LME Clear Relationship Management. Version 1.6. UTI & UPI Examples. Please respond to:

Transcription

1 Please respond to: LME Clear Relationship Management This document is published by LME Clear Limited. To the best of the publisher s knowledge and belief, statements made are correct at the time of going to press. All such statements and all opinions expressed herein are published for the general information of readers but are not to be taken as recommendations for any course of action. The publisher accepts no liability for the accuracy of any statement or representation. 1

2 Contents 1 Introduction 3 2 UTI UTI for Trades UTI for Positions 7 3 UPI 9 2

3 1 Introduction Unique identifiers are required as a key part of the EMIR reporting requirements for derivative transactions. EMIR requires that all contracting parties have an obligation to report and therefore, to avoid duplication in the reporting process, a Unique Transaction Identifier, UTI, is required for all reported transactions. A UTI is required for trades and a UTI is required for positions. EMIR also requires that a formal taxonomy is in place to describe the product that is being traded and reported; in most cases an ISIN number will provide such a product description. In the absence of an agreed European standard product taxonomy for derivatives, ESMA reporting allows for Aii and CFI codes to be used as a product taxonomy and so construct a Unique Product Identifier, UPI. The working premise has been that, in order to minimise the impact on market participants, wherever possible the unique identifiers should be constructed from data fields that are already broadly known to market participants, both CCPs and Members. Again, in order to minimise the impact on Members, LME has been in discussion with LCH.Clearnet Limited (LCH) to agree these unique identifiers so that their construct remains consistent when clearing transitions to LME Clear in September At service transition the only change will be to replace the LCH Market Identifier Code (MIC) with the LME Clear MIC. Prior to LME Clear go live neither LMEsmart or LCH will provide the constructed UTI as a separate field; post transition, LME Clear FIX output to Members will make available fields with completed UTI & UPI values. This document provides a number of examples of constructed UTIs and the Aii and CFI protocols and values for LME products. ESMA continues to produce further clarifications to their reporting requirements through the publication of modified Q&A documents. The information in this document is based on the ESMA Q&A, ESMA/2013/1959 published on 20Dec13, the most recent ESMA Q&A. Therefore the information contained in this document is subject to change in accordance with further ESMA clarification, subsequent discussions and views of the industry participants and evolving trading standards and practices. 3

4 2 UTI 2.1 UTI for Trades This is a concatenation of a static Market Identifier Code, MIC, and the following fields already existing in LMEsmart: Field Format Characters Comment CCP MIC Alphanumeric 10 Prefix 4 digit Market Identifier Code, MIC, sandwiched by 3 zeros, i.e. 000XLCH000 Business Date Numeric 8 Suffix e.g. YYYYMMDD, Match No 1 Alphanumeric 8 Suffix e.g , (Unpadded) Prompt Date Numeric 6 Suffix e.g. DDMMYY, (Expiry Date used for Options) Price / Premium Rate 2 Numeric 15 (maximum) Suffix (with the decimal point removed and no zero padding) e.g. $8, included as Buy/Sell Indicator Alphanumeric 1 Suffix e.g. B or S Example 1: Exchange Contract for Forwards An LME Exchange Contract matched between Members ABC & XYZ and novated on 22Sep14: ABC Sells prompt 2,025.50, XYZ Buys match No Trade UTI ABC v CCP 000XLCH S XYZ v CCP 000XLCH B 1 LMEsmart FIX Tag 880 MUST be used for the Match No. value. (Tag 5935 provides an incorrect value padded with zeros.) 2 LMEsmart FIX Tag 44 is used for Price / Premium Rate 4

5 Example 2: Exchange Carry Contract for Forwards A two leg LME Exchange Contract carry matched between Members ABC & XYZ and novated on 22Sep14: ABC Buys leg 2, for prompt 24Sep14, Sells leg 2, for prompt 30Sep14 match No Trade UTI - Leg 1 UTI - Leg 2 ABC v CCP 000XLCH B 000XLCH S XYZ v CCP 000XLCH S 000XLCH B Example 3: Exchange Contract for Traded Options. An LME Exchange Contract matched between Members ABC & XYZ and novated on 22Sep14: ABC Sells December 2014 Traded USD2,000 Call , XYZ Buys match No Trade UTI ABC v CCP 000XLCH S XYZ v CCP 000XLCH B Example 4: Exchange Contract for TAPOs. An LME Exchange Contract matched between Members ABC & XYZ and novated on 22Sep14: ABC Buys January 2015 TAPO USD1, , XYZ Buys match No Trade UTI ABC v CCP 000XLCH B XYZ v CCP 000XLCH S 5

6 Example 5: Segregated Client Carry Contract LME Segregated Client Contract carry registered between Member ABC & Client 123 on 22Sep14: ABC Buys leg 7, for prompt 24Sep14, Sells leg 7, for prompt 30Sep14 match No , Client Sells leg 7, for prompt 24Sep14, Buys leg 7, for prompt 30Sep14 Trade UTI - Leg 1 UTI - Leg 2 ABC v CCP House A/c 000XLCH B 000XLCH S ABC v CCP Client A/c 000XLCH S 000XLCH B ABC v Client XLME C 000XLME C Example 6: Non-Segregated Client Carry Contract 4 On the basis that Non-Segregated Client trades will be reported as ETD for the limited time that they continue to exist. LME Non-Segregated Client Contract carry registered between Member XYZ & Client 789 on 22Sep14: XYZ Buys leg 1, for prompt 24Sep14, Sells leg 1, for prompt 30Sep14 match No , Client Sells leg 1, for prompt 24Sep14, Buys leg for prompt 30Sep14 Trade UTI - Leg 1 UTI - Leg 2 XYZ v Client XLME C 000XLME C 3 For any delegated reporting LMEwire will construct a UTI for the contract between the Member and the Client by replacing the Buy/Sell Indicator with C and using 000XLME000 as the reporting MIC code. 4 For any delegated reporting LMEwire will construct a UTI for the contract between the Member and the Client by replacing the Buy/Sell Indicator with C and using 000XLME000 as the reporting MIC code. 6

7 2.2 UTI for Positions This is a concatenation of the following fields: Field Format Characters Comment CCP MIC Alphanumeric 10 Prefix 4 digit Market Identifier Code, MIC, sandwiched by 3 zeros, i.e. 000XLCH000 GCM Mnemonic Alphanumeric 3 Currently 3 letter Member mnemonic, e.g. ABC Account ID Alphanumeric 20 Position account reference as provided by LCH. These are currently limited to 10 characters (Should allow for LEI), e.g Exchange Product Code Alphanumeric 3 Underlying (listed in table below) Expiry Date* 6 DDMMYY Put / Call Identifier Alphanumeric 1 P or C (Put or Call) (Options only) Strike Price Numeric (Options only) *Expiry Dates are: For Forwards & Futures the Prompt Date / Settlement Date, For Options the Final Exercise Date Examples for positions on Member ABC Account 0001 with CCP: Instrument UTI Copper/USD Forward for prompt 16Oct14 000XLCH000ABC0001CAD Gold Forward for prompt 18Dec14 000XLCH000ABC0001OGD Zinc November 2014 Mini 000XLCH000ABC0001MZD Aluminium/EUR Dec14 EUR2,000 Traded Call Option 000XLCH000ABC0001AHE031214C2000 Nickel/USD November 2014 USD16,000 Put TAPO 000XLCH000ABC0001NID281114P16000 Lead/USD Average Price Future October XLCH000ABC0001OPD December 2014 Index Future 000XLCH000ABC0001MXD (This UTI value to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS.) 7

8 Examples for positions on Client Account 0001 with Member ABC 5 : Instrument UTI Copper/USD Forward for prompt 16Oct14 000XLME000ABC0001CAD Gold Forward for prompt 18Dec14 000XLME000ABC0001OGD Zinc November 2014 Mini 000XLME000ABC0001MZD Aluminium/EUR Dec14 EUR2,000 Traded Call Option 000XLME000ABC0001AHE031214C2000 Nickel/USD November 2014 USD16,000 Put TAPO 000XLME000ABC0001NID281114P16000 Lead/USD Average Price Future October XLME000ABC0001OPD December 2014 Index Future 000XLME000ABC0001MXD (This UTI value to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS.) 5 For any delegated reporting LMEwire will construct a UTI for the position between the Member and the Client by using 000XLME000 as the replacement reporting MIC code. 8

9 3 UPI This is constructed from two components, the Aii component is constructed in the following way: Field Format Characters Protocol Content Exchange MIC Alphanumeric 4 Aii XLME or (XXXX for Gold/Silver) Exchange Product Code Alphanumeric 3 Aii Underlying (listed below) Derivative Type Alphanumeric 1 Aii O or F (Option or Future) Put / Call Identifier Alphanumeric 1 Aii P or C (Put or Call) (Options only) Expiry Date* ISO 8 Aii YYYY-MM-DD Strike Price Numeric 10 Aii (Options only) *Expiry Dates are: For Forwards & Futures the Prompt Date / Settlement Date, For Options the Final Exercise Date. The CFI component codes for LME product reporting are; CFI Code Description Used for Commodity Codes FCEPSX Future, Commodity, Extraction, Physical, Standardised Forwards Metals AA, AH, CA, NA, NI, PB, SN, ZS, CO, MO, FM FFICSX Future, Financial, Index, Cash, Standardised. Index Futures Index - MX OPAFPS Option, Put, American, Future, Physical, Standardised Metal Put Options Metals AA, AH, CA, NA, NI, PB, SN, ZS OCAFPS Option, Call American, Future, Physical, Standardised Metal Call Options Metals AA, AH, CA, NA, NI, PB, SN, ZS OPXTCS Option, Put, Commodity, Cash, Standardised Metal TAPO Puts Metals AA, AH, CA, NA, NI, PB, SN, ZS OCXTCS Option, Call Commodity, Cash, Standardised Metal TAPO Calls Metals AA, AH, CA, NA, NI, PB, SN, ZS FCECSX Future, Commodity, Extraction, Cash, Standardised LME Minis & Average Price Future Minis MA, MC, MZ Average Price Futures OA, OC, OL, OM, ON, OP, OS, OZ FCEPSX Future, Commodity, Extraction, Physical, Standardised Precious Metal OTC Forwards Precious Metals OG, AG 9

10 LME Exchange product Codes are: Product USD EUR GBP JPY Aluminium Alloy AAD AAE AAS AAY Primary Aluminium AHD AHE AHS AHY NASAAC NAD NAE NAS NAY Copper CAD CAE CAS CAY Lead PBD PBE PBS PBY Nickel NID NIE NIS NIY Tin SND SNE SNS SNY Zinc ZSD ZSE ZSS ZSY Cobalt COD COE COS COY Molybdenum MOD MOE MOS MOY Steel Billet LMEX Index LME Mini Aluminium LME Mini Copper LME Mini Zinc Average Price Aluminium Alloy Average Price Primary Aluminium Average Price NASAAC Average Price Copper Average Price Lead Average Price Nickel Average Price Tin Average Price Zinc XXXX OTC Cleared Gold XXXX OTC Cleared Silver FMD MXD MAD MCD MZD OLD OAD OMD OCD OPD OND OSD OZD OGD AGD 10

11 Examples: Instrument UPI Aii Component Copper/USD Forward for prompt 16Oct14 XLMECADF Gold Forward for prompt 18Dec14 XXXXOGDF Zinc November 2014 Mini XLMEMZDF Aluminium/EUR Dec14 EUR2,000 Traded Call Option XLMEAHEOC Nickel/USD November 2014 USD16,000 Put TAPO XLMENIDOP Lead/USD Average Price Future October 2014 XLMEOPDF December 2014 Index Future XLMEMXDF This UPI value is reported as Product ID 1, Field 2, Section 2a Contract type, Table 2 Common Data as per ESMA RTS. Instrument UPI CFI Component Copper/USD Forward for prompt 16Oct14 FCEPSX Gold Forward for prompt 18Dec14 FCEPSX Zinc November 2014 Mini FCECSX Aluminium/EUR Dec14 EUR2,000 Traded Call Option OCAFPS Nickel/USD November 2014 USD16,000 Put TAPO OPXTCS Lead/USD Average Price Future October 2014 FCECSX December 2014 Index Future FFICSX (The relevant CFI code is reported as Product ID 2, Field 3, Section 2a Contract type, Table 2 Common Data as per ESMA RTS.) 11