ICE Clear - Member Reports Specification

Transcription

1 ICE Clear - Member Reports Specification Version October 2013 This material may not be reproduced or redistributed in whole or in part without the express, prior written consent of IntercontinentalExchange, Inc. Copyright IntercontinentalExchange, Inc All Rights Reserved. ICE Clear - Member Reports Specification Page 1 of 102

2 Table of Contents 1 Introduction Reports Overview PDF Reports Specification Trade and Clearing Reports Trade and Position Register (MTTPR) As-of-Trades Report (MTAO) Average Price Transfer Report (MTAPT) Give-Up Report (MTGU) TAS Trades Report (MTTAS) Position Recap Report (MMPR) Margin Summary by Currency & Product (MMVS) Variation Detail (MMVD) PCS File Submission Status (MPPCSS) PCS Submissions Report (MPPCS) GCM File Submission Status (MPGCMS) GCM Customer Balancing Account (MPGCMB) GCM Customer Non-Disclosed Account (MPGCMND) Exercises and Assignments Report (MPEA) Futures Expiry Report (MPFE) Intentions Detail Report (MDINTD) ICUS only DTP-CDA Details by Members (MDDDID) - ICUS only Intentions Summary Report (MDINTS) ICUS only Scheduled Position Delivery Dates (MPSDD) ICUS only Calendar of Events (GSCA) ICUS only End of Day Positions by Account (MPEODA) ICUS only Settlement Instruction Report (MMSSI) ICEU Only Banking Reports Cash Accounting (MBCAA) Collateral Transactions (MBCOT) Collateral Balances (MBCOB) Standing Requirements (MBSR) Multi-Currency Report (MBMC) ICUS only Cover Calling (MBCC) ICEU and ICCA only Interest Accrued (MBIA) ICEU only Interest Posted (MBIP) ICEU only Collateral Prices (GBCP) Interest Rates (GBIR) ICEU only Foreign Exchange Rates (GBFX) Foreign Interest by Firm (MBFI) ICUS only Margin Reports Span Summary Report (MMSPN) Span Summary Report Net (MMSPNN) ICUS and ICCA Only Super Margin Report (MMSUPM) ICUS and ICCA only MAPS Margin Summary Report (MMMAPS) ICE Clear - Member Reports Specification Page 2 of 102

3 3.4 Billing Reports ICEU and NYSE Liffe Only Monthly Invoice (MFMI-XXXX_CCY) Monthly Invoice NYSE LIFFE (LMFMI_XLIF_CCY) Monthly Invoice ICE Endex (MFMI_NDEX_EUR) Monthly Summary (MFMS) Fee Rates (GFFR) Deliveries Reports ICEU Only Gasoil Notices (MDNS-GO and MDNB-GO) Gasoil Daily Summary (MDDS-GO) Gasoil Daily Detail (MDDD-GO) Gasoil Invoices and Account Sales Electricity and Natural Gas Daily Summary Electricity and Natural Gas Daily Detail (MDDD-EL and MDDD-NG) Electricity and Natural Gas Confirmation (MDCR-EL and MDCR-NG) Electricity and Natural Gas Invoices and Account Sales EU Emissions Daily Summary (MDDS-EM-M and MDDS-EM-D) EU Emissions Invoices and Account Sales EUA & EUAA Emissions Auction Daily Summary (MDDS-EMA) EUA & EUAA Emissions Auction Invoices US Emissions Daily Summary (MDDS-UEM) US Emissions Invoices and Account Sales (MDI-UEM & MDAS-UEM) US Emissions Confirmation Reports (MDCR-UEM) Delivery Margin Report (MDMD) Data Files Specification Trade and Clearing Data Files Trade and Position FIXML Match-Off (MPMO) Uncleared Transactions Report (MPUCTR) Variation Detail (MMVD) Monthly Give-In (MTMGI) ICEU & ICUS only Monthly Give-Up (MTMGU) ICEU & ICUS only FIXML Exercises, Assignments and Delivery Report File (MPEAD) Contract Level Open Interest Data (GPOI_CL) Member Daily Give-Up Report Banking Data Files Cash Accounting (MBCAA) Collateral Transactions (MBCOT) Collateral Balances (MBCOB) Standing Requirements (MBSR) Multi-Currency Report (MBMC) ICUS only Cover Calling (MBCC) ICEU and ICCA only Interest Accrued (MBIA) ICEU only Interest Posted (MBIP) ICEU only General Banking Data Collateral Prices (GBCP) Interest Rates (GBIR) - ICEU only Foreign Exchange Rates (GBFX) ICE Clear - Member Reports Specification Page 3 of 102

4 4.4 Price Data Files Prices and Volatilities (GSPV) and (GSPVE) Data Options Reference Price Data (GSORP) Reference Data Files Product Data (GSPD) Contract Data (GSCD) Trading Members (GSTM) ICEU only Margin Data Files SPAN Summary Report (MMSPN) SPAN Summary Report Net (MMSPNN) ICUS and ICCA Only MAPS Margin Summary (MMMAPS) MAPS Margin Detail by Product Report (MMMAPSD) MAPS Tail (MMTAIL) MAPS Tail Detail (MMTAILD) MAPS Product VaR (MMPVAR) MAPS Sector VaR (MMSVAR) MAPS Margin Attribution (MMATTR) Billing Data Files ICEU Only Daily Reconciliation Charged Transactions (MFDR-CT) Daily Reconciliation Non-charged Transactions (MFDR-NT) Daily Reconciliation Charged Volumes (MFDR-CV) Monthly Summary (MFMS) Monthly Rebate Summary by Trade Participant (MFMRS) Fee Rates (GFFR) Deliveries Data Files ICEU Only Gasoil Daily Summary (MDDS-GO) Gasoil Daily Detail (MDDD-GO) Electricity and Natural Gas Daily Summary (MDDS-EL and MDDS-NG) Electricity and Natural Gas Daily Detail (MDDD-EL and MDDD-NG) EU Monthly Emissions Daily Report (MDDS-EM-M) & US Emissions Daily Report (MDDS-UEM) EU Daily Emissions Daily Report (MDDS-EM-D) Delivery Margin Report (MDMD) Deliverable Contract Reference Report (GSDC) Projected Delivery Report (GPDR) Intraday Risk Data Files ICEU only Trade (MRTS) Position (MRPV) Margin (MROM) Margin Call (MRMC) Managed File Transfer ( MFT ) Service ICE Clear - Member Reports Specification Page 4 of 102

5 Change History Version Date Change Description Aug 2012 First publication of combined ICEU & ICUS Member Reports Specification for Platform 6.0 release Sep 2012 Updated the specifications to include following changes Removed references to MPPM Portfolio Margin Report. This report is not required in absence of LSOC Updated Spread Rebate Reports Changes to MBIA report to include Value Date Nov 2012 Updated the specifications to include following changes Removed references to IOTC and replaced this with IFED ICE Futures Energy Division Added DAILY_GIVEUP data file specification Added details in relation to Emissions Auction reports (ICEU Only) Dec 2012 Updated the specification to list final set of PDF reports and csv data files available to the members once the ICE Reporting Service (Crystal Reporting service) is decommissioned in Q Feb 2013 Member Reports specification updated to include NYSE Liffe changes Mar 2013 Updated the specification with following changes Updated to include ICCA ICE Clear Canada Reports. Added MDDDID DTP-CDA Details by Member Report. This is for ICUS only. Updated the Analysis code text for ICE. Please see section for more details (In relation to NYSE Liffe changes) Apr 2013 Updated the link to the ICE Clear MFT User Guide under Section Apr 2013 Added further details to section 2 to clarify reports available in relation to clearing of NYSE Liffe products. Section updated to include details for invoices in relation to NYSE Liffe Exchange & Clearing fees July 2013 Added missing posting type CLC - Clearing Fee Credit to the MBCAA data file specification. Section Aug 2013 Updated the specification with following changes (Platform 7 Release) Intentions Detail (MDINTD Report -ICUS) available in csv format Monthly Give up (MTMGU) and Give in (MTMGI) reports available for ICUS ICE Clear - Member Reports Specification Page 5 of 102

6 Uncleared Transactions Report (MPUCTR) available in pdf format. MPIPCS & MPIGCM renamed to MPPCSS & MPGCMS. These reports now include details of valid and invalid file submissions. New posting types for the MBCAA report. MBCOB Report now includes Accrued interest (%) field in line with the CH calculating bond pricing using dirty prices Aug 2013 Specification updated to include details for missing reports MPGCMND - GCM Customer Non Disclosed Account & MMSSI - Settlement Instruction Report Sep 2013 Updated Section 4.8 Deliveries Data Files: Added new GPDR data report Projected delivery Report Updated field name from DELIVERY_MONTH to CONTRACT_PERIOD for the Electricity and Natural Gas Daily Detail and Daily Summary reports (MDDD/MDDS). Updated fields for Gasoil Daily Detail Report (MDDD-GO) Updated Section 4.7 Billing Data Files: Updated Valid Transaction Types in section May 2013 Updated the specification to include the MAPS changes Aug 2013 Removed the Instrument VaR Data (GSIV) data file Oct 2013 Updated section MAPS Margin Summary Report (MMAPS): Included minimum margin in the text and in the report mock-up Updated section MAPS Margin Summary (MMMAPS): Added MIN_MARGIN Updated section MAPS Product VaR (MMPVAR): Changed the PRODUCT_CODE as the physical commodity code Oct 2013 Updated sections and to include new contract and product attributes as required under EMIR. Updated Section Billing Reports: Added new ICE Endex Invoice (exchange related fees) Changes from one version to next are highlighted in Red and Purple [for the MAPS Implementation in May 2014]. ICE Clear - Member Reports Specification Page 6 of 102

7 1 Introduction This document provides specifications for the reports and data files which are published for Member use and support the services provided by ICE Clear U.S. (ICUS), ICE Clear Europe Energy (ICEU) and ICE Clear Canada (ICCA). The document does not cover specifications for any real-time APIs (e.g. Trade Registration API). Reports are available in a variety of formats to provide members with a flexible range of options for both interactive access and automated system access/download. All reports are available from the Managed File Transfer (MFT) service in the form of Adobe PDF and data files, e.g. comma separated value (CSV) format. The reports will also be available to download from the ECS Member UI post Platform 7 release. The data files are suitable for processing in a variety of software applications including back office systems and Excel. Exceptions to this are those reports available as PDFs only. Further details for accessing MFT are covered under section 5. NYSE Liffe members who are also existing ICE Clear Europe members can use their service/user login to access these report from MFT under their current ICEU mnemonic. New NYSE Liffe members will need to request access to our MFT service. If you have any questions relating to these reports or how you might access them, contact: ICUS ICE Clear U.S. Operations team at iceclearus@theice.com or ICEU ICE Clear Europe Operations team at iceuops@theice.com or +44(0) ICCA ICE Clear Canada Operations team at CanadaClearingSupport@theice.com Note: Members will need to register on the ICE Community website for accessing various resources relating to ICUS, ICEU and ICCA. A new user can be requested by visiting the ICE Community website at ICE Clear - Member Reports Specification Page 7 of 102

8 2 Reports Overview The section below provides an overview of the reports, the method via which these are made available to the Members and its jurisdiction (ICUS, ICEU and ICCA). The data in relation to the NYSE Liffe products will be available to the firms in the clearing report MMVD- Variation detail under Section (section contains data file specifications for this report) and in various Banking Reports detailed under Section 3.2 (Section 4.2 contains data file specifications for these Banking reports). The Exchange and Clearing fees in relation to NYSE Liffe will be available in the new invoice covered under section Please note: NYSE Liffe members who are not current ICEU members will only have access to clearing report MMVD listed under Trade & Clearing System Reports and the various Banking reports listed the Banking section. Firms that are already ICEU members and also clear NYSE Liffe products will see the data related to NYSE Liffe clearing included in the MMVD and the Banking reports. Trade and Clearing The PDF Report will be available to the Clearing and Trading members via MFT service in the Clearing/ directory. PDF Report Data File Jurisdiction MPMO Trade and Position Match Off File FIXML format, found on the MFT in {mnemonic}/clearing/matchoff /{mnemonic} X MTTPR Trade and Position Register The Trade and Position Report is the daily report that is published by the Clearing House for the purposes of providing a daily statement in respect of Trade and other activity relating to a Member s Position. The data file and pdf report can be found on the MFT under {mnemonic}/clearing/trades/ ICEU ICUS ICCA ICEU ICUS ICCA MTAO As-of-Trades The As-Of-Trades report provides that subset of data from the primary Trade and Position Register (MTTPR) that relates to As-Of Trades. The data file and pdf report can be found on the MFT under {mnemonic}/clearing/trades/ ICEU ICUS ICCA MTAPT Average Price transfer The Average Price Transfer Report provides that subset of data from the primary Trade and Position Register (MTTPR) that relates to Average Price Trades/groups and the give-up transactions that relate to them. The data file and pdf report file can be found on the MFT under {mnemonic}/clearing/trades/ ICEU ICUS ICCA MTGU Give-Up (in and out) The Give-Up report is a derivative of the Trade and Position Register (MTTPR) and simply shows Give Ups (in and Out). data file and pdf report can be found on the MFT under {mnemonic}/clearing/trades/ ICEU ICUS ICCA ICE Clear - Member Reports Specification Page 8 of 102

9 MTTAS TAS Trade Report The TAS (Trade at Settlement) Report provides that subset of data from the primary Trade and Position Register (MTTPR) that relates to TAS Trades. data file and pdf report can be found on the MFT under {mnemonic}/clearing/trades/ ICEU ICUS ICCA ICCA does not support TAS at this time. MMPR Position Recap and Margin Summary The Position Recap Report provides a summary of Member positions. The information provided is the same as that appearing on the Trade and Position Register (MTTPR) in respect of positions but shows only the position level summary data and none of the activity detail. The pdf report can be found on the MFT under {mnemonic}/clearing/margin/ X ICEU ICUS ICCA MMVS Margin Summary by Currency and Product The Margin Summary by Currency and Product Report provides that subset data from the primary Trade and Position Register (MTTPR) that relates to margin grouped by currency for each product. The pdf report can be found on the MFT under {mnemonic}/clearing/margin/ X ICEU ICUS ICCA MPUCTR Uncleared Transactions Report This data file contains all un-claimed transfers (position transfers, adjustments and reversals) as well as in-progress AP groups. MMVD Variation Detail Provides a breakdown of VM and Option Premium values by Exchange, product and currency. The premium on the cabinet trades is included in the Option Premium column. The data file and pdf report can be found on the MFT under {mnemonic}/clearing/positions/ ICUS ICCA ICEU ICEU ICUS ICCA This report includes data for NYSE Liffe cleared products. MTMGI Monthly Give-In Report The report provides a statement of the monthly volume of transactions that were claimed by the Member with details of the opposite Broking Member and the Trader. X ICEU ICUS The data file can be found on the MFT under {mnemonic}/clearing/trades/ MTMGU Monthly Give-Up Report The report provides a statement of the monthly volume of transactions that was given-up by the Member to the opposite Member/Trader. X ICEU ICUS The data file can be found on the MFT under {mnemonic}/clearing/trades/ MPPCSS PCS File Submission Status The PCS File Submission Status report provides members with the details of the PCS FIXML files submissions at the file and instruction level. The pdf report can be found on the MFT under {mnemonic}/clearing/positions/ ICEU ICUS ICCA ICE Clear - Member Reports Specification Page 9 of 102

10 MPPCS PCS Submissions Report The report lists PCS instructions submitted via GUI or FIXML files which were accepted by the Clearing House. The pdf report can be found on the MFT under {mnemonic}/clearing/positions/ ICEU ICUS ICCA MPGCMS GCM File Submission Status The GCM File Submission Status report provides members with the details of the GCM FIXML files submissions at the file and instruction level. The data and pdf file can be found on the MFT under {mnemonic}/clearing/positions/ ICEU ICUS MPGCMB GCM Customer Balancing Account The MPGCMB Report provides Members with "Customer Balancing Account" data. Customer Balancing Account is the difference between the Positions The pdf report can be found on the MFT under {mnemonic}/clearing/positions/ ICEU ICUS MPGCMND GCM Customer Non Disclosed Account The MPGCMND provides Members with non-disclosed positions for each omnibus account reported in the GCM file MPEA Exercises and Assignments Report The report provides Members with data describing the result of an Options Expiry. The pdf report can be found on the MFT under {mnemonic}/clearing/positions/ X ICEU ICUS ICEU ICUS ICCA MPFE Futures Expiry Report The report is generated post a deliverable Futures Expiry intraday and at EOD and shows the positions that went into Expiry. The pdf report can be found on the MFT under {mnemonic}/clearing/positions/ X ICEU ICUS ICCA MPEAD FIXML Exercises, Assignments and Delivery Report File This is the FIXML format file for Exercise Assignments & delivery reporting and provides Members with data describing the result of futures and options life-cycle events. The data file can be found on the MFT under {mnemonic}/clearing/positions/ GPOI_CL Contract Level Open Interest data This is a daily CSV data file containing Open Interest data for all contracts traded on ICE. X MTDGU Daily Give-up Data file The report provides a number of work flow fields currently unavailable in the ICE Clearing Systems Interface such as take-up account. The data file will include give-up groups and their corresponding allocations resulting from ACT activities for that business day. The data file is available under {mnemonic}/clearing/trades/ Data file name -<clearing member mnemonic>_ DAILY_GIVEUP_REPORT_YYYYMMMDD.csv MDINTD Intentions Details The report provides member with detailed information regarding foreign currency delivery instructions for processing. MDDDID DTP-CDA Details by Member This report provides a complete list of non-cls delivery intentions and instructions. X X ICEU ICUS ICCA ICEU ICUS ICCA ICEU ICUS ICCA ICUS X ICUS ICE Clear - Member Reports Specification Page 10 of 102

11 MDINTS Intentions Summary The report will summarize foreign currency delivery processing details for members. MPSDD Scheduled Position Delivery Dates The report details member positions in the process on physical delivery by delivery date. GSCA Calendar of Events The report shows significant upcoming contract events by date. Events include first notice dates, last trading dates, expirations dates, etc. MPEODA End of Day Positions by Account This report lists positions for commodity/contracts by origin (account) and gross (PCS Long/Short) and then by net. MMSSI Settlement Instruction Report The MMSSI report provides Clearing Members with a list of SSI detail set up in ECS for each CSD. The SSI are required for the settlement of NYSE LIFFE equity and bond deliveries. The pdf report and csv data file can be found on the MFT under {mnemonic}/clearing/positions/ X ICUS X ICUS X ICUS X ICUS ICEU Banking The following reports are available to Clearing Members in PDF and as data files in CSV format on MFT in ({mnemonic}/banking). PDF Report Data File Jurisdiction The Banking reports will include data for NYSE Liffe cleared products. MBCAA Cash Accounting Provides detail of all cash movements relating to Member position including Variation Margin, Mark to Market Margin, Interest payments, NLV, PAI etc. Note that for data download from MFT, two separate data files, MBCAA and MBCAB are provided providing transactions and balances separately. ICEU ICUS ICCA MBCOT Collateral Transactions Provides a list of all Collateral movements processed. MBCOB Collateral Balances Provides detail of collateral balances and valuation. MBSR Standing Requirements Provides detail of all margin requirements including Initial Margin (as calculated by SPAN or CDS IM models), VM Repay, VM Hold; this provides comprehensive and complete details regarding the totality of margin that the Member must cover. ICEU ICUS ICCA ICEU ICUS ICCA ICEU ICUS ICCA MBMC Multi-Currency Report This report shows the application of margin covercalling through the use of foreign currencies and USD margin on deposit against requirements. The result represents the margin surplus or deficit amount. MBCC Cover Calling Provides detail of utilization of assets to cover Standing Requirements. MBIA Interest Accrued Provides detail of accrued interest on Cash balances maintained by the Clearing House. ICUS ICEU ICCA ICEU MBIP Interest Posted Provides detail of Interest posted at end of accrual period. ICEU GBCP Collateral Prices Provides prices for collateral. This file can be found on MFT in pub/reference. GBIR Interest Rates Provides interest. This file can be found on MFT in member/reference. ICEU ICUS ICCA ICEU ICE Clear - Member Reports Specification Page 11 of 102

12 GBFX Foreign Exchange Rates Provides FX rates. This file can be found on MFT in pub/reference. MBFI Foreign Interest by Firm This report details the results of the monthly foreign currency interest allocation for interest earned by members on their margin balances. ICEU ICUS X ICUS Price Data The following report(s) will be available to Clearing/Trading Members via data files on the MFT (in /pub/reference/<report mnemonic>_yyyymmdd.csv). PDF Report Data File Jurisdiction GSPV Prices and Volatilities CSV file containing the EOD settlement prices GSPVE GSORP Reference Data Prices and Volatilities (Incremental Data file) Reference/settlement price for option expiry CSV file containing the early settlement prices CSV file containing the settlement price for every intraday or EOD option expiry. X The following report(s) will be available to Clearing/Trading member via data files on the MFT (in /pub/reference/<report mnemonic>_yyyymmdd.csv). X ICEU ICUS ICCA X ICEU ICUS PDF Report Data File ICEU ICUS ICCA Jurisdiction GSPD Product Data CSV file containing Product reference data ICEU X ICUS ICCA GSCD Contract Data CSV file containing Contract reference data ICEU X ICUS ICCA GSTM Trading Members CSV file containing a list of Trading Members X ICEU Margin Reports The following reports are available to Clearing Members in PDF and as data files in CSV format on MFT in ({mnemonic}/clearing/margin) PDF Report Data File Jurisdiction MMSPN SPAN Summary Margin Report The MMSPN report provides a breakdown of the SPAN calculated Original (Initial) Margin by Combined Contract. The data file will provide a further break down of this figure, reporting the separate elements that make up the final figure. ICEU ICUS ICCA MMSPNN SPAN Summary Margin Report - Net The MMSPNN report provides a breakdown of the SPAN calculated Net Original (Initial) Margin by Combined Contract. This also shows USD equivalent margins. MMSUPM Super Margin Report This report details the calculation of member super margin requirement and position limit. MMMAPS MAPS Margin Summary Report The MMMAPS report provides a breakdown of the MAPS calculated Initial Margin by Portfolio and Physical Product P&L. The data file will provide just the MAPS Initial Margin by Portfolio. Initial Margin detail by Product will be provided in a separate data file, MMMAPSD. MMMAPSD MAPS Margin Detail A further break down of MAPS Initial Margin figure by Product P&L. ICUS ICCA X ICUS ICCA ICEU X ICEU ICE Clear - Member Reports Specification Page 12 of 102

13 MMTAIL MAPS Tail This data file provides the lower tail of MAPS P&L distribution for each portfolio. Currently MAPS uses 1000 days P&L series and the tail which corresponds to 1 st to 15 th worst losses of the MAPS calculated P&L distribution for a portfolio. MMTAILD MAPS Tail Detail This data file provides a further breakdown of each portfolio P&L scenario reported in the Tail data file by Physical Product. MMPVAR MAPS Product VaR For each "Physical Commodity" in a portfolio this data file provides the MAPS VaR. MMSVAR MAPS Sector VaR For each "Sector" in a portfolio this data file provides the MAPS VaR. MMATTR MAPS Margin Attribution This data file provides a simple attribution model that breaks out the day change in MAPS initial margin using two categories: Position Changes and Market Changes. X ICEU X ICEU X ICEU X ICEU X ICEU Billing The following reports are available via ICE Reporting and as data files in CSV format on MFT in ({mnemonic}/billing) PDF Report Data File Jurisdiction MFDR-CT Daily Reconciliation Report of Charged Transactions All chargeable transactions for the given day along with the fee charged. x ICEU MFDR-NT Daily Reconciliation Report of Noncharged Transactions All non-chargeable transactions for the given day. x ICEU MFDR-CV Daily Reconciliation Report of Charged Volumes All volumes that attracted a charge for the given day along with the fee charged. x ICEU MFMRS Monthly Rebate Summary by Trade Participant Summary level report of spread rebates by Trade Participants. This will provide Clearing Members with the rebate summary which they need to pass on to the Trade Participants. x ICEU MFMI- XXXX_CCY Monthly Invoice in various currencies. Monthly invoice, provided by final invoicing entity by currency. x ICEU Several separate billing invoices are created. XXXX: ICE Futures Europe (IFEU), ICE Clear Europe(ICEU), ICE Futures Energy Division (IFED). For Cleared ICE Futures business each Member may receive up to 3 separate Exchange fee invoices (one in each currency) and 3 separate clearing fee invoices. MFMI_NDEX _EUR CCY: USD, GBP, EUR ICE Endex Monthly Invoice in Euro Invoices are available as PDF files via MFT Only. At the end of each month, invoices will be produced containing exchange related fees associated with the ICE Endex market. The invoice will be produced in Euro. All clearing related fees will be invoiced under the ICE Clear Europe invoice referenced in section x ICEU (For ICE Endex exchange related fees only) ICE Clear - Member Reports Specification Page 13 of 102

14 LMFMI_XXXX _CCY NYSE liffe Monthly Invoice in various currencies. XXXX: NYSE Liffe (XLIF). CCY: USD, GBP, EUR At the end of each month, invoices will be produced on behalf of NYSE Liffe. All three NYSE Liffe Exchanges will be combined into a single invoice including both Exchange and Clearing fees. Separate invoices will be produced for each currency. x ICEU (For NYSE Liffe related business only) Invoices are available as PDF files via MFT Only. MFMS Monthly Summary Monthly summary report to supplement invoice. ICEU GFFR Fee Rates Provides rates for fees associated with products. This file can be found on MFT in pub/reference. ICEU Deliveries The following reports are available to Clearing Members in PDF and as data files in CSV format on MFT in ({mnemonic}/deliveries) PDF Report Data File Jurisdiction MDNS-GO Gasoil Notice to Seller List of tenders, with buyer details. x ICEU Type Notice PDF files available on MFT. MDNB-GO Gasoil Notice to Buyer List of tenders, with seller details. x ICEU Type Notice PDF files available on MFT. MDDS-GO Gasoil Daily Summary At the tender level, the buyer and seller details, the security held, and, once invoicing has occurred, the final invoice details. ICEU Type Report PDF files available on MFT MDDD-GO Gasoil Daily Detail For each tender, a listing of any ranges, installations, and vessels which have been defined to date; also any loading information reported to the Clearing House. ICEU Type Report PDF files available on MFT MDLI-GO Gasoil Loading Invoice Invoice resulting from the loading of a vessel. x ICEU Type Invoice PDF files available on MFT. MDLAS-GO Gasoil Loading Account Sale Account sale resulting from the loading of a vessel. x ICEU Type Invoice PDF files available on MFT. MDFI-GO Gasoil Final Invoice Invoice resulting from completing all physical delivery associated with a tender. x ICEU Type Invoice PDF files available on MFT. MDFAS-GO Gasoil Final Account Sale Account sale resulting from completing all physical delivery associated with a tender. x ICEU Type Invoice PDF files available on MFT. ICE Clear - Member Reports Specification Page 14 of 102

15 MDDS-EL Electricity Daily Summary At the transferee/transferor level, the status of the delivery for the delivery month, the buyer s and seller s security held, and any available invoice amounts. ICEU Type Report PDF files available on MFT MDDD-EL Electricity Daily Detail At the transferee/transferor level, the delivery information for each delivery day. ICEU Type Report PDF files available on MFT MDCR-EL Electricity Confirmation Report Final notification of delivery obligation. x ICEU Type Notice PDF files available on MFT. MDI-EL Electricity Invoice Monthly invoice, provided to buyers. x ICEU Type Invoice PDF files available on MFT. MDAS-EL Electricity Account Sale Monthly account sale, provided to sellers. x ICEU Type Invoice PDF files available on MFT. MDDS-NG Natural Gas Daily Summary At the transferee/transferor level, the status of the delivery for the delivery month, the buyer s and seller s security held, and any available invoice amounts. ICEU Type Report PDF files available on MFT MDDD-NG Natural Gas Daily Detail At the transferee/transferor level, the delivery information for each delivery day. ICEU Type Report PDF files available on MFT MDCR-NG Natural Gas Confirmation Report Final notification of delivery obligation. x ICEU Type Notice PDF files available on MFT. MDI-NG Natural Gas Invoice Monthly invoice, provided to buyers. x ICEU Type Invoice PDF files available on MFT. MDAS-NG Natural Gas Account Sale Monthly account sale, provided to sellers. x ICEU Type Invoice PDF files available on MFT. ICE Clear - Member Reports Specification Page 15 of 102

16 MDDS-EM-M EU Monthly Emissions Daily Summary At the clearing member level, the status of the delivery for the delivery month and any available invoice amounts. ICEU Type Report PDF files available on MFT MDI-EM-M EU Monthly Emissions Invoice Monthly invoice, provided to buyers. X ICEU Type Invoice PDF files available on MFT. MDAS-EM-M EU Monthly Emissions Account Sale Monthly account sale, provided to sellers. X ICEU Type Invoice PDF files available on MFT. MDDS-EM-D EU Daily Emissions Daily Summary At the clearing member level, the status of the delivery for the delivery day, the seller s security held, and any available invoice amounts. ICEU Type Report PDF files available on MFT. MDI-EM-D EU Daily Emissions Invoice Daily invoice, provided to buyers. X ICEU Type Invoice PDF files available on MFT. MDAS-EM-D EU Daily Emissions Account Sale Daily account sale, provided to sellers. X ICEU Type Invoice PDF files available on MFT. MDI-EMA Emissions Auction Invoice Invoice, provided to buyers. X ICEU Type Invoice PDF files available on MFT. MDDS-EMA Emissions Auction Daily Summary At the clearing member level, the status of the delivery for the delivery day, the seller s security held, and any available invoice amounts. ICEU Type Report PDF files available on MFT. MDDS-UEM US Emissions Daily Summary At the clearing member level, the status of the delivery for the delivery month and any available invoice amounts. ICEU Type Report PDF files available on MFT. MDI-UEM US Emissions Invoice Monthly invoice, provided to buyers. x ICEU Type Invoice PDF files available on MFT. ICE Clear - Member Reports Specification Page 16 of 102

17 MDAS-UEM US Emissions Account Sale Monthly account sale, provided to sellers. x ICEU Type Invoice PDF files available on MFT. MDCR-UEM US Emissions Confirmation Report to Seller List of tenders, with buyer details. Type Notice x ICEU PDF files available on MFT. xxx_mdns-{product code}_yyyymmdd.pdf MDCR-UEM US Emissions Confirmation Report to Buyer List of tenders, with seller details. Type Notice x ICEU PDF files available on MFT. xxx_mdnb-{product code}_yyyymmdd.pdf MDMD Delivery Margin Report Daily marginable open delivery positions along with complete delivery margin calculations ICEU GSDC Deliverable Contract Reference Report Margin parameters used to calculate various margin figures around open delivery positions X ICEU GPDR Projected Delivery Report Projected deliveries for expiring Electricity and Natural Gas contracts. X ICEU Intraday Risk The following reports are available via MFT only (in {mnemonic}/risk). They are generated throughout the day at regular (5-10 minute) intervals. They provide a snapshot of the ICE Intraday Risk System s view of Member Positions/Risk PDF Report Data File Jurisdiction MRTS Trade Intraday snapshot of all trades (including giveups/claims) x ICEU MRPV Position Intraday snapshot of positions and valuation x ICEU MROM Margin Intraday snapshot of initial margin requirement x ICEU MRMC Margin Call Intraday snapshot of margin requirements and assets with resulting uncovered/excess value x ICEU ICE Clear - Member Reports Specification Page 17 of 102

18 3 PDF Reports Specification This section provides details for the Trade & Clearing, Banking, Margin, Billing, Deliveries and Intraday Risk Reports which will be made available to the Members via MFT. Members will be provided with login details so that they can access MFT via sftp client to view/export reports. The detailed specification and mock-ups for the reports available via MFT are covered in the sections below. 3.1 Trade and Clearing Reports This section provides details for the Trade and Clearing reports which will be made available to Trading members of ICEU, ICUS & ICCA Trade and Position Register (MTTPR) The MTTPR - Trade and Position Report is the daily report that will be published by the Clearing House for the purposes of providing a daily statement in respect of Trade and other activity relating to a Member s position. The report also provides information of the yesterday/today s positions, Settlement Price, Mark-to- Market Pay/Collect etc. MTTPR Trade and Position Register Mock-up: ICE Clear - Member Reports Specification Page 18 of 102

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20 3.1.2 As-of-Trades Report (MTAO) The As-Of-Trades report simply provides that subset of data from the primary Trade and Position Register that relates to As-Of Trades. As-Of Trade is a term that simply refers to correction of give-up/assignment in respect of a trade from a previous day; as such, this is then, a report of Day-2 Corrections. The report has the same layout/structure as the master Trade and Position register Average Price Transfer Report (MTAPT) The Average Price Transfer Report simply provides that subset of data from the primary Trade and Position Register that relates to Average Price Trades/groups and the give-up transactions that relate to them. The report has the same layout/structure as the master Trade and Position register Give-Up Report (MTGU) The Give-Up report is a derivative of the Trade and Position Register and simply shows Give Ups (in and out). The report has the same layout/structure as the master Trade and Position register TAS Trades Report (MTTAS) The TAS (Trade at Settlement) Report simply provides that subset of data from the primary Trade and Position Register that relates to TAS Trades. The report has the same layout/structure as the master Trade and Position register Position Recap Report (MMPR) The Position Recap Report simply provides a summary of Member positions. The information provided is the same as that appearing on the Trade and Position Register in respect of positions but shows only the position level summary data and none of the activity detail. The report has the same layout/structure as the master Trade and Position register Margin Summary by Currency & Product (MMVS) The Margin Summary by Currency and Product Report provides that subset data from the primary Trade and Position Register (MTTPR) that relates to margin grouped by currency for each product. The report has the same layout/structure as the master Trade and Position register Variation Detail (MMVD) The report will be generated daily as the result of a Clearing EOD run and will provide Members with a breakdown of Variation Margin and Option Premium values on the product level. A csv data file is also made available to the members, details of which are covered in the Data File Specification section. For each business day, the MMVD will report, by Trading Member (TM) settlement account (House, Client Segregated, US Customer Seg Futures etc), by currency, and by Exchange the VM, and option premium ICE Clear - Member Reports Specification Page 20 of 102

21 values by product type. This report will reflect the cash amounts before any rounding on the product level, and a final total unrounded and rounded value grouped by account, currency and Exchange. For NYSE Liffe, the Exchange will be represented by <XLIF>-<Exchange code> (e.g. XLIF-L). VM & Option Premium is displayed by SPAN combined commodity code (e.g. CCO). Note: The Premium on the Cabinet trades is included in the Option Premium columns. Variation Detail Mock-up: ICE Clear - Member Reports Specification Page 21 of 102

22 3.1.9 PCS File Submission Status (MPPCSS) The PCS File Submission Status report provides members with the status of the PCS FIXML files submissions at the file and instruction level. The report is automatically generated when a PCS FIXML file is processed by ICE Systems. If the FIXML PCS file is partially rejected, the report provides details of the instructions which failed validation and the reason for failure. Note: Please refer to the Member PCS FIXML specification for details on sending PCS electronically PCS Submissions Report (MPPCS) For each Position Account, Currency & Contract, the PCS Submissions report lists all successful PCS instructions submitted to the ICE Clearing systems on the current business day either via GUI or FIXML files. The data in relation to a firms PCS submission is available via two methods. The MPPCS report is automatically generated at EOD and the pdf version of this report is available to the members in their MFT folder. A real-time view of this data is also available to the firms via the Reports tab in the ECS Member GUI GCM File Submission Status (MPGCMS) The GCM File Submission Status report provides members with the status of the GCM FIXML files submissions at the file and instruction level. The report is automatically generated when a GCM FIXML file is processed by ICE Systems. If the FIXML GCM file is partially rejected, the report provides details of the instructions which failed validation and the reason for failure. ICE Clear - Member Reports Specification Page 22 of 102

23 GCM Customer Balancing Account (MPGCMB) The report provides Members with "Customer Balancing Account" data. Customer Balancing Account is the difference between the Positions held at Clearing House and the Customer Positions submitted via GCM file submissions. This Position Account will be margined outright at the Positions Account level. The report will only display data for Positions Accounts which require GCM submissions submitted on the current business date GCM Customer Non-Disclosed Account (MPGCMND) The MPGCMND report provides Members with non-disclosed position calculated by the system for each omnibus account reported in the GCM file. The non-disclosed account in calculated by subtracting the sum of customer positions underlying an omnibus account to the reported omnibus account in the GCM file. If the customer positions underlying an omnibus account are over reported, the system does not calculate non-disclosed position account Exercises and Assignments Report (MPEA) The report provides Members with data relating to the result of options life-cycle events i.e. Options Exercises/Assignments. An Exercises and Assignment Report will be generated automatically post an Options Expiry settlement run and will include data relating to all Option expiries on the day. Similarly, a report is produced at EOD which will also include results due to any early exercise of American style options. The MPEA report will only be generated if the Member has option exercise and assignments in the contract that has expired and provides Contract, Position Account, Volume Exercised (Manual & Auto), Volume Assigned, Volume Abandoned (Manual & Auto), Volume Expired etc Futures Expiry Report (MPFE) The report is generated post a Futures Expiry intraday or at EOD and shows the positions that went into Expiry. The report is only generated if the Member has futures positions in the expiring contract and provides contract information and the Long/Short quantity which expired Intentions Detail Report (MDINTD) ICUS only The report provides member with detailed information regarding foreign currency delivery instructions for processing. Details include currency delivery amounts, final positions, and member bask SWIFT designations DTP-CDA Details by Members (MDDDID) - ICUS only The report provides members with a complete list of non-cls delivery intentions and instructions Intentions Summary Report (MDINTS) ICUS only The report will summarize foreign currency delivery processing details for members. ICE Clear - Member Reports Specification Page 23 of 102

24 Scheduled Position Delivery Dates (MPSDD) ICUS only The report details member positions in the process on physical delivery by delivery date. The report shows Commodity, Contract, Position, and Delivery Date Calendar of Events (GSCA) ICUS only The report shows significant upcoming contract events by date. Events include first notice dates, last trading dates, expirations dates, etc. Calendar of Events Mock-up: End of Day Positions by Account (MPEODA) ICUS only The report lists positions for commodity/contracts by origin (account) and gross (PCS Long/Short) and then by net Settlement Instruction Report (MMSSI) ICEU Only The MMSSI report provides Clearing Members with a list of SSI detail set up in ECS for each CSD. The SSI are required for the settlement of NYSE LIFFE equity and bond deliveries. The pdf report and csv data file can be found on the MFT under {mnemonic}/clearing/positions/. ICE Clear - Member Reports Specification Page 24 of 102

25 3.2 Banking Reports This section provides information relating to the Banking PDF reports which will be made available to the Clearing Members for reconciliation purposes. The ICEU Banking Reports will also include data in relation to NYSE Liffe markets. For CDS Banking reports, please refer to following document Cash Accounting (MBCAA) For each business day, the Cash Accounting report will report, by settlement account (House, Client Segregated, US Customer Segregated Futures etc) and by currency, the opening balance, all cash transactions posted on that day, the closing available balance, the closing booked balance (to include posted transactions with value date later than today), the amount of the booked balance which is being used to cover a requirement, and the amount available for withdrawal. For ICUS & ICC, the report will also include any cash resulting from Treasury Maturity, CD Maturity and Coupon Payment which will be included in the booked cash balance. The transaction types are as follows: Variation Margin Option Premium Calls & Pays Clearing Fees Cash Deposits and Withdrawals Interest Ad hoc credit and debit notes Cash transfers Delivery invoice and account sale amounts Securities rate of return Trading fees & commissions Wired Settlement Amount *Please note that the VM figure shows the total VM and is not broken down by the Logical commodity as was previously the case. For Members Clearing on ICEU & NYSE Liffe, the VM and Option premium (Option premium also includes premium on cabinet trades) will be an aggregated value by currency across these markets. For e.g. if a firm is clearing on ICEU & NYSE Liffe exchanges and has VM gains and/or losses across all these markets, the VM appearing on the MBCAA report is a net aggregate of VM gains or losses across all these markets. Firms can view the MMVD report to see breakdown of VM by Exchange. Wired Settlement Amount - Historically, ICE has netted the Variation amounts with assets already on deposit. For example, where the FCM had cash on deposit for the purposes of covering IM and there was an unused amount of excess cash on the cover account, this may have been used to fund the variation pay. Similarly, where the FCM was receiving VM, this may have been used to offset an increased in IM. For LSOC accounts and for certain currencies under non-lsoc accounts, the CH will not net these variation amounts with cash on deposit and hence the variation amounts for these accounts/currencies will be settled separately to the Initial Margin requirements. The posting type Wired Settlement Amount depicts this variation pay being paid as a separate cash flow. ICE Clear - Member Reports Specification Page 25 of 102

26 3.2.2 Collateral Transactions (MBCOT) For each business day, the Collateral Transactions report will show any deposits and withdrawals for that day, by settlement account (House, Client Segregated, US Customer Segregated Futures etc), by currency, and by depository. For government securities and CDs, the transaction type, the ISIN, the security description, the nominal amount, and the expiry date will be displayed for each transaction. For LCs, the LC reference will replace the ISIN and the issuing bank will replace the security description Collateral Balances (MBCOB) For each business day, the Collateral Balances report will report the closing balances for all collateral items, by settlement account (House, Client Segregated, US Customer Segregated Futures etc), by currency, and by depository. For government securities and CDs, the ISIN, the security description, the nominal held, the price (if applicable), the haircut, the accrued interest, the calculated cover value, and the expiry date will be displayed for each transaction. For LCs, the LC reference will replace the ISIN and the issuing bank will replace the security description. Summary values (total nominal and operating value) will be displayed per asset type, per depository, and per currency Standing Requirements (MBSR) For each business day, the Standing Requirements report will report, by settlement account (House, Client Segregated, US Customer Segregated Futures etc), by currency, and by Product Code, all standing credits and debits. The following are the types of standing credits and debits: Initial Margin Buyer s & Seller s Security Contingent Credit/Debit Contingent Variation Margin Net Liquidating Value Guaranty Requirements Additional Original Margin Initial Margin Credit Cash Initial Margin Delivery Margin With the NYSE Liffe implementation, the Initial Margin values on the MBSR report will be differentiated between ICE markets & NYSE Liffe using the Analysis code field. The Analysis code can be XLIF-L, XLIF- O or XLIF-X for Initial Margin related to NYSE Liffe markets. Similarly, the Analysis code can be ICEU, ICUS and ICCA for ICE markets depending on the Jurisdiction. Note: The analysis code against IM value is blank today. The CVM & NLV for ICE Energy business is by product code. For NYSE Liffe markets, the Analysis code will be SPAN combined commodity code and will be displayed using following format XLIF-<exchange code>-<span Combined Commodity Code>. For e.g. XLIF-L-WSG. ICE Clear - Member Reports Specification Page 26 of 102

27 3.2.5 Multi-Currency Report (MBMC) ICUS only This report shows the application of margin cover-calling through the use of foreign currencies and USD margin on deposit against requirements. The result represents the margin surplus or deficit amount. Multi-Currency Report Mock-up: Cover Calling (MBCC) ICEU and ICCA only For each business day, the Cover Calling report will report, by settlement account (House, Client Segregated, US Customer Segregated Futures etc), and by currency, the summarized requirements and the credits and assets used to cover the requirements. The report will also display, per account per currency, any required cash call and the value of any assets, per account per currency, by asset class, excess to the requirement Interest Accrued (MBIA) ICEU only For each business day, the Interest Accrued report will report, by settlement account (House, Client Segregated, US Customer Segregated Futures etc), and by currency, the balance used for the interest calculation, the amount earned, and the total accrued to date. For the guaranty account, this report will display the same information for the securities rate of return. ICE Clear - Member Reports Specification Page 27 of 102