Cc045 Additional Margin - Siemens SIMATIC PROFINET Function Manual

Eurex
XML Report Reference Manual
XML Report Descriptions
4.3.8

CC045 Additional Margin

Description
Frequency
Availability
XML Report Structure
cc045
rptHdr
exchNam
envText
rptCod
rptNam
rptFlexKey
membId
membLglNam
rptPrntEffDat
rptPrntEffTim
rptPrntRunDat
cc045Grp, repeated 0 ... variable times:
cc045KeyGrp
membClgIdCod
cc045Grp1, repeated 1 ... variable times:
This report shows the calculation of the additional margin, displayed in
the margin class currency. Margin calculations resulting from Flexible
Contracts are included in the corresponding margin class records.
When the margin class is not part of a margin group, the additional
margin for the margin class is the difference between the current liqui-
dation costs and proceeds, representing the highest positive value. If
the value is negative, the additional margin is zero.
For margin classes that are part of a margin group, the differences
between the immediate liquidation costs and proceeds, the largest
movements, are converted to the clearing member currency. If the
value is negative, it is multiplied by the offset factor.
These adjusted are then added to the margin group, for all six possible
scenarios of price and volatility movements (see the description of
report CC040), to determine the highest risk. The additional margin
amount is multiplied by the offset factor if the value is negative.
Remark: If the margin class is maturity dependent, the additional
margin for each expiration will be displayed separately instead of the
total for entire 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
m
m
m
m
o
o
o
m
o
m
m Clearing Member
Version V 3.1.3
05.04.2017
Page 250