Date: 19 October Effective Date: 24 January Replaces: Circular 24/09
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1 Number: Contract Group: C-DF-05/2011 Financial Derivatives Circular Subject Summary Date: 19 October 2010 Effective Date: 24 January 2011 Replaces: Circular 24/09 Use of filters by Members and treatment of erroneous entries in futures and options. This circular describes the maximum price filters and how do they work. It also describes the treatment of mistrades. MEMBERS FILTERS This Circular sets the maximum limits for Price and Volume filters. It is compulsory that filters set up by Members have to be within these limits. These filters can only be set up through a MEFF Terminal. Those Members who do not have a MEFF Terminal will request MEFF to set them up on their behalf. MEFF will monitor periodically that all the Member filters are inside the limits but its lack of action will not put any responsibility on MEFF side. A Price Filter in MEFF system is the maximum distance in points allowed by the system between the order price and the contract Last Price. A 1.5% filter means that the maximum price to enter in a buy order shall be 1.5% above the last of the contract and the minimum price in a sell order shall be 1.5% below the last price. In futures maturities different to the front one, the order s price is compared to the first maturity Last plus the corresponding Time-spread Closing Price. In Market orders, filters work converting the Market order into a Limit order at a price resulting from adding the filter amount to the last price in buy orders and subtracting the filter amount to the last in sell orders. 1.- SCOPE OF APPLICATION 1.1. The content of the present Circular applies to the General Price and Volume Filters which are established at Member level for all traders, independently of the filters that each trader installs on their terminal The content of parts 2 and 3 below applies to futures and time-spread contracts. Nevertheless, the use of filters is mandatory for contracts other than those set out in paragraph 1.2., for all traders and all terminals through which orders are placed on the market. 2.- ESTABLISHING PROHIBITIVE FILTERS IS OBLIGATORY 2.1. Establishing prohibitive Price and Volume Filters (meaning that traders cannot enter orders exceeding limits set by the filters) is obligatory and must be carried out by the Member. Those Members who do not have a MEFF Terminal will request MEFF to set them up on their behalf. 1/7
2 2.2. Members filters must be set within the parameters established by the present Circular MEFF will periodically check filters established by Members If a Member has not established prohibitive Price and Volume Filters in accordance with those established in the present Circular, its trading access will be immediately suspended on a temporary basis, until filters that comply with the regulations have been correctly set up. 3.- PROCEDURES FOR PUBLICATION AND CALCULATION OF THE MAXIMUM FILTERS PERMITTED The maximum Volume Filter will be that established by MEFF for each Clearing Member. MEFF will inform Members of their maximum limits Futures The maximum Price Filter for futures contracts is established in the following table: Circular C-DF 05/2011 2/7
3 FILTER IBEX 35 1% IBEX 35 IMPACTO DIV 5% ABENGOA 2% ABERTIS 2% ACCIONA 2% ACERINOX 2% ACS 1.5% ARCELOR MITTAL 2% AEGON 2% AIR LIQUID 2% ALCATEL 2% ALLIANZ 2% ANTENA 3TV 2% ASSICURAZIONI GEN 2% AXA 2% BANCO POPULAR 2% BANCO SABADELL 3% BANESTO 2% BANKINTER 2% BASF 2% BAYER 2% BBVA 1.5% BME 2% BNP PARIBAS 2% CARREFOUR SUPER. 2% CINTRA 3% CORP. MAPFRE 3% CRÉDIT AGRICOLE 2% CRITERIA 3% DAIMLER CHRYSLER 2% DANONE 2% DEUTSCHE BANK 2% DEUTSCHE TELEKOM 2% E.ON 2% ENAGAS 2% ENDESA 2% ENEL 2% ENI 2% FCC 2% FORTIS 2% FRANCE TELECOM 2% G. FERROVIAL 2% FILTER GAS NATURAL 1.5% GRIFOLS 2% IBERDROLA 1.5% IBER. RENOVABLES 3% IBERIA 3% INDITEX 1.5% INDRA 2% ING 2% INTESA SANPAOLO 2% L'ORÉAL 2% LVMH 2% MÜNCHENER RÜCK 2% NH HOTELES 3% NOKIA 2% PHILIPS 2% PRISA 3% REE 1.5% RENAULT 2% REPSOL 1.5% RWE 2% SACYR VALLEH. 3% SAINT GOBAIN 2% SANOFI-AVENTIS 2% SANTANDER 1.5% SAP 2% SIEMENS 2% SOCIÉTÉ GÉNÉRALE 2% TELECINCO 2% TELECOM ITALIA 2% TELEFÓNICA 1.5% TOTAL 2% UNICREDIT 2% UNILEVER 2% VIVENDI 2% Circular C-DF 05/2011 3/7
4 3.3 Time Spreads The maximum Price Filter for Time-Spread contracts will be 12 points for IBEX 35 and IBEX 35 IMPACTO DIV Futures and 5 cents for Stock Futures. ERRONEOUS TRANSACTIONS IN FUTURES AND TIME-SPREADS This Circular establishes the rules regarding erroneous transactions in futures and timespreads traded on MEFF (rules applicable to other futures contracts traded through EuroMEFF will be those in force at their origin Market). 1.- CONDITIONS TO CONSIDER A TRADE AS ERRONEOUS A trade will be considered as an erroneous transaction as long as the following conditions are fulfilled: 1.1. In the IBEX 35 futures, when the price of the transactions generated by the erroneous entry deviates by more than twice the Maximum Price Filter from the Reference Price or Market Price for that contract. In the IBEX 35 IMPACTO DIV Futures and Stock Futures, when the price of the transactions generated by the erroneous entry deviates by more than the Maximum Price Filter from the Reference Price or Market Price for that contract. In the IBEX 35 or IBEX 35 IMPACTO DIV Time-Spreads, when the transactions generated by the erroneous entry deviates by more than 12 points from the Reference Price or Market Price for that contract. In the Stock Futures Time-Spread, when the transactions generated by the erroneous entry deviates by more than 5 cents from the Reference Price or Market Price for that contract After the resulting executions from the erroneous entry and in a short period of time, the contract recovers the level of prices that was crossing previously to the entry of the order. When the erroneous entry occurs at the end of the session with little or no time for futures prices to recover, the Supervisor will decide if this condition is fulfilled based on the underlying prices and other relevant circumstances The Member who enters the order provoking the erroneous trades claims the fact or confirms to MEFF that point. 2.- APPLICATION METHOD 2.1. The Market price used as Reference Price shall be generally established as the average price of the transaction effected immediately before the entry of the order generating the erroneous trades and the first price, once the market comes back to normality If the Reference Price calculated in Paragraph 2.1 does not reflect the market conditions, the Supervisor of the Session will decide the Reference Price to be used. Circular C-DF 05/2011 4/7
5 2.3. Once the Reference Price has been determined, a Limit Price will be calculated as follows: - for IBEX 35 futures trades, adding to the Reference price an amount equal to twice the Maximum Price Filter when the erroneous order was a BUY order and subtracting from the Reference Price an amount equal to twice the Maximum Price Filter when the erroneous order was a SELL order. - for Stock futures or IBEX 35 IMPACTO DIV futures trades, adding to the Reference price an amount equal to the Maximum Price Filter when the erroneous order was a BUY order and subtracting from the Reference Price an amount equal to the Maximum Price Filter when the erroneous order was a SELL order. - for Time-Spreads trades, adding to the Reference price an amount equal to the Maximum Price Filter when the erroneous order was a BUY order and subtracting from the Reference Price an amount equal to the Maximum Price Filter when the erroneous order was a SELL order. All trades between the Reference Price and the Limit Price (both included) will be maintained at the price at which they were traded and all those with prices above or below, depending on the case, the Limit Price will be restored at the Limit Price. ERRONEOUS OPTIONS TRANSACTIONS This Circular establishes the rules regarding erroneous options transactions traded through the Electronic Trading System. 1.- CONDITIONS TO CONSIDER A TRADE AS ERRONEUS An options trade will be considered as an erroneous transaction as long as the following conditions are fulfilled: 1.1. The Price of the transactions effected by the erroneous entry deviates from the Reference Price or the Market Price by more than certain amount that is specific by product and expiry. These amounts or intervals are described bellow: IBEX 35 options 1 st, 2 nd and 3 rd expiries 15% x RP with a minimum of 6 points and a maximum of 25 Rest of expiries 20% x RP with a minimum of 8 points and a maximum of 30 Stock options If the LAST price of the underlying at the time the option was traded is over 25 Euros, the transaction price will have to deviate from the Reference Price by the following amount: Circular C-DF 05/2011 5/7
6 1 st and 2 nd expiries 17% x RP with a minimum of 10 cents and a maximum of 20. Rest of expiries 20% x RP with a minimum of 10 cents and a maximum of 25 If the LAST price of the underlying at the time the option was traded is under 25 Euros, the transaction price will have to deviate from the Reference Price by the following amount: 1 st and 2 nd expiries 15% x RP with a minimum of 10 cents and a maximum of 15 Rest of expiries 17% x RP with a minimum of 10 cents and a maximum of The Member who enters the order provoking the erroneous trades claims or confirms to MEFF that point. Those transactions claimed after 15 minutes since the market close for the corresponding product, will not be covered by this rule. MEFF may act on its own to alert Members about the commission of mistakes that have not been claimed yet. To that end, MEFF will use software programmes that compare in real time last prices with theoretical prices (increased or decreased in the same amount as the size of the intervals already described in order to consider a price as erroneous or valid). Nevertheless, lack of action, will not make MEFF responsible towards the Member that made the mistake and did not claim. Once a Member declares a mistrade or MEFF control systems detects an incidence, MEFF will contact the counterparty and if it is required, also with the Member who has made the hypothetical mistake in order to get the confirmation. Although MEFF can detect some hypothetical mistrades, it does not mean that they are because prices used to calculate the intervals by the control system are Theoretical Prices. Therefore the Member will be required to confirm that he wants the process described on part 2 to be activated. 2.- APPLICATION METHOD 2.1. The Market Price that will be used as Reference Price shall be calculated as follows: MEFF will request firm quotes for the option series where the error has been produced with the underlying level at the trade moment. The Central Price of these quotes will be the Reference Price. When a Reference Price for an IBEX-35 option with expiration different than the front month needs to be calculated, the underlying level will be the last price of the front month futures at the moment the option was traded plus the corresponding time-spread price. Circular C-DF 05/2011 6/7
7 2.2. If the Reference Price can not be calculated according to paragraph 2.1 or the price calculated does not reflect the Market conditions, the Session Supervisor will decide the Reference Price to be used Once the Reference Price is determined, a Limit Price will be calculated, as the Reference Price plus the interval applicable to the corresponding product and expiry if the erroneous entry is a BUY order and the Reference Price minus the corresponding interval if the erroneous entry is a SELL order. All the trades in between the Reference price and the Limit Price (both included) will be maintained at their prices, and those trades with prices above or below, depending on the case, the Limit Price will be restored at the Limit Price This rule will not be applicable for those orders whose prices were reasonable at the moment they were introduced but then suddenly turned into a mistrade,according to these Circular provisions, due to a quick underlying price movement. PROCEDURE TO CORRECT TRADES CONSIDERED AS ERRONEOUS If the erroneous trade affects more than 3 Members, once the Session Supervisor determines the Reference Price as well as the trades considered as erroneous, MEFF will proceed as follows: Members will be informed through the Electronic Trading System about the Reference Price and the Limit Price (last valid price). Every particular Member involved will be directly informed by MEFF about the trades that have been considered erroneous and therefore the Limit Price at which the trades will be restored. Erroneous trades will be cancelled by means of entering a counter transaction into the system (an X operation type) at the price and volume of the erroneous trade. This type of operation offsets the position and fees generated by the initial trade. Afterwards a new operation will be registered, for the same volume and at the Limit Price. This registration will be an H type operation. Circular C-DF 05/2011 7/7
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