Market window in Senaf Terminal

Reference: Four digits code. In the case of the issues that can be traded with two futures for their residual life a different code will be created for each one of them.

Contracts: It is the number of future contracts equivalent to 1 million € traded in the Basis. The number of contracts of the future trade will be obtained by multiplying this data by the million of € crossed in the cash market issue. The obtained result will be rounded to the nearest integer. (Value date of calculation 8/04/2004).

Basis: We shall show the Spanish issue versus the German future contract.

Volume: Quotation will be done according to the amount gross wished to be obtained in the Spanish issue. When a trade is done the system will calculate according to sensitivity the equivalent number of contracts for the German future.

Gross Basis: Quotation will be done in basis points (three digits for the big figure and 2 decimal places) between the ex-coupon price of the Spanish securities issue and the price of the German future multiplied by the conversion factor of the corresponding Spanish issue.

New positions and New Bid and Ask windows in Senaf Terminal

• The New Bid order aims to buy the Spanish Bond or Obligation and sell the German future contract, while the New Ask order aims to sell the Spanish Bond or Obligation and buy the German future contract.
  
• When the code number is entered the issue and the future to be bought and sold will be automatically filled in.
  
• When the broker enters the Client Code, the name of the client will be shown to the right.
  
• Field “Client” will appear by default in the Clients terminals.
  
• Gross Basis will be the difference between the securities ex-coupon price (corrected by the Spanish Bond conversion factor), so that in most of the cases it will be positive. Quotation will be done with three digits for the big figure and two decimal places.
  
• The volume to be entered will be that of the Bond or Obligation. The system will calculate by sensitivity the number of contracts for the future trade.
  
  

Cross of a Basis transaction

The crossing of a basis will generate a trade on the Spanish security and a trade on the German future.

Future trade price

hen a basis trade is crossed, the last price crossed on the German future in Eurex will be the one applied to the future leg. This price will be obtained through the interface system with Eurex.

Bond or Obligation trade price

his price will be obtained starting from the price of the future trade, the gross basis to which the basis has been crossed and the conversion factor of the Spanish security.

Issue Spot price = (Future price x Spot Issue conversion factor ) + gross basis

Conversion Factors Calculating

SENAF will provide the conversion factor of the Spanish security relating to the German future contract. This will be the actual value of the Spanish security at the future contract maturity date, of its flows (coupons + amortization) discounted to the theoretical coupon rate of the corresponding future German Notional Bond, less the accrued coupon of the Spanish security at that date, divided by 100.
We shall use the Bank of Spain formula to calculate the actual value of the Spanish security.

Trade volumes

The trade volume will be that of the Spanish security.

In order to calculate the corresponding number of contracts it will be taken into account the Spanish security sensitivity, the Cheapest to Deliver (CTD) sensitivity of the German issue for each future contract and the CTD conversion factor.

Minimum number of contracts = NOC x SEC x FCC / NCF x SC

NOC: Spanish Security Nominal.
SEC: Spanish Security Sensitivity.
FCC: German CTD Conversion Factor.
NCF: German Future Contract Nominal.
SC: German CTD Sensitivity.

This calculation will be made with the previous day closing data and its result will be a fixed data for the whole session.
The number of future contracts will be obtained multiplying this number by the millions of € crossed in the Spanish security. This result will be rounded to nearest integer.

German Future trade confirmation

SENAF will confirm the future trade data to EUREX using EUREX Basis Trading Electronic Facility.

Spanish security trade confirmation

This trade will be confirmed to SENAF members as the rest of the trades crossed in SENAF market.
For control purposes this trades will be marked.
In this confirmation SENAF will include information related to the German future trade mentioning the future code, its price and number of contracts .

Crossed trades windows

Basis market crossed trades will be shown in the Senaf Terminal in a different window form cash market crossed trades, although we shall keep a unique numerical order for trades done in both markets.

Each trade shown in Basis trades window will include information about the German future trade.

Incidents

Eurex and Senaf will be in constant communication in order to take trading as easy as possible and to solve any incidences.