Report re Derivatives Clearing System Open Interface

Derivatives Clearing System Open Interface 1/15

Derivatives Clearing System Open Interface

Technical Description Overview 1.4.8

18 April 2018

Highly Protected © 2018 ASX Limited ABN 98 008 624 691 | Version 1.4.4 | 18 April 2018


Contents 1. Give Ups 3

1.1. Initiate Undo Give Up .............................................................................. 3 1.2. SendGiveUpUndoRequest ....................................................................... 5 1.3. GetGUAdvice_V1 .................................................................................... 6

2. File Extracts 6

2.1. Requesting Extracts ................................................................................. 7 2.2. File Extracts ............................................................................................. 8

Highly Protected © 2018 ASX Limited ABN 98 008 624 691 | Version 1.4.8| 18 April 2018


Derivatives Clearing System Open Interface Technical Description Overview

18 April 2018

Introduction

This document describes the changes to the Member Clearing Module (MCM)/Derivatives Clearing System (DCS) Open Interface (OI) and database schema required to support MCM/DCS v1.4.5.

MCM/DCS OI v1.4.8 is a mandatory release. The ASX supplied MCM 1.4.8 will be made available to Clearing Participants at no additional charge.

The changes can be categorised and summarised as follows

1. Give Ups

This change enables a participant to undo a give up provided it is not actioned by the take up participant.

This is achieved via the trade allocation screen in the same way as an allocation deletion i.e. select the give-up and delete.

1.1. Initiate Undo Give Up

Step 1: Select Give up in Allocation screen



Step 2: Press Delete(key)

Step 3: Click Yes in the pop up. User will be prompted for a reason

Enter reason and click ok. A SendGiveUpUndoRequest message will be generated.

Note: The trade cannot be re-allocated until the clearing house has accepted the undo request. The user will be notified via a message.



1.2. SendGiveUpUndoRequest

Message Type - GR

A new SendGiveUpUndoRequest_V1 method is used to request ASXCL to undo a give-up.

Sequence Argument In/Out Mandatory Notes

1 as_UserID In Yes

2 al_ExchID In Yes

3 al_TrID In Yes

4 al_AllocSeq In Yes

5 as_RejReason In Yes

Special Considerations

This is a request to undo the give-up. If the take-up participant has not accepted the give-up, the request will be accepted by ASXCL via a Give-up advice message (GetGUAdvice_V1) with accept flag (as_AcceptFlag) set to D i.e. deleted by ASXCL.

Requests to undo a give-up can be made if the give-up has not been accepted or rejected by the other party.



1.3. GetGUAdvice_V1

Message Type – GA

The GetGUAdvice_V1 method is used to obtain details relating to whether a give-up has been accepted or rejected by the other party, or in response to a successful undo give-up request.

The response to the Undo request is a give-up advice message (GU, GetGUAdvice_V1) with Accept Flag (as_AcceptFlag) = D.

Note: The give-up advice message is an existing message.

Sequence

Argument In/Out Mandatory Notes

1 as_MsgText In No

2 al_TrID Out No

3 al_AllocSeq Out No

4 as_AcceptFlag Out No

5 as_RejReason Out No

Special Considerations

The allocation sequence associated with a rejected give-up allocation should not be reused.

ASXCL also issues a BC message type.

2. File Extracts

A new facility in the Member Clearing Module (MCM) GUI that allows users to extract comma separated values (csv) files. The facility allows files to be

automatically generated during MCM’s SOD (start-of-day) process; or generated immediately.

The file extracts that are available are:

Collateral Activity, CollActivity.csv Collateral Holdings, CollHolding.csv Collateral Utilisation, CollUtil.csv Contract Postings, ContractPostings.csv Current Account, CurrentAccount.csv/CurrentAccountLast.csv Daily Financial Statement, FinancialStatement.csv Interest, Interest.csv/InterestLast.csv Daily Margin Summary, MarginSummary.csv Daily Position Activity, PositionActivity.csv Open Position, OpenPosition.csv



2.1. Requesting Extracts

To request an ad hoc extract or to set-up extract for extraction during MCM SOD, select SOD Extracts from MCM GUI’s Parameters sub-menu:

The following form will be displayed showing the available extracts and the extract parameters:

Extract button: Used to generate the selected extract file immediately. Select the required extract and click Extract button. The following “are you sure” prompt will be displayed:

Click yes to generate the extract. When the file has been generated the following message will be displayed:



Amend button: Used to amend the parameters for selected extract. Select the required extract and click Amend button. The following will be displayed:

Parameter usage:

Extract checkbox: Check to invoke automatic generation of this extract

Extract Today Only: Check if you wish to generate the file during tonight’s MCM SOD only.

Frequency: Select when you wish to have the file automatically generated. Refer screen shot below for the available (self-explanatory) extract frequency options

Include Date in Extract file name (_YYYMMDD): If checked the name of the csv file will include the date. For example for Contract Postings file, the file name for files generated on 15th May 2018 will be ContractPostings_20180515.csv; if unchecked the file name will be ContractPostings.csv

Note: if the “include date” option is selected for automatic file generation, ensure that you have a clean-up procedure in place to prevent the disk becoming full.

2.2. File Extracts

This section lists all of the file extracts. The extracts are comma separated values (csv) files.

In this section, the following icon is used to highlight the name of the extract.

The extracts have been listed in alphabetical order. The file fields are listed below the name of the file.



2.2.1 CollActivity.csv

The CollActivity.csv file contains the data used to compile the Collateral Activity Statement.

Column Name Description Type Size

SegType Segregation type: S/U S for Segregated (House) Accounts/Groups; U for Unsegregated (Client).

Text 1

AccountOrGroup The account or group code for the collateral.

Text 10

IsGroup Y/N. N for account Y for group Text 1

AccountName The account name for the collateral (blank if group row).

Text 250

LodgementId Code that identifies the lodgement. Numeric

CollDetail Detail of the collateral e.g. Stock Code. Text 50

Holder Holder of the Stock Text 50

HIN The HIN for lodged stock if applicable Text 10

UnitCode Units for the collateral e.g. Shares Text 6

Units The number of units lodged e.g. number of shares

Numeric

Currency Currency of the collateral Text 3

DateLodged Date of first lodgement. Default date format

ExpiryDate Expiry date of the collateral if applicable. Default date format

SpecificCover Y if scrip collateral lodged is to be treated as specific cover or else N.

Text 1

Activity Lodgement activity. E.g. Lodgment, Withdrawal

Text 20

ActivitySeq Activity sequence, allows sorting in sequence that the activities occurred

Numeric

2.2.2 CollHolding.csv

The CollHolding.csv file contains the data used to compile the Collateral Holdings Statement.



Text 1



AccountOrGroup The account or group code for the collateral.

Text 10

IsGroup Y/N. N for account Y for group Text 1


Text 250

LodgementId Code that identifies the lodgement. Numeric integer

CollDetail Detail of the collateral e.g. Stock Code. Text 50

Holder Holder of the Stock Text 50

HIN The HIN for lodged stock if applicable Text 10

UnitCode Units for the collateral e.g. Shares Text 6

Units The number of units lodged e.g. number of shares

Numeric


SpecificCover Y if scrip collateral lodged is to be treated as specific cover or else N.

Text 1

2.2.3 CollUtil.csv

The CollUtil.csv file contains the data used to compile the Collateral Utilisation Statement.



Text 1

CoverGroup The group code of the collateral if applicable

Text 10

Account The account code of the collateral. Text 10


Text 250

CollType The type of collateral e.g. Shares Text 20


Utilised The value of the collateral that has been utilised to cover margins.

numeric

UnUtilised The value of the collateral that has not been utilised

numeric



2.2.4 ContractPostings.csv

The ContractPostings.csv file contains details of all contract related postings by account and product.



Text 1

Account The account code of the posting. Text 10

AccountName The account name Text 250

PostingCode The posting code. Text 6

PostingDescription The posting description. Text 50

Product The product to which the posting relates. Text 6

Currency Currency of the posting Text 3

Amount The amount of the posting. Numeric

2.2.5 CurrentAccount.csv, CurrentAccountLast.csv

The CurrentAccount.csv file contains the data used to compile the Current Account Statement for the current month.

The CurrentAccountLast.csv file contains the data used to compile the Current Account Statement for the previous month.

Both CurrentAccount.csv and CurrentAccountLast.csv share the same file definition.


Ledger The ledger code Text 12



Text 1

PostingDate The business date of the posting. Default date format

PostingCode (not printed) The posting code Text 6

PostingDesc The posting description. Text 50


ReportingSequence (not printed)The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and posting date).

Number



2.2.6 FinancialStatement.csv

The FinancialStatement.csv file contains the data used to compile the Daily Financial Statement.





Text 1

PostingCode (not printed)The posting code Text 6

PostingDesc The posting description. Text 50


ReportingSequence (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and posting date).

Number

2.2.7 Interest.csv, InterestLast.csv

The Interest.csv contains the data used to compile the Interest Statement for the current month.

The InterestLast.csv file contains the data used to compile the Interest Statement for the previous month.

Both Interest.csv and InterestLast.csv share the same file definition.



Currency Currency code e.g. AUD Text 3


Text 1

Date The business date of the interest accrual. Default date format

InterestBalance The balance on which the interest is calculated

Numeric

InterestRate The interest rate used to calculate the interest

Numeric



InterestDays The number of days for which the interest is calculated

Numeric

InterestAmount The amount of interest Numeric

Notes Any additional notes relating to the interest line

Text 50

ReportingSequence (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and date).

Number

2.2.8 MarginSummary.csv

The MarginSummary.csv contains the data used to compile the Daily Margin Summary.





Text 1

CoverGroup The cover group of account. Blank for accounts that are not assigned to a cover group.

Text 20

Account The account code of the margin. Text 10

CombinedCommodity The combined commodity of the margin. Text 5

PremiumMargin SPAN Premium/Delivery Margin for this account and combined commodity

Numeric

InitialMargin SPAN Requirement (Initial Margin) for this account and combined commodity.

Numeric

MarginRequirement Total SPAN Margin Requirement for the account and combined commodity.

Numeric

AccountMargin Total Margin Requirement for the account.

Numeric

AccountCollateralUtil The collateral utilised to cover the account’s margin.

Numeric

CoverGroupMargin Margin remaining to be covered with collateral for the cover group.

Numeric

CoverGroupCollateralUtil The collateral utilised to cover the cover group margin.

Numeric



TotalMargin Total SPAN Margin for the segregation type

Numeric

TotalCollateralUtil Total amount of collateral utilised for the segregation type.

Numeric

2.2.9 PositionActivity.csv

The PostionActivity.csv file contains the data used to compile the Position Activity Statement.



Text 1

Account The account code of the activity. Text 10


Product The product to which the activity relates. Text 6

OptionType Call or Put. Text 4

DeliveryMonth The delivery month (or expiry date for weeklies).

Text (monthlies: MMMYY; weeklies: DDMMMYY)

7

Strike The strike price. Numeric

ExerciseStyle A/E American or European Text 1

ExpiryDate The expiry date. Default date format

BuySell B/S indicating Buy(long) or Sell (short) position activity.

Text 1

Qty The number of lots for this position activity.

Numeric

ActivityDesc Description of the activity e.g. B/Fwd, New Business, C/Fwd.

Text 20

Notes Any additional notes relating to the activity

Text 50

ReportingSequence (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and date).

Number



2.2.10 OpenPosition.csv

The OpenPosition.csv file contains the data used to compile the Open Position Statement.



Text 1

Account The account code of the activity. Text 10


Product The product to which the position relates.

Text 6

OptionType Call or Put. Text 4

DeliveryMonth The delivery month (or expiry date for weeklies).

Text (monthlies: MMMYY; weeklies: DDMMMYY)

7

Strike The strike price. Numeric

ExerciseStyle A/E American or European Text 1

ExpiryDate The expiry date. Default date format

BuySell B/S indicating Buy(long) or Sell (short) position

Text 1

Qty The number of lots for this position. Numeric

Price The settlement price for this position. Numeric

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