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Rate Details

You may perform the following tasks for rate details on the Rate Maintenance page:

Add Rate Details (Executing Perspective Only)

 

  1. To add rate details:
  1. Select Add
  2. Add details for the rate set.

 

Rate Details Field Descriptions

Field

Description/Valid Entry

Rate Type

General  - used to set default rate for futures & options

Specific - used to set individual rates for futures and options by
                   commodity code and exchange.

Rank

Sequence in which the rate is calculated. Specific Rate sets are calculated first then General. Rates with the highest "rank” number are the first to be calculated.

Exchange

  • CBOT - Chicago Board of Trade
  • CCE - CME Clearing Europe
  • CEU - CME Europe LTD.
  • CME - Chicago Mercantile Exchange
  • CMX - New York Mercantile Exchange: COMEX
  • NYX - New York Mercantile Exchange
  • OCC - Options Clearing Corporation

Commodity

For Rate Type ‘Specific’ only: You must first select an Exchange in order to be able to select from the pre-populated commodity codes in the drop-down list.

Future Rate

The dollar amount of the futures rate as a whole number. Includes a decimal point if cents are entered. (Field defaults to zero if left blank)

Option Rate

The dollar amount of the options rate as a whole number. Includes a decimal point if cents are entered. (Field defaults to zero if left blank)

Order Handling Indicator

Field is free-form. Current values/definitions as defined by the FIA are:

A = Phone simple

B = Phone complex

C = FCM-provided screen

D = Other-provided screen

E = Client-provided platform controlled by FCM

F = Client-provided platform direct to exchange

G = FCM API or FIX

H = Algo Engine

J = Price at execution (price added at initial order entry, trading, middle office or time of give-up)

W = Desk - Electronic

X = Desk - Pit

Y = Client - Electronic

Z = Client - Pit

SPR (Spread Type)

Select the Spread indicator to set rate by the following spread types:

  • D: Differential Spreads
  • L:  Legged Spreads
  • S: Spread Trade (includes legged and differential)
  • P: PIT Trade

Blank = Any input value will provide a match.

PNT
(Privately Negotiated Trades)

Select the PNT Indicator to set rate by the following PNT types:

  • B: Block Trade
  • E: EFP Trade  (Exchange for Physical)
  • N: EFR Trade (Exchange for Risk)
  • T: EFS Trade (Exchange for Swap)
  • O: OPNT (Old Privately Negotiated Trade)
  • *C: RFC (Request for Cross)

Note: RFCs are handled as a PNT for GPS pricing purposes only.

Blank = Rates will be applied (match) on a blank value only.

Please note that the Blank value denotes that this is not a PNT Transaction.

An EFP refers to a privately negotiated and simultaneous exchange of a futures position for a corresponding cash position (i.e., a basis trade) apart from the public auction market in the context of a non-interest rate contract.

SES (Session)

Select the Session Indicator to set rate by the following Session types:

  • D: Day
  • E: Evening
  • G: GLOBEX

Blank = Rates will apply (match) on any value 

APS

Select the APS Indicator to set rate by the following APS types:

A: APS Trade (Average Price Trade)

G: Give Up Trade (a.k.a. Allocated Claim System)

Blank = Rates will apply (match) on any value 

Vol Quote

Select "Y" or "N" to set rate for trades, volatility quoted or not.

Exchange

 

CBT - CHICAGO BOARD OF TRADE

CCE - CME CLEARING EUROPE

CEU - CME EUROPE LTD.

CME - CHICAGO MERCANTILE EXCHANGE

CMX - NEW YORK MERCANTILE EXCHANGE:COMEX

NYX - NEW YORK MERCANTILE EXCHANGE

OCC - OPTIONS CLEARING CORPORATION

Exchange can be used by itself for a generic rate or together with the commodity code for specific rates.

CUR (currency)

For all third-party agreements, any currency is valid.

For a US non-third party agreement, only USD is valid.

For a European non-third party agreement, USD, EUR and GBP are valid.

Codes are as follows:

AUD – Australian Dollar                 MXN –  Mexican Peso

CAD – Canadian Dollar                  NOK  –  Norwegian Krone      

CHF – Swiss Franc                         NZD  –  New Zealand$       

EUR –  Euro                                      SEK  –  Swedish Krona      

GBP – British Pound                       USD  –  US Dollars

JPY   –  Japanese Yen                    ZAR  –   S.A. Rand

Trading Hours

E = ETH: Electronic Trading Hours

R = RTH: Regular Trading Hours (Open Outcry/Pit-traded)

Quadrant

If quadrant is selected, then individual commodities may not be selected and vice versa.  Quadrants are:

CBOT: AG, FIN, INDEX

CME: AGS, CURR, INDX, INT

CMX: AG, ENERGY, FIN, INDEX, METAL

NYX: AG, ENERGY, FIN, GREEN, INDEX, METAL

Edit Rate Details (Executing Perspective Only)

 

  1. To edit rate details:
  2. Select Edit
  3. Select the line item you wish to edit.
  1. Make the required modifications.
  2. Select Apply.

Delete Rate Details (Executing Perspective Only)

 

  1. To delete rate details:
  2. Select Delete
  3. Select the line item you wish to delete.

An alert message displays, asking, “Are you sure you want to delete the current rate?”

  1. Select OK.