functional processing in the system Can be linked to an account or participant Triggering event Incoming request, transaction, user action, time event etc. Prioritisation Weighs the importance of the assignment of parameters and account Priorities defined by the clearing house can never be overwritten by a participant.

16 Deutsche Börse Group 15 Automatic rules processing in C7 Release 3.0 Automatic close out (new) Automatic give-up for G2 The possibility to automatically execute a close out of open positions to reduce the long and short side of the position equally At product end-of-day processing Zero cost quantity flag can be considered Please note: re-opening can be performed by the participant An automatic give-up process will be triggered for incoming trades carrying G2 account information from T7. The trade is booked on the default account with additional counterparty information. Automatic approval for give-up and take-up transaction transfers The possibility to automatically approve the transfer requested by give-up / take-up process Auto approval If the parameter is configured for the account owner then the incoming give-up (take-up) request will be automatically approved by the give-up (take-up) account sponsor (clearing member) In-the-money amount configuration for automatic exercise Individual in-the-money amount for automatic exercise Both cash and physical settlement Default amounts are defined by the clearing house and will be applicable if ITM amount is not defined.

17 Deutsche Börse Group 16 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

18 Deutsche Börse Group 17 Flexible Account structure C7 Release 3.0 will be the first release with completely integrated standard and flexible contracts available for full transaction and position management in the C7 Flexible Account structure. After the complete contract migration the mirrored booking on AAA and A8 accounts as well as the account AAA will be obsolete. Account hierarchy in C7 Release 3.0 A1-A9 (excluding A8), P1, P2 and M1, M2 and additional agent accounts Creation and maintenance in C7 GUI via spreadsheet (processing from C7 Release 1.0 unchanged) Additional proprietary accounts will be supported in later releases Account characteristics The participant can extend the number of their agent accounts according to their segregation model using freely chosen names: names will be unique 32 characters long Booking rules Booking rules will be predefined without option for individual configurability. Net accounts are M1 and M2, all other accounts are gross.

19 Deutsche Börse Group 18 Position neutral bookings For transaction separation, text adjustment and average pricing a position neutral booking is already in place with C7 Release 1.0. This logic will be followed also in C7 Release 3.0. Account Level C7 TranID SuffixID A/R TranTyp B/S Booking Long Eurex Classic Booking Long Original Transaction view 0003S3 ^ A 000 B ^ 1:3 Separation and original record reversal 0003S R 006 B Three new transactions booked 0003S N 006 B S N 006 B S N 006 B 0 100

20 Deutsche Börse Group 19 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

21 Deutsche Börse Group 20 Overview of New Entitlement model System Participant Basic building blocks Participant Roles Privileges Object Secured objects Secured group Users Participants are allowed access to the system based on their business role and license. The clearing house has the most rights in the system. Privileges Each privilege defines a functionality to be performed in the system. Two types of privileges: system = does not apply to a specific object object = applies to a specific static or dynamic data object (e.g. account) Four eye can be configured for each of the privileges Roles They contain sets of privileges. A set of default roles will be created by the clearing house to cater to different kind of participants such as GCM, NCM. The roles will be assigned to the participants by the clearing house. Roles define the maximum rights that are available for any participant or a user. Users Users belong to any of the participants. No user can have more rights than the participant to which they belong to. Two kinds of users for each participant: security coordinator = primary function to perform maintenance activities for business users business users: primary function to perform the day to day business activities

22 Deutsche Börse Group 21 Overview of New Entitlement model Hierarchical approach Clearing house CH Definition of default roles (maximum rights applicable within clearing organisation) Participants P1 P2 PN Maximum rights per participant (assigned by clearing house depending on clearing license) User U1 U2 U3 U1 U2 U3 Individual max. rights per user (assigned by system security coordinator of participant)

23 Deutsche Börse Group 22 Comparison RAL vs. New Entitlement model Functionalities RAL New Entitlement Model Each of the RAL corresponds to a general functionality Each privilege corresponds to a specific task that can performed by an user in the system Entitlement Levels Account based restrictions Default Roles Four eye principle User Maintenance 0 No access 1 Inquire/read 2- Inquire, add, modify/maintain/change 3- Inquire, add, modify, delete A user can perform the functionality on any of its own accounts - No concept of default roles available. Initial RAL assignment is done via templates - Each of the RAL can be individually assigned to participants - Four eye principle is available only for specific RAL s - There is no provision in the system to configure a user to approve specific four eye approval request Initial RAL assignments to all users of the system will be managed by the Clearing house. A unique privilege will be created corresponding to each of the level for e.g. RAL for Give-up in the old system will be broken down to multiple privileges corresponding to Add Give-up, Modify Give-up etc The functionalities allowed for a user can be restricted per account - Privileges are assigned to participants and users via Roles - Default roles defined by the clearing house are assigned to participants based on the clearing license - Full flexibility to apply four eye principle to any of the privileges assigned to any user - Each user can be configured to approve four eye request for specific functionalities Role assignment to users of each of the participants will be managed by the admin user of the respective participant

24 Deutsche Börse Group 23 User migration User The user will be migrated according to certain criteria. The criteria will be published later. Entitlement After the migration the user will automatically be entitled by the clearing house. The member can change the entitlement settings in advance.

25 Deutsche Börse Group 24 Agenda Functional overview Transaction management Entitlement introduction Data migration Flexible contract integration Interface changes Eurex Classic

26 Deutsche Börse Group 25 Flexible contract integration With Release 3.0 flexible contracts will be completely integrated for transaction or position management and available in C7. The same request messages and workflows as for standard contracts are supported for flexible contracts. General characteristics Full position and transaction management for flexible contracts available in C7 Aligned give-up / take-up workflow for standard and for flexible contracts Reports Settlement prices will be reported in the CB012 account statement. Obsolete Status codes for flexible contracts will be obsolete. Special set-to-close function for flexible contracts

27 Deutsche Börse Group 26 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

28 Deutsche Börse Group 27 Interfaces: FIXML A complete set of documentation describing the implementation of changes and adjustments in C7 regarding FIXML is available. Additional and new attributes will be implemented to support the Release 3.0 scopes. All new functionalities (e.g. average pricing) that will be introduced in the C7 Release 3.0 will be accessible via the C7 Clearing GUI which will be included in FIXML as well.

29 Deutsche Börse Group 28 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

30 Deutsche Börse Group 29 Interfaces: reports The reports will provide data based on sub-account level for the first time in C7. The reports will be available either in.csv or.xml file format. New reports Reports already available in C7 Release 1.0 and 2.0 Corporate Actions Report ID Old Report ID Report Name RPTCA752 CA052 Capital Adjustment Positions Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE710 CE010 In-the-Money Advisory RPTCE750 CE050 Expiration Payment-vs-Payment Transaction Management Report ID Old Report ID Report Name RPTCB715 NA Average Pricing RPTCB740 CB440 TAIFEX Position Report RPTCB730 CB030 Position Transfer Overview RPTCB731 CB031 Settling Futures Positions RPTCB750 CB130 Give-Up/ Take-Up Overview RPTCB741 CB430 KRX Position Report RPTCE730 CE030 Member Expiration RPTCE735 CE035 Expired Series Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE775 CE075 Notification/Allocation Summary RPTCE770 CE070,CE071 Delivery Summary Settlement Report ID Old Report ID Report Name RPTCB702 CB102 Cash Settled Contracts Transaction Management Report ID Old Report ID Report Name RPTCB012 CB010 Account Statement Cash Report ID Old Report ID Report Name RPTCB790 CB090 Premium Overall Summary RPTCB795 CB095 Variation Mgn Overall Summary

31 Deutsche Börse Group 30 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

32 Deutsche Börse Group 31 Eurex Classic Eurex Classic will continue to support services, that are not available with the C7 Release 3.0: Automatic processing rules Automatic give-up Trade Entry Services maximum configuration Collateral management EEX trades Position and transaction management Entitlement User set-up

33 Deutsche Börse Group 32 Back-up Unique Trade Identifier FIXML: preliminary prices FIXML: flexible contract integration FIXML: average pricing Additional and changed transaction attributes

34 Deutsche Börse Group 33 UTI (Unique Trade Identifier) Idea With C7 Release 3.0 the logic for composition of the UTI / UPI required for EMIR reporting will be changed. Logic The UTI / UPI will contain all transaction or position components to uniquely identify a transaction or a position. The string must be composed as follows: Transaction message UTI = ESMA method identifier MIC code MIC code UTI type Clearing leg Transaction ID (trading) (clearing) indicator indicator Transaction ID Suffix E01 XEUR ECAG E C ASDFGHJKL UTI= E01XEURECAGEC ASDFGHJKL Position message UPI = ESMA method identifier MIC code MIC code UTI type Clearing leg (trading) (clearing) indicator indicator Position ID E01 XEUR ECAG P C UPI= E01XEURECAGPC

35 Deutsche Börse Group 34 FIXML: preliminary prices (variance futures) Preliminary price tag Field: ClearedIndicator (1832) Value 2 = Cleared with preliminary price The tag will be added to the transaction and included in the TradeCaptureReport. TransferReason(830) Transaction type value 000 for booking of the trade with a preliminary price Value 060 identifying the adjustment to the final price

36 Deutsche Börse Group 35 FIXML: flexible contract integration Introduction product complex / flip ID Further changes Part of the unique identification of a corresponding standard contract Used to distinguish between flexible and standard contracts One character in the flip ID will determine the exercise style and the settlement method (7 and 8: exercise style, 6 and 9: settlement method) Instrument groups will be extended with additional key fields The following FIXML layouts will be obsolete: set to close workflow flexible contracts clearing Same requests and broadcasts will be used for flexible and standard contracts Tag No. FIXML Field Description Characteristics Standard Options Standard Futures Flexible Options 48 SecurityID Cleared Instrument ID 10 yes yes yes yes 22 SecurityIDSource (new) M= Marketplace assigned identifier 1 yes yes yes yes 55 Symbol Product symbol 4 yes yes yes yes 1227 ProductComplex (new) Contract symbol (Flip ID) 4 no no yes yes 541 MaturityDate (new) Expiration date Date no no yes yes 200 MaturityMonthYear ExpirationRefSymbol MMMYY yes yes no no 202 StrikePrice Strike price 10,8 yes no yes no 206 OptAttribute Version number 2 numeric yes no yes no 201 PutOrCall Put or call C, P yes no yes no 1193 SettlMeth (new) Settlement method C, P no no yes yes 1194 ExerStyle (new) Exercise style A, E no no yes no Flexible Futures

37 Deutsche Börse Group 36 FIXML: average pricing Additional and changed FIXML attributes The RelatedTradeID (1856) will contain the new transaction ID in merge reversal booking or demerge reinstate booking. Residual (PosAmt (708) and PosAmtType (707)) has a new value (CRES) for average pricing residual amount to display the difference between cash flows. The expected price and residual can be optionally compared to the C7 calculation. Required fields for entry will be: average price with 10 decimal places (shorter entries are filled with zero) residual with number of characters defined per product currency (e.g. has 2 decimal places) Forecast Additional service allowing the FIXML user to double-check the expected output from the average pricing The user can optionally enter values for average price, residual or accumulated quantity, whereas the fields for average price and residual should be specified as described above. A forecast is successful only if the entered values are identical to the values calculated by the C7 GUI. TradeCaptureReport FIXML TCR acknowledge message (accept or reject) will be sent (n transactions are merged). Merge: n TCR for reversal of the original transactions and 1 TCR for the new transaction Demerge: 1 TCR for reversal of averaged transaction, n TCR for the re-instating of every original transaction

38 Deutsche Börse Group 37 Additional and changed transaction attributes (1/6) The following slides describe the changes regarding FIXML attributes, which will be introduced with C7 Release 3.0. Field length changed Functional Name Transaction ID Field Name Tag No. Description TradeReportID 571 TradeReportRefID 572 TradeID 1003 The transaction ID is unique over the lifecycle. Its length is increased to 19 and the suffix length is increased to 10. Field length Account name RootPartityID RootParityRole ParityID ParityRole NestedParityID NestedParityRole The restriction of 20 characters for Release 1.0 and 2.0 is obsolete. Field length is increased up to 32 characters Strategy Link ID StrategyLinkID 1851 Up to 20 characters in order to have a unique Strategy Link ID accross products

39 Deutsche Börse Group 38 Additional and changed transaction attributes (2/6) New values for the different types Functional Name Timestamp Residual Field Name Tag No. Description TrdRegTimestamp 769 TrdRegTimestampType 770 PosAmt 708 PosAmtType 707 Additional values: 7 = Submission to clearing 2 = Time in New value for PosAmtType regarding average pricing: CRES = residual amount

40 Deutsche Börse Group 39 Additional and changed transaction attributes (3/6) Changed values Functional Name Trader ID Field Name Tag No. Description RootParityID 1117 RootParityRole 1119 New value 11 = order originating trader Instrument Subtype ID RelatedProductComplex New value 8 = packs and bundles RelatedSecuritySubType New logic Order ID Order ID 37 The unique identifier for order (current usage of Secondary Order ID obsolete) Removed Settlement Date Secondary Order ID SettlDate 64 SecondaryOrderID 198

41 Deutsche Börse Group 40 Additional and changed transaction attributes (4/6) New FIXML attributes Functional Name KRX / TAIFEX Member Field Name Tag No. Description Nested PartyID 524 NestedPartyRole 538 The member will be described with party Role 13 RootPartyID 1117 RootPartyRole 1119 The member will be described with party Role 13 Nested PartyID 524 KRX / TAIFEX Beneficiary NestedPartyRole 538 The beneficiary will be described with Party Role 32 RootPartyID 1117 RootPartyRole 1119 The beneficiary will be described with Party Role 32

42 Deutsche Börse Group 41 Additional and changed transaction attributes (5/6) New FIXML attributes Functional Name Position Effect Action Field Name Tag No. Description PositionEffectAction A flag indicating closing errors. Value: 1=Opposite position opened Preliminary Price Tag Rate Identifier ClearedIndicator 1832 Trades with a preliminary price will be indicated with value 2 = Cleared with preliminary price. CustOrderHandling 1031 egains identifier for brokerage, billing and payment process related to the processing of give-ups Field length 1 char

43 Deutsche Börse Group 42 Additional and changed transaction attributes (6/6) New FIXML Attributes Functional Name Contingent Price Field Name Tag No. Description PositionContigentPrice 1595 Price used to calculate variation margin instead of previous settlement price in case a capital adjustment was done for single stock futures. Related ID Position ID RelatedTradeID 1856 RelatedTradeIDSource 1857 RelatedPositionID 1862 Related PositionIDSource 1863 Used for average pricing and de-merge. Unique identifier for Position ID.

44 Open Day 2014 Thank you! OB1

45 Slide 44 OB1 Normalerweise werden hier häufig noch Kontakdaten angegeben. Oliver Bayer, 02/10/2014

46 Open Day Deutsche Börse IT conference Eurex Clearing s C7 release 3.0 Anselm Jumpertz 16 October 2014

47 Deutsche Börse Group 1 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Flexible contract integration Interface Changes FIXML Reporting Eurex Classic

48 Deutsche Börse Group 2 Functional overview First mandatory C7 release for all Eurex Clearing participants (for ETD) Full position and transaction management will be ported All listed Eurex derivatives products available in C7 Release 3.0 Settlement for all listed products (incl. KRX, TAIFEX and FX) Mirrored booking between C7 and Eurex Classic obsolete New functionalities (e.g. average pricing) Changes in old and introduction of new reports

49 Deutsche Börse Group 3 Scopes for C7 Release 3.0 Transaction and position management New for Release 3.0 Allocation / notification Position transfer Give-up / take-up Average pricing (new) Automatic processing (new) Trade reversal Preliminary price handling Flexible account structure KRX and TAIFEX processing in C7 Enhanced GUI for Release 3.0 FX processing FIXML changes regarding C7 Release 3.0 Available in Release 1.0 and 2.0 Text Adjustment O/C Adjustment Transaction Separation Re-Open Close-Out Exercise/ assignment Calculate Statistics Account Transfer Entitlement New user entitlement concept

50 Deutsche Börse Group 4 Infrastructure overview Full position and transaction management available on C7 Direct trade load in C7 for standard and flexible contracts Booking between C7 and Eurex Classic obsolete Trading Clearing Access Trading reference and market data interfaces Trading interfaces T7 Eurex trades EEX trades C7 Eurex off-book trades Derivatives Clearing GUI Common Report Engine, clearing reference data (reports / files) Eurex Clearing FIXML interface Eurex Trader GUI Eurex off-book Eurex Admin GUI trades Eurex Classic Collateral management prices for validation of Trade Entry GUI......

51 Deutsche Börse Group 5 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

52 Deutsche Börse Group 6 Average Pricing Characteristics Definition and limitations Merging of multiple transactions into one transaction priced with a volume-weighted average price calculated by C7. The request includes at least two transaction with the following characteristics: not pending for approval not average-priced adjustable top-day transactions part of the same position traded either on-exchange or off-book on the same side (buy or sell) with a to open flag Booking logic After a successful validation all participating transactions will be reversed and the new averaged transaction will be booked with a new transaction ID (suffix logic of the original transactions will not be inherited) as well as a new trade type (051) and new transaction type (011). C7 will also display: average price with 10 decimal places residual with number of characters defined per currency Residual is the difference between cash flows and it will always be displayed as a payable amount. The residual will have no impact, because it is cash neutral and it will be shown only for information. KRX / TAIFEX / EEX products as well as trades with a preliminary price will not be supported.

53 Deutsche Börse Group 7 Processing Average pricing Initiate a request for average pricing C7 Derivatives Clearing GUI FIXML Unlimited number of transactions 1000 transactions ID O/C Side TranType Price Status 1 O B A 2 O B A 3 O B A 4 O S A reject Validation reject Validation reject Forecast (optionally) success success Average-priced transaction Average-priced transaction ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Reverse the original transactions Reverse the original transactions

54 Deutsche Börse Group 8 Calculation logic Original transactions 1 @ Total premium Total quantity Volume-weighted average price (rounded) Average-priced transaction Residual: 0.02 Total premium Difference

55 Deutsche Börse Group 9 Demerge Initiate a request for average pricing C7 Derivatives Clearing GUI Average-priced transaction FIXML Transfer back to the initiating account ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Validation Validation rejected accepted rejected accepted Demerge Demerge FIXML ID O/C Side TranType Price Status 1.1 O B A 2.1 O B A 3.1 O B A Reverse the average price transaction Re-booking of the original transactions Reverse the average priced transaction

56 Deutsche Börse Group 10 Demerge Characteristics A demerge splits the average priced transaction into its original transactions in case of an erroneously merged transaction. The request will be initiated in the merge account and will include (all parts of) the averaged transaction. In case of a successful give-up / take-up the transaction must be transferred back in the merge account. A demerge will be allowed after the trading day. A demerge will be booked with transaction type (012) Mistrade Handling Mistrades will be reversed following the general trade reversal logic in C7. The automatic demerge will be part of the reversal chain.

57 Deutsche Börse Group 11 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

58 Deutsche Börse Group 12 Preliminary prices handling (variance futures) T7 Trade Acceptance Preliminary Prices in T7 Final Prices in T7 EoD Participants TradeCapture Report Participants TradeCapture Report Automatic inverse booking of the Preliminary Price and rebooking of the Final Trade with the Final Price C7 Preliminary Prices in C7 marked with a Preliminary Price Tag Final Prices in C7 Definition Trades for variance futures have a preliminary price. Their final price is calculated EoD and the preliminary price is adjusted by the final price. Booking Logic The trades with preliminary price will be automatically adjusted when the final price is available. After the booking of the final trade the transaction does not carry preliminary price tags. Special case The incoming final prices will cancel pending give-ups. After the price is adjusted the give-up is automatically retriggered. A new process ID will be generated. Changes in C7 Release 3.0 The trade with a preliminary price will be adjustable regarding all position and transaction management events excluding average pricing. The preliminary price tag will stay with the transaction after each adjustment. Trade Entry Service Off-book trades need an on-exchange price for validation, so they are available after the booking of the final price.

59 Deutsche Börse Group 13 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

60 Deutsche Börse Group 14 Automatic rules processing Definition Events that automatically trigger the underlying function according to pre-defined parameters for straight-through processing. Characteristics Parameters Configurable in nature and control functional processing in the system Can be linked to an account or participant Triggering event Incoming request, transaction, user action, time event etc. Prioritisation Weighs the importance of the assignment of parameters and account Priorities defined by the clearing house can never be overwritten by a participant.

61 Deutsche Börse Group 15 Automatic rules processing in C7 Release 3.0 Automatic close out (new) Automatic give-up for G2 The possibility to automatically execute a close out of open positions to reduce the long and short side of the position equally At product end-of-day processing Zero cost quantity flag can be considered Please note: re-opening can be performed by the participant An automatic give-up process will be triggered for incoming trades carrying G2 account information from T7. The trade is booked on the default account with additional counterparty information. Automatic approval for give-up and take-up transaction transfers The possibility to automatically approve the transfer requested by give-up / take-up process Auto approval If the parameter is configured for the account owner then the incoming give-up (take-up) request will be automatically approved by the give-up (take-up) account sponsor (clearing member) In-the-money amount configuration for automatic exercise Individual in-the-money amount for automatic exercise Both cash and physical settlement Default amounts are defined by the clearing house and will be applicable if ITM amount is not defined.

62 Deutsche Börse Group 16 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

63 Deutsche Börse Group 17 Flexible Account structure C7 Release 3.0 will be the first release with completely integrated standard and flexible contracts available for full transaction and position management in the C7 Flexible Account structure. After the complete contract migration the mirrored booking on AAA and A8 accounts as well as the account AAA will be obsolete. Account hierarchy in C7 Release 3.0 A1-A9 (excluding A8), P1, P2 and M1, M2 and additional agent accounts Creation and maintenance in C7 GUI via spreadsheet (processing from C7 Release 1.0 unchanged) Additional proprietary accounts will be supported in later releases Account characteristics The participant can extend the number of their agent accounts according to their segregation model using freely chosen names: names will be unique 32 characters long Booking rules Booking rules will be predefined without option for individual configurability. Net accounts are M1 and M2, all other accounts are gross.

64 Deutsche Börse Group 18 Position neutral bookings For transaction separation, text adjustment and average pricing a position neutral booking is already in place with C7 Release 1.0. This logic will be followed also in C7 Release 3.0. Account Level C7 TranID SuffixID A/R TranTyp B/S Booking Long Eurex Classic Booking Long Original Transaction view 0003S3 ^ A 000 B ^ 1:3 Separation and original record reversal 0003S R 006 B Three new transactions booked 0003S N 006 B S N 006 B S N 006 B 0 100

65 Deutsche Börse Group 19 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

66 Deutsche Börse Group 20 Overview of New Entitlement model System Participant Basic building blocks Participant Roles Privileges Object Secured objects Secured group Users Participants are allowed access to the system based on their business role and license. The clearing house has the most rights in the system. Privileges Each privilege defines a functionality to be performed in the system. Two types of privileges: system = does not apply to a specific object object = applies to a specific static or dynamic data object (e.g. account) Four eye can be configured for each of the privileges Roles They contain sets of privileges. A set of default roles will be created by the clearing house to cater to different kind of participants such as GCM, NCM. The roles will be assigned to the participants by the clearing house. Roles define the maximum rights that are available for any participant or a user. Users Users belong to any of the participants. No user can have more rights than the participant to which they belong to. Two kinds of users for each participant: security coordinator = primary function to perform maintenance activities for business users business users: primary function to perform the day to day business activities

67 Deutsche Börse Group 21 Overview of New Entitlement model Hierarchical approach Clearing house CH Definition of default roles (maximum rights applicable within clearing organisation) Participants P1 P2 PN Maximum rights per participant (assigned by clearing house depending on clearing license) User U1 U2 U3 U1 U2 U3 Individual max. rights per user (assigned by system security coordinator of participant)

68 Deutsche Börse Group 22 Comparison RAL vs. New Entitlement model Functionalities RAL New Entitlement Model Each of the RAL corresponds to a general functionality Each privilege corresponds to a specific task that can performed by an user in the system Entitlement Levels Account based restrictions Default Roles Four eye principle User Maintenance 0 No access 1 Inquire/read 2- Inquire, add, modify/maintain/change 3- Inquire, add, modify, delete A user can perform the functionality on any of its own accounts - No concept of default roles available. Initial RAL assignment is done via templates - Each of the RAL can be individually assigned to participants - Four eye principle is available only for specific RAL s - There is no provision in the system to configure a user to approve specific four eye approval request Initial RAL assignments to all users of the system will be managed by the Clearing house. A unique privilege will be created corresponding to each of the level for e.g. RAL for Give-up in the old system will be broken down to multiple privileges corresponding to Add Give-up, Modify Give-up etc The functionalities allowed for a user can be restricted per account - Privileges are assigned to participants and users via Roles - Default roles defined by the clearing house are assigned to participants based on the clearing license - Full flexibility to apply four eye principle to any of the privileges assigned to any user - Each user can be configured to approve four eye request for specific functionalities Role assignment to users of each of the participants will be managed by the admin user of the respective participant

69 Deutsche Börse Group 23 User migration User The user will be migrated according to certain criteria. The criteria will be published later. Entitlement After the migration the user will automatically be entitled by the clearing house. The member can change the entitlement settings in advance.

70 Deutsche Börse Group 24 Agenda Functional overview Transaction management Entitlement introduction Data migration Flexible contract integration Interface changes Eurex Classic

71 Deutsche Börse Group 25 Flexible contract integration With Release 3.0 flexible contracts will be completely integrated for transaction or position management and available in C7. The same request messages and workflows as for standard contracts are supported for flexible contracts. General characteristics Full position and transaction management for flexible contracts available in C7 Aligned give-up / take-up workflow for standard and for flexible contracts Reports Settlement prices will be reported in the CB012 account statement. Obsolete Status codes for flexible contracts will be obsolete. Special set-to-close function for flexible contracts

72 Deutsche Börse Group 26 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

73 Deutsche Börse Group 27 Interfaces: FIXML A complete set of documentation describing the implementation of changes and adjustments in C7 regarding FIXML is available. Additional and new attributes will be implemented to support the Release 3.0 scopes. All new functionalities (e.g. average pricing) that will be introduced in the C7 Release 3.0 will be accessible via the C7 Clearing GUI which will be included in FIXML as well.

74 Deutsche Börse Group 28 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

75 Deutsche Börse Group 29 Interfaces: reports The reports will provide data based on sub-account level for the first time in C7. The reports will be available either in.csv or.xml file format. New reports Reports already available in C7 Release 1.0 and 2.0 Corporate Actions Report ID Old Report ID Report Name RPTCA752 CA052 Capital Adjustment Positions Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE710 CE010 In-the-Money Advisory RPTCE750 CE050 Expiration Payment-vs-Payment Transaction Management Report ID Old Report ID Report Name RPTCB715 NA Average Pricing RPTCB740 CB440 TAIFEX Position Report RPTCB730 CB030 Position Transfer Overview RPTCB731 CB031 Settling Futures Positions RPTCB750 CB130 Give-Up/ Take-Up Overview RPTCB741 CB430 KRX Position Report RPTCE730 CE030 Member Expiration RPTCE735 CE035 Expired Series Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE775 CE075 Notification/Allocation Summary RPTCE770 CE070,CE071 Delivery Summary Settlement Report ID Old Report ID Report Name RPTCB702 CB102 Cash Settled Contracts Transaction Management Report ID Old Report ID Report Name RPTCB012 CB010 Account Statement Cash Report ID Old Report ID Report Name RPTCB790 CB090 Premium Overall Summary RPTCB795 CB095 Variation Mgn Overall Summary

76 Deutsche Börse Group 30 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

77 Deutsche Börse Group 31 Eurex Classic Eurex Classic will continue to support services, that are not available with the C7 Release 3.0: Automatic processing rules Automatic give-up Trade Entry Services maximum configuration Collateral management EEX trades Position and transaction management Entitlement User set-up

78 Deutsche Börse Group 32 Back-up Unique Trade Identifier FIXML: preliminary prices FIXML: flexible contract integration FIXML: average pricing Additional and changed transaction attributes

79 Deutsche Börse Group 33 UTI (Unique Trade Identifier) Idea With C7 Release 3.0 the logic for composition of the UTI / UPI required for EMIR reporting will be changed. Logic The UTI / UPI will contain all transaction or position components to uniquely identify a transaction or a position. The string must be composed as follows: Transaction message UTI = ESMA method identifier MIC code MIC code UTI type Clearing leg Transaction ID (trading) (clearing) indicator indicator Transaction ID Suffix E01 XEUR ECAG E C ASDFGHJKL UTI= E01XEURECAGEC ASDFGHJKL Position message UPI = ESMA method identifier MIC code MIC code UTI type Clearing leg (trading) (clearing) indicator indicator Position ID E01 XEUR ECAG P C UPI= E01XEURECAGPC

80 Deutsche Börse Group 34 FIXML: preliminary prices (variance futures) Preliminary price tag Field: ClearedIndicator (1832) Value 2 = Cleared with preliminary price The tag will be added to the transaction and included in the TradeCaptureReport. TransferReason(830) Transaction type value 000 for booking of the trade with a preliminary price Value 060 identifying the adjustment to the final price

81 Deutsche Börse Group 35 FIXML: flexible contract integration Introduction product complex / flip ID Further changes Part of the unique identification of a corresponding standard contract Used to distinguish between flexible and standard contracts One character in the flip ID will determine the exercise style and the settlement method (7 and 8: exercise style, 6 and 9: settlement method) Instrument groups will be extended with additional key fields The following FIXML layouts will be obsolete: set to close workflow flexible contracts clearing Same requests and broadcasts will be used for flexible and standard contracts Tag No. FIXML Field Description Characteristics Standard Options Standard Futures Flexible Options 48 SecurityID Cleared Instrument ID 10 yes yes yes yes 22 SecurityIDSource (new) M= Marketplace assigned identifier 1 yes yes yes yes 55 Symbol Product symbol 4 yes yes yes yes 1227 ProductComplex (new) Contract symbol (Flip ID) 4 no no yes yes 541 MaturityDate (new) Expiration date Date no no yes yes 200 MaturityMonthYear ExpirationRefSymbol MMMYY yes yes no no 202 StrikePrice Strike price 10,8 yes no yes no 206 OptAttribute Version number 2 numeric yes no yes no 201 PutOrCall Put or call C, P yes no yes no 1193 SettlMeth (new) Settlement method C, P no no yes yes 1194 ExerStyle (new) Exercise style A, E no no yes no Flexible Futures

82 Deutsche Börse Group 36 FIXML: average pricing Additional and changed FIXML attributes The RelatedTradeID (1856) will contain the new transaction ID in merge reversal booking or demerge reinstate booking. Residual (PosAmt (708) and PosAmtType (707)) has a new value (CRES) for average pricing residual amount to display the difference between cash flows. The expected price and residual can be optionally compared to the C7 calculation. Required fields for entry will be: average price with 10 decimal places (shorter entries are filled with zero) residual with number of characters defined per product currency (e.g. has 2 decimal places) Forecast Additional service allowing the FIXML user to double-check the expected output from the average pricing The user can optionally enter values for average price, residual or accumulated quantity, whereas the fields for average price and residual should be specified as described above. A forecast is successful only if the entered values are identical to the values calculated by the C7 GUI. TradeCaptureReport FIXML TCR acknowledge message (accept or reject) will be sent (n transactions are merged). Merge: n TCR for reversal of the original transactions and 1 TCR for the new transaction Demerge: 1 TCR for reversal of averaged transaction, n TCR for the re-instating of every original transaction

83 Deutsche Börse Group 37 Additional and changed transaction attributes (1/6) The following slides describe the changes regarding FIXML attributes, which will be introduced with C7 Release 3.0. Field length changed Functional Name Transaction ID Field Name Tag No. Description TradeReportID 571 TradeReportRefID 572 TradeID 1003 The transaction ID is unique over the lifecycle. Its length is increased to 19 and the suffix length is increased to 10. Field length Account name RootPartityID RootParityRole ParityID ParityRole NestedParityID NestedParityRole The restriction of 20 characters for Release 1.0 and 2.0 is obsolete. Field length is increased up to 32 characters Strategy Link ID StrategyLinkID 1851 Up to 20 characters in order to have a unique Strategy Link ID accross products

84 Deutsche Börse Group 38 Additional and changed transaction attributes (2/6) New values for the different types Functional Name Timestamp Residual Field Name Tag No. Description TrdRegTimestamp 769 TrdRegTimestampType 770 PosAmt 708 PosAmtType 707 Additional values: 7 = Submission to clearing 2 = Time in New value for PosAmtType regarding average pricing: CRES = residual amount

85 Deutsche Börse Group 39 Additional and changed transaction attributes (3/6) Changed values Functional Name Trader ID Field Name Tag No. Description RootParityID 1117 RootParityRole 1119 New value 11 = order originating trader Instrument Subtype ID RelatedProductComplex New value 8 = packs and bundles RelatedSecuritySubType New logic Order ID Order ID 37 The unique identifier for order (current usage of Secondary Order ID obsolete) Removed Settlement Date Secondary Order ID SettlDate 64 SecondaryOrderID 198

86 Deutsche Börse Group 40 Additional and changed transaction attributes (4/6) New FIXML attributes Functional Name KRX / TAIFEX Member Field Name Tag No. Description Nested PartyID 524 NestedPartyRole 538 The member will be described with party Role 13 RootPartyID 1117 RootPartyRole 1119 The member will be described with party Role 13 Nested PartyID 524 KRX / TAIFEX Beneficiary NestedPartyRole 538 The beneficiary will be described with Party Role 32 RootPartyID 1117 RootPartyRole 1119 The beneficiary will be described with Party Role 32

87 Deutsche Börse Group 41 Additional and changed transaction attributes (5/6) New FIXML attributes Functional Name Position Effect Action Field Name Tag No. Description PositionEffectAction A flag indicating closing errors. Value: 1=Opposite position opened Preliminary Price Tag Rate Identifier ClearedIndicator 1832 Trades with a preliminary price will be indicated with value 2 = Cleared with preliminary price. CustOrderHandling 1031 egains identifier for brokerage, billing and payment process related to the processing of give-ups Field length 1 char

88 Deutsche Börse Group 42 Additional and changed transaction attributes (6/6) New FIXML Attributes Functional Name Contingent Price Field Name Tag No. Description PositionContigentPrice 1595 Price used to calculate variation margin instead of previous settlement price in case a capital adjustment was done for single stock futures. Related ID Position ID RelatedTradeID 1856 RelatedTradeIDSource 1857 RelatedPositionID 1862 Related PositionIDSource 1863 Used for average pricing and de-merge. Unique identifier for Position ID.

89 Thank you! Open Day 2014

90 Open Day Deutsche Börse IT conference Eurex Clearing s C7 release 3.0 Anselm Jumpertz 16 October 2014

91 Deutsche Börse Group 1 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Flexible contract integration Interface Changes FIXML Reporting Eurex Classic

92 Deutsche Börse Group 2 Functional overview First mandatory C7 release for all Eurex Clearing participants (for ETD) Full position and transaction management will be ported All listed Eurex derivatives products available in C7 Release 3.0 Settlement for all listed products (incl. KRX, TAIFEX and FX) Mirrored booking between C7 and Eurex Classic obsolete New functionalities (e.g. average pricing) Changes in old and introduction of new reports

93 Deutsche Börse Group 3 Scopes for C7 Release 3.0 Transaction and position management New for Release 3.0 Allocation / notification Position transfer Give-up / take-up Average pricing (new) Automatic processing (new) Trade reversal Preliminary price handling Flexible account structure KRX and TAIFEX processing in C7 Enhanced GUI for Release 3.0 FX processing FIXML changes regarding C7 Release 3.0 Available in Release 1.0 and 2.0 Text Adjustment O/C Adjustment Transaction Separation Re-Open Close-Out Exercise/ assignment Calculate Statistics Account Transfer Entitlement New user entitlement concept

94 Deutsche Börse Group 4 Infrastructure overview Full position and transaction management available on C7 Direct trade load in C7 for standard and flexible contracts Booking between C7 and Eurex Classic obsolete Trading Clearing Access Trading reference and market data interfaces Trading interfaces T7 Eurex trades EEX trades C7 Eurex off-book trades Derivatives Clearing GUI Common Report Engine, clearing reference data (reports / files) Eurex Clearing FIXML interface Eurex Trader GUI Eurex off-book Eurex Admin GUI trades Eurex Classic Collateral management prices for validation of Trade Entry GUI......

95 Deutsche Börse Group 5 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

96 Deutsche Börse Group 6 Average Pricing Characteristics Definition and limitations Merging of multiple transactions into one transaction priced with a volume-weighted average price calculated by C7. The request includes at least two transaction with the following characteristics: not pending for approval not average-priced adjustable top-day transactions part of the same position traded either on-exchange or off-book on the same side (buy or sell) with a to open flag Booking logic After a successful validation all participating transactions will be reversed and the new averaged transaction will be booked with a new transaction ID (suffix logic of the original transactions will not be inherited) as well as a new trade type (051) and new transaction type (011). C7 will also display: average price with 10 decimal places residual with number of characters defined per currency Residual is the difference between cash flows and it will always be displayed as a payable amount. The residual will have no impact, because it is cash neutral and it will be shown only for information. KRX / TAIFEX / EEX products as well as trades with a preliminary price will not be supported.

97 Deutsche Börse Group 7 Processing Average pricing Initiate a request for average pricing C7 Derivatives Clearing GUI FIXML Unlimited number of transactions 1000 transactions ID O/C Side TranType Price Status 1 O B A 2 O B A 3 O B A 4 O S A reject Validation reject Validation reject Forecast (optionally) success success Average-priced transaction Average-priced transaction ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Reverse the original transactions Reverse the original transactions

98 Deutsche Börse Group 8 Calculation logic Original transactions 1 @ Total premium Total quantity Volume-weighted average price (rounded) Average-priced transaction Residual: 0.02 Total premium Difference

99 Deutsche Börse Group 9 Demerge Initiate a request for average pricing C7 Derivatives Clearing GUI Average-priced transaction FIXML Transfer back to the initiating account ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Validation Validation rejected accepted rejected accepted Demerge Demerge FIXML ID O/C Side TranType Price Status 1.1 O B A 2.1 O B A 3.1 O B A Reverse the average price transaction Re-booking of the original transactions Reverse the average priced transaction

100 Deutsche Börse Group 10 Demerge Characteristics A demerge splits the average priced transaction into its original transactions in case of an erroneously merged transaction. The request will be initiated in the merge account and will include (all parts of) the averaged transaction. In case of a successful give-up / take-up the transaction must be transferred back in the merge account. A demerge will be allowed after the trading day. A demerge will be booked with transaction type (012) Mistrade Handling Mistrades will be reversed following the general trade reversal logic in C7. The automatic demerge will be part of the reversal chain.

101 Deutsche Börse Group 11 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

102 Deutsche Börse Group 12 Preliminary prices handling (variance futures) T7 Trade Acceptance Preliminary Prices in T7 Final Prices in T7 EoD Participants TradeCapture Report Participants TradeCapture Report Automatic inverse booking of the Preliminary Price and rebooking of the Final Trade with the Final Price C7 Preliminary Prices in C7 marked with a Preliminary Price Tag Final Prices in C7 Definition Trades for variance futures have a preliminary price. Their final price is calculated EoD and the preliminary price is adjusted by the final price. Booking Logic The trades with preliminary price will be automatically adjusted when the final price is available. After the booking of the final trade the transaction does not carry preliminary price tags. Special case The incoming final prices will cancel pending give-ups. After the price is adjusted the give-up is automatically retriggered. A new process ID will be generated. Changes in C7 Release 3.0 The trade with a preliminary price will be adjustable regarding all position and transaction management events excluding average pricing. The preliminary price tag will stay with the transaction after each adjustment. Trade Entry Service Off-book trades need an on-exchange price for validation, so they are available after the booking of the final price.

103 Deutsche Börse Group 13 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

104 Deutsche Börse Group 14 Automatic rules processing Definition Events that automatically trigger the underlying function according to pre-defined parameters for straight-through processing. Characteristics Parameters Configurable in nature and control functional processing in the system Can be linked to an account or participant Triggering event Incoming request, transaction, user action, time event etc. Prioritisation Weighs the importance of the assignment of parameters and account Priorities defined by the clearing house can never be overwritten by a participant.

105 Deutsche Börse Group 15 Automatic rules processing in C7 Release 3.0 Automatic close out (new) Automatic give-up for G2 The possibility to automatically execute a close out of open positions to reduce the long and short side of the position equally At product end-of-day processing Zero cost quantity flag can be considered Please note: re-opening can be performed by the participant An automatic give-up process will be triggered for incoming trades carrying G2 account information from T7. The trade is booked on the default account with additional counterparty information. Automatic approval for give-up and take-up transaction transfers The possibility to automatically approve the transfer requested by give-up / take-up process Auto approval If the parameter is configured for the account owner then the incoming give-up (take-up) request will be automatically approved by the give-up (take-up) account sponsor (clearing member) In-the-money amount configuration for automatic exercise Individual in-the-money amount for automatic exercise Both cash and physical settlement Default amounts are defined by the clearing house and will be applicable if ITM amount is not defined.

106 Deutsche Börse Group 16 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

107 Deutsche Börse Group 17 Flexible Account structure C7 Release 3.0 will be the first release with completely integrated standard and flexible contracts available for full transaction and position management in the C7 Flexible Account structure. After the complete contract migration the mirrored booking on AAA and A8 accounts as well as the account AAA will be obsolete. Account hierarchy in C7 Release 3.0 A1-A9 (excluding A8), P1, P2 and M1, M2 and additional agent accounts Creation and maintenance in C7 GUI via spreadsheet (processing from C7 Release 1.0 unchanged) Additional proprietary accounts will be supported in later releases Account characteristics The participant can extend the number of their agent accounts according to their segregation model using freely chosen names: names will be unique 32 characters long Booking rules Booking rules will be predefined without option for individual configurability. Net accounts are M1 and M2, all other accounts are gross.

108 Deutsche Börse Group 18 Position neutral bookings For transaction separation, text adjustment and average pricing a position neutral booking is already in place with C7 Release 1.0. This logic will be followed also in C7 Release 3.0. Account Level C7 TranID SuffixID A/R TranTyp B/S Booking Long Eurex Classic Booking Long Original Transaction view 0003S3 ^ A 000 B ^ 1:3 Separation and original record reversal 0003S R 006 B Three new transactions booked 0003S N 006 B S N 006 B S N 006 B 0 100

109 Deutsche Börse Group 19 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

110 Deutsche Börse Group 20 Overview of New Entitlement model System Participant Basic building blocks Participant Roles Privileges Object Secured objects Secured group Users Participants are allowed access to the system based on their business role and license. The clearing house has the most rights in the system. Privileges Each privilege defines a functionality to be performed in the system. Two types of privileges: system = does not apply to a specific object object = applies to a specific static or dynamic data object (e.g. account) Four eye can be configured for each of the privileges Roles They contain sets of privileges. A set of default roles will be created by the clearing house to cater to different kind of participants such as GCM, NCM. The roles will be assigned to the participants by the clearing house. Roles define the maximum rights that are available for any participant or a user. Users Users belong to any of the participants. No user can have more rights than the participant to which they belong to. Two kinds of users for each participant: security coordinator = primary function to perform maintenance activities for business users business users: primary function to perform the day to day business activities

111 Deutsche Börse Group 21 Overview of New Entitlement model Hierarchical approach Clearing house CH Definition of default roles (maximum rights applicable within clearing organisation) Participants P1 P2 PN Maximum rights per participant (assigned by clearing house depending on clearing license) User U1 U2 U3 U1 U2 U3 Individual max. rights per user (assigned by system security coordinator of participant)

112 Deutsche Börse Group 22 Comparison RAL vs. New Entitlement model Functionalities RAL New Entitlement Model Each of the RAL corresponds to a general functionality Each privilege corresponds to a specific task that can performed by an user in the system Entitlement Levels Account based restrictions Default Roles Four eye principle User Maintenance 0 No access 1 Inquire/read 2- Inquire, add, modify/maintain/change 3- Inquire, add, modify, delete A user can perform the functionality on any of its own accounts - No concept of default roles available. Initial RAL assignment is done via templates - Each of the RAL can be individually assigned to participants - Four eye principle is available only for specific RAL s - There is no provision in the system to configure a user to approve specific four eye approval request Initial RAL assignments to all users of the system will be managed by the Clearing house. A unique privilege will be created corresponding to each of the level for e.g. RAL for Give-up in the old system will be broken down to multiple privileges corresponding to Add Give-up, Modify Give-up etc The functionalities allowed for a user can be restricted per account - Privileges are assigned to participants and users via Roles - Default roles defined by the clearing house are assigned to participants based on the clearing license - Full flexibility to apply four eye principle to any of the privileges assigned to any user - Each user can be configured to approve four eye request for specific functionalities Role assignment to users of each of the participants will be managed by the admin user of the respective participant

113 Deutsche Börse Group 23 User migration User The user will be migrated according to certain criteria. The criteria will be published later. Entitlement After the migration the user will automatically be entitled by the clearing house. The member can change the entitlement settings in advance.

114 Deutsche Börse Group 24 Agenda Functional overview Transaction management Entitlement introduction Data migration Flexible contract integration Interface changes Eurex Classic

115 Deutsche Börse Group 25 Flexible contract integration With Release 3.0 flexible contracts will be completely integrated for transaction or position management and available in C7. The same request messages and workflows as for standard contracts are supported for flexible contracts. General characteristics Full position and transaction management for flexible contracts available in C7 Aligned give-up / take-up workflow for standard and for flexible contracts Reports Settlement prices will be reported in the CB012 account statement. Obsolete Status codes for flexible contracts will be obsolete. Special set-to-close function for flexible contracts

116 Deutsche Börse Group 26 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

117 Deutsche Börse Group 27 Interfaces: FIXML A complete set of documentation describing the implementation of changes and adjustments in C7 regarding FIXML is available. Additional and new attributes will be implemented to support the Release 3.0 scopes. All new functionalities (e.g. average pricing) that will be introduced in the C7 Release 3.0 will be accessible via the C7 Clearing GUI which will be included in FIXML as well.

118 Deutsche Börse Group 28 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes FIXML Reporting Eurex Classic

119 Deutsche Börse Group 29 Interfaces: reports The reports will provide data based on sub-account level for the first time in C7. The reports will be available either in.csv or.xml file format. New reports Reports already available in C7 Release 1.0 and 2.0 Corporate Actions Report ID Old Report ID Report Name RPTCA752 CA052 Capital Adjustment Positions Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE710 CE010 In-the-Money Advisory RPTCE750 CE050 Expiration Payment-vs-Payment Transaction Management Report ID Old Report ID Report Name RPTCB715 NA Average Pricing RPTCB740 CB440 TAIFEX Position Report RPTCB730 CB030 Position Transfer Overview RPTCB731 CB031 Settling Futures Positions RPTCB750 CB130 Give-Up/ Take-Up Overview RPTCB741 CB430 KRX Position Report RPTCE730 CE030 Member Expiration RPTCE735 CE035 Expired Series Exercise/Assignment and Allocation/Notification Report ID Old Report ID Report Name RPTCE775 CE075 Notification/Allocation Summary RPTCE770 CE070,CE071 Delivery Summary Settlement Report ID Old Report ID Report Name RPTCB702 CB102 Cash Settled Contracts Transaction Management Report ID Old Report ID Report Name RPTCB012 CB010 Account Statement Cash Report ID Old Report ID Report Name RPTCB790 CB090 Premium Overall Summary RPTCB795 CB095 Variation Mgn Overall Summary

120 Deutsche Börse Group 30 Agenda Functional overview Transaction management Entitlement introduction Data migration Interface changes Eurex Classic

121 Deutsche Börse Group 31 Eurex Classic Eurex Classic will continue to support services, that are not available with the C7 Release 3.0: Automatic processing rules Automatic give-up Trade Entry Services maximum configuration Collateral management EEX trades Position and transaction management Entitlement User set-up

122 Deutsche Börse Group 32 Back-up Unique Trade Identifier FIXML: preliminary prices FIXML: flexible contract integration FIXML: average pricing Additional and changed transaction attributes

123 Deutsche Börse Group 33 UTI (Unique Trade Identifier) Idea With C7 Release 3.0 the logic for composition of the UTI / UPI required for EMIR reporting will be changed. Logic The UTI / UPI will contain all transaction or position components to uniquely identify a transaction or a position. The string must be composed as follows: Transaction message UTI = ESMA method identifier MIC code MIC code UTI type Clearing leg Transaction ID (trading) (clearing) indicator indicator Transaction ID Suffix E01 XEUR ECAG E C ASDFGHJKL UTI= E01XEURECAGEC ASDFGHJKL Position message UPI = ESMA method identifier MIC code MIC code UTI type Clearing leg (trading) (clearing) indicator indicator Position ID E01 XEUR ECAG P C UPI= E01XEURECAGPC

124 Deutsche Börse Group 34 FIXML: preliminary prices (variance futures) Preliminary price tag Field: ClearedIndicator (1832) Value 2 = Cleared with preliminary price The tag will be added to the transaction and included in the TradeCaptureReport. TransferReason(830) Transaction type value 000 for booking of the trade with a preliminary price Value 060 identifying the adjustment to the final price

125 Deutsche Börse Group 35 FIXML: flexible contract integration Introduction product complex / flip ID Further changes Part of the unique identification of a corresponding standard contract Used to distinguish between flexible and standard contracts One character in the flip ID will determine the exercise style and the settlement method (7 and 8: exercise style, 6 and 9: settlement method) Instrument groups will be extended with additional key fields The following FIXML layouts will be obsolete: set to close workflow flexible contracts clearing Same requests and broadcasts will be used for flexible and standard contracts Tag No. FIXML Field Description Characteristics Standard Options Standard Futures Flexible Options 48 SecurityID Cleared Instrument ID 10 yes yes yes yes 22 SecurityIDSource (new) M= Marketplace assigned identifier 1 yes yes yes yes 55 Symbol Product symbol 4 yes yes yes yes 1227 ProductComplex (new) Contract symbol (Flip ID) 4 no no yes yes 541 MaturityDate (new) Expiration date Date no no yes yes 200 MaturityMonthYear ExpirationRefSymbol MMMYY yes yes no no 202 StrikePrice Strike price 10,8 yes no yes no 206 OptAttribute Version number 2 numeric yes no yes no 201 PutOrCall Put or call C, P yes no yes no 1193 SettlMeth (new) Settlement method C, P no no yes yes 1194 ExerStyle (new) Exercise style A, E no no yes no Flexible Futures

126 Deutsche Börse Group 36 FIXML: average pricing Additional and changed FIXML attributes The RelatedTradeID (1856) will contain the new transaction ID in merge reversal booking or demerge reinstate booking. Residual (PosAmt (708) and PosAmtType (707)) has a new value (CRES) for average pricing residual amount to display the difference between cash flows. The expected price and residual can be optionally compared to the C7 calculation. Required fields for entry will be: average price with 10 decimal places (shorter entries are filled with zero) residual with number of characters defined per product currency (e.g. has 2 decimal places) Forecast Additional service allowing the FIXML user to double-check the expected output from the average pricing The user can optionally enter values for average price, residual or accumulated quantity, whereas the fields for average price and residual should be specified as described above. A forecast is successful only if the entered values are identical to the values calculated by the C7 GUI. TradeCaptureReport FIXML TCR acknowledge message (accept or reject) will be sent (n transactions are merged). Merge: n TCR for reversal of the original transactions and 1 TCR for the new transaction Demerge: 1 TCR for reversal of averaged transaction, n TCR for the re-instating of every original transaction

127 Deutsche Börse Group 37 Additional and changed transaction attributes (1/6) The following slides describe the changes regarding FIXML attributes, which will be introduced with C7 Release 3.0. Field length changed Functional Name Transaction ID Field Name Tag No. Description TradeReportID 571 TradeReportRefID 572 TradeID 1003 The transaction ID is unique over the lifecycle. Its length is increased to 19 and the suffix length is increased to 10. Field length Account name RootPartityID RootParityRole ParityID ParityRole NestedParityID NestedParityRole The restriction of 20 characters for Release 1.0 and 2.0 is obsolete. Field length is increased up to 32 characters Strategy Link ID StrategyLinkID 1851 Up to 20 characters in order to have a unique Strategy Link ID accross products

128 Deutsche Börse Group 38 Additional and changed transaction attributes (2/6) New values for the different types Functional Name Timestamp Residual Field Name Tag No. Description TrdRegTimestamp 769 TrdRegTimestampType 770 PosAmt 708 PosAmtType 707 Additional values: 7 = Submission to clearing 2 = Time in New value for PosAmtType regarding average pricing: CRES = residual amount

129 Deutsche Börse Group 39 Additional and changed transaction attributes (3/6) Changed values Functional Name Trader ID Field Name Tag No. Description RootParityID 1117 RootParityRole 1119 New value 11 = order originating trader Instrument Subtype ID RelatedProductComplex New value 8 = packs and bundles RelatedSecuritySubType New logic Order ID Order ID 37 The unique identifier for order (current usage of Secondary Order ID obsolete) Removed Settlement Date Secondary Order ID SettlDate 64 SecondaryOrderID 198

130 Deutsche Börse Group 40 Additional and changed transaction attributes (4/6) New FIXML attributes Functional Name KRX / TAIFEX Member Field Name Tag No. Description Nested PartyID 524 NestedPartyRole 538 The member will be described with party Role 13 RootPartyID 1117 RootPartyRole 1119 The member will be described with party Role 13 Nested PartyID 524 KRX / TAIFEX Beneficiary NestedPartyRole 538 The beneficiary will be described with Party Role 32 RootPartyID 1117 RootPartyRole 1119 The beneficiary will be described with Party Role 32

131 Deutsche Börse Group 41 Additional and changed transaction attributes (5/6) New FIXML attributes Functional Name Position Effect Action Field Name Tag No. Description PositionEffectAction A flag indicating closing errors. Value: 1=Opposite position opened Preliminary Price Tag Rate Identifier ClearedIndicator 1832 Trades with a preliminary price will be indicated with value 2 = Cleared with preliminary price. CustOrderHandling 1031 egains identifier for brokerage, billing and payment process related to the processing of give-ups Field length 1 char

132 Deutsche Börse Group 42 Additional and changed transaction attributes (6/6) New FIXML Attributes Functional Name Contingent Price Field Name Tag No. Description PositionContigentPrice 1595 Price used to calculate variation margin instead of previous settlement price in case a capital adjustment was done for single stock futures. Related ID Position ID RelatedTradeID 1856 RelatedTradeIDSource 1857 RelatedPositionID 1862 Related PositionIDSource 1863 Used for average pricing and de-merge. Unique identifier for Position ID.

133 Thank you! Open Day 2014

134 Open Day Deutsche Börse IT conference Eurex Clearing s C7 release 3.0 Anselm Jumpertz 16 October 2014

135 Deutsche Börse Group 1 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Flexible contract integration Interface Changes FIXML Reporting Eurex Classic

136 Deutsche Börse Group 2 Functional overview First mandatory C7 release for all Eurex Clearing participants (for ETD) Full position and transaction management will be ported All listed Eurex derivatives products available in C7 Release 3.0 Settlement for all listed products (incl. KRX, TAIFEX and FX) Mirrored booking between C7 and Eurex Classic obsolete New functionalities (e.g. average pricing) Changes in old and introduction of new reports

137 Deutsche Börse Group 3 Scopes for C7 Release 3.0 Transaction and position management New for Release 3.0 Allocation / notification Position transfer Give-up / take-up Average pricing (new) Automatic processing (new) Trade reversal Preliminary price handling Flexible account structure KRX and TAIFEX processing in C7 Enhanced GUI for Release 3.0 FX processing FIXML changes regarding C7 Release 3.0 Available in Release 1.0 and 2.0 Text Adjustment O/C Adjustment Transaction Separation Re-Open Close-Out Exercise/ assignment Calculate Statistics Account Transfer Entitlement New user entitlement concept

138 Deutsche Börse Group 4 Infrastructure overview Full position and transaction management available on C7 Direct trade load in C7 for standard and flexible contracts Booking between C7 and Eurex Classic obsolete Trading Clearing Access Trading reference and market data interfaces Trading interfaces T7 Eurex trades EEX trades C7 Eurex off-book trades Derivatives Clearing GUI Common Report Engine, clearing reference data (reports / files) Eurex Clearing FIXML interface Eurex Trader GUI Eurex off-book Eurex Admin GUI trades Eurex Classic Collateral management prices for validation of Trade Entry GUI......

139 Deutsche Börse Group 5 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

140 Deutsche Börse Group 6 Average Pricing Characteristics Definition and limitations Merging of multiple transactions into one transaction priced with a volume-weighted average price calculated by C7. The request includes at least two transaction with the following characteristics: not pending for approval not average-priced adjustable top-day transactions part of the same position traded either on-exchange or off-book on the same side (buy or sell) with a to open flag Booking logic After a successful validation all participating transactions will be reversed and the new averaged transaction will be booked with a new transaction ID (suffix logic of the original transactions will not be inherited) as well as a new trade type (051) and new transaction type (011). C7 will also display: average price with 10 decimal places residual with number of characters defined per currency Residual is the difference between cash flows and it will always be displayed as a payable amount. The residual will have no impact, because it is cash neutral and it will be shown only for information. KRX / TAIFEX / EEX products as well as trades with a preliminary price will not be supported.

141 Deutsche Börse Group 7 Processing Average pricing Initiate a request for average pricing C7 Derivatives Clearing GUI FIXML Unlimited number of transactions 1000 transactions ID O/C Side TranType Price Status 1 O B A 2 O B A 3 O B A 4 O S A reject Validation reject Validation reject Forecast (optionally) success success Average-priced transaction Average-priced transaction ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Reverse the original transactions Reverse the original transactions

142 Deutsche Börse Group 8 Calculation logic Original transactions 1 @ Total premium Total quantity Volume-weighted average price (rounded) Average-priced transaction Residual: 0.02 Total premium Difference

143 Deutsche Börse Group 9 Demerge Initiate a request for average pricing C7 Derivatives Clearing GUI Average-priced transaction FIXML Transfer back to the initiating account ID O/C Side TranType Account Price Residual Status 5 O B 11 A A Validation Validation rejected accepted rejected accepted Demerge Demerge FIXML ID O/C Side TranType Price Status 1.1 O B A 2.1 O B A 3.1 O B A Reverse the average price transaction Re-booking of the original transactions Reverse the average priced transaction

144 Deutsche Börse Group 10 Demerge Characteristics A demerge splits the average priced transaction into its original transactions in case of an erroneously merged transaction. The request will be initiated in the merge account and will include (all parts of) the averaged transaction. In case of a successful give-up / take-up the transaction must be transferred back in the merge account. A demerge will be allowed after the trading day. A demerge will be booked with transaction type (012) Mistrade Handling Mistrades will be reversed following the general trade reversal logic in C7. The automatic demerge will be part of the reversal chain.

145 Deutsche Börse Group 11 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

146 Deutsche Börse Group 12 Preliminary prices handling (variance futures) T7 Trade Acceptance Preliminary Prices in T7 Final Prices in T7 EoD Participants TradeCapture Report Participants TradeCapture Report Automatic inverse booking of the Preliminary Price and rebooking of the Final Trade with the Final Price C7 Preliminary Prices in C7 marked with a Preliminary Price Tag Final Prices in C7 Definition Trades for variance futures have a preliminary price. Their final price is calculated EoD and the preliminary price is adjusted by the final price. Booking Logic The trades with preliminary price will be automatically adjusted when the final price is available. After the booking of the final trade the transaction does not carry preliminary price tags. Special case The incoming final prices will cancel pending give-ups. After the price is adjusted the give-up is automatically retriggered. A new process ID will be generated. Changes in C7 Release 3.0 The trade with a preliminary price will be adjustable regarding all position and transaction management events excluding average pricing. The preliminary price tag will stay with the transaction after each adjustment. Trade Entry Service Off-book trades need an on-exchange price for validation, so they are available after the booking of the final price.

147 Deutsche Börse Group 13 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

148 Deutsche Börse Group 14 Automatic rules processing Definition Events that automatically trigger the underlying function according to pre-defined parameters for straight-through processing. Characteristics Parameters Configurable in nature and control functional processing in the system Can be linked to an account or participant Triggering event Incoming request, transaction, user action, time event etc. Prioritisation Weighs the importance of the assignment of parameters and account Priorities defined by the clearing house can never be overwritten by a participant.

149 Deutsche Börse Group 15 Automatic rules processing in C7 Release 3.0 Automatic close out (new) Automatic give-up for G2 The possibility to automatically execute a close out of open positions to reduce the long and short side of the position equally At product end-of-day processing Zero cost quantity flag can be considered Please note: re-opening can be performed by the participant An automatic give-up process will be triggered for incoming trades carrying G2 account information from T7. The trade is booked on the default account with additional counterparty information. Automatic approval for give-up and take-up transaction transfers The possibility to automatically approve the transfer requested by give-up / take-up process Auto approval If the parameter is configured for the account owner then the incoming give-up (take-up) request will be automatically approved by the give-up (take-up) account sponsor (clearing member) In-the-money amount configuration for automatic exercise Individual in-the-money amount for automatic exercise Both cash and physical settlement Default amounts are defined by the clearing house and will be applicable if ITM amount is not defined.

150 Deutsche Börse Group 16 Agenda Functional overview Transaction management Average pricing Preliminary prices Automatic rules processing Flexible Account structure Entitlement introduction Data migration Interface changes Eurex Classic

151 Deutsche Börse Group 17 Flexible Account structure C7 Release 3.0 will be the first release with completely integrated standard and flexible contracts available for full transaction and position management in the C7 Flexible Account structure. After the complete contract migration the mirrored booking on AAA and A8 accounts as well as the account AAA will be obsolete. Account hierarchy in C7 Release 3.0 A1-A9 (excluding A8), P1, P2 and M1, M2 and additional agent accounts Creation and maintenance in C7 GUI via spreadsheet (processing from C7 Release 1.0 unchanged) Additional proprietary accounts will be supported in later releases Account characteristics The participant can extend the number of their agent accounts according to their segregation model using freely chosen names: names will be unique 32 characters long Booking rules Booking rules will be predefined without option for individual configurability. Net accounts are M1 and M2, all other accounts are gross.