Cc020 Futures Spread Margin - Siemens SIMATIC PROFINET Function Manual

Eurex
XML Report Reference Manual
XML Report Descriptions
4.3.3

CC020 Futures Spread Margin

Description
Frequency
Availability
XML Report Structure
cc020
rptHdr
exchNam
envText
rptCod
rptNam
rptFlexKey
membId
membLglNam
rptPrntEffDat
rptPrntEffTim
rptPrntRunDat
cc020Grp, repeated 0 ... variable times:
cc020KeyGrp
membClgIdCod
cc020Grp1, repeated 1 ... variable times:
This report shows the future spread margin per margin class and
account type that must be paid for the futures spread positions for the
delivery month and back months. The total spread margin is then used
to calculate the total margin. All amounts are in the product currency.
The net positions of the delivery month and of the back months are
listed by contract and margin class within an account. The long or short
net positions of the delivery month are balanced against the positions
of back months to arrive at the Spot Month Position.
Spot Month Margin is calculated as follows:
Quantity of Spot Month Spreads * Spot Month Future Rate per contract
After balancing the Spot Month Positions, the remaining long and short
positions are balanced against the contracts from the back months
(Back Months Position).
Back Month Margin is calculated as follows:
Quantity of Back Months Spreads * Back Months Future Rate per contract
The spread margin of the delivery month and the spread margin of the
back months are then added to calculate the Total Spread Margin of
the margin class.
The report is available for EUREX/ECAG Members and EEX/ECC
Members.
Daily.
This report is available for clearing and trading members.
M/O Text Report Heading
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Version V 3.1.3
05.04.2017
Page 234