derivatives clearing lements (00ce) - swapclear 22431_tcm6-32354.pdf · definition defines the...

DERIVATIVES CLEARING ELEMENTS (00CE)

FILE DESCRIPTION

24 October 2006 Derivatives Clearing Elements – File description 1

1 Derivatives Clearing Elements

1.1 Header Description

Name Position Comment

Record type 1-5 Type of the record. Value 00000

File type 6-20 X(1) : environment (H/P)

H : Homologation

P : Production

X(4) : ‘FILE’

X(2) : file mnemonic (‘DC’)

X(2) : vacation (‘01’)

X(3) : market (‘DER’)

N(3) : Number of the day in the year

Datetime creation 21-34 Date and time of the creation of the file.

Format YYYYMMDDHHMMSS

Business date (1) 35-42 Format YYYYMMDD

Filler 43-256 X(214)

1.1.1 Description of Data

(1) Business date Definition Date on which a clearing cycle takes place.


1.2 Footer Description

Name Position Comment

Record type 1-5 Type of the record. Value 99999

File type 6-15 X(1) : environment (H/P)

H : Homologation

P : Production

X(4) : ‘FILE’

X(2) : file mnemonic (‘DC’)

X(3) : market (‘DER’)

Line counter 16-30 N(15) : Number of line in the file.

Ex : ‘000000000001234’

Filler 31-256 X(226)


1.3 Body Description (00CE records)

Name Position Comment Instrument characteristic (1) 1-1 Always ‘1’

Market feed indicator (2) 2-3 X(2)

Exchange code (3) 4-6 X(3)

Financial market code (4) 7-9 X(3)

Group code for the instrument (5) 10-11 X(2)

Long instrument code (6) 12-23 X(12)

Instrument mnemonic code (7) 24-28 X(5)

Event date (8) 29-36 YYYYMMDD

Event time (9) 37-42 HHMMSS

Message type code (10) 43-46 ‘00CE’

Sequence number by instrument and message type code (11)

47-52 N(6) (ex : ‘000214’)

Price of the instrument's underlying security, for position valuation (12)

53-62 X(1) : decimal point locator N(9) : amount

Day's principal Money Market interest rate, for position valuation (13)


Number of days remaining before the expiry of the instrument (14)

73-76 N(4)

Filler (X(19)) 77-95 ‘0000000000 ‘ (originally defined as Actuarial rate X(1) N(9) + filler X(9))

Day's volatility rate for the instrument, for valuation (15) 96-101 N(6) Price of the instrument's underlying security, for execution before expiry (16)


Price of the instrument's underlying security, for execution on the expiry date (17)


Day's Money Market one month interest rate (18) 122-127 N(6) Day's average volatility rate for EURIBOR rates (19) 128-133 N(6) Day's mark up/down rate for EURIBOR rate volatilities (20)

134-139 N(6)

Day's mark up/down rate for CAC40 volatility (21) 140-145 N(6) Number of significant dividends transmitted for the underlying security (22)

146-147 N(2)

Day's aggregate dividend for the underlying security (23) - Number of days, as of today, until the expiry of the underlying security's dividend - Amount of the forthcoming dividend for the underlying security (8 times)

148-259 - N(4) - X(1) N(9)


Name Position Comment Clearing price for the derivative instrument (24) 260-278 X(1)

N(18) Delta coefficient for the derivative instrument (25) 279-288 X(1)

N(9) Day's secondary Money Market interest rate, for position valuation (26)

289-298 X(1) N(9)

Number of days remaining before the next general settlement (27)

299-300 N(2)

Clearing authority code for the derivative instrument (28) 301-305 X(5) Clearing date (29) 306-313 YYYYMMDD Clearing cycle code (30) 314-314 X(1)



(1) Instrument characteristic Definition This data item indicates the description of the header functional coming from the terrestrial broadcasting. Permitted Values Always ‘1’. (2) Market feed indicator Definition Gives the market dataflow to which a given instrument belongs. Permitted Values 71 : MONEP instruments 72 : MATIF instruments 73 : BELFOX instruments 74 : Portuguese derivative instruments 75 : Dutch derivative instruments


(3) Exchange code Definition Place where the instrument's price, or the valuation of the instrument's price, is established: - geographic location of the market on which the instrument is traded. - geographic location of the instruments that make up an index. - trading organisms: market maker. - information sources: newspapers in which indexes are calculated and organizations that value mutual funds. - regroups instruments that are not traded or are due to trade. - regroups French instruments (such as mutual funds) for which no value is performed on the central market. - untraded instruments that are still active for settling trades. - French regional delegations (part of Euronext NV) responsible for handling IPOs from their region. These codes are assigned by the company FININFO. Permitted Values - 000 : Not provided - main codes used in Euronext / LCH.Clearnet's Information System 006 : Brussels 025 : Paris 027 : Lyon 028 : Marseille 029 : Nancy 030 : Bordeaux 031 : Nantes 032 : Lille 037 : Amsterdam Derivative Instruments 051 : Lisbon 260 : non-Euronext instrument - prices of French origin 261 : instruments awaiting to be traded on NSC (4) Financial market code Definition Identifies the financial market on which the instrument concerned is traded. A Financial Market is a subdivision of the instrument list of a market operator, such as Euronext NV, which corresponds to a subset of instruments that have one or more common major management rules. Permitted Values 274 : Paris - MONEP instruments 276 : Paris - MATIF instruments 280 : Brussels - derivative instruments 281 : Amsterdam - derivative instruments 291 : Lisbon - derivative instruments


(5) Group code for the instrument Definition Designates the group to which the instrument belongs. Permitted Values Always ‘00’. (6) Long instrument code Definition This identifier is always assigned by Euronext, as described below. Permitted Values * Zero if not provided. * Euronext derivative instruments (created after the migration of derivative instruments to LIFFE CONNECT) : - This code is constructed from the Short instrument Id, prefixed by a header associated with the Market place of the instrument, and suffixed by a digit calculated according to the ISIN formula. - It takes the form PPPPPNNNNNNS, where: PPPPP = EUFR0 for French derivative instruments EUBE0 for Belgian derivative instruments EUNL0 for Dutch derivative instruments EUPT0 for Portuguese derivative instruments NNNNNN = the 6 digits of the Short instrument Id S = key figure calculated according to the ISIN formula. NB: The Short Instrument Id is either assigned manually by market analysts, or assigned automatically by the LIFFE LDS system. In both cases, the Short Instrument Id must belong to a range of numbers pre-allocated to each Market Place (Amsterdam, Brussels, Paris). These ranges do not overlap, but are not necessarily contiguous. Consequently, the Short Instrument Id is unique throughout Market Places. (7) Instrument mnemonic code Definition This is the code for the class to which the instrument belongs. Permitted Values Spaces : not provided. For an option series the code is in MMMbb format where: MMM is the mnemonic for the options class bb is a constant (2 spaces)


(8) Event date Definition Date of message generation by the clearing system. Permitted Values YYYYMMDD format. (9) Event time Definition Time of message generation by the clearing system. Permitted values HHMMSS format. (10) Message type code Definition Defines the meaning and the structure of the message body . Permitted values Always ‘00CE’. (11) Sequence number by instrument and message type code Definition The meaning of this item depends on the instrument and the message type that sent the message.


(12) Price of the instrument's underlying security, for position valuation Definition Closing price for the instrument's underlying security, for a specific clearing day, used to calculate the theoretical valuation premium and the Greek indicators (delta, gamma, ...) for this instrument. More specifically: -For "Option" type MATIF instruments: price determined and entered by the Market Authority. -For "Futures" type MATIF instruments: not provided. -For "Stock options" type MONEP instruments: last price transmitted by the Euronext, which can be modified manually by the MONEP, particularly when the MONEP closes earlier than the SBF market. -"Index option" type MONEP instruments: . For CAC40 index options: last index level transmitted by the SBF. .. For European index options: the last index level transmitted at 17.00 by Dow Jones, which can be modified by MONEP SA. - "CAC40 future" type MONEP instruments: not provided. Used by C21 for the calculation of the theoretical premium for the instrument, which is itself used to value members' positions, for calculating margin deposits. Permitted values IFt = space and QMt = 0 if no value is provided. Not provided for "futures" type instruments. (13) Day's principal Money Market interest rate, for position valuation Definition: Interest rate for a given date, on the money market, for the currency in which the strike price for MONEP or MATIF option is expressed, used for calculating the theoretical premium for valuing positions on this instrument. -This rate is entered daily by the MONEP or the MATIF, according to the instrument. -Its form depends on the type of instrument: . MATIF options: 3 month money market interest rate for the currency in which the strike price is expressed. . MONEP options: interest rate corresponding to the instruments expiry date, on the money market, for the currency in which the strike price is expressed. Used by C21 to calculate the instrument's theoretical premium, which is itself used to value members' positions, in order to calculate margin deposits. Permitted values IFt = space and QMt = 0 if no value is provided. Not provided for "futures" type instruments. (14) Number of days remaining before the expiry of the instrument Definition Number of calendar days, to the nearest day, before the MATIF or MONEP instrument expires, excluding today and including the expiry day. Used by C21 for the calculation of the instrument's theoretical premium, which is itself used to value members' positions, in order to calculate the margin deposit. Permitted values Positive value, between 0 and 9999 inclusive.


(15) Day's volatility rate for the instrument, for valuation Definition Daily historical volatility rate for a MATIF or MONEP option, used as a reference for calculating the theoretical premium used for valuing clearing authority members' positions. -The way this volatility is calculated depends on the type of instrument. -This rate is expressed in %. Used by C21 for the calculation of the instrument's theoretical premium, which is itself used to value members' positions, in order to calculate the margin deposit. Permitted values Decimal number between 0 and 999.999 inclusive. Zero if not provided. Not provided for "futures" type instruments. (16) Price of the instrument's underlying security, for execution before expiry Definition -"CAC40 index option" type MONEP instruments: Day's average clearing CAC 40 index level, transmitted by the Euronext (it is taken from the RLC B1 type message, where the data field "Index Level Code" is set to "6"). -"Stock options" type instruments: This price is identical to the "Price of the instrument's underlying security, for position valuation" (the data field is always provided, but is only used for cash options). -"European index option" type MONEP instruments: not provided (these instruments can only be executed at expiry). Used by C21 to calculate the amount paid by the seller to the buyer if the option is executed (for cash options) before the instrument's expiry date. Permitted values IFt = space and QMt = 0 if no value is provided. Provided if and only if the instrument which is the subject of the message is an "American style MONEP option" and the clearing date is earlier than the instrument's expiry date.


(17) Price of the instrument's underlying security, for execution on the expiry date Definition Price of the underlying security for a MATIF or MONEP option, used to determine the "at the money" and "in the money" strike price(s) for the automatic processing of positions on this instrument, on its expiry. This price depends on the type of instrument: -MONEP "stock options", and MATIF "options": this price is identical to the "Price of the instrument's underlying security, for valuation". -MONEP "CAC40 index options" or "European index options": the "day's CAC 40 settlement index level" (taken from the RLC B1 type message RLC, where the data field "Index Level Code" is set to "7"). Used by C21 for the position execution process (automatic or otherwise), on the expiry date for the instrument, and also used to calculate the amount paid by the seller to the buyer when the option is executed on the instrument's expiry date. Permitted values IFt = space and QMt = 0 if no value is provided. Provided if the instrument which is the subject of the message is an "option" and the clearing date is equal to the instrument's expiry date). (18) Day's Money Market one month interest rate Definition Day's one month interest rate, on the Money Market, for the currency in which the underlying security for the derivative instrument is expressed. Expressed as a percentage. Used by C21 for the calculation of the theoretical premium for monthly settlement long term stock and index option series. Permitted values Always spaces. (19) Day's average volatility rate for EURIBOR rates Definition Day's average volatility rate for the day's 3 month and 12 month EURIBOR rates, determined by the MONEP. Expressed as a percentage. Permitted values Always spaces.


(20) Day's mark up/down rate for EURIBOR rate volatilities Definition Mark up/down rate applied by the MONEP, today, to the average EURIBOR rate volatility. Expressed as a percentage. Permitted values Always spaces. (21) Day's mark up/down rate for CAC40 volatility Definition Mark up/down rate applied by the MONEP, today, to the day's volatility for the CAC40. Expressed as a percentage Permitted values Always spaces. (22) Number of significant dividends transmitted for the underlying security Definition Number of fields filled in in the dividend table (relating to the underlying security for a MONEP instrument). Gives the number of occurrences of the data field "Day's aggregate dividend for the underlying security" . Permitted values Between 0 and 8 inclusive. Zero if not provided.


(23) Day's aggregate dividend for the underlying security - Number of days, as of today, until the expiry of the underlying security's dividend - Amount of the forthcoming dividend for the underlying security (8 times) Day's aggregate dividend for the underlying security Definition Groups together the day's data for a forthcoming dividend on the underlying security for an options series. This dividend is entered by the MONEP. -For stock options, this is a dividend which has been officially announced by the issuer, or a dividend of the same amount as the previous dividend detached for this stock. -For index options, this is a synthetic dividend calculated by the MONEP for all the securities making up the index. Permitted values Provided if and only if the instrument which is the subject of the message is an option. Number of days, as of today, until the expiry of the underlying security's dividend Definition Number of calendar days, calculated from today inclusive, before the detachment date (inclusive) for a dividend on the traded option's underlying security. When the underlying security is an index, this is a synthetic dividend for all the securities making up the index. Permitted values Between 1 and 9999. Zero if not provided. Filed in if the number of dividends provided in the CE message is greater or equal to the rank of this data field in the dividend table. Amount of the forthcoming dividend on the underlying security Definition Amount of the forthcoming dividend on the underlying security for an options series. Where the underlying security is an index, this is a "synthetic" dividend for all the securities making up the index. Used by C21 to calculate risk margins for the clearing authorities. Permitted values IFt = space and QMt = 0 if no value is provided. Filled in if the number of dividends provided in the CE message is greater than or equal to the rank of this data field in the dividend table.


(24) Clearing price for the derivative instrument Definition Theoretical price for a derivative instrument (MONEP, MATIF), used to value a clearing authority member's portfolio (position). Permitted values IFt = space and QMt = 0 if no value is provided. (25) Delta coefficient for the derivative instrument Definition The delta measures the sensitivity of the premium to variations in the price of the underlying instrument, i.e. the number of cents by which the premium for each instrument increases or decreases when the underlying instrument increases or decreases by one unit of the trading currency. For a variation of 1 cent in the price of the underlying instrument in a short space of time, there must be a corresponding variation of "delta" units of the premium for the instrument. The delta varies between 0 and 1 for a call, and between -1 and 0 for a put. The delta is equal to the result of the function: premium for the instrument = F (price of the underlying instrument). Permitted values IFt = space and QMt = 0 if no value is provided. (26) Day's secondary Money Market interest rate, for position valuation Definition Interest rate for a given date on the money market for the currency in which the nominal of the underlying of a currency option is traded. The maturity of this rate is the closest one to the lifetime of the option series. To be coherent, it must be the same as the one used for the domestic interest rate. For example, in case the currency rate is EUR vs USD and the option price is expressed in EUR, the domestic interest rate is the European one and the foreign one is the American one. Used by C21 to calculate the price of currency options via the Garman-Kohlhagen model. Permitted values IFt = space and QMt = 0 if no value is provided.


(27) Number of days remaining before the next general settlement Definition Number of calendar days remaining, on the day the message conveying this data is sent, before the general settlement date for current exchange month, including today and excluding the settlement date. Therefore zero in messages sent on general settlement days. Permitted values Always spaces. (28) Clearing authority code for the derivative instrument Definition Clearing authority code for the derivative instrument which is the subject of the message. Permitted values MATIF : MATIF Clearing authority. MONEP : MONEP Clearing authority. (29) Clearing date Definition Date on which a clearing operation takes place. Used by C21 for the calculation of the clearing authority's risks. Permitted values YYYYMMDD format. (30) Clearing cycle code Definition Identifies a clearing cycle within a trading day (C21 allows for several clearing cycles per day). Used by C21 to attribute the clearing information received during a clearing cycle. Permitted values 1 : unique value used until the implementation of multiple clearing cycles in C21.


1.4 Body Description (00CJ records)

Name Position Comment Instrument characteristic (1) 1-1 Always ‘1’

Market feed indicator (2) 2-3 X(2) (‘00’)

Exchange code (3) 4-6 X(3)

Financial market code (4) 7-9 X(3) (‘000’)

Group code for the instrument (5) 10-11 X(2) (‘00’)

Long instrument code (6) 12-23 X(12)

Instrument mnemonic code (7) 24-28 X(5)

Event date (8) 29-36 YYYYMMDD

Event time (9) 37-42 HHMMSS

Message type code (10) 43-46 ‘00CJ’

Sequence number by instrument and message type code (11)

47-52 N(6) (ex : ‘000214’)

Type of the start/end clearing information transmission message (12)

53-53 X(1) (‘D’ / ‘F’)

Mnemonic code for a derivative product family (13) 54-58 X(5)

Clearing Authority Code for the Derivative Instrument (14)

59-63 X(5)

Clearing date (15) 64-71 YYYYMMDD

Clearing cycle code (16) 72-72 X(1)

Filler 73-314 X(242)

1.4.1 Functional Specifications

This message is used, in a set of Clearing Information messages, to announce the start and end of a set of messages related to a product family. Thus, a set of Clearing Information messages is composed of the following messages: - 1 type-00CJ message, with Type of Message = D (Start) - n type-00CE messages - 1 type-00CJ message, with Type of Message = F (End)



(1) Instrument characteristic Definition This data item indicates the description of the header functional coming from the terrestrial broadcasting. Permitted Values Always ‘1’. (2) Market feed indicator Definition Gives the market dataflow to which a given instrument belongs. Permitted Values Always ‘00’. (3) Exchange code Definition Place where the instrument's price, or the valuation of the instrument's price, is established: - geographic location of the market on which the instrument is traded. - geographic location of the instruments that make up an index. - trading organisms: market maker. - information sources: newspapers in which indexes are calculated and organizations that value mutual funds. - regroups instruments that are not traded or are due to trade. - regroups French instruments (such as mutual funds) for which no value is performed on the central market. - untraded instruments that are still active for settling trades. - French regional delegations (part of Euronext NV) responsible for handling IPOs from their region. These codes are assigned by the company FININFO.


Permitted Values - 000 : Not provided - main codes used in Euronext / LCH.Clearnet's Information System 006 : Brussels 025 : Paris 027 : Lyon 028 : Marseille 029 : Nancy 030 : Bordeaux 031 : Nantes 032 : Lille 037 : Amsterdam Derivative Instruments 051 : Lisbon 260 : non-Euronext instrument - prices of French origin 261 : instruments awaiting to be traded on NSC (4) Financial market code Definition Identifies the financial market on which the instrument concerned is traded. A Financial Market is a subdivision of the instrument list of a market operator, such as Euronext NV, which corresponds to a subset of instruments that have one or more common major management rules. Permitted Values Always ‘000’. (5) Group code for the instrument Definition Designates the group to which the instrument belongs. Permitted Values Always ‘00’. (6) Long instrument code Definition This identifier is always assigned by Euronext. Permitted Values Always spaces.


(7) Instrument mnemonic code Definition This is the code for the class to which the instrument belongs. Permitted Values Spaces : not provided. For an option series the code is in MMMbb format where: MMM is the mnemonic for the options class bb is a constant (2 spaces) (8) Event date Definition Date of message generation by the clearing system. Permitted Values YYYYMMDD format. (9) Event time Definition Time of message generation by the clearing system. Permitted values HHMMSS format. (10) Message type code Definition Defines the meaning and the structure of the message body . Permitted values Always ‘00CJ’. (11) Sequence number by instrument and message type code Definition The meaning of this item depends on the instrument and the message type that sent the message.


(12) Type of the start/end clearing information transmission message Definition This data field indicates whether the message signals the start or the end of transmission of clearing information for a product family message. It allows the receiving system to recognise the first and last in a batch of "clearing information for a derivative product" messages. Permitted values D : start F : end (13) Mnemonic code for a derivative product family Definition This is the code for the class to which the instrument belongs. Permitted Values Spaces : not provided. For an option series the code is in MMMbb format where: MMM is the mnemonic for the options class bb is a constant (2 spaces) (14) Clearing authority code for the Derivative Instrument Definition Clearing authority code for the derivative instrument which is the subject of the message. Permitted values MATIF : MATIF Clearing authority. MONEP : MONEP Clearing authority. (15) Clearing date Definition Date on which a clearing operation takes place. Used by C21 for the calculation of the clearing authority's risks. Permitted values YYYYMMDD format.


(16) Clearing cycle code Definition Identifies a clearing cycle within a trading day (C21 allows for several clearing cycles per day). Used by C21 to attribute the clearing information received during a clearing cycle. Permitted values 1 : unique value used until the implementation of multiple clearing cycles in C21.


derivatives clearing lements (00ce) - swapclear 22431_tcm6-32354.pdf · definition defines the...

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