MEFF S/MART v9.10 TECHNICAL NOTES

Transcription

1 MEFF S/MART v9.10 TECHNICAL NOTES 19 February 2010

2 The information contained in this document is subject to modification without notice. Unless otherwise noted, the companies, names and data used in the examples are fictitious. No part of this document may be reproduced or transmitted in any form or by any means, be it electronical or mechanical, for any reason without written permission MEFF. All rights reserved

3 Contents 1. Introduction Impact after the upgrade of terminals and before 19 April Data files Impact in MEFFServer tables Impact from 19 April until new Rule Book applies New High Frequency MEFFGate interface (HF MEFFGate) New circular about margins for large positions Underlying delivery information Information about accounts Impact due to the new Rule Book General description of changes Product Groups Account classes Margins and collaterals Summary of changes in files Data files at CCP level and at Product Group level Affected data files Changes in Codification Tables Impact due to the new energy based derivatives General description of changes New Product Group New contract families Expiry dates on holidays New fee types Special characteristics of forwards and swaps Position margin calculation Summary of changes in data files Data files at CCP level and at Product Group level Affected data files Changes in Codification Tables Impact on FIX interface MEFFGate Trading versions T1.0, T1.1 and T MEFFGate Clearing versions C1.1, C1.2 and C Impact due to flexible contracts Changes in Codification Tables Impact on MEFF Website files Clearing raw data files New functionalities Other changes Impact on MIBOS Impact on MEFF Feed Traspaso Trading messages Clearing messages Valid documentation...16 i

4 1. Introduction 1. Introduction This document contains the Technical Notes for MEFF S/MART version The contents of this document refer to information supplied through MEFFStation, MEFFGate, MEFFServer, MIBOS and the MEFF website ( The 9.10 version functionalities will be available in several phases: Installation of 9.10 version terminals. Installation of 9.10 version host, scheduled on 19 April for the MEFF Renta Variable environment. Rule Book approval. Launch of CCP service for Energy derivatives Launch of flexible futures and options on indices and stocks. This document is organized taking into account these phases, with one section devoted to each one of them. 19 February 2010 MEFF

5 2. Impact after the upgrade of terminals and before 19 April 2. Impact after the upgrade of terminals and before 19 April The installation of version 9.10 MEFFStation terminals, MEFFGate interfaces and MEFFServer will be done between 22 March and 19 April. On 19 April the 9.10 version will be running at the central hosts. On that same date all previous version terminals will be declared incompatible. 2.1 Data files The following changes in data file formats will apply as soon as the 9.10 version is installed on the MEFFStation, MEFFGate or MEFFServer exporting raw data files. File name Changes Comments CFEESBRKD.ch Fee details CINIMARGINCALC.ch Detail of the calculation of initial margin CINTERSPR.ch Inter-commodity spreads CINVOICES.ch Invoicing CSPOTTRADES.ch Spot trades CVALARRAYS.ch Valuation array parameters CVARMARGIN.ch Variation margin New field: QuantityPerConcept New fields related to position margin for large position and position margin for forwards and swaps. Field CombinationMargin, (not used) converted to FILLER File removed New field: CounterpartyMemberCapacityInd New fields related to position margin for large position New field: InitialDate 2.2 Impact in MEFFServer tables Members using the MEFFServer service with either real-time or historical tables shall take into account the following changes in version 9.10 MEFFServer tables. Table name Changes Comments CDELTAS.DB Deltas CFEESBRKD.DB Fee details CINIMARGINCALC.DB Detail of the calculation of initial margin CINTERSPR.DB Inter-commodity spreads CINVOICES.DB Invoicing CMARGINSCLM.DB New fields for theoretical deltas in position margin calculation for large positions. New field New fields related to position margin for large position and position margin for forwards and swaps. Field removed: Table removed DepoComb Table removed 19 February 2010 MEFF

6 2. Impact after the upgrade of terminals and before 19 April Table name Changes Comments CMARGINSCUST.DB CSPOTTRADES.DB Spot trades CSPOTTRADESBRKD.DB Spot trades broken down by holder CTHEORPRICES.DB Theoretical prices CVALARRAYS.DB Parámetros de la matriz de garantías CVARMARGIN.DB Variation margin Table removed New field New field New fields for theoretical deltas in position margin calculation for large positions. New fields for theoretical deltas in position margin calculation for large positions. New field 19 February 2010 MEFF

7 3. Impact from 19 April until new Rule Book applies 3. Impact from 19 April until new Rule Book applies 19 April is the date scheduled for the installation of version 9.10 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. 3.1 New High Frequency MEFFGate interface (HF MEFFGate) Version 9.10 includes the new market data interface HF MEFFGate, similar to the current MEFFGate. This interface runs on the MEFFAccess equipment. Its objective is to reduce market data publication time. 3.2 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. The following table summarizes the affected data files. File name Changes Comments CDELTAS.ch Deltas CINIMARGINCALC.ch Detail of the calculation of initial margin CTHEORPRICES.ch Theoretical prices CVALARRAYS.ch Valuation arrays parameters Deltas in new scenarios for hypothetical prices taking into account large positions. New fields Theoretical prices in new scenarios for hypothetical prices taking into account large positions. Nuevos campos relacionados con garantías por grandes posiciones MEFFServer users will find equivalent changes in tables CVALARRAYS.db, CINIMARGINCALC.db, CTHEORPRICES.db and CDELTAS.db. 3.3 Underlying delivery information Delivery of stocks between two members can be split in several trades depending on the Capacity Indicador (House or Client) of the two parties involved in the trade. The following table summarizes the affected data files: File name Changes Comments 19 February 2010 MEFF

8 3. Impact from 19 April until new Rule Book applies File name Changes Comments CSPOTTRADES.ch Spot trades New key field: CounterpartyMemberCapacityInd MEFFServer users will find equivalent changes in table CSPOTTRADES.db. 3.4 Information about accounts Once version 9.10 is installed at the central hosts, the changes included in the documentation about account types will apply. In practice this will imply that the content of field AccountClass in files TACCOUNTS, CACCOUNTS for daily accounts will become D. The following table summarizes the affected data files: File name Changes Comments CACCOUNTS.ch Accounts TACCOUNTS.mk Accounts The following fields are converted to FILLER CustodianMember PostingType New information in field AccountClass New information in field AccountClass MEFFServer users will find equivalent changes in tables THOLDERS.db and CHOLDERS.db. 19 February 2010 MEFF

9 4. Impact due to the new Rule Book 4. Impact due to the new Rule Book At a date that will be announced to all members, conditional on the approval of the new Rule Book, the functionalities included in this section will be activated. 4.1 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). In order to harmonize the terms used in the system with those found in the new Rule Book, the field previously named ContractGroup is renamed as ContractSubgroup, keeping its meaning and contents 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. 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 registry 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. 19 February 2010 MEFF

10 4. Impact due to the new Rule Book 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. 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. 4.2 Summary of changes in files This section summarizes the changes in data files published by MEFFStation, MEFFGate and MEFFServer. Changes in MEFFServer tables are equivalent (please note that changes in files TACCOUNTS.mk and CACCOUNTS.ch correspond to changes in tables THOLDERS.DB and CHOLDERS.DB) 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 in v9.10 New Rule Book: Account classes Files involved New contents TACCOUNTS.mk Accounts CACCOUNTS.ch Accounts COPENPOSITIONS.ch Open position balance 19 February 2010 MEFF

11 4. Impact due to the new Rule Book Change in v9.10 New Rule Book: Margins and collateral Files involved 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 Modified content files CACCOUNTSETTL.ch Settlements and margins per holder Files still used in MEFF RF and MEFF Euroservices CCASHMOVCLM.sh CCASHMOVTREAS.ch CPLEDGES.ch Obsolete files CMARGINSCLM.ch Clearing member margins CMARGINSCUST.ch Custodian member margins Changes in Codification Tables Table name Table 3 Required margin types Table 6 Methods of posting margins Table 16 CFICode values Table 18 Central Counterparty and Clearing Contract Group Codes Table 20 Contract subgroups Changes New table for margin types included in the New Rule Book and circulars. Bank Guarantee is added. New CFICodes for Energy Swaps, Forwards and Futures Code C2 is used for Financial derivatives. New environment C7 for Energy derivatives. New environment CM for information at CCP level. The new name of the table is Subgroups New subgroups for Energy derivatives. 19 February 2010 MEFF

12 5. Impact due to the new energy based derivatives 5. Impact due to the new energy based derivatives 5.1 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 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 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. Since there are weekly energy contracts new value types can be found in the FIX interface field MaturityMonthYear 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 Special characteristics of forwards and swaps Energy forwards and 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). 19 February 2010 MEFF

13 5. Impact due to the new energy based derivatives 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). 5.2 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) CCLEARINGHOUSE.ch, CSTATUS.ch Files available only at Contract Group level (extensions C2, C7) Rest of files Affected data files Change in v9.10 Energy fees Energy forwards and swaps Position margins Files involved Modified files CFEESBRKD.ch Detail of fees CFEES.ch Fees New files CVARMARGINPEND.ch Pending Variation Margin Modified files CVARIATIONMARGIN.ch Variation Margin CINIMARGINCALC.ch Detail of initial margin calculation Modified files CCONTRACTS.ch Contracts CVALARRAYS.ch Valuation array parameters 19 February 2010 MEFF

14 5. Impact due to the new energy based derivatives Changes in Codification Tables Table name Table 16 CFICode values Table 17 Markets and Trading Contract Group Codes Table 18 Central Counterparty and Clearing Contract Group Codes Table 20 Contract subgroups Table 21 Underlying assets Table 23 Fee Groups Changes New CFICodes for Energy Swaps, Forwards and Futures New environment M7 for Energy derivatives. New environment CM for information at CCP level. New subgroups for Energy derivatives. New underlyings for Energy derivatives. New fee group for Energy derivatives 5.3 Impact on FIX interface MEFFGate Trading versions T1.0, T1.1 and T General In the Energy derivatives Contract Group tag 200 (MaturityMonthYear) can have the format YYYYMMwW, for weekly expiries Changes in Codification Tables Main changes in Codification Tables referenced by the FIX trading interface documentation are the following: Table name Table 16 CFICode values Table 17 Markets and Trading Contract Group Codes Table 21 Underlying assets Changes New CFICodes for Energy Swaps, Forwards and Futures New environment M7 for Energy derivatives. New underlyings for Energy derivatives MEFFGate Clearing versions C1.1, C1.2 and C General In the Energy derivatives Contract Group tag 200 (MaturityMonthYear) can have the format YYYYMMwW, for weekly expiries Changes in Codification Tables Main changes in Codification Tables referenced by the FIX clearing interface documentation are the following: Table name Table 16 CFICode values Table 18 Central Counterparty and Clearing Contract Group Codes Table 21 Underlying assets Changes New CFICodes for Energy Swaps, Forwards and Futures New environment C7 for Energy derivatives. New underlyings for Energy derivatives. 19 February 2010 MEFF

15 6. Impact due to flexible contracts 6. Impact due to flexible contracts As soon as this new product is launched, cross orders for flexible contracts will be admitted both from MEFFStation and MEFFGate. Order entry will not be allowed for these products. The CFICode for flexible contracts will indicate its non-standardized nature (see codification table 16), this is the only difference to the way cross orders on standard futures or options are currently managed. Trade entry management for flexible contracts requires the T1.2 version of the MEFFGate protocol (message Trade Capture Report). 6.1 Changes in Codification Tables Table name Table 16 CFICode values Table 26 Prearranged trades reject reason Changes CFICodes for Non-standardized contracts New reasons for non-authorized or incompatible flexible contracts 19 February 2010 MEFF

16 7. Impact on MEFF Website files 7. Impact on MEFF Website files 7.1 Clearing raw data files New functionalities Change in v9.10 Energy derivatives Files involved Modified files CCONTRACTS.ch - Contracts Margin calculations Modified files CVALARRAYS.ch Valuation array parameters Other changes File name Changes Comments CINTERSPR.ch Inter-commodity spreads Field converted to FILLER CombinationMargin 19 February 2010 MEFF

17 8. Impact on MIBOS 8. Impact on MIBOS MIBOS will support the current MEFF Renta Fija, MEFF Euroservices and the MEFF Renta Variable financial derivatives, but it will not be adapted to the Energy Product Group. Due to this fact, the impact of changes in MIBOS files is lower than in the rest of the software and is summarized in the following table. File name Changes Comments OPECONTA Spot trades PRENDA Posted margins ETESOREC Holder margins and settlements. COMPPOSI Compensations CMARGINSCLM Clearing member margins CINVOICES Invoicing New field: CounterpartyMemberCapacityInd With the new Rule Book this file will be empty. The corresponding information can be obtained from MEFFStation or MEFFGate data files. Field InitialMarginPledged will be empty when the new Rules are approved. File removed. File removed. File removed. 19 February 2010 MEFF

18 9. Impact on MEFF Feed Traspaso 9. Impact on MEFF Feed Traspaso 9.1 Trading messages For further information, please check changes in Trading Raw Data Files of the following files: TACCOUNTS Accounts 9.2 Clearing messages For further information, please check changes in Clearing Raw Data Files of the following files: CACCOUNTS Accounts CCONTRACTS - Contracts CINTERSPR Inter-commodity spreads CVALARRAYS Valuation array parameters 19 February 2010 MEFF

19 10. Valid documentation 10. Valid documentation This section contains a list of the valid documentation when these Technical Notes have been published. Document Date Changes from v9.00 MEFFStation Quick guide jun-2009 MEFFLiveUpdate - Setup User Manual 19-feb-2007 MEFFStation Trading Raw Data Files 24-sep-2009 MEFFStation Clearing Raw Data Files 18-feb-2010 Compared to the document published on September 2009, a field in CVALARRAYS is removed. HF MEFFGate Market Data FIX Interface Specifications M feb-2010 New document MEFFGate Trading FIX Interface Specifications T sep-2009 MEFFGate Trading FIX Interface Specifications T sep-2009 MEFFGate Trading FIX Interface Specifications T sep-2009 MEFFGate Clearing FIX Interface Specifications C sep-2009 MEFFGate Clearing FIX Interface Specifications C sep-2009 MEFFGate Clearing FIX Interface Specifications C sep-2009 MEFF WebSite Raw Data Files 18-feb-2010 Compared to the document published on September 2009, a field in CVALARRAYS is removed. MEFFServer User Guide 18-feb-2010 Codification Tables 18-feb-2010 Compared to the document published on September 2009, some changes related to energy derivatives in tables 16 and February 2010 MEFF

20 10. Valid documentation Document Date Changes from v9.00 MIBOS Raw Data Files 18-feb-2010 MEFF Feed Traspaso Technical Guide 24-sep February 2010 MEFF