Download eurex circular 067/00

Eurex Clearing AG
Version 01
IC Release 2000
As of 30.10.2000
Page 6
Technical Release Notes
3.1.2
File FPTHEB - Theoretical Values II
The Theoretical Values II file provides Members with the security parameters used for the current
liquidating margin calculation and parameters for additional margin evaluation.
Similar to the current procedure for the FPTHEA file, this file is sent during the End of day processing,
before the Eurex batch starts its margin calculation, and is also published on the internet. The file will
be sent to all Eurex clearing members. The layout of the FPTHEB file is as follows:
Field
Format
Description
PIC X(12).
ISIN of the security for which the
01 RMTHEB-WS-REC.
05 KEY-GRP-RMTHEB.
10 SECU-ISIN-RMTHEB
information is shown
05 DATA-CLS-RMTHEB.
10 MGN-GRP-COD-RMTHEB
PIC X(5).
Margin group code.
10 MGN-CLS-COD-RMTHEB
PIC X(5).
Margin class code. Identification of the
margin class
10 MGN-PAR-RMTHEB
PIC 9(3).9(3).
Margin Parameter. This is the
maximum fluctuation which a security
can be expected to have during the
next day. Based on the historical
volatility.
10 MGN-PAR-FLG-RMTHEB
PIC X.
Indicator, if the margin parameter is
given in absolute (A) or percentage
(P).
05 DATA-SECU-RMTHEB.
10 SECU-PRC-RMTHEB
PIC 9(10).9(5).
Security price used for risk based
margining.
10 SECU-MAX-UP-PRC-RMTHEB
PIC 9(10).9(2).
Maximum expected price
For bonds it is the expected clean
price as percentage
10 SECU-MAX-DWN-PRC-RMTHEB
PIC 9(10).9(2).
Minimum expected price
For bonds it is the expected clean
price as percentage
10 SECU-NEAR-STL-DATE-RMTHEB
PIC 9(8).
Nearest settlement date (Actual date
plus standard settlement period for a
Attachment 4 to Eurex Circular 067/00