LME Clear Relationship Management. Version 2.0. LME Clear UTI & UPI. Please respond to:

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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 LMEC UTI LMEC UTI for Trades LMEC UTI for Positions LMEC Account ID Construct 8 3 LMEC Interim UPI for LME Products 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 an interim Unique Product Identifier, UPI. At service transition from LCH.Clearnet to LME Clear, LMEC, because the Clearing venue MIC component of the UTI has to change the opportunity is being taken to make additional changes to simplify the construction of the UTI and to make it universally unique. The LMEC unique identifiers will be used by LMEC for the reporting on 23Sep14 of: 1. Trades cleared on 22Sep14 and thereafter, and 2. Positions as at EOD 22Sep14 and thereafter. LME Clear will make available in its real time FIX feed: UTI for Trades within the Trade Capture message in/out, and UTI for Positions within the Position message out. LME Clear will make available in its end of day report files: UTI for Trades within the Trades File Report and Trade Fees File Report, and UTI for Positions within the Positions File Report. 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/2014/815 published on 10Jul14, 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 LMEC UTI 2.1 LMEC UTI for Trades This is a concatenation of a static data code, ESMA Methodology + Market Identifier Code, MIC, and the following fields already existing in LMEsmart: Field Format Characters Comment LMEsmart Tag CCP MIC Static Data Value 10 MatchRefNo Tag Prefix (ESMA Methodology, E01 ) + (4 digit Market Identifier Code, MIC, for Clearing Venue) + (3 zeros) i.e. E01LMEC000 Suffix e.g. YYYYMMDDnnnnnnnn, (padded to 16 characters) i.e Slip ID 1 Tag Suffix e.g. 1nnnnnnn, (leading character = 1, always 8 characters) i.e Note: For any delegated reporting LMEwire will construct a UTI for the contract between the Member and its client by adding a trailing character of C to the UTI of the relevant client cross transaction; please see example 3. Example 1: Exchange Contract for Forwards An LME Exchange Contract matched between Members ABC & XYZ and novated on 22Sep14: ABC Sells, XYZ Buys Trade MatchRefNo = SlipID = for Buy side, for Sell side of Matched Trade Trade UTI ABC v CCP E01LMEC XYZ v CCP E01LMEC These UTI values to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS. Example 2: Exchange Carry Contract for Forwards 1 Slip ID should only be taken after the transaction is matched as it is refreshed at that status change. 4

5 A two leg LME Exchange Contract carry matched between Members ABC & XYZ and novated on 22Sep14: ABC Buys Leg 1, Sells leg 2 XYZ Sells Leg 1, Buys leg 2 Trade MatchRefNo = SlipID = for Buy side, for Sell side of Matched Trade Leg 1 SlipID = for Buy side, for Sell side of Matched Trade Leg 2 Trade UTI - Leg 1 UTI - Leg 2 ABC v CCP E01LMEC E01LMEC XYZ v CCP E01LMEC E01LMEC These UTI values to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS. Example 3: Segregated Client Cross Carry Contract LME Segregated Client Contract carry registered between Member ABC & Client 123 on 22Sep14: ABC Buys Leg 1, Sells Leg 2 Client 123 Sells Leg 1, Buys leg 2 Cross MatchRefNo = SlipID = for Buy side (H), for Sell side (C/S) of Matched Trade Leg 1 SlipID = for Buy side (C/S), for Sell side (H) of Matched Trade Leg 2 Trade UTI - Leg 1 UTI - Leg 2 ABC v CCP House A/c E01LMEC E01LMEC ABC v CCP Client A/c E01LMEC E01LMEC ABC v Client E01LMEC C E01LMEC C These UTI values to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS. 2 For any delegated reporting LMEwire will construct a UTI for the contract between the Member and its client by adding a trailing character of C. 5

6 2.2 LMEC UTI for Positions This is a concatenation of the following fields: Field Format LMEsmart Tag Characters Comment CCP MIC Static Data Value 10 Prefix (ESMA Methodology, E01 ) + (4 digit Market Identifier Code, MIC, for Clearing Venue) + (3 zeros) i.e. E01LMEC000 GCM Mnemonic Tag 5322 FirmID 3 Currently 3 letter Member mnemonic, e.g. ABC (LMEC will use the mnemonic LMC ) Account ID Alphanumeric Up to 20 As there is currently no TR pairing for positions, Members may create their own labels for all their CCP accounts which may include multiple OSAs & ISAs. (LMEC will use the Account ID field in RTC, the construct for this is shown in section 2.2.1) Exchange Product Code Tag 55 Symbol 3 Underlying (listed in table below) Expiry Date* Tag ExplicitPromptDate 6 DDMMYY Put / Call Identifier Tag 201 PutorCall 1 Options only: P or C (Put or Call) Strike Price Tag 202 StrikePrice Up to 9 Options only, e.g (No decimals, not padded) *Expiry Dates are: For Forwards & Futures the Prompt Date / Settlement Date, For Options the Final Exercise Date 3 Tag 5936 may be used directly for all LME products with the exception of Traded Options where (Tag ) should be used to calculate the first Wednesday of the month which applies in all cases where (Tag ) is a good LME Business Day. Where (Tag ) is not a good LME Business Day then (Tag ) should be used. 6

7 Examples for LMEC Reporting: Positions on Member ABC House Account with LMEC: Instrument UTI Copper/USD Forward for prompt 16Oct14 E01LMEC000LMCABC_H_1CAD Gold Forward for prompt 18Dec14 E01LMEC000LMCABC_H_1OGD Zinc November 2014 Mini E01LMEC000LMCABC_H_1MZD Aluminium/EUR Dec14 EUR2,000 Traded Call Option E01LMEC000LMCABC_H_1AHE031214C2000 Nickel/USD November 2014 USD16,000 Put TAPO E01LMEC000LMCABC_H_1NID281114P16000 Lead/USD Average Price Future October 2014 E01LMEC000LMCABC_H_1OPD December 2014 Index Future E01LMEC000LMCABC_H_1MXD (This UTI value to be reported as Trade ID, Field 8, Section 2a Contract type, Table 2 Common Data as per ESMA RTS.) Where LMEwire provides a delegated reporting solution to the Member it is anticipated that their Client Account ID will be consistent with their DPRS code and LMEsmart Tag 109, ClientID. Positions on ABC Client OSA Account 0001 with LMEC: Instrument UTI Copper/USD Forward for prompt 16Oct14 E01LMEC000LMCABC_C_0001CAD Gold Forward for prompt 18Dec14 E01LMEC000LMCABC_C_0001OGD Zinc November 2014 Mini E01LMEC000LMCABC_C_0001MZD Aluminium/EUR Dec14 EUR2,000 Traded Call Option E01LMEC000LMCABC_C_0001AHE031214C2000 Nickel/USD November 2014 USD16,000 Put TAPO E01LMEC000LMCABC_C_0001NID281114P16000 Lead/USD Average Price Future October 2014 E01LMEC000LMCABC_C_0001OPD December 2014 Index Future E01LMEC000LMCABC_C_0001MXD (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 2.2.1 LMEC Account ID Construct Although there is no current reporting requirement for the pairing of reported positions Members may wish to be aware of how LMEC will construct its Account IDs. The following examples are for LMEC reporting against Clearing Member ABC: Account Type FirmID LMEsmart Tag 5322 Account LMEsmart Tag 1 Account Code LMEsmart Tag 20011* Construct House ABC H - ABC_H_1 OSA ABC C CLIENT ABC_C_CLIENT ISA ABC S ABC_S_12345 *Notes: The Clearing Member sets the value for the Account Code, LMEsmart Tag 20011, for Omnibus Client Segregated Accounts, OSAs, and Individual Client Segregated Accounts, ISAs. The House account construct for Clearing Members is currently hard coded in the LMEC RTC system. 8

9 3 LMEC Interim UPI for LME Products This is constructed from two components, Aii and CFI code. the Aii component is constructed in the following way: Field Format Characters Protocol Content Exchange MIC Alphanumeric 4 Aii XLME 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 YYYYMMDD 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 9

10 LME Exchange product Codes are: LME Products 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 FMD MXD MAD MCD MZD OLD OAD OMD OCD OPD OND OSD OZD Cleared OTC precious metal product Codes are: OTC Products USD EUR GBP JPY XXXX OTC Cleared Gold XXXX OTC Cleared Silver OGD AGD 10

11 LME Exchange product examples: Instrument (Aii) Interim UPI Aii Component Copper/USD Forward for prompt 16Oct14 XLMECADF 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 (CFI code) Interim UPI CFI Component Copper/USD Forward for prompt 16Oct14 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.) Note LMEC will report Cleared OTC precious metal products using the ESMA Interim taxonomy : EMIR Common Data Field LMEwire reported value CD 1 Taxonomy used CD 2 Product id 1 CD 3 Product id 2 E CO FW 11