Listed Derivatives. Preparation date: December 2008 Reshuffled date: March 2011 Update. Impl. date: November 2011

Transcription

1 Listed Derivatives Status: Final Preparation date: December 2008 Reshuffled date: arch 2011 Update. Impl. date: November 2011 Auth: SPG - 1 -

2 I. SPE AND DEFINITINS:... 3 A. SPE... 3 B. DEFINITINS... 3 II. ATRS AND RLES:... 5 III. ATIVITY DIAGRA:... 6 IV. ESSAGE FLW DIAGRAS:... 9 A. SENARI 1: LIENT-USTDIAN FLW FR AUNTING PURPSES... 9 B. SENARI 2: GENERAL LEARING EBER S LIENT IS AN EXHANGE EBER AND D BUSINESS FR A THIRD PARTY R HIS WN BUSINESS SENARI 3: GENERAL LEARING EBER S LIENT IS AN EXHANGE EBER / G IS JUST RESPNSIBLE FR THE GIVE-UP D. SENARI 4: GENERAL LEARING EBER S LIENT IS NT EBER F THE EXHANGE AND INSTRUTS THRUGH A BRKER WHIH IS LIENT F THE G E. SENARI 5: EXERIES, ABANDNS AND ASSIGNEENTS: Scenario 5A: Atypical (voluntary) exercises and abandons Scenario 5B: Typical (involuntary) exercises and abandons, assignments V. BUSINESS DATA REQUIREENTS: A. BUSINESS DATA IS APPING + ILLUSTRATINS Trade Notification from instructing party: onfirmations from executing/managing party: Unmatched pending trades from executing/managing party: Allegements from executing/managing party : Exercise/abandonment from instructing party: onfirmation of exercise/expiration/assignment from executing/managing party: Statements from executing/managing party: VI. ARKET PRATIE RULES: VII. IS ILLUSTRATIN: ESSAGE TYPE AND DES BINATIN F the different derivatives instruction types F the different confirmation types: F allegements: F Status repting: A. SENARI 1: LIENT-USTDIAN FLW FR AUNTING PURPSES B. SENARI 2: GENERAL LEARING EBER S LIENT IS AN EXHANGE EBER AND D BUSINESS FR A THIRD PARTY R ITS WN BUSINESS SENARI 3: GENERAL LEARING EBER S LIENT IS AN EXHANGE EBER / G IS JUST RESPNSIBLE FR THE GIVE-UP D. SENARI 4: GENERAL LEARING EBER S LIENT IS NT A EBER F THE EXHANGE AND TRADE THRUGH A BRKER WHIH IS LIENT F THE G E. SENARI 5: EXERIES, ABANDNS AND ASSIGNEENTS: Scenario 5A: Atypical (voluntary) exercises and abandons Scenario 5B:Typical (involuntary) exercises and abandons, assignements F. BUSINESS DATA IS APPING + ILLUSTRATINS Trade Notification from instructing party: onfirmations from executing/managing party: Unmatched pending trades from executing/managing party: Allegements from executing/managing party : Exercise/abandonment from instructing party: onfirmation of exercise/expiration/assignment from executing/managing party

3 7. Statements from executing/managing party: Version x.x onth YYYY Type change of hanges to previous versions Description of change Page x I. Scope and definitions: A. Scope The scope of this document is to describe the trade notification and management flow f the opening, moniting and closing of listed derivatives positions. This document covers: trade notification, give-up/allocations, exercise/abandon instructions, booking/exercise/abandon/assignment confirmations, outstanding transaction advice and statements. It does not cover the trading (broker, market) n the clearing (clearing house) processes. Settlement of the underlying should be done in compliance with agreed P document on plain vanilla settlement. B. Definitions Term / odewd Trade notification Give-up Take-up Allocation: Exercise: Assignment Abandonment Atypical (voluntary) processes. Typical (involuntary) processes American ption Definition Instruction/notification sent by a client to its account servicer to infm him about a listed derivative trade done on an exchange. In the context of a Scenario 4 (see below), give-up is an instruction by a broker to the custodian to allocate a derivative trade to another account than the broker account. The allocation is the process of doing so, ie, the process of matching the give-up instruction with the notification received from the client. Take-up is part of allocation process: the broker has to send a give-up to his custodian in der the custodian could allocate the trade on the account of the final client. In case he is not the custodian of the final client, he has to send a take-up to the right custodian. Process of executing a give-up and take-up. See definition of give-up and take-up. When you exercise your option, you "trade in" your options f the actual underlying instrument (index, equity, etc.). A notice received from the clearing house market by a clearing market member stating that the option sold has been exercised by the purchaser of the option. It is the other side of the exercise. The act of allowing an option to expire unexercised (involuntary), to abandon a position befe on expiry date (voluntary). Activities that are outside the natural lifecycle of a derivative and require an instruction (eg exercise befe expiry date, abandon). Activities that are part of the natural lifecycle of derivatives and do NT require an instruction (eg, exercise in the money). An option which may have rights exercised at any time pri to the expiry date

4 Asian ption European ption all ption Future Listed An option where the payoff is dependent upon the average value of the underlying security f a specified period of time. Also known as an average option. An option that can only be exercised at the end of its life. A call option gives the invest the right to buy a specific security at a set price f a specified period of time. Parameters f contracts which obligate the buyer to receive and the seller to deliver in the future the assets specified at an agreed price. An option future that has been approved f trading on an exchange. I arket Identification ode Valid I ode may be found in IS documentation. ption ption Style ption Type Put ption learing ember ontracts which grant to the holder either the privilege to purchase the privilege to sell the assets specified at a predetermined price fmula at within a time in the future. Specifies how an option can be exercised. Specifies whether it is a all option (right to purchase a specific underlying asset) a Put option (right to sell a specific underlying asset). A right to sell a defined quantity of an asset by a certain date f an agreed price. A member of a clearing house. All trades must be settled through a clearing member. A direct clearing member is able to settle only its own obligations. A general clearing member is able to settle its own obligations as well as those of clients. However, socalled general clearing members may settle both their own obligations and those of their customers. Variations of these two types of clearing member may also exist

5 II. Acts and Roles: This paragraph describes the roles and acts involved in the process described in the market practice document. The focus is on the roles and acts that are part of the scope of this document. 1. Instructing Party The party notifying the listed derivatives transaction and, optionally, the atypical (voluntary) instructions. 2. Executing/managing Party The party managing the holding as well as the typical (involuntary) and atypical (voluntary) processes linked to the listed derivatives trade. The acts that would typically play those roles are: Instructing Party Any client of a custodian, ie, investment manager, broker, custodian... Any client of a General learing ember, ie, investment manager, broker, custodian... Executing/managing party ustodian General learing ember (G) - 5 -

6 III. Activity Diagram: The activity diagram represents the whole process to enable the reader to have the full picture. The processes covered in this document are only the green ones. Note that the Final lient and the Broker can play the role of Instruction Party as defined above. Instructing Party (final client) Executing/anaging Party Instructing Party (broker) learing House rder to buy sell If Instructing Party is not member of the derivative exchange Process the der onit and rept on trade Notify listed derivative trade Process match and monit trades Notify listed derivative trade (inc give-up/allocation) onit Trade Provide status repting No atched not onfirm Trade Yes Instruct Atypical exercise Atypical abandon Process atypical instruction Provide status repting No Processed? Yes Process atypical instructions Finalise and reconcile transaction onfirm (A)typical exercise (A)typical abandon assignments Process Typical exercise Typical abandon assignments Typical abandon Typical exercise Assignment Activity described in P Surrounding Activity hoi ce Last Activity End of activity Start of 1 st activity - 6 -

7 Descriptions of the activities Instructing Party (Final lient) Executing/anaging Party (ustodian/g) Instructing Party (broker/n 1 ) learing House rder to buy sell: rder the purchase of sell of a listed derivative. Notify listed derivatives trade: infm the executing/managing party of the trade. onit Trade: monit the status of pending transactions and of open positions. Process, match and monit trades: receive trade notifications from instructing party and clearing house, match the trades and manage the holdings. The matching of the trade notifications received from the instruction party and market may not take place. atched not: match the notifications received from the client and from the market. If matched, go to confirm trade. If not, go to provide status repting Provide Status repting: provide the status of pending transactions (in case of mismatch). onfirm trade: confirm trade booking. Process the der: take care of the execution of the trade der (f cases when instructing party is not exchange member) onit and rept of Trade: manage the infmation received from the exchange and rept it (not detailed here) Notify listed derivatives trade: infm the executing/managing party of the trade f its own account f the account of a third party. Instruct atypical (voluntary) exercise and abandon Process atypical (voluntary) instructions Processed: process the atypical (voluntary) instruction received from the client. Process atypical (voluntary) instructions: process and confirm atypical instructions. 1 N: Non-learing ember - 7 -

8 Descriptions of the activities Provide Status repting: provide the status of pending transactions (in case of mismatch). Finalise and reconcile transactions: finalise transactions and reconcile transactions and positions. Process typical (involuntary) exercise, typical (involuntary) abandon and assignments: process typical exercise, abandon and assignments notifications received from learing House. onfirm (a)typical (involuntary/voluntary) exercise, (a)typical (involuntary/voluntary) abandon and assignments: confirm trade booking. Typical (involuntary) exercise, typical (involuntary) abandon and assignments: process and notify typical exercise, abandon and assignments

9 IV. essage Flow Diagrams: A. Scenario 1: lient-ustodian flow f accounting purposes In Scenario 1, the client notifies its custodian of a derivative trade f accounting purposes. No clearing house is involved in such a scenario. lient (2) Status onfirmation (3) Reconciliation repts (1)Trade Notification ustodian B. Scenario 2: General learing ember s lient is an exchange member and do business f a third party his own business In Scenario 2, the Instruction Party is client of the G. It is a N, member of the derivative exchange, doing business f a third party f his own business. Note : when the client acts f his own business, the G may not require a trade notification and will process by using the wild card functionality. Final lient (1) rder (2) rder Derivatives lient=n exchange (6) utstandings (7) learing repts (5)Trade Notification (3) Trades G (4) Trades learing house - 9 -

10 (6) : Unmatched (when (4) not received yet) Allege (when (5) not received yet) ismatched (when (4) and (5) are not exactly the same) onfirmation (the trade had been cleared by G). Scenario 3: General learing ember s lient is an exchange member / G is just responsible f the give-up. In Scenario 3, the Instruction Party is client of G1. It is a N, member of the derivative exchange, doing business f a third party having an account at G2. G1 will handle the give up of the instruction to G2. Final lient (1) rder G1 s client=n (2) rder Derivatives exchange (6) utstandings (11) learing repts (5) Trade Notification (3) Trades Final lient s ustodian/ G2 ustodian/ G1 (4) Trades (7) Give up (10) confirmation learing house (9) Take up (8) Give up IS messages f flows: (5) : With clearing info and final clearer (6) : Unmatched (when (4) not received) Allege (when (5) not received) ismatched (when (4) and (5) are not exactly the same) onfirmation

11 D. Scenario 4: General learing ember s lient is not member of the exchange and instructs through a broker which is client of the G G s lient Non member (1) rder Broker (2) rder Derivatives exchange (8) atching (10) learing repts (5a) Trade Notification (5b) Give up (3) Trades (9) utstandings ustodian/ G (4) Trades (6) Take up (due to whitecard from final client) (7) Take up confirmation learing house (8) : atching : take up confirmation to give-up party (9) : utstandings Please note that if the 2 clients have the same G, the clearing house will not be involved : the client 1 will notify its custodian of the trade. The custodian will then process a book to book and generate the usual standard repting to his clients. That case is similar to scenario 1. E. Scenario 5: Exercices, abandons and assignements: 1. Scenario 5A: Atypical (voluntary) exercises and abandons Instructing Party (1a) Exercice Abandon (4a) Status ustodian/ G (2a) Exercice Abandon (3a) Status learing house (4a) : with explanation if not K 2. Scenario 5B: Typical (involuntary) exercises and abandons, assignments Instruction Party (2b) Exercice (2b ) Abandon (2b ) Assignment ustodian/ G (1b) Exercice Abandon Assignement learing house

12 V. Business data requirements: F the above-described different communication needs, the following business data are required. Focus is on the processes described in the P. A. Business data IS mapping + illustrations 1. Trade Notification from instructing party: Applies to: - Scenario 1, flow 1 - Scenario 2, flow 5 - Scenario 3, flow 5 - Scenario 4, flow 5a - Scenario 4, flow 5b Business elements Additional Infmation P rder reference arket I of the exchange Trade Date Price Per unit. Expressed as currency + price ontract code/instrument identifier ISIN if available. If not available, a national scheme number (e.g. cusip sedol), a Ticker symbol a bilaterally agreed code (e.g. Bloomberg, LH-learnet, ptions Price Repting Authity.etc ) Instrument Type onditional to the presence of a recognized urrency of denomination instrument identifier. If the instrument does not Expiry Date have a recognized instrument identifier, as many Strike Price (f options) attributes of the derivative as possible should be all/put (f options) provided to enable its identification. ption Style (f options) Recommendation is to always provide as many American Style ption instrument attributes as possible. Asian Style ption European Style ption ontract size Underlying Instrument ISIN other instrument identifier if not securities pen/lose learing Info Eg, code f identification of a carte blanche. Safekeeping Account f the instructing party Allocated client. Presence of (account owner and) account different than the sender will trigger the allocation. Quantity Trading apacity - f the activity of its clients - f its own activity - f the activity of "market maker lients positions could be segregated on the market depending on type of activity;

13 Business elements Additional Infmation P consequently the clearer has to know which one is concerned by its instruction in der to process it crectly in its system and on the market. Broker Trader ode Identification of the trader the system. G2 to be given-up to. Presence of that info will trigger the give-up process. pty pen lient of pty This infmation should be used f allocation. When a custodian sends a take-up to another G this one has to know whose trade it is. Deal amount In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. ommission, Fees, harges, Accrual The details may be provided. Settlement amount There is no settlement of a derivative. This will be equal to the value of the total commission. If there is no commission then the message should be free of payment. In the case of a sale futures trade, the resultant SETT amount could be a negative (N) to reflect the fees/commissions as a debit instead of a credit as per the IS recommendation that the negative indicat should be used when the direction of the payment is opposite than the nmal way f a buy sell transaction. 2. onfirmations from executing/managing party: Even though f the listed derivatives only the cash is settling, in some markets (e.g. France) the settlement confirmation is sent to rept that the deal has been fully executed Applies to: - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 Business elements Additional infmation P rder reference arket I of the exchange Trading environment I of the exchange + trading environment, eg XPAR/GLB Trade Date Date of the posting in account. Price Per unit. Expressed as currency + price ontract code/instrument identifier ISIN if available. If not available, a national

14 Instrument Type urrency of denomination Expiry Date Strike Price (f options) all/put (f options) ption Style (f options) American Style ption Asian Style ption European Style ption ontract size Underlying Instrument Business elements Additional infmation P scheme number (e.g. cusip sedol), a Ticker symbol a bilaterally agreed code (e.g. Bloomberg, LH-learnet, ptions Price Repting Authity.etc ) onditional to the presence of a recognized instrument identifier. If the instrument does not have a recognized instrument identifier, as many attributes of the derivative as possible should be provided to enable its identification. Recommendation is to always provide as many instrument attributes as possible. ISIN other instrument identifier if not securities pen/lose learing Info, eg, code f identification of a Eg, code f identification of a carte blanche. white card. Safekeeping Account (instructing party) f the instructing party Allocated client. Presence of (account owner and) account different than the sender will trigger the allocation. Presence of (account owner and) account different than the sender will trigger the allocation. Quantity Trading apacity: - f the activity of its clients - f its own activity - f the activity of "market maker - f the activity of its clients - f its own activity - f the activity of "market maker Broker Trader ode Identification of the trader the system. G2 to be given-up to. Presence of that field Presence of that info will trigger the give-up will trigger the give-up process. process. pty lient of pty Deal amount In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. ommission, Fees, harges, Accrual Settlement amount There is no settlement of a derivative. This will be equal to the value of the total commission. If there is no commission then the message should be free of payment. In the case of a sale futures trade, the resultant SETT amount could be a negative (N) to reflect the fees/commissions as a debit instead of a credit as per the IS recommendation that the negative indicat should be used when the

15 Business elements Additional infmation P direction of the payment is opposite than the nmal way f a buy sell transaction. 3. Unmatched pending trades from executing/managing party: - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 Business elements Additional infmation P ontract code/instrument identifier Quantity Price rder reference Account atching Status Pending/Failing Status Reason f unmatched Pending/Failing 4. Allegements from executing/managing party : - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 See arket Practice on Allegements (T P). 5. Exercise/abandonment from instructing party: Applies to: - Scenario 5A, flow 1 Business elements Additional infmation P arket I of the exchange Date of exercise assignment Price of exercise Per unit. Expressed as currency + price ontract code/instrument identifier ISIN if available. If not available, a national scheme number (e.g. cusip sedol), a Ticker symbol a bilaterally agreed code (e.g. Bloomberg, LH-learnet, ptions Price Repting Authity.etc ) Instrument Type urrency of denomination Expiry Date Strike Price (f options) all/put (f options) ption Style (f options) American Style ption Asian Style ption onditional to the presence of a recognized instrument identifier. If the instrument does not have a recognized instrument identifier, as many attributes of the derivative as possible should be provided to enable its identification. Recommendation is to always provide as many instrument attributes as possible

16 Business elements Additional infmation P European Style ption ontract size Underlying Instrument ISIN other instrument identifier if not securities lose lose of position Safekeeping Account f instructing party Quantity exercised abandoned Expressed in units Exercise indicat Abandonment indicat pty lient of pty Deal amount. ommission, Fees, harges, Accrual Settlement amount: This will be equal to the value of the ommission. If there is no commission then the message should be free of payment. In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. This will be equal to the value of the ommission. If there is no commission then the message should be free of payment. 6. onfirmation of exercise/expiration/assignment from executing/managing party: Applies to: - Scenario 5B, flow 2b Business elements Additional infmation P rder reference arket I Date the exercise, abandonment assignment took place Price of exercise Per unit. Expressed as currency + price ontract code/instrument identifier ISIN if available. If not available, a national scheme number (e.g. cusip sedol), a Ticker symbol a bilaterally agreed code (e.g. Bloomberg, LH-learnet, ptions Price Repting Authity.etc ) Instrument Type onditional to the presence of a recognized urrency of denomination instrument identifier. If the instrument does Expiry Date not have a recognized instrument identifier, Strike Price (f options) as many attributes of the derivative as all/put (f options) possible should be provided to enable its ption Style (f options) identification. American Style ption Recommendation is to always provide as Asian Style ption many instrument attributes as possible. European Style ption ontract size Underlying Instrument ISIN other instrument identifier if not

17 Business elements Additional infmation P securities lose lose of position learing Info Eg, code f identification of a carte blanche. Safekeeping Account f instructing party Quantity exercised, abandoned assigned Exercise indicat Abandonment indicat Assignment indicat pty lient of pty Deal amount ommission, Fees, harges, Accrual, VAT Settlement amount In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. This will be equal to the value of the total commission. If there is no commission then the message should be free of payment

18 7. Statements from executing/managing party: - Scenario 1, flow 3 - Scenario 2, flow 7 - Scenario 3, flow 11 - Scenario 4, flow 10 See arket Practice on Statements (IS T 535, 536, 548, 586 IS semt.002, semt.017, sese.024, semt.019). VI. arket Practice Rules: This section describes agreed global market practices f the processes described in the document. It completes the already provided infmation, highlighting the market practice recommendations to be applied. There are currently no additional market practice recommendations

19 VII. IS illustration: essage type should match the credit debit in the account, ie, crespond to the credit/debit movements and positions repted in the T 536 and 535. essage type and codes combination 1. F the different derivatives instruction types. Additional definitions: Buy to open: A term used to represent the opening of a long position in option transactions the opening of a futures position. Buy to close: A term used to represent the closing of a sht position in option transactions the closing of a futures position. Sell to close: A term used to represent the closing of a long position in option transactions the closing of a futures position. Sell to open: A term used to represent the opening of a sht position in option transactions the opening of a futures position. From client to custodian/general clearing member Buy to open Buy to close Sell to close Sell to open Instruction to give-up (f allocation to another account) Instruction to give-up (f clearing house give-up to another General clearing member) Exercise instruction Abandonment instruction 540/ /543 Sequence B, :22F::PR//PEP Sequence B, :22F::PR//LP Sequence B, :22F::PR//4!c :95P::BUYR //identification of the client to be allocated. :97A::SAFE//identification of the account to be allocated Sequence B, :22F::PR//4!c :95P::REAG //identification of the other G. Sequence B, :22F::PR//LP Sequence B, :22F::PR//PEP Sequence B, :22F::PR//4!c :95P::SELL//identification of the client to be allocated. :97A::SAFE//identification of the account to be allocated. Sequence B, :22F::PR//4!c :95P::DEAG//identification of the other G. Sequence E, :22F::ST//EXER Sequence E, :22F::ST//KN 2. F the different confirmation types: From custodian/general clearing member to client final client onfirmation of Buy to open Sequence A1, :20::RELA//reference of the iginal instruction. Sequence B, :22F::PR//PEP onfirmation of Buy to close Sequence A1, :20::RELA//reference of the iginal instruction. 544/ /

20 Sequence B, :22F::PR//LP onfirmation of Sell to close Sequence A1, :20::RELA//reference of the iginal instruction. Sequence A1, :20::RELA//reference of the iginal instruction. Sequence B, :22F::PR//LP onfirmation of Sell to open Sequence A1, :20::RELA//reference of the iginal instruction. Sequence B, :22F::PR//PEP Notification/confirmation of the allocation to the account owner being allocated. onfirmation of an atypical (voluntary) exercise instruction Notification/onfirmation of a typical (involuntary) exercise (on strike price) Notification/confirmation of a typical (involuntary) assignment onfirmation of an atypical (voluntary) abandonment Instruction Notification/onfirmation of a typical (involuntary) expiration Sequence A1, :20::RELA//NNREF Sequence B, :22F::PR//4!c Sequence E, :95P::SELL//identification of the party having given up (broker) Sequence A1, :20::RELA//NNREF Sequence B, :22F::PR//4!c Sequence E, :95P::BUYR//identification of the party having given up (broker) Sequence A1, :20::RELA//reference of the instruction to exercise. Sequence E, :22F::ST//EXER Sequence A1, :20::RELA//reference of the iginal instruction. Sequence E, :22F::ST//EXER Sequence A1, :20::RELA//reference of the iginal instruction. Sequence E, :22F::ST//ASGN Sequence A1, :20::RELA//reference of the instruction to abandon. Sequence E, :22F::ST//KN Sequence A1, :20::RELA//reference of the iginal instruction. Sequence E, :22F::ST//KN 3. F allegements: From custodian/general clearing member to client final client Allegement on buy, ie, cpty is selling. Allegement on sell, ie, cpty is buying. 578 (586) Sequence B, :22H::PAY//APT FREE Sequence B, :22F::REDE//DELI Sequence B, :22H::PAY//APT FREE Sequence B, :22F::REDE//REE

21 4. F Status repting: From custodian/general clearing member to client final client Status on T 540 Status on T 541 Status on T 542 Status on T 543 Sequence B, :22H::PAY//FREE Sequence B, :22F::REDE//REE Sequence B, :22H::PAY//APT Sequence B, :22F::REDE//REE Sequence B, :22H::PAY//FREE Sequence B, :22F::REDE//DELI Sequence B, :22H::PAY//APT Sequence B, :22F::REDE//DELI 548 (537) A. Scenario 1: lient-ustodian flow f accounting purposes lient (2) Status onfirmation (544-8, 578) (3) Reconciliation repts (535-7, 586) (1)Trade Notification (540-3) ustodian B. Scenario 2: General learing ember s lient is an exchange member and do business f a third party its own business Final lient (1) rder (2) rder Derivatives lient=n exchange (6) utstandings (7) learing repts (5)Trade Notification (3) Trades G (4) Trades learing house

22 IS messages f flows: (5) : T (6) : Unmatched (when (4) not received yet) : T 548 T 537 Allege (when (5) not received yet) : T 578 T 586 ismatched (when (4) and (5) are not exactly the same) : T 548 T 537 onfirmation (the trade had been cleared by G) : T (7) : T 535 T 536. Scenario 3: General learing ember s lient is an exchange member / G is just responsible f the give-up Final lient (1) rder G1 s client=n (2) rder Derivatives exchange (6) utstandings (11) learing repts (5) Trade Notification (3) Trades Final lient s ustodian/ G2 ustodian/ G1 (4) Trades (7) Give up (10) confirmation learing house (9) Take up (8) Give up IS messages f flows: (5) : T with clearing info and final clearer (6) : Unmatched (when (4) not received) : T 548 T 537 Allege (when (5) not received) : T 578 T 586 ismatched (when (4) and (5) are not exactly the same) : T 548 T 537 onfirmation : T (11) : T 535 T

23 D. Scenario 4: General learing ember s lient is not a member of the exchange and trade through a broker which is client of the G. G s lient Non member (1) rder Broker (2) rder Derivatives exchange (8) atching (10) learing repts (5a) Trade Notification (5b) Give up (3) Trades (9) utstandings ustodian/ G (4) Trades (6) Take up (due to whitecard from final client) (7) Take up confirmation learing house IS messages f flows: (5) : T (8) : Take up confirmation T 548 (8) : Take up confirmation T (10) : T 535 and T 536 E. Scenario 5: Exercices, abandons and assignements: 1. Scenario 5A: Atypical (voluntary) exercises and abandons Instructing Party (1) Exercice Abandon (4a) Status ustodian/ G (2a) Exercice Abandon (3a) Status learing house 2. Scenario 5B:Typical (involuntary) exercises and abandons, assignements Instruction Party (2b) Exercice Expiration Assignment ustodian/ G (1b) Exercice Expiration Assignment learing house IS messages f flows: (1a) : T (4a) : T 548/537 with explanation if K (2b) : T and T 535 T 536 : no me position

24 F. Business data IS mapping + illustrations 1. Trade Notification from instructing party: Applies to: - Scenario 1, flow 1 - Scenario 2, flow 5 - Scenario 3, flow 5 - Scenario 4, flow 5a - Scenario 4, flow 5b Business elements T P / rder reference :20::TRRF//35x arket :94B::TRAD//EXH/4!c (I of the exchange) Trade Date :98A [ ] [ E]::TRAD//YYYYDD[HHSS] Repeat trade date in this () field. :98A::SETT//YYYYDD Price :90B::DEAL//3!a15d ontract code/instrument identifier :35B:ISIN1!e12!c [4*35x] :35B:/XX/ISSUER [3*35x] :35B:/TS/ [3*35x] :35B: /4!c/ ode identifying the type of security identifier used. This code must be one published by IS (ExternalFinancialInstrumentIdentificationTy peode) Instrument Type :12A ::LAS// urrency of denomination :11A::DEN// Expiry Date :98A::EXPI//YYYYDD Strike Price (f options) :90B::EXER//3!a15d all/put (f options) :12B::PTI//ALL PUT ption Style (f options) :12B::PST//AER, ASIA, EUR ontract size :36B::SIZE//UNIT/15d Underlying Instrument :35B::ISIN pen/lose :22F::PR//PEP, LP learing Info, eg, code f identification of a :70E::SPR carte blanche. Safekeeping Account (instructing party) :97A::SAFE//34x Allocated client. :95P::AW//4!a2!a2!c[3!c] IS

25 Business elements T P / Presence of (account owner and) account :97A::SAFE//34x different than the sender will trigger the allocation. Quantity :36B::SETT//UNIT/15d Trading apacity: - f the activity of its clients - f its own activity - f the activity of "market maker :22F::TRA//SAGE (seq. E) :22F::TRA//SPRI (seq. E) :22F::TRA//KT (seq. B) Broker :95a::BUYR// if :95a::SELL// if Trader ode :70::PA// G2 to be given-up to. Presence of that field :95P::REAG//4!a2!a2!c[3!c] if will trigger the give-up process. :95P::DEAG//4!a2!a2!c[3!c] if pty :95a::DEAG// if :95a::REAG// if lient of pty :95a::SELL// if :95a::BUYR// if Place of Settlement () :95Q::PSET//XX Deal amount: In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. :19A::DEAL//[N]3!a15d ommission, Fees, harges, Accrual :19A::4!c//[N]3!a15d Settlement amount: This will be equal to the :19A::SETT//[N]3!a15d value of the ommission. If there is no commission then the message should be free of payment. In the case of a sale futures trade, the resultant SETT amount could be a negative (N) to reflect the fees/commissions as a debit instead of a credit as per the IS recommendation that the negative indicat should be used when the direction of the payment is opposite than the nmal way f a buy sell transaction. Provide TRAD in this () field. :22F::SETR//TRAD IS INXPFRPP T 541 to USTXX21 :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK :16S:GENL :16R:TRADDET :94B::TRAD//EXH/4!c :98A::TRAD// essage reference rder reference arket Trade date

26 :98A::SETT// :90B::DEAL//EUR124, :35B:/TS/ :16R:FIA :12A::LAS/ISIT/PT :12B::PTI//PUT :12B::PST//EUR :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :22F::PR//PEP :22F::TRA//KT :16S:TRADDET :16R:FIA :36B::SETT//UNIT/5000, :97A::SAFE// R :95P::AW//LENGB22 :97A::SAFE// :16S:FIA :16R:SETDET :22F::SETR//TRAD :22F::TRA//SAGE SPRI :16R:SETPRTY :95R::BUYR//BRKFRPP :16S:SETPRTY :16R:SETPRTY :95P::REAG//G2FRPP :16S:SETPRTY :16R:SETPRTY :95P::DEAG//LEAFRPP :16S:SETPRTY :16R:SETPRTY :95Q::PSET//XX :16S:SETPRTY :16R:AT :19A::SETT//EUR125,34 :16S:AT :16S:SETDET First premium payment date trade date Price FI classification Put ption type Expiry Date Strike Price ontract size pening/closing of position arket segment (market maker) Quantity Safekeeping account lient being allocated Safekeeping account Settlement transaction type arket segment (client own) Broker G to be given-up to. pty (clearing House in this example) Total ommission 2. onfirmations from executing/managing party: Applies to: - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 Business elements T P / IS

27 Business elements T P / rder reference :20::TRRF//35x arket :94B::TRAD//EXH/4!c (I of the exchange) Trade Date :98A [ ]::TRAD//YYYYDD[HHSS] 98E like above Date of the posting in account. :98A::ESET//YYYYDD Price :90B::DEAL//3!a15d ontract code/instrument identifier :35B:ISIN1!e12!c [4*35x] :35B:/XX/ISSUER [3*35x] :35B:/TS/ [3*35x] :35B: /4!c/ ode identifying the type of security identifier used. This code must be one published by IS (ExternalFinancialInstrumentIdentificationTy peode) Instrument Type :12A ::LAS// urrency of denomination :11A::DEN// Expiry Date :98A::EXPI//YYYYDD Strike Price (f options) :90B::EXER//3!a15d all/put (f options) :12B::PTI//ALL PUT ption Style (f options) :12B::PST//AER, ASIA, EUR ontract size :36B::SIZE//UNIT/15d Underlying Instrument :35B::ISIN pen/lose :22F::PR//PEP, LP learing Info, eg, code f identification of a :70E::SPR carte blanche. Safekeeping Account (instructing party) :97A::SAFE//34x Allocated client. :95P::AW//4!a2!a2!c[3!c] Presence of (account owner and) account different than the sender will trigger the allocation. :97A::SAFE//34x Quantity :36B::ESTT//UNIT/15d Trading apacity: - f the activity of its clients - f its own activity - f the activity of "market maker :22F::TRA//SAGE (seq. E) :22F::TRA//SPRI (seq. E) :22F::TRA//KT (seq. B) Broker :95a::BUYR// if :95a::SELL// if Trader ode :70::PA// IS

28 Business elements T P / G2 to be given-up to. Presence of that field :95P::REAG//4!a2!a2!c[3!c] if will trigger the give-up process. :95P::DEAG//4!a2!a2!c[3!c] if pty :95a::DEAG// if :95a::REAG// if lient of pty :95a::SELL// if :95a::BUYR// if Place of Settlement () :95Q::PSET//XX Deal amount: In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. :19A::DEAL//[N]3!a15d ommission, Fees, harges, Accrual :19A::4!c//[N]3!a15d Settlement amount: This will be equal to the :19A::ESTT//[N]3!a15d value of the ommission. If there is no commission then the message should be free of payment. In the case of a sale futures trade, the resultant SETT amount could be a negative (N) to reflect the fees/commissions as a debit instead of a credit as per the IS recommendation that the negative indicat should be used when the direction of the payment is opposite than the nmal way f a buy sell transaction. IS USTXX21 T 545 to INXPFRPP :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK :16S:GENL :16R:TRADDET :94B::TRAD//EXH/4!c :98A::TRAD// :98A::ESET// :90B::DEAL//EUR124, :35B:/TS/ :16R:FIA :12A::LAS/ISIT/PT :12B::PTI//PUT :12B::PST//EUR :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :22F::PR//PEP essage reference rder reference arket Trade date First premium payment date trade date Price FI classification Put ption type Expiry Date Strike Price ontract size pening/closing of position

29 :22F::TRA//KT :16S:TRADDET :16R:FIA :36B::ESTT//UNIT/5000, :97A::SAFE// R :95P::AW//LENGB22 :97A::SAFE// :16S:FIA :16R:SETDET :22F::SETR//TRAD :22F::TRA//SAGE SPRI :16R:SETPRTY :95R::BUYR//BRKFRPP :16S:SETPRTY :16R:SETPRTY :95P::REAG//G2FRPP :16S:SETPRTY :16R:SETPRTY :95P::DEAG//LEAFRPP :16S:SETPRTY :16R:SETPRTY :95Q::PSET//XX :16S:SETPRTY :16R:AT :19A::ESTT//EUR125,34 :16S:AT :16S:SETDET arket segment (market maker) Quantity Safekeeping account lient being allocated Safekeeping account Settlement transaction type arket segment (client own) Broker G to be given-up to. pty (clearing House in this example) Total ommission 3. Unmatched pending trades from executing/managing party: - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 - Scenario 5A, flow 4a Business elements T 548 P IS ontract code/instrument identifier :35B:ISIN1!e12!c [4*35x] :35B:/XX/ISSUER [3*35x] :35B:/TS/ [3*35x] :35B: /4!c/ ode identifying the type of security identifier used. This code must be one published by IS (ExternalFinancialInstrumentIdentificationTypeode) Quantity :36B::SETT//UNIT/15d

30 Price :90B::DEAL//3!a15d rder reference :20::TRRF//35x Account :97A::SAFE// atching Status :25D::TH//AH NAT Pending/Failing Status Reason f unmatched Pending/Failing :25D::SETT//PEND PENF :24B::NAT// :24B::PEND PENF// USTXX21 T 548 to INXPFRPP :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK :16R:LINK :20::RELA// :16S:LINK :16S:GENL :16R:STAT :25D::SETT//PEND PENF :16R:REAS :24B::PEND PENF// :16S:REAS :16S:STAT :16R:SETTRAN :94B::TRAD//EXH/4!c :35B:/TS/ :36B::SETT//UNIT/5000, :97A::SAFE// :22F::REDE//REE :22F::PAY//APT :22F::SETR//TRAD :98A::TRAD// :98A::SETT// :16S:SETTRAN essage reference rder reference related reference Status Reason arket Quantity Safekeeping account Settlement transaction type Trade date 4. Allegements from executing/managing party : - Scenario 1, flow 2 - Scenario 2, flow 6 - Scenario 3, flow 6 - Scenario 4, flow 9 See arket Practice on Allegements (T P). USTXX21 T 578 to INXPFRPP :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK essage reference rder reference

31 :16S:GENL :16R:TRADDET :94B::TRAD//EXH/4!c :98A::TRAD// :98A::SETT// :90B::DEAL//EUR124, :35B:/TS/ :16R:FIA :12A::LAS/ISIT/PT :12B::PTI//PUT :12B::PST//EUR :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :22H::REDE//DELI :22H::PAY//APT :16S:TRADDET :16R:FIA :36B::SETT//UNIT/5000, :97A::SAFE// :16S:FIA :16R:SETDET :22F::SETR//TRAD :16R:SETPRTY :95P::DEAG//LEAFRPP :16S:SETPRTY :16R:SETPRTY :95Q::PSET//XX :16S:SETPRTY :16R:AT :19A::SETT//EUR1000, :16S:AT :16S:SETDET 5. Exercise/abandonment from instructing party: Applies to: - Scenario 5A, flow 1 arket arket Trade date First premium payment date trade date Price FI classification Put ption type Expiry Date Strike Price ontract size pty s instruction is a delivery. pty s instruction is against Payment. Quantity Safekeeping account Settlement transaction type pty (clearing House in this example) Premium Business elements T P / :94B::TRAD//EXH/4!c (I of the exchange) Date of exercise assignment :98A::SETT//YYYYDD Price of exercise :90B::DEAL//3!a15d ontract code/instrument identifier :35B:ISIN1!e12!c [4*35x] :35B:/XX/ISSUER [3*35x] IS

32 Business elements T P / :35B:/TS/ [3*35x] :35B: /4!c/ ode identifying the type of security identifier used. This code must be one published by IS (ExternalFinancialInstrumentIdentificationTy peode) Instrument Type :12A ::LAS// urrency of denomination :11A::DEN// Expiry Date :98A::EXPI//YYYYDD Strike Price (f options) :90B::EXER//3!a15d all/put (f options) :12B::PTI//ALL PUT ption Style (f options) :12B::PST//AER, ASIA, EUR ontract size :36B::SIZE//UNIT/15d Underlying Instrument :35B::ISIN lose :22F::PR//LP Safekeeping Account (instructing party) :97A::SAFE//34x Quantity exercised abandoned :36B::SETT//UNIT/15d Exercise indicat Abandonment indicat :22F::ST//EXER :22F::ST//KN pty :95a::REAG// lient of pty :95a::BUYR// Place of Settlement () :95Q::PSET//XX Deal amount: In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. IS :19A::DEAL//[N]3!a15d ommission, Fees, harges, Accrual :19A::4!c//[N]3!a15d Settlement amount: This will be equal to the :19A::SETT//[N]3!a15d value of the ommission. If there is no commission then the message should be free of payment. INXPFRPP T 543 to USTXX21 :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK :16S:GENL :16R:TRADDET :94B::TRAD//EXH/4!c essage reference rder reference arket

33 :98A::SETT// :90B::DEAL//EUR124, :35B:/TS/ :16R:FIA :12A::LAS/ISIT/PT :12B::PTI//PUT :12B::PST//EUR :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :22F::PR//LP :16S:TRADDET :16R:FIA :36B::SETT//UNIT/5000, :97A::SAFE// :16S:FIA :16R:SETDET :22F::SETR//TRAD :22F::ST//EXER :22F::ST//KN :16R:SETPRTY :95P::DEAG//PTYFRPP :16S:SETPRTY :16R:SETPRTY :95Q::PSET//XX :16S:SETPRTY :16R:AT :19A::SETT//EUR125,34 :16S:AT :16S:SETDET Date of exercise abandonment Strike Price FI classification Put ption type Expiry Date Strike Price ontract size losing of position Quantity to be exercised abandoned Safekeeping account Settlement transaction type Exercise Abandonment Total ommission 6. onfirmation of exercise/expiration/assignment from executing/managing party Applies to: - Scenario 5B, flow 2b Business elements T P / rder reference :20::TRRF//35x arket :94B::TRAD//EXH/4!c (I of the exchange) Date the exercise, abandonment assignment :98A::ESET//YYYYDD took place Strike Price :90B::DEAL//3!a15d ontract code/instrument identifier :35B:ISIN1!e12!c [4*35x] :35B:/XX/ISSUER [3*35x] :35B:/TS/ IS

34 Business elements T P / [3*35x] :35B: /4!c/ ode identifying the type of security identifier used. This code must be one published by IS (ExternalFinancialInstrumentIdentificationTy peode) Instrument Type :12A ::LAS// urrency of denomination :11A::DEN// Expiry Date :98A::EXPI//YYYYDD Strike Price (f options) :90B::EXER//3!a15d all/put (f options) :12B::PTI//ALL PUT ption Style (f options) :12B::PST//AER, ASIA, EUR ontract size :36B::SIZE//UNIT/15d Underlying Instrument :35B::ISIN lose :22F::PR//LP learing Info, eg, code f identification of a :70E::SPR carte blanche. Safekeeping Account (instructing party) :97A::SAFE//34x Quantity exercised, abandoned assigned :36B::ESTT//UNIT/15d Exercise indicat Abandonment indicat Assignment indicat :22F::ST//EXER :22F::ST//KN :22F::ST//ASGN pty :95a::REAG// lient of pty :95a::BUYR// Place of Settlement () :95Q::PSET//XX Deal amount: In the case of listed futures the resulting deal amount (price * quantity * contract size) can be too big to fit into the field. Since listed futures don t settle, this amount is not required. IS :19A::DEAL//[N]3!a15d ommission, Fees, harges, Accrual, VAT :19A::4!c//[N]3!a15d Settlement amount: This will be equal to the value of the total ommission. If there is no commission then the message should be free of payment. :19A::ESTT//[N]3!a15d USTXX21 T 547 to INXPFRPP :16R:GENL :20::SEE// :23G:NEW :16R:LINK :20::TRRF//ABD1234 :16S:LINK :16S:GENL :16R:TRADDET :94B::TRAD//EXH/4!c essage reference rder reference arket

35 :98A::TRAD// :98A::ESET// :90B::DEAL//EUR124, :35B:/TS/ :16R:FIA :12A::LAS/ISIT/PT :12B::PTI//PUT :12B::PST//EUR :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :22F::PR//LP :16S:TRADDET :16R:FIA :36B::ESTT//UNIT/5000, :97A::SAFE// :16S:FIA :16R:SETDET :22F::SETR//TRAD :22F::ST//EXER :22F::ST//KN :22F::ST//ASGN :16R:SETPRTY :95P::REAG//PTYFRPP :16S:SETPRTY :16R:SETPRTY :95Q::PSET//XX :16S:SETPRTY :16R:AT :19A::L//EUR100, :16S:AT :16R:AT :19A::VATA//EUR5,34 :16S:AT :16R:AT :19A::ESTT//NEUR125,34 :16S:AT :16S:SETDET Trade date First premium payment date trade date Price FI classification Put ption type Expiry Date Strike Price ontract size lose Quantity Safekeeping account Settlement transaction type Exercise Abandonment Assignement pty ommission VAT Total ommission (to be paid so N) 7. Statements from executing/managing party: a. Statement of holding Elements Start of general sequence A Page number/ ontinuation indicat Sender s reference Function of the message Statement date and time Statement frequency indicat omplete/updates rept indicat T 535 Field :16R:GENL :28E:0001/RE :20::SEE//ASERVREF :23G:NEW :98::STAT// :22F::SFRE//DAIL :22F::DE//P

36 Statement type Statement basis Account Activity flag (sequence A) Sub-account statement flag End of general sequence A Start of sub-safekeeping a/c seq. B Start of Financial instr. subseq. B1 Identification of the financial inst. Start of Financial Instrument Attribute. subseq. B1a B/S aturity/expiry Date Strike Price ontract Size End of Financial Instrument Attribute. subseq. B1a Aggregate balance End of Financial instr. subseq. B1 End of sub-safekeeping a/c seq. B :22F::STTY//UST :22F::STBA//SETT :97a::SAFE// :17B::ATI//Y :17B::NS//N :16S:GENL :16R:SUBSAFE :16R:FIN :35B:/TS/ :16R:FIA :12B::PTI//ALL PUT :98A::EXPI// :90B::EXER//EUR126, :36B::SIZE//UNIT/5000, :16S:FIA :93B::AGGR//UNIT/5000, :16S:FIN :16S:SUBSAFE

37 b. Statement of transactions: ommon Elements Start of general sequence A Page number/ ontinuation indicat Statement Number Sender s reference Function of the message Statement period Statement frequency indicat omplete/updates rept indicat Statement basis Account Activity flag Sub-account statement flag End of general sequence A Start of sub-safekeeping a/c seq. B Start of Financial instr. subseq. B1 Identification of the financial inst. Start of Transaction subseq. B1a Start of Linkage subseq. B1a1 Reference to each repted transaction (linkage sequence) End of Linkage subseq. B1a1 Start of Tran details subseq. B1a2 Posting quantity Posting amount (if payment) Transaction indicat Receive/Deliver indicat Payment indicat Settlement ondition Effective settlement date End of Tran details subseq. B1a2 End of Transaction subseq. B1a End of sub-safekeeping a/c seq. B c. Statement of pending transactions: ommon Elements Start of general sequence A Page number/ ontinuation indicat Statement Number Sender s reference Function of the message Statement Date Statement frequency indicat omplete/updates rept indicat Statement Structure Account Activity flag End of general sequence A Start of status seq. B Status Start of Reason B1 Reason End of Reason B1 Start of Transaction subseq. B2 Start of Linkage subseq. B2a Reference to each repted transaction (linkage sequence) End of Linkage subseq. B2a Start of Tran details subseq. B2b T 536 Field :16R:GENL :28E:0001/RE :13A::STAT//001 :20::SEE//ASERVREF :23G:NEW :69A::STAT// / :22F::SFRE//DAIL :22F::DE//P :22F::STBA//SETT :97a::SAFE// :17B::ATI//Y :17B::NS//N :16S:GENL :16R:SUBSAFE :16R:FIN :35B:/TS/ :16R:TRAN :16R:LINK :20::RELA// :16R:LINK :16R:TRANSDET :36B::PSTA//UNIT/5000, :19A::PSTA//[N]3!a15d :22F::TRAN//SETT :22H::REDE//REE :22H::PAY//FREE APT :22F::ST//4!c :98A::ESET// :16S:TRANSDET :16S:TRAN :16S:SUBSAFE T 537 Field :16R:GENL :28E:0001/RE :13A::STAT//001 :20::SEE//ASERVREF :23G:NEW :98A::STAT// :22F::SFRE//DAIL :22F::DE//P :22F::STST//STAT :97a::SAFE// :17B::ATI//Y :16S:GENL :16R:STAT :25D::TH//NAT :16R:REAS :24B::NAT//DQUA :16S:REAS :16R:TRAN :16R:LINK :20::RELA// :16R:LINK :16R:TRANSDET