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«Forwards and futures A forward may be distinguished from a future as follows:  Liquidation versus no liquidation With futures, you can liquidate ...»

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The second one – the COLAT value – will always be zero for forwards with cash mark-to-market, and will be equal to the FMTM value for forwards with collateralized mark-to-market.

Spreadsheet-format (CSV) files Two spreadsheet-format files are made available daily to clearing firms with forward positions, for trades and positions. Both begin with a standard column header row containing field names. These files are provided in addition to the standard FIXML-format Trade Register file.

A third spreadsheet-format file serves as a product reference file, providing the mapping between fixing date, value date, and clearing settlement date.

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 16 The Trade Register file is named Trade_Register.xxx.ccyymmdd.csv, where xxx is the clearing firm ID,

and ccyymmdd is the business date. The file contains the following data elements:

–  –  –

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 17 ORIGINAL_TRADE_DATE Date on which trade was executed bilaterally Reg_Trd_ID Universal Swap Identifier (USI) assigned by CME Clearing InvoiceAmt The invoice amount for a physically deliverable forward Invoice_Clean For delivered gas forwards, the “clean” invoice amount – without the 20% bumpup for Value-Added Tax Invoice_VAT For delivered gas forwards, the amount of the Value-Added Tax Included in the invoice amount.

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 18 The position file is named Forward_Posns.xxx.ccyymmdd.csv, where xxx is the clearing firm ID, and

ccyymmdd is the business date. The file contains the following data elements:

–  –  –

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 19 The contract master file is named Forward_Contracts.ccyymmdd.csv, where ccyymmdd is the business

date. The file contains the following data elements:

–  –  –

AID AltID="USDCLP 20120210" AltIDSrc="H"/ // clearing contract alias AID AltID="USDCLPG210" AltIDSrc="101"/ // trading contract alias AID AltID="USDCLP 20120210" AltIDSrc="100"/ // price reporting contract alias Evnt EventTyp="5" Dt="2011-04-07"/ // first day of trading Evnt EventTyp="7" Dt="2012-02-09"/ // last day of trading Evnt EventTyp="13" Dt="2012-02-10"/ // first delivery date (value date) Evnt EventTyp="14" Dt="2012-02-10"/ // last delivery date Evnt EventTyp="114" Dt="2012-02-10"/ // immediately prior clearing date (for PAI) Evnt EventTyp="115" Dt="2012-02-10"/ // ending banking business date (for PAI) Evnt EventTyp="121" Dt="2012-02-10"/ // fixing date for a cash-settled forward /Instrmt

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MktSegGrp MktID="CME" MktSegID="ALL" SecTrdgRules BaseTrdgRules TickRules StartTickPxRng="0" EndTickPxRng="1" TickIncr="0.01" TickRuleTyp="1"/ TickRules StartTickPxRng="356.4675" EndTickPxRng="643" TickIncr="0.0001" // minimum price fluctuation TickRuleTyp="0"/ /BaseTrdgRules /SecTrdgRules /MktSegGrp ProdClsfnGrp

ProdClsfn Rsn="8" Val="COTC"/ // Regulatory class for customers:

/ProdClsfnGrp // Cleared OTC Customer Sequestered MarginDataGrp MarginData Typ="1" Rate="25"/ MarginData Typ="0" Rate="25"/ /MarginDataGrp /SecDef Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 22 FIXML Settlement Price file for FX Forward

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Evnt EventTyp="7" Dt="2012-02-10" Txt="20120210"/ // last day of trading Evnt EventTyp="114" Dt="2012-02-09" Txt="20120210"/ // prior clearing date (for PAI) Evnt EventTyp="115" Dt="2012-02-11" Txt="20120210"/ // next banking date (for PAI) Evnt EventTyp="121" Dt="2012-02-10"/ // fixing date for a cash-settled forward /Instrmt Full Typ="6" Px="29.7316" Mkt="CME" DiscntFctr=”0.999862”/ // settlement price // & discount factor Full Typ="B" Sz="20000000" Mkt="CME" OpenClsSettlFlag="4"/ // prior-day volume Full Typ="C" Sz="500000000" Mkt="CME" OpenClsSettlFlag="4"/ // prior-day open-interest Full Typ="z" Px="0.0932" Mkt="CME" OpenClsSettlFlag="4"/ // PAI rate in percent /MktDataFull Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 23 FIXML Position Report for Gold Forward (collateralized mark to market)

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Qty Long="1000.000" Short="2000.000" Typ="PNTN"/ // trades cleared today Qty Long="1000.000" Short="2000.000" Typ="FIN"/ // ending quantity Qty Typ="DLV" Long="0.00" Short="0.00" Net="0.0" / // delivered quantity today Amt Typ="FMTM" Amt="47239.36" Ccy= "USD"/ // mark to market Amt Typ="IMTM" Amt="0.48" Ccy= "USD"/ // incremental mtm from previousday Amt Typ="DLV" Amt="0.00" Ccy= "USD"/ // invoice amount Amt Typ="BANK" Amt="0.00" Ccy= "USD"/ // total banked amount Amt Typ="COLAT" Amt="47239.36" Ccy= "USD"/ // total collateralized amount /PosRpt Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 24 FIXML Position Report for FX Forward (cash mark to market)

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Qty Long="0.000" Short="270000.000" Typ="PNTN"/ Qty Long="0.000" Short="270000.000" Typ="FIN"/ Qty Typ="DLV" Long="0.00" Short="0.00" Net="0.0" / // delivered qty: zero for cash-settled Amt Typ="FMTM" Amt="0.00" Ccy= "USD"/ // discounted mark-to-market Amt Typ="CASH" Amt="0.00" Rsn="4" Ccy= "USD"/ // price alignment interest Amt Typ="IMTM" Amt="10.26" Ccy= "USD"/ // incremental mtm = settlement variation Amt Typ="DLV" Amt="-9.72" Ccy= "USD"/ // final settlement amount Amt Typ="BANK" Amt="0.54" Ccy= "USD"/ // total banked amount /PosRpt

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Amt Typ="TVAR" Amt="0.00" Ccy= "USD"/ // mark to market for variation Amt Typ="DLV" Amt="149.90" Ccy= "USD"/ // final settlement amount Amt Typ="CASH" Amt="0.23" Rsn="4" Ccy= "USD"/ // price alignment interest

–  –  –

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 27 Additional information about Delivered Gas Forwards CME Clearing Europe now clears transactions in deliverable gas forwards. This section provides additional information about these contracts.

Contracts will be available for each of two delivery points – the UK National Balancing Point (NBP) and the Netherlands Title Transfer Facility (TTF). For each balancing point, there are monthly and daily contracts, with the monthly contract being for gas delivery for each calendar day of the month, and the daily contract being for gas delivery for a specific calendar day.

For the UK NBP forwards:

 The product codes are NBME for the monthly contracts and NBDE for the daily contracts.

 These are traded in units of 1,000 UK therms per calendar day, so for example a trade quantity of 5 would mean 5,000 UK therms per calendar day.

 The contracts are denominated in GBP, and prices are quoted in pence per therm, to a precision of 0.001 pence per therm. For example, a trade price of 60.055 means 60.055 pence per therm.

Therefore the contract multiplier (“contract value factor”) for each contract is 10 times the number of calendar days for gas delivery. So for example a monthly contract for a calendar month with 31 days, will have a contract value factor of 310, and a daily contract, always for a single gas delivery day, will have a contract value factor of 10.

For the Netherlands TTF forwards:

 The product codes are TTME for the monthly contracts and TTDE for the daily contracts.

 They’re traded in units of megawatts per hour, so a trade quantity of 5 contracts for a monthly contract with 30 calendar days in a 24-hour day, would be equivalent to buying 5 * 30 * 24 = 3,600 megawatt hours (MWh).

 They’re denominated in EUR, and prices are quoted in units of EUR per megawatt-hour, to a precision of 0.01 EUR per megawatt-hour. Since there are 24 hours per day, therefore the contract value factor is 24 times the number of gas delivery days. (Due to the pricing in megawatt-hours and the switchover between daylight savings time and regular time, there is one gas delivery day per year where the multiplier is 23 and another gas delivery day where the multiplier is 25.) Both of these are physically deliverable forwards with a cash mark-to-market. In technical terms, the settlement method is DELIV (physically deliverable) and the valuation method is FWDC (a forward with cash mark-to-market.) While both monthly and daily contracts are available for clearing, only daily contracts will go through the gas delivery process. For monthly contracts for gas to be delivered for a specific calendar month, on the second business day prior to the start of the delivery month, positions in those monthly contracts will be offset, and will be replaced with positions in an exactly analogous strip of daily contracts, all at the original trade price.

Clearing and Bookkeeping Processing for Forwards September 18, 2013 -- Page 28 Clearing and bookkeeping processing for these contracts works in a manner exactly identical to that for

any deliverable forward contract with cash mark-to-market:

 At the end of the day for each clearing business day, the discounted mark to market amount is

calculated for each open trade as the product of:

–  –  –

 The variation margin for that trade is then calculated as the discounted mark-to-market for the current business day, less the discounted mark-to-market amount for the previous business day.

 The variation margin amounts are netted across all open trades to obtain a net amount to be banked, in cash, on the next banking business day for the currency of denomination.

 Price alignment interest is also calculated using standard methods.

Contract maturity for the monthly contracts The clearing settlement date for the monthly contracts is the second banking business date prior to the first calendar day of the delivery month. At end-of-day on this date, CME Clearing Europe automatically generates transactions to precisely offset open trades in the monthly contract, and to replace them with strips of transactions in the corresponding daily contracts, at the original trade price. Trade confirmation messages are generated and transmitted to clearing firms so they may be loaded to books.

For the monthly contracts on this date, the position quantities will net to zero, and hence the discounted mark-to-market amount will be zero. Hence the variation margin on that date will in effect un-do the mark-to-market amount from the previous business day.

Contract maturity for the daily contracts On of the key attractions of these contracts, will be that the gas will be paid for, and margin released, on the morning of the second banking business date after the gas is delivered.

This will be accomplished in clearing by setting the clearing settlement date for the daily contracts to be the first banking business date following the gas delivery date. Using standard clearing processing for

forwards:

 At end-of-day on the first banking business day following the gas delivery day, the mark-tomarket amount will be set to zero, and the initial margin requirement will similarly be zero.

 Also at end-of-day on that first subequent day, the invoice amount for the gas will be realized.

This would cause the effects described above on the morning of the second banking business day: (a) banking cash equal to the net of un-doing the variation margin together with the invoice amount; and (b) allowing the release of any assets posted to meet initial margin.

–  –  –

For the monthly contracts at all times, and for the daily contracts up to the second banking business day prior to the gas delivery day, initial margin requirements are calculated normally using SPAN, and there will be no limitation on risk offsets that may be formed.

For the daily contracts beginning at end-of-day on the first banking business day prior to the gas delivery date, the contracts are margined outside of SPAN, so that risk offsets are not recognized against any

other contracts, and:

 The initial margin requirement for net long positions is set to the full invoice amount.

 The initial margin requirement for net short positions is calculated as the number of contracts times the full outright margin rate (the normal rate for a single contract as taken from the SPAN file).

–  –  –

CSV-format trade register and position files, and FIXML-format trade register files, are published to each firm in their Outgoing directory on the Firm FTP Server.

Settlement price files and product reference files are available on CME’s public FTP site on the Internet, at ftp.cmegroup.com, and on the Firm FTP Server.

Settlement price files for forwards cleared by CME Clearing are located in the /pub/settle directory for production files, and in the /pub/settle/nr directory for files produced from the New Release testing environment. Files are available in both the FIXML format and the positional format, both with the business date in the filename and with a static filename, and

both zipped and not zipped. For example:

–  –  –



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