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VOLUME 24 – BULLETIN #014
TO:
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ALL CLEARING PARTICIPANTS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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February 6, 2004
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SUBJECT:
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Eurex US Exchange Fee Data Files
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The Clearing Corporation (CCorp), on behalf of Eurex US, will facilitate exchange fee billing. The collection of Eurex US exchange fees from clearing participants will be integrated within the collection of CCorp’s clearing fees and service charges, which are collected on fifteenth day of each month. The exchange fee charges will appear as a separate line item on the month-end billing invoice (Infopac ID – ACT00012), which is made available to clearing participants by the fifth business day each month. To help firms track and verify the accuracy of exchange fee charges, CCorp, through its customer network, will provide the following Eurex US and CCorp data files:
Eurex US Trading Fee Report (TF015)
This data file shows the clearing participant its own, as well as associated trading members volume with the corresponding flat fee per product and account. The data provided is based solely on trade information and does not include adjustments for give-up detail.
FTP File Name
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File Type
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Occurrence
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CHPD.TR.CBT###.TF15DCSV
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Comma Separated Values
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Daily
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CHPD.TR.CBT###.TF15DDAT
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Fixed Length Fields
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Daily
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CHPD.TR.CBT###.TF15MCSV
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Comma Separated Values
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Monthly
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CHPD.TR.CBT###.TF15MDAT
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Fixed Length Fields
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Monthly
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### Denotes clearing participant number
The record layout for the file is as follows:
Co-lumn
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Field
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Description
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Datatype
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1
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EXCHANGE MEMBER ID
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Eurex US member ID
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char(5)
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2
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CCORP PARTICIPANT CODE
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CCorp firm code of the clearing participant (or division)
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char(3)
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3
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ACCOUNT
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Used account (A = Agent business, P = Proprietary business, M = Market Maker business)
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char(1)
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4
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PRODUCT LINE
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Possible product lines are F (for Futures) and O (for Options)
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char(1)
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5
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PRODUCT TYPE
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Possible types are BND for Futures and FBD for Options on Futures
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char(3)
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6
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PRODUCT ID
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Eurex US product ID (e.g. FTNL for 10 year US Treasury Notes Future)
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char(4)
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7
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TRADE TYPE
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The following types are possible: blank (on-exchange trade), O (OTC block trade), B (OTC basis trade), V (OTC vola trade).
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char(1)
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8
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FEE TYPE
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Type of fee that is shown. In case of an execution on Eurex US it is the trading fee
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char(10)
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9
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VOLUME CURRENT DAY
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Number of executed contracts of the business day
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char(16)
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10
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FLAT FEE CURRENT DAY
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Flat fee amount for the current day the business day
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char(18)
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11
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CURRENCY
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Eurex US exchange fees for USD products are charged in USD
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char(3)
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12
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FLAT FEE MTD
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Flat fee aggregated until the date of the report (MTD = Month to date)
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char(18)
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13
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CURRENCY
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Eurex US exchange fees for USD products are charged in USD
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char(3)
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Eurex US Trading Fee Report w/ Give-up Detail (TF020)
This data file shows the clearing participant its own, as well as associated trading members volume with the corresponding flat fee per product and account. The data provided is based on trade information and give-up activity.
FTP File Name
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File Type
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Occurrence
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CHPD.TR.CBT###.TF20DCSV
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Comma Separated Values
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Daily
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CHPD.TR.CBT###.TF20DDAT
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Fixed Length Fields
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Daily
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CHPD.TR.CBT###.TF20MCSV
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Comma Separated Values
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Monthly
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CHPD.TR.CBT###.TF20MDAT
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Fixed Length Fields
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Monthly
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### Denotes clearing participant number
The record layout for the file is as follows:
Co-lumn
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Field
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Description
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Datatype
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1
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CCORP PARTICIPANT CODE
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CCorp firm code of the clearing participant (or division)
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char(3)
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2
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PRODUCT LINE
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Possible lines are F (for Futures) and O (for Options)
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char(1)
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3
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PRODUCT TYPE
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Types are BND for Futures and FBD for Options on Futures.
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char(3)
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4
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PRODUCT ID
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Eurex US product ID (e.g. FTNL for 10 year US Treasury Notes Future)
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char(4)
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5
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TRADE TYPE
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The following types are possible: blank (on-exchange trade), O (OTC block trade), B (OTC basis trade), V (OTC vola trade).
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char(1)
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6
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ADJUSTMENT
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The executed volume is differentiated between traded or executed volume, give up and take up volume. Possible types are:
• TRADE (=Trade volume),
• GU (=Give up volume),
• TU (=Take up volume) |
char(5)
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7
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VOLUME CURRENT DAY
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Number of executed contracts
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char(16)
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8
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FLAT FEE CURRENT DAY
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Eurex U.S. trading flat fee amount of the business day
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char(18)
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9
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CURRENCY
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Eurex US exchange fees for USD products are charged in USD
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char(3)
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10
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FLAT FEE MTD
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Flat fee aggregated until the date of the report (MTD = Month to date)
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char(18)
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11
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CURRENCY
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Eurex US exchange fees for USD products are charged in USD
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char(3)
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Overview ‘Other Eurex US Fees’ (TF040)
This monthly data file details to clearing participants it own as well as its own trading members net amount of ‘other Eurex US fees, which consists of all related non-trade activity.
FTP File Name
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File Type
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Occurrence
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CHPD.TR.CBT###.TF040CSV
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Comma Separated Values
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Monthly
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CHPD.TR.CBT###.TF040DAT
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Fixed Length Fields
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Monthly
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### Denotes clearing participant number
The record layout for the file is as follows:
Co-lumn
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Field
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Description
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Datatype
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1
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EXCHANGE MEMBER ID
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Eurex US member ID
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char(5)
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2
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CCORP PARTICIPANT CODE
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CCorp firm code of the clearing participant (or division)
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char(3)
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3
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AMOUNT FOR THE PAST MONTH
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The amount for each EXCHANGE MEMBER ID (netted over all fee components).
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char(18)
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4
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CURRENCY
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Eurex US exchange fees for USD products are charged in USD.
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char(3)
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CCorp Account Transaction Summary File
The Account Transaction Summary file is CCorp data file, which compliments the Eurex US data files by providing additional information such as member ID, participant sub group code, participant number and account number. The file summarizes daily volume by account, contract and transaction type. Additionally, a month-to-date accumulative total will be included for each summary record.
FTP File Name
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File Type
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Occurrence
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CHPD.TR.CBT###.ACVLDCSV
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Comma Separated Values
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Daily
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CHPD.TR.CBT###.ACVLDDAT
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Fixed Length Fields
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Daily
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CHPD.TR.CBT###.ACVLMCSV
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Comma Separated Values
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Monthly
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CHPD.TR.CBT###.ACVLMDAT
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Fixed Length Fields
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Monthly
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### Denotes clearing participant number
The record layout for the file is as follows:
Field Name
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Length
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Start
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End
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Type
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Picture
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Justify
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Description / Values
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Clearing Part. Code
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3
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1
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3
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AN
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Pic X(03)
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Left
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CCorp clearing participant code
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Account
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10
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4
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13
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AN
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Pic X(10)
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Left
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Client account
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Account Type Code
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1
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14
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14
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AN
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Pic X(01)
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Left
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Account type code
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Account Type No.
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1
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15
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15
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AN
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Pic X(01)
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Left
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Account type number
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Member ID
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5
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16
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20
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AN
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Pic X(05)
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Left
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Eurex US Trading member ID code
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Part. Sub Grp
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3
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21
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23
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AN
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Pic X(03)
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Left
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Participant sub group
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Part. No.
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3
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24
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26
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AN
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Pic X(03)
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Left
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Participant Number
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Product Line
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1
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27
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27
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AN
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Pic X(01)
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Left
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‘O’ options; ‘F’ futures
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Product Code
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4
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28
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31
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AN
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Pic X(04)
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Left
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Eurex product code
FTNL=10Yr Fut
OTNL=10Yr Opt
FTNS=2Yr Fut
OTNS=2Yr Opt
FTNM=5Yr Fut
OTNM=5Yr Opt
FTBX=T-Bond Fut
OTBX=T-Bond Opt
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Exchange Code
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2
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32
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33
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AN
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Pic X(02)
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Left
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CCorp exchange code
‘03’
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Commodity Code
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2
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34
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35
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AN
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Pic X(02)
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Left
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CCorp commodity code
U1=10Year Treas
U2=2Year Treas
U5= 5Year Treas
US=T-Bond
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Contract Date
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6
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36
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41
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N
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Pic 9(06)
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Right
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Contract date as Year/Mo (YYYYMM)
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Option Type
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1
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42
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42
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AN
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Pic X(01)
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Left
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‘C’ call; ‘P’ put;
‘ ‘ Futures
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Exercise Price
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7
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43
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49
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N
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Pic 9(07)
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Right
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Option strike price; zero for futures
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Transaction Type
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9
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50
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58
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AN
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Pic X(09)
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Left
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Transaction description caption
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Buy/Sell
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1
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59
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59
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AN
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Pic X(01)
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Left
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‘B’ buy, ‘S’ sell
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Volume Today
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9
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60
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68
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N
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Pic 9(09)
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Right
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Number of contracts today
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Volume MTD
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9
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69
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77
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N
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Pic 9(09)
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Right
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Number of contracts month to date
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Business Date
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8
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78
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85
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N
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Pic 9(08)
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Right
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“As of” Business Date thru which the data is provided (as YYYYMMDD)
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Filler
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15
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86
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100
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AN
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Pic X(16)
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Left
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Spaces
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Archived Exchange Fee Data File Retrieval
The most current daily and monthly data file will be available via an FTP Get by 11:30PM each business day. Should a clearing participant need to retrieve an archived file, the participant will need to contact Client Services and Support Group (CSS). Daily fee FTP files will be archived for thirty-business days and monthly data files for eighteen months. Once the data file is available, CSS will contact the firm so it may be pulled in.
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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