Business and Technical Overview - ASX · Business and Technical Overview ASX Derivatives Clearing...
Transcript of Business and Technical Overview - ASX · Business and Technical Overview ASX Derivatives Clearing...
Business and Technical Overview ASX Derivatives Clearing System
Service Release 1
VERSION 1.0 OCTOBER 2017
ASX Derivatives Clearing Business & Technical Overview
© Copyright 2017 ASX Limited ABN 98 008 624 691. All rights reserved 2017 Page 2 of 15
Table of Contents
1. ACRONYM GLOSSARY ......................................................................................................................................................... 3
2. INTRODUCTION ..................................................................................................................................................................... 4
3. MCM ENHANCEMENTS ......................................................................................................................................................... 5
3.1. CHANGES TO TRADED ENTITIES VIEW UNDER CLEARING HOUSE PARAMETERS .................................................................... 5 3.2. MCM SECURITY CHANGES ............................................................................................................................................... 5
3.2.2. Windows Authentication .................................................................................................................5 3.3. CONTRACT POSTINGS ...................................................................................................................................................... 7
3.3.1. Database table changes .................................................................................................................7 3.4. ACCEPTABLE COLLATERAL ................................................................................................................................................ 7 3.5. REGISTERED HOLDING AUTHORISATION............................................................................................................................. 8 3.6. DIVIDENDS PAYABLE....................................................................................................................................................... 10
4. ASX REFERENCEPOINT™ FILES ...................................................................................................................................... 11
5. APPENDICES ....................................................................................................................................................................... 12
5.1. DATABASE CHANGES - ACCEPTABLECOLLATERAL ............................................................................................................. 12 5.2. DATABASE CHANGES - REGISTEREDHOLDERAUTHORISATIONS .......................................................................................... 12 5.3. REFERENCE POINT FILE SAMPLES ................................................................................................................................... 13 5.4. VMDERIVPRODACC ....................................................................................................................................................... 13 5.5. DIVIDENDPAYABLE ......................................................................................................................................................... 14
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1. Acronym Glossary
Acronym Definition
CHESS Clearing House Electronic Sub-System
DCS Derivatives Clearing System
ETO Exchange Traded Option
MCM Members Clearing Module
OTC Over the Counter
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2. 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 v1.4.7.
MCM/DCS 1.4.7 is an optional release. The precise implementation and test availability dates will be published in future ASX market notices.
The document also covers the changes related to ASX ReferencePoint Files.
The changes can be categorized and summarized as follows:
Component Category Changes Impacted Audience Due Date
Member Clearing Module
Clearing House Parameters
Selection parameters on Traded entities screen - view details of all the products available without restrictions on selection criteria
Participants that utilise view traded entities option on MCM.
10November 2017
Member Clearing Module
MCM Security MCM Security structure based on windows authentication
Existing MCM users across all participants.
10 November 2017
Member Clearing Module
Variation Margin postings
Variation Margin Postings screen to include other postings such as premium and cash adjustments.
Participants that utilise Variation margin posting view.
10November 2017
Member Clearing Module
Acceptable Collateral
New screen developed to show currently accepted stock collateral.
All the MCM users 10 November 2017
Member Clearing Module
Registered Holding Authorisation
Registered Holdings view
Participants can access the registered holding details via MCM
10 November 2017
Member Clearing Module
Dividends Payable Introduction of a new view to provide dividend details with regards to TORESS options
Participants with TORESS positions
10 November 2017
ASX Online Reference point Introduction of Listing Frequency column on 3 existing ASX Online Reference Point files
Existing subscribers of reference point files: Deletion, Master and Addition
10November 2017
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3. MCM Enhancements
3.1. Changes to Traded Entities view under Clearing House Parameters
The selection criteria on Traded Entities screen has been changed where all filter fields are now optional. I.e. a user can view all active traded entities without restriction on a specific product or contract month.
3.2. MCM Security Changes
3.2.2. Windows Authentication
MCM user access via SQL Authentication has been changed to Windows Authentication. All the existing users will be retained. However if existing user name is different to windows authenticated user details, those users should be created via MCM Security Administration tool.
Optional Selection
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New user account properties:
User ID Windows user ID
User Name Applicable user name
Access is restricted if valid windows user accounts are not created in MCM.
Note:
MCM Password authentication feature is removed as no additional verification is required for a valid windows user.
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3.3. Contract Postings
The Variation Margin posting view has been extended to include other postings such as premium and cash adjustments. The screen name (Contract Postings) has also been modified to reflect this change in content.
The following list of contract postings are visible via this screen.
Cash Adjustment - Capital Adjustment
Cash Settlement
Price Average Adjustment
Premiums - Buy
Premiums - Sell
Trade Activity Transfer - MTM
Trade Activity Transfer - Premium Buy
Trade Activity Transfer - Premium Sell
Settlement to Market
3.3.1. Database table changes
Posting Code is added to the VMDerivProdAcc table and included as part of the primary key. Refer to Appendix 5.4 for more details.
Column Name Description Type Size
PostingCode Posting code used to identify the particular type of posting. Text 6
3.4. Acceptable Collateral
New screen Acceptable Collateral view under Clearing House Parameters is introduced to provide details on all currently accepted stock collateral with ASX Clear.
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Screen Details:
Collateral Code Code identifying the collateral. (ASX Code for Equities) e.g. NCM.
Type The type of collateral e.g. Shares
Description Description of the collateral e.g. Newcrest Mining Ltd.
Haircut% The percentage haircut that is applied to the price of the collateral when calculating the collateral value e.g. 30.00.
SpecificCoverOnly Is the stock acceptable for specific cover only (not general cover)? Y/N
For database table changes please refer to Appendix 5.1.
3.5. Registered Holding Authorisation
A new screen is developed to shows details of registered holding authorisations with optional selection by HIN and/or Account. This is updated on an end of day basis.
To facilitate this, a new file/table has been created called RegHoldingAuth.
For a full reference of impacted files/tables, refer to Appendix 5.2
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Registered Holding screen provides below details:
Account Uniquely identifier of an account
HIN The holder identification number of the registered holder
Paperless Y indicates that the authorisation is for collateral to be lodged without other paperwork being required; otherwise N.
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3.6. Dividends Payable
New screen Dividends Payable View is introduced to provide details of dividends payable as a result of any TORESS positions held by the participant. This table is generated during the period of Ex-date and day after Payable date.
Dividend Payable view properties:
Payable Date The date TORESS dividend amount is payable
Account Unique identifier of an account
Product Code used to uniquely identify the TORESS product
Multiplier The multiplier used to calculate the dividend amount (i.e. TORESS Payment)
Dividend Product Code used to uniquely identify the dividend (underlying) product
Quantity The net TORESS open position used to calculate the TORESS payment
Dividend Value The dividend value
Value The amount payable
Related database changes are available in Appendix 5.5.
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4. ASX ReferencePoint™ Files
The three ASX ReferencePoint files listed below, are available on ASX Online. The files have been modified to allow customers to accurately identify each ETO contract as either monthly or weekly contracts.
Master.csv
Addition.csv
Deletion.csv
A new column – ‘Listing Frequency’ has been introduced to above files to denote if an option contract is a standard monthly contract or weekly ETO. Please refer to Appendix 5.3 for Sample file formats.
Column Name Description Example
Listing Frequency Denotes if an option is a monthly or weekly contract.
Possible Values
M = Monthly Contract
W1 = Weekly contract with next 1 week expiry
W2 = Weekly contract with next 2 week expiry
W3 = Weekly contract with next 3 week expiry
W4 = Weekly contract with next 4 week expiry
W5 = Weekly contract with next 5 week expiry
W1
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5. Appendices
5.1. Database changes - AcceptableCollateral
The AcceptableCollateral table contains the details of all non-cash collateral accepted by ASXCL to cover margins. Initially this table will only contain equities
Index Name Property Number of Fields
PrimaryKey Unique: True 2
Fields: CollCode, Ascending
CollType, Ascending
Column Name Description Type Size
CollCode Code identifying the collateral. (ASX Code for Equities) e.g. NCM.
Text 10
CollType The type of collateral e.g. Shares Text 20
CollDesc Description of the collateral e.g. Newcrest Mining Ltd.
Text 100
Haircut The percentage haircut that is applied to the price of the collateral when calculating the collateral value e.g. 30.00.
Currency 8
SpecificCoverOnly Is the stock acceptable for specific cover only (not general cover)? Y/N
String 1
5.2. Database changes - RegisteredHolderAuthorisations
The RegisteredHolderAuthorisations table contains the details of the Registered Holder Authorisations (RHCCA) processed by the clearing house.
Index Name Property Number of Fields
PrimaryKey Unique: True 2
Fields: HIN, Ascending
AccId, Ascending
Column Name Description Type Size
HIN The holder identification number of the registered holder.
Text 10
AccId Uniquely identifies an account. Number (Long) 4
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Column Name Description Type Size
Paperless Y indicates that the authorisation is for collateral to be lodged without other paperwork being required; otherwise N.
Text 1
5.3. Reference Point File Samples
addition.csv master.csv deletion.csv
5.4. VMDerivProdAcc
The VMDerivProdAcc table contains variation margin and other contract-related posting details by account and derivative product for the previous business day.
Index Name Properties Number of Fields
PrimaryKey Unique: True 4
Fields: Ledger, Ascending
AccId, Ascending
DerivProd, Ascending
Cur, Ascending
PostingCode, Ascending
Column Name Description Type Size
Ledger Code used to identify a ledger. Text 12
AccId Uniquely identifies each account. Number (Long) 4
DerivProd Unique code that identifies the derivative product.
Text 6
Cur The currency of the variation margin amount.
Text 3
SegType Code that identifies the segregation type of the account.
Text 1
Amt The variation margin amount. Currency 8
PostingCode Posting code used to identify the particular type of posting.
Text 6
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5.5. DividendPayable
The DividendPayable table contains details of dividend payments relating to TORESS product open positions. The data is available from the ex-date until the day after payable date.
Index Name Property Number of Fields
PrimaryKey Unique: True 2
Fields: PayableDate, Ascending
AccId, Ascending
Cur, Ascending
DerivProd, Ascending
Multiplier, Ascending
Column Name Description Type Size
PayableDate Dividend payable Date. The date TORESS dividend amount is payable.
Date/Time 8
Accid Uniquely identifies an account. Number (Long) 4
Cur The currency in which contract prices are quoted.
Text 3
DerivProd Code used to uniquely identify the TORESS product.
Text 6
Multiplier The multiplier used to calculate the dividend amount (i.e. TORESS Payment).
Currency 8
Ledger Code used to identify a ledger. Text 12
Prod Code used to uniquely identify the dividend (underlying) product.
Text 6
Qty The net TORESS open position used to calculate the TORESS payment. Net short position is a negative value
Number (Long) 4
DivVal The dividend value. Currency 8
Amt The amount payable. Currency 8
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Disclaimer
This document provides general information only and may be subject to change at any time without notice. ASX Limited (ABN 98 008 624 691) and its related bodies corporate (“ASX”) makes no representation or warranty with respect to the accuracy, reliability or completeness of this information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way, including by way of negligence, from or in connection with any information provided or omitted, or from anyone acting or refraining to act in reliance on this information. The information in this document is not a substitute for any relevant operating rules, and in the event of any inconsistency between this document and the operating rules, the operating rules prevail to the extent of the inconsistency.
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