Business and Technical Overview - ASX · Business and Technical Overview ASX Derivatives Clearing System ... Please refer to Appendix 5.3 for Sample file formats. Column Name Description

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



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



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


MCM Security MCM Security structure based on windows authentication

Existing MCM users across all participants.

10 November 2017


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


Acceptable Collateral

New screen developed to show currently accepted stock collateral.

All the MCM users 10 November 2017


Registered Holding Authorisation

Registered Holdings view

Participants can access the registered holding details via MCM

10 November 2017


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



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



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.



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.



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



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.



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.



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





W1



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


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.



Fields: HIN, Ascending

AccId, Ascending


HIN The holder identification number of the registered holder.

Text 10

AccId Uniquely identifies an account. Number (Long) 4




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


Fields: Ledger, Ascending

AccId, Ascending

DerivProd, Ascending

Cur, Ascending

PostingCode, Ascending


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



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.



Fields: PayableDate, Ascending

AccId, Ascending

Cur, Ascending

DerivProd, Ascending

Multiplier, Ascending


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



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.

ASX Trademarks

The trademarks listed below are trademarks of ASX. Where a mark is indicated as registered it is registered in Australia and may also be registered in other countries. Nothing contained in this document should be construed as being any licence or right to use of any trademark contained within the document.

ASX®, LEPO®, ReferencePoint®

Documents

Business and Technical Overview - ASX · Business and Technical Overview ASX Derivatives Clearing System ... Please refer to Appendix 5.3 for Sample file formats. Column Name Description