Impact after the upgrade of terminals and before 24 January

Transcription

1 MEFF S/MART v9.30 RELEASE NOTES - RAW DATA FILES V This document outlines the changes in v Raw Data Files obtained from MEFF workstations. Version will be available from 13 December 2010 and its installation is MANDATORY. Impact after the upgrade of terminals and before 24 January The installation of version 9.30 MEFFStation terminals, MEFFGate interfaces and MEFFServer will be done between 10 and 24 January. On 24 January the 9.30 version will be running at the central hosts. On that same date all previous version terminals will be declared incompatible. Data files The following changes in data file formats will apply as soon as the 9.30 version is installed on the MEFFStation, MEFFGate or MEFFServer exporting raw data files. File name CACCOUNTSETTDET.ch Settlements and margins by account Changes New file for Members holding a Second-Tier Register within the MEFF Central System CCONTRSTAT.ch Contract daily data CCPMARGINCLM.ch.XML Clearing member margins New field for Government Debt AccruedInterest Field deleted: CMARGINSCLM.OtherMarginData Elements deleted: OtherMarginData New elements: DFSTInformation DFSTClearingMemberRisk Data type changed: MarginType CFEES.ch Field FeeConcept: New valid values Fees CFEESBRK.ch Field FeeConcept: New valid values Detail of fees CHISTTRADES.ch Live trades New fields for Government Debt OrigTradeReference1 OrigTradeReference2 Release Notes - Raw Data Files v Page 1 of 11

2 File name CINIMARGINCALCDET.ch Detail of the calculation of the initial margin by account CINTERSPR.ch Inter-commodity spreads CINTRASPR.ch Intra-commodity spreads CSETTLCSD.ch Changes New file for Members holding a Second-Tier Register within the MEFF Central System Data type has changed in fields: Offsetmultiplier1 Offsetmultiplier2 Data type has changed in fields: MinimunValue Spread New file for Government Debt Outstanding settlements at CSD CSPOTTRADESBRKDET.ch Spot trades broken down by account CTRADES.ch Trades CUNDERLYINGS.ch New file for Members holding a Second-Tier Register within the MEFF Central System New fields for Government Debt OrigTradeReference1 OrigTradeReference2 New file for Government Debt Information on admitted assets CYIELDCURVE.ch Field CalcType: New valid values Interest rate yield curve Impact for the installation of version 9.30 in the central hosts 24 January is the date scheduled for the installation of version 9.30 in the central hosts for the MEFF Renta Variable environment. On that same date all previous version terminals will be declared incompatible. From that moment, all the functionalities included in this section will also be available. New circular about margins for large positions For the account holders affected by the circular about margins for large positions, the Initial Margin published in the file CACCOUNTSETTL will be computing according to the new circular. Margin calculation will be done in two phases. In the first phase the same scenarios as with the previous rule will be taken into account. The resulting net delta for each compensation group will be compared with the new parameter LargePosThreshold in file CVALARRAYS. In case it exceeds 100%, 150% or 200% of this value, new scenarios will apply according to the new circular. The theoretical prices and deltas for the new 6 scenarios will be included at the end of the corresponding records in files CTHEORPRICES and CDELTAS. The file CINIMARGINCALC has also been modified in order to include the intermediate results of the above mentioned phases. A value LargePosThreshold=0 implies that large position margin is not active in the system. Release Notes - Raw Data Files v Page 2 of 11

3 The following table summarizes the affected data files. File name CDELTAS.ch Deltas CINIMARGINCALC.ch Changes Deltas in new scenarios for hypothetical prices taking into account large positions. New fields Detail of the calculation of initial margin CTHEORPRICES.ch Theoretical prices CVALARRAYS.ch Theoretical prices in new scenarios for hypothetical prices taking into account large positions. New fields related to position margin for large position. Valuation arrays parameters Impact due to the new Rule Book 24 January is the date scheduled for the new Rule Book. The functionalities included in this section will be activated. General description of changes Product Groups The new Rule Book defines a new concept of Contract Group as the first subdivision of the Market and the CCP. The current MEFF Renta Variable environments (M3 and C2) will become the Financial derivatives Product Group. Apart from that, a new environment (CM), relevant as raw data file extensions, appear. The final result is shown in the following table: Environment Meaning until now New Meaning M3 Trading MEFF RV Trading Financial derivatives Contract Group C2 Clearing MEFF RV Clearing Financial derivatives Contract Group CM N/A Clearing info at CCP level (doesn t apply to FIX protocol). In the MEFF Renta Fija (M1, C1) and MEFF Euroservices (G1, C5) environments, where the new Rule Book doesn t apply, clearing information is kept at a single level (C1 and C5). Account classes The new Rules and Regulations allow for new account types: House Account, Individual Client Account, Segregated Client Accounts, Non-segregated Client Accounts. Together with those, the current Daily Account (a special case of House Account) and the Group Client Account (a special case of Individual Client Account) are still supported. The account class is published in files TACCOUNTS.M3 and CACCOUNTS.C2. Release Notes - Raw Data Files v Page 3 of 11

4 For Segregated Client Accounts and Non-segregated Client Accounts the open position is kept gross, implying that both long and short open positions can coexist for one account and contract (fields LongPosition and ShortPosition in file COPENPOSITION.C2). The position adjustment functionality is available both in MEFFStation and in the clearing MEFFGate. These changes only apply to members holding the capacity to carry second-tier account register according with the new Rules and Regulations. Margins and collaterals Collaterals posted by an account holder or by a member can be applied to all Product Groups. This is why this information is moved from the file CPLEDGES.C2 (Product Group level) to the file CCPPLEDGES.CM (CCP level). The position margins (Initial Margin) will be calculated for each account holder at Product Group level and will be informed in the InitialMargin field of file CACCOUNTSETTL.C2. The InitialMarginPledged field in this same file will be empty. The calculation of the difference between the required margins and the guarantees posted by an account holder will be found in the new file CCPACCOUNTSETTL.CM. There, both the InitialMargin field (adding all InitialMargin fields of files CACCOUNTSETTL.C2 and future files in other Product Groups) and the InitialMarginPledged field (valuation of all pledges included in file CCPPLEDGES.CM) will be included. The new file CCPMARGINS.CM.XML will contain a summary of all margins requested to the Clearing Member, of all guarantees posted and the differences to be included in the daily settlement. This file has been updated from version The cash movements information for the Clearing Member and (in case there is one) the Treasury Entity will be included in the new files CCPCASHMOVCLM.CM and CCPCASHMOVTREAS.CM. Second-tier Register Service Members carrying a Second-tier Register can contract a special service in order to keep the Secondtier Register within the MEFF Central System. In this case, MEFFStation, MEFFGate and MEFFServer will provide settlement and margin information for Segregated and Non-Segregated Client Accounts in the new files CACCOUNTSETTLDET.C2, CINIMARGINCALCDET.C2 and CSPOTTRADESBRKDET.C2. Corporate Actions In previous versions, Corporate Action related trades are published at the beginning of the session on the effective adjustment date. The field Settlement Date (SettlDate) contains the effective adjustment date. The field Registration Date (RegDate) contains the previous session date. With the new version, those trades will also be published at the end of the session previous to the adjustment. Release Notes - Raw Data Files v Page 4 of 11

5 Summary of changes in files This section summarizes the changes in data files published by MEFFStation, MEFFGate and MEFFServer. Data files at CCP level and at Product Group level New files available only at CCP level (extension CM) CCPACCOUNTSETTL.ch, CCPCASHMOVCLM.ch CCPCASHMOVTREAS.ch CCPMARGINSCLM.ch.XML, CCPPLEDGES.ch Files available both at CCP and Contract Group level (extensions CM, C2) CCLEARINGHOUSE.ch, CSTATUS.ch Files available only at Contract Group level (extension C2) Rest of files. NOTE: The files CCASHMOVCLM.ch., CCASHMOVTREAS.ch, CPLEDGES.ch are not relevant in environments where the new Rule Book applies. They are still available for MEFF Renta Fija and EUROMEFF. Also for MEFF Renta Variable after the installation of version 9.10 until the new Rule Book applies. Affected data files Change New Rule Book: Account classes New Rule Book: Margins and collateral Files involved New contents TACCOUNTS.mk Accounts CACCOUNTS.ch Accounts COPENPOSITIONS.ch Open position balance New files CCPACCOUNTSETTL.ch - Settlements and margins per holder at CCP level CCPCASHMOVCLM.ch Clearing member cash movements at CCP level CCPCASHMOVTREAS.ch Treasury entity cash movements at CCP level CCPPLEDGES.ch Detail of margins pledged at CCP level CCPMARGINSCLM.ch.XML Clearing member margins (updated from 9.10) Modified content files CACCOUNTSETTL.ch Settlements and margins per holder Files still used in MEFF RF and MEFF Euroservices CCASHMOVCLM.ch Clearing Member cash movements Release Notes - Raw Data Files v Page 5 of 11

6 Change Files involved CCASHMOVTREAS.ch Treasury Entity cash movements CPLEDGES.ch - Pledges Obsolete files CMARGINSCLM.ch Clearing member margins CMARGINSCUST.ch Custodian member margins Second-Tier Register Service New files for Members Holding a Second-Tier Register within the MEFF Central System CACCOUNTSETTLDET.ch Settlements and margins by account CINIMARGINCALCDET.ch Detail of the calculation of the initial margin by account CSPOTTRADESBRKDET.ch Spot trades broken down by account Changes related to new fields in existing files Files with new empty fields CCONTRSTAT.ch Contract daily data (Accrued interest) CTRADES.ch Trades (new references for repos) CHISTTRADES.ch Live Trades (new references for repos) Impact due to the migration of the Government Debt CCP General description of changes New Product Group The current MEFFClear operations will be migrated to the SMART System and will be adapted to the new Rule Book. Government Debt trades will be handled in a new Product Group. Specific requirements may exist for a Member to access each Product Group. Apart from the M3, C2 and CM environments mentioned in the previous section, the new M8 and C8 environments, relevant at the FIX protocol level and as raw data file extensions, appear. The final result is shown in the following table: Environment M3 C2 CM M8 C8 Meaning Trading Financial derivatives Product Group Clearing Financial derivatives Product Group Clearing info at CCP level (doesn t apply to FIX protocol). Trade Registry Government Debt Product Group Clearing Government Debt Product Group MEFF members active only in the Financial derivatives Product Group will find the relevant information in M3, C2 and CM environments and are not affected by the contents of this section. Release Notes - Raw Data Files v Page 6 of 11

7 MEFF members active only in the Government Debt Product Group will find the relevant information in M8, C8 and CM environments. MEFF members active in the both Product Groups will find the relevant information in M3, C2, M8, C8 and CM environments. New contract families Single leg trades on Government Debt (settlement on T+3) are handled in the SMART system as a forward, with the corresponding Bond as the relevant underlying, and expiry date T+3. Repo trades are handled as two forwards, with the corresponding Bond as the relevant underlying, and expiry dates the settlement dates of each leg. In the SMART system, new contract families are defined for Government Debt (underlyings) and for Forwards. This implies the usage of new CFICodes. New fee types For single leg trades, the fee is related to the effective trade amount. For repo trades, the fee is linked to the first leg, and it is related to both the effective amount and the repo duration. The field QuantityPerConcept has been added in table CFEESBRKD.ch and new concepts for column FeeConcept (5=Per Effective amount, 6=Effective Amount & Duration) in files CFEESBRKD.ch and CFEES.ch have been included. Special characteristics of forwards Forwards are not marked to market on a daily basis. The difference between the initial trade value and the valuation at market price level is calculated on a daily basis and included in the new file CVARMARGINPEND.ch. This file has the same fields and format as CVARIATIONMARGIN.ch. In both files a new field InitialValueDate has been added, containing the date of the Initial Valuation (trade date or last mark-to-market date). The total of those differences is included in the initial margin calculation as a position margin (see field PendingVariationMargin in file CINIMARGINCALC.ch). At the settlement date, as soon as MEFF receives the settlement confirmation messages from IBERCLEAR, the positions in forwards will be closed using trade type B (new). At the end of the session there should not remain any open positions on forwards expiring on the session date. Position margin calculation Position margin for Government Debt is calculated with an algorithm slightly different from the current one. The changes in the algorithm are described in the corresponding Circular. Implementations of the margin calculation by Members and ISVs must be adapted accordingly. Members and ISVs that take the calculation provided by MEFF will not be affected by this change, as there is no impact on raw data file contents. Summary of changes in data files This section summarizes the changes in data files published by MEFFStation, MEFFGate and MEFFServer. Release Notes - Raw Data Files v Page 7 of 11

8 Data files at CCP level and at Product Group level Files available only at CCP level (extension CM) They contain information at CCP level, summarizing in some cases data from several Product Groups. CCPACCOUNTSETTL.ch, CCPCASHMOVCLM.ch CCPCASHMOVTREAS.ch CCPMARGINSCLM.ch.XML, CCPPLEDGES.ch Files available both at CCP and Product Group level (extensions CM, C2, C8) CCLEARINGHOUSE.ch, CSTATUS.ch Files available only at Product Group level (extensions C2, C8) Rest of files. Affected data files Change New master file of admitted assets Outstanding settlements at IBERCLEAR Files involved New files CUNDERLYINGS.ch Information on admitted assets New files CSETTLCSD.ch Outstanding settlements at CSD Link between IBERCLEAR trades and MEFF trades CTRADES.ch Trades CHISTTRADES.ch Live trades Fees CFEESBRKD.ch Fee breakdown CFEES.ch Fees Government Debt valuation data CCONTRSTAT.ch Contract daily data (accrued interest) Government Debt forwards New files CVARMARGINPEND.ch Pending Variation Margin CVARIATIONMARGIN Variation Margin CINIMARGINCALC.ch Detail of the calculation of initial margin Modified content files CYIELDCURVE.ch Interest rate yield curve Release Notes - Raw Data Files v Page 8 of 11

9 Impact due to the new energy based derivatives General description of changes New Product Group Energy based derivatives will be launched in a new Product Group. Specific requirements may exist for a Member to access each Contract Group. Apart from the M3, C2 and CM environments mentioned in the previous section, the new M7 and C7 environments, relevant at the FIX protocol level and as raw data file extensions, appear. The final result is shown in the following table: Environment M3 C2 CM M8 C8 M7 C7 Meaning Trading Financial derivatives Contract Group Clearing Financial derivatives Contract Group Clearing info at CCP level (doesn t apply to FIX protocol). Trade Registry Government Debt Product Group Clearing Government Debt Product Group Trade Entry Energy derivatives Contract Group Clearing Energy derivatives Contract Group MEFF members active only in the Financial derivatives Contract Group will find the relevant information in M3, C2 and CM environments and are not affected by the contents of this section. MEFF members active only in the Energy derivatives Contract Group will find the relevant information in M7, C7 and CM environments. MEFF members active in the both Contract Groups will find the relevant information in M3, C2, M7, C7 and CM environments. New contract families Energy derivatives require the usage of new asset classes and new CFICode values. Expiry dates on holidays Energy contracts can expire on weekends and on any holiday. In that case, the corresponding expiry trades and cash settlement will be included in the next clearing session. Therefore, the system has to be able to handle contracts with expiry date lower than the session date. New fee types Fees for energy derivatives will be bases on the nominal trade value in Mwh. The new field QuantityPerConcept in files CFEESBRKD.ch and a new concept for field FeeConcept (4=Per Mwh) in files CFEESBRKD.ch and CFEES.ch have been included. Release Notes - Raw Data Files v Page 9 of 11

10 Special characteristics of swaps Energy swaps are not marked to market on a daily basis. The difference between the initial trade value and the valuation at market price level is calculated on a daily basis and included in the new file CVARMARGINPEND.ch. This file has the same fields and format as CVARIATIONMARGIN.ch. In both files a new field InitialValueDate has been added, containing the date of the Initial Valuation (trade date or last mark-to-market date). The total of those differences is included in the initial margin calculation as a position margin (see field PendingVariationMargin in file CINIMARGINCALC.ch). At the expiry date the mark-to-market is performed, resulting in information included in the file CVARIATIONMARGIN.ch, as usual. Position margin calculation Position margin for energy derivatives is calculated with an algorithm slightly different from the current one. Among other changes, 5 different expiry spans can be used in the same compensation group (ExpirySpan field in files CVALARRAYS.ch and CCONTRACTS.ch). Cascade Energy contracts are cascaded into contracts of lower nominal value in the corresponding date. This process implies closing the position in the contracts of higher duration and opening a position in equivalent contracts of lower duration. Thus, annual contracts are cascaded into quarterly contracts, quarterly contracts into monthly contracts, and monthly or weekly contracts are cascaded into daily contracts. This process is notified using trade type Z, and has no net effect on daily settlement. Summary of changes in data files This section summarizes the changes in data files published by MEFFStation, MEFFGate and MEFFServer. Changes in MEFFServer tables are equivalent. Data files at CCP level and at Product Group level Files available only at CCP level (extension CM) They contain information at CCP level, summarizing in some cases data from several Product Groups. CCPACCOUNTSETTL.ch, CCPCASHMOVCLM.ch CCPCASHMOVTREAS.ch CCPMARGINSCLM.ch.XML, CCPPLEDGES.ch Files available both at CCP and Contract Group level (extensions CM, C2, C7, C8) CCLEARINGHOUSE.ch, CSTATUS.ch Release Notes - Raw Data Files v Page 10 of 11

11 Files available only at Contract Group level (extensions C2, C7, C8) Rest of files. Affected data files Change in v9.10 Energy fees Files involved CFEESBRKD.ch Detail of fees CFEES.ch Fees Energy swaps New files CVARMARGINPEND.ch Pending Variation Margin CVARIATIONMARGIN.ch Variation Margin CINIMARGINCALC.ch Detail of initial margin calculation Position margins CCONTRACTS.ch Contracts CVALARRAYS.ch Valuation array parameters Release Notes - Raw Data Files v Page 11 of 11