ECC Clearing Circular 29/2013 2013-11-25 News On 12 th September 2013 ECC submitted its application to be recognized as CCP under the new EMIR regulation. The expected timeline for the implementation of all required changes is presented in Chapter A. Furthermore, reporting according to EMIR Article 9 is mandated from 12 th February 2014. With this Clearing Circular ECC would like to outline its reporting approach and consult its members on the envisaged implementation. The details in this Clearing Circular (Chapter B-E) are open for feedback until 14 days after publication. Please be advised that further guidance from ESMA regarding reporting of Exchange Traded Derivatives (ETDs) is pending and that amendments are therefore possible. Physical Settlement Financial Settlement Risk Management Information Technology Contact Clearing & Settlement Phone: +49 341 24680-444 E-mail: clearing@ecc.de
Table of Contents Chapter A: ECC EMIR Timeline 3 Timeline for Authorization 3 Timeline for Implementation of Process Changes 3 Chapter B: General Information for Trade Reporting 4 Who should read which part of this document? 4 What is the scope of ECC s reporting? 4 Reporting for Exchange Traded Derivatives (ETDs) 5 Reporting for Registered Derivatives 5 Trade Reporting, Netting and Position Reporting 5 Mark-to-Market, Valuation and Collateral 6 Backloading 6 Chapter C: Information for ECC-delegated Trade Reporting 7 Scope, Prerequisites and Fees 7 Delegation Setup 8 Information on Counterparty Fields 8 Report Matching and Reconciliation 10 Scope of Delegation 11 Chapter D: Information for Participants own Trade Reporting Implementation 12 Report Matching and Reconciliation 12 Unique Trade Identifier and Position Unique Trade Identifier 12 Legal Entity Identifier 13 Unique Product Identifier 13 Specific Common Data Fields 14 Chapter E: Reportable Lifecycle Events 16 Trade Lifecycle Events 16 Position Lifecycle Events 16 Page 2 17
Chapter A: ECC EMIR Timeline Timeline for Authorization ECC submitted its application to be recognized as CCP under the new EMIR regulation on 12 th September 2013. According to EMIR the timeline to receive authorization is as follows. 12 September 2013 Application Submitted 12 February 2013 Start Trade Reporting 15 March 2014 Deadline for granting authorisation Currently, ECC s regulator has not raised any objections regarding the completeness of ECC s EMIR application. Thus, ECC expects to receive the authorization by early 2014. Timeline for Implementation of Process Changes Changes due to the new EMIR regulations are required to comply with the details of the regulation. The majority of changes will not affect Clearing Members processes and procedures; yet, the following processes and procedures will require amendments: Segregation and Portability requirements will be implemented without major changes to the existing Eurex Clearing System and the respective account structure. However, the legal framework will be amended and ECC plans to publish the proposed changes to the Clearing Conditions by end of December. Information regarding the setup of individual and omnibus segregated accounts is available under the following link http://cdn.ecc.de/document/18469/20130912_ecc_segregation_and_portability.pdf ECC will continue to publish information on its website. Changes to ECC s risk management processes and procedures have been reviewed and approved by ECC s Risk Committee. It is planned to implement major changes until the end of 2013. No impact on the Clearing Members processes and procedures is expected. Page 3 17
Chapter B: General Information for Trade Reporting Who should read which part of this document? The documents is structured as follows General information of interest for all participants is contained in Chapter A. This document further describes the reporting services offered by ECC. Participants (Clearing Members and Non-Clearing Members) interested in these services and intending to delegate reporting to ECC are specifically referred to Chapter B, which details scope and limitations of ECC s offering. This document also allows Clearing Members to align reporting in case of a proprietary reporting solution. Clearing Members, who choose to implement their own reporting, are specifically referred to Chapter C. Non-Clearing Members, who wish to implement their own reporting solution or intend to delegate reporting to their Clearing Member, should contact their Clearing Member for further guidance. Reference to this document can be made, but adherence is not mandatory. To avoid reporting mismatches details should be agreed between the Non-Clearing Member and the Clearing Member in this case. What is the scope of ECC s reporting? ECC will implement trade reporting for all transactions concluded or registered on ECC-cleared markets. ECC will only use REGIS-TR as Trade Repository. Other Trade Repositories are currently not considered. Derivative contracts on ECC-cleared markets constitute Exchange Traded Derivatives (ETDs), over-the-counter derivatives (OTC) or do not constitute derivatives in the meaning of EMIR depending on the legal status of the market: Market Exchange Trades Registered Trades EEX (all markets), CEGH, PXE Powernext 1 HuPX 2 ETD OTC No derivatives, not included in trade reporting 1 According to ECC s knowledge Powernext qualified as a Multilateral Trade Facility (MTF) at the time of writing but had initiated the process to be recognized as regulated market. Contracts registered or traded on an MTF qualify as OTC Derivatives. 2 Hungarian Power Exchange (HuPX) as an organized commodities market constitutes neither a regulated market nor an MTF under EMIR (see ESMA webpage) according to ECC s interpretation. Page 4 17
ECC s reporting obligation under EMIR concerns ECC s trades and positions from transactions between ECC and its Clearing Member. ECC will be offering a reporting delegation service for Clearing and Non-Clearing Members for all ECC-cleared derivative transaction, given that the prerequisites outlined below have been met. Further details concerning the required legal documentation will be communicated in due course. Details in this draft for consultation are open for feedback until 14 days after its publication. Reporting for Exchange Traded Derivatives (ETDs) A principal-to-principal model is operational for trades concluded on all markets cleared by ECC such that cleared transactions immediately exist upon matching. The Clearing Member (CM) concludes a transaction with ECC as well as, in case of Non-Clearing Member (NCM) or client business, a back-to-back transaction with its Non-Clearing Member or client. Thus, for any one Exchange Traded Derivatives transaction four trades/positions are reportable by the respective counterparties, implying reporting by ECC, the Clearing Member and the Client of the Clearing Member (Non-Clearing Member or Client). Reporting for Registered Derivatives Generally, derivative contracts registered for clearing under the rulebook of a regulated market serviced by ECC qualify as ETDs depending on the status of the market as maintained in the table above. ECC will report every registered derivatives contract based on the information provided upon registration. Hence, the approach for ETDs explained above is also used for reporting of registered derivatives. Reporting of OTC Derivatives (currently only Powernext) will follow the same reporting procedure as for ETDs. Any previous bilateral trade that is replaced by the registered trade has to be reported by the respective counterparties themselves (including cancellation). This is due to the fact that contracts registered for clearing are unaffected by any previous arrangements between the parties, including the question whether a trade has been previously concluded or whether said conclusion has been subject to clearing. Possibly existing OTC Derivatives prior to novation are therefore not included in ECC s reporting offering. Trade Reporting, Netting and Position Reporting ECC will report individual transactions and positions as well as the respective lifecycle events on the following business day (t+1 reporting). All individual transactions will be netted to a position during the end-of-day processing. End-of-day netting will be specifically reported as modification to all trade records of day t. Subsequent lifecycle events are reported for the net position only. As no reporting mechanism for positions has been defined by ESMA, positions have to be reported as separate transactions with a separate Unique Trade Identifier for each position. The Position UTI will be constructed such that it will remain unchanged over the lifecycle of the position. Thus, after the initial reporting of a position, each further change will be reported as a position modifica- Page 5 17
tion. At maturity the position will be automatically cancelled by the Trade Repository and no lifecycle event has to be reported. Mark-to-Market, Valuation and Collateral According to ESMA guidance, valuation fields for CCP-cleared transactions are to be reported at position level on a daily basis. Hence, for all open positions ECC will report: a valuation modification in which the price of the position is adjusted to the current end-of-day settlement price, a mark-to-market modification where the value of a contract is the variation margin of the end-ofday. Collateralization between ECC and the Clearing Member is performed on a portfolio basis. The standard collateral pool of a Clearing Member is associated with several accounts of the Clearing Member (proprietary and agency accounts as well as Non-Clearing-Members accounts in the general omnibus). Collateral between ECC and the Clearing Member is pledged one-way. The collateralization between ECC and the Clearing Member and its Non-Clearing Member is not known to ECC. ECC assumes that the collateral of an individually segregated Non-Clearing Member and an individually segregated omnibus 3 equals the amount of the segregated collateral. Collateral for general omnibus clients is reported as share of the value of the Clearing Member s standard collateral pool calculated according to the share of the client s individual margin requirement, so called by value segregation 4. It should be noted that ECC will report exposure fields (ESMA Fields 17-26) only for positions and not individual transactions. Backloading Exchange Traded Derivatives, which were entered into before 16 th August end are still outstanding on 12 th February 2014 have to be backloaded within 90 days of the reporting start date. Furthermore, Exchange Traded Derivatives, which were entered into before 16 th August 2012 and outstanding on that date as well as entered into on or after 16 th August 2012 and that are not outstanding on or after the reporting start date shall be reported to a Trade Repository within 3 years. Lifecycle events for those transactions don't have to be reported. ECC will report all positions that were open on 16 th August 2012. 3 Please note that the technical setup of omnibus clients follows the Non-Clearing Member model, while reporting delegation follows the Clearing Member agency model. 4 Further details can be found in the document ECC s Approach to Segregation and Portability here. Page 6 17
Chapter C: Information for ECC-delegated Trade Reporting Scope, Prerequisites and Fees EMIR does allow for reporting delegation (either as full or partial delegation 5 ) to either one s counterparty or a reporting third party. ECC has chosen Regis-TR as its Trade Repository, which supports delegated reporting. To use ECC-delegated trade reporting both Clearing Members and Non- Clearing Members are required to hold a reporting participant membership at Regis-TR. It should be noted, however, that the liability for complete and accurate reporting remains with the delegating counterparty. ECC will offer the following reporting services for trades/positions according to EMIR Article 9. Account/ Leg to report CM CCP CM Client Proprietary Accounts Full Delegation n/a Clearing Member Agency Accounts Full/Partial Delegation 6 No Delegation Entity to report NCM Accounts Full Delegation Full Delegation Non-Clearing Member Proprietary Accounts n/a Full/Partial Delegation 7 Client Indirect Client n/a n/a n/a n/a Agency Accounts n/a Full/Partial Delegation No Delegation ECC will only offer reporting services for Clearing-Member - Non-Clearing Member Trades/Positions, for which both the Clearing Member and Non-Clearing Member have jointly delegated reporting for these legs of the transaction to ECC, due to the complexity of the reporting obligation and the required matching between counterparties. For agency account trades/positions, ECC does not know the ultimate beneficiary of the trade/position. Therefore, a reporting service should be implemented by those parties that offer agency accounts, or it could be offered by the Clearing Member of a Non-Clearing Member, if the CM establishes a proprietary reporting solution. Reporting participants choosing delegated reporting from ECC need to register with Regis-TR and will be subject to the Regis-TR fee schedule and will be directly invoiced by Regis-TR. 5 For derivative contracts where ECC holds all reportable information, it offers a full delegation service without further need for interaction with the customer. Yet, for transactions where ECC does not hold all reportable information, it can only offer a partial delegation service. 6 A full delegation reporting service for the CCP-CM transaction for CM agency trades/positions from the perspective of the CM is possible, if the CM accepts Beneficiary ID field being filled with Various by ECC. 7 A full delegation reporting for the CM-NCM transaction for NCM proprietary and agency trades/positions from the perspective of the NCM is possible, if the NCM considers ECC s default values proposed under the section Information on Counterparty Fields correct and accepts the Beneficiary ID fields being filled with Various for agency trades by ECC. Page 7 17
Full / Partial Delegation ECC Clearing Circular 29/2013 2013-11-25 Further information on the Regis-TR offering can be found on the Regis-TR website (http://www.regis-tr.com/index.php/faq). ECC will implement a monthly charge for its delegated reporting service that will be determined based on the feedback to this circular. Delegation Setup Full Delegation In a full delegation setup ECC reports the Unique Trade Identifier / Position Unique Trade Identifier, all counterparty and all common data fields. Partial Delegation In a partial delegation setup ECC reports the Unique Trade Identifier / Position Unique Trade Identifier, all common data fields and identifies the respective counterparties through the Legal Entity Identifier. The remaining counterparty fields have to be reported by the respective counterparties. Information on Counterparty Fields The following tables summarize how ECC intends to report specific counterparty fields for proprietary and agency derivative contracts concluded by Non-Clearing Members and Clearing Members depending on the delegation model. While Trade Type identifies whether the trade is a Clearing Member trade or a trade involving a Non-Clearing Member, Report of _ to _ identifies the reporting party with regards to the transaction and its respective counterparty. Both fields are just used to make the tables more accessible. Transaction legs where full/partial delegation is possible are marked in dark blue. Reporting Field Proprietary Accounts Trade Type Clearing Member Non-Clearing Member Report of _ to _ CCP-CM CM-CCP CCP-CM CM-CCP CM-NCM NCM-CM Counterparty ID ECC CM ECC CM CM NCM ID of the other Counterparty CM ECC CM ECC NCM CM FC or NFC F F F F F Clearing Member 8 CM CM CM Beneficiary ID ECC CM ECC NCM NCM Trading Capacity P P P A A Commercial Activity Treasury Financing Clearing Threshold Collateralization U FC U FC U Collateral Portfolio N Y N Y N Collateral Portfolio Code CM 9 8 Please note that generally identifies reporting fields that are not filled by ECC. Page 8 17
Full / Partial Delegation Full / Partial Delegation ECC Clearing Circular 29/2013 2013-11-25 Value of Collateral Value of Standard Collateral Pool Value of Collateral Pool 10 Reporting Field Agency Accounts Trade Type Clearing Member / Omnibus Non-Clearing Member Report of _ to _ CCP-CM CM-CCP CCP-CM CM-CCP CM-NCM NCM-CM Counterparty ID ECC CM ECC CM CM NCM ID of the other Counterparty CM ECC CM ECC NCM CM FC or NFC F F F F Clearing Member CM CM Beneficiary ID ECC ECC NCM NCM Trading Capacity P P A A Commercial Activity Treasury Financing Clearing Threshold Collateralization U U FC U Collateral Portfolio N N Y N Collateral Portfolio Code 11 Value of Collateral Value of Collateral Pool 12 As ECC will require members to identify themselves through Legal Entity Identifiers, meaning that certain counterparty fields like Corporate Sector do not need to be filled. For transactions on a Clearing Member s agency account and for the NCM-CM leg of a Non- Clearing Member transaction ECC does not possess all reportable information. ECC therefore considers three setup alternatives for its EMIR reporting service. 9 Under general segregation the portfolio will be identified by the Clearing Member ID. Yet, for all individually segregated Non-Clearing Members and individually segregated omnibuses the portfolio will be identified the Non-Clearing Member ID. 10 For individually segregated NCMs and segregated omnibus clients the value of collateral will be reported. Yet, for general omnibus clients the client s share of the Clearing Member s standard pool (by value segregation) is reported. 11 Please refer to footnote 9. 12 Please refer to footnote 10. Page 9 17
A1) ECC reports default values according to the following table. Partial Delegation Reporting Field Proprietary Account Agency Account Trade Type Non-Clearing Member Clearing Member/Omnibus Non-Clearing Member Report of _ to _ NCM-CM CM-CCP NCM-CM FC or NFC NFC F F Clearing Member CM CM CM Beneficiary ID NCM Various Various Trading Capacity P A A Commercial Activity Treasury Financing Clearing Threshold N N Collateralization FC FC FC Collateral Portfolio Y Y Y Collateral Portfolio Code 13 14 15 Collateral Value Margin for Proprietary Account Value of Standard Collateral Pool Margin for Agency Account A2) ECC leaves the (certain) above fields empty; they have to be filled by the counterparties A3) The above fields are filled differently depending on the account. For example all trades/positions on the P1 account could be reported with the Commercial Activity field flagged as Y, while all trades/position on the P2 account could be reported with the Commercial Activity field flagged as N. ECC would highly appreciate, if its members could provide feedback on the preferred solution. Please note that, should the default values be incorrect, the reporting participant is required to correct the said values using its full reporting membership at Regis-TR. EMIR mandates that said correction of data is required, as the reporting liability remains with the delegating counterparty. Report Matching and Reconciliation ECC currently understands that only common data fields and counterparty ID fields are reconciled both within and across trade repositories. Thus, in case of ECC-delegated reporting, whether full or partial, mismatches are impossible and ECC holds the responsibility for successful reconciliation for the reported pair of transactions. 13 Please refer to footnote 9. 14 For individually segregated omnibuses the portfolio will be identified the Non-Clearing Member ID, otherwise the portfolio will be identified by the Clearing Member ID. 15 Please refer to footnote 9. Page 10 17
Scope of Delegation ECC currently considers the following delegation options. B1) When members delegate reporting they delegate Trades, Positions and Backloading. B2) When members delegate reporting they delegate only Trades. B3) When members delegate reporting they delegate Trades as well as Backloading. Members are asked for their preference, and whether B1 as only implemented option would be acceptable to them. Page 11 17
Chapter D: Information for Participants own Trade Reporting Implementation Report Matching and Reconciliation Only common data fields and counterparty ID fields are reconciled both within and across trade repositories. In case of proprietary reporting by Clearing Members, ECC, as owner of the master copy of the data, will require its Clearing Members to match ECC s reporting. Matching between Clearing Member and Non-Clearing Member reporting is beyond the scope of ECC s services unless jointly delegated to ECC. The following sections provide detailed information on the constructions of the reporting identifiers and specific fields in order to allow you to align reporting fields. Unique Trade Identifier and Position Unique Trade Identifier Unique Trade Identifiers (UTI) and Position Unique Trade Identifiers (Position UTI) will be constructed by combining fields from the end-of-day CB010 Position Detail report in order to enable members to reconstruct ECC s UTI and Position UTI. The CB010 Position Detail report is available to Clearing Members via the Common Report Engine. Additionally, the required fields for UTI construction can be obtained via the FIXML interface of the Eurex system. A list of the FIXML tags is available on demand. To ensure uniqueness UTIs and Position UTIs will not be reused. Furthermore, ECC aims to add the UTI/Position UTI to both the CB010 Position Detail report and the FIXML interface in due course. Unique Trade Identifier UTI Component Len gth ECC MIC Code 10 000XECC000 UTI Type Indicator 1 Format E = ECC ETD Trades W = Wholesale Trades CB010 Field Mapping If trdtyp = Then E If trdtyp in ( A, B, E, F, N, O, P, V, W ) Then W Trade Date 8 YYYYMMDD origtrndat Product ID 4 Transaction ID Number Transaction ID Suffix Number 9 5 4 Alphanumeric Characters If Length(prodId)<4, fill with trailing spaces. Alphanumeric ( 000 &trnidno) Numeric If Length(trnIdSfxNo)<5, fill with leading 0s. prodid trnidno trnidsfxno Order ID 9 Alphanumeric Right(origOrdrNo;9) Buy Code 1 Clearing Leg Indicator 1 Alphanumeric ( B=Buy, S=Sell) C = CCP / CM Trade T = CM / NCM Trade buycod Page 12 17
Unique Trade Identifier Example: Position Unique Trade Identifier UTI Component 000XECC000E20131029F1BM00012345600001BC Len gth ECC MIC Code 10 000XECC000 UTI Type Indicator 1 P =Position Format CB010 Field Mapping Member ID 5 5 Alphabetic Characters membexchidcod Account Type 2 2 Alphanumeric Characters accttypgrp Product ID 4 Contract Class Code 1 4 Alphanumeric Characters If Length(prodId)<4, fill with trailing spaces. F = Future C = Call P = Put Contract Expiration 4 YYMM Version Number 1 0 Strike Price 6 For options 0 & cntrexerprc & 0 For futures 000000 Position Unique Trade Identifier Example: prodid If cntrclascod = Then F Else cntrclascod Right(cntrExpYrDat;2) =YY cntrexpmthdat = MM n.a. for ECC futures/options and not contained in CB010. cntrexerprc 000XECC000PABCEXP1O1BMP14100049000 Legal Entity Identifier ECC has received a General Entity Identifier (GEI) as interim Legal Entity Identifier (LEI) from the German Local Operating Unit and will identify itself with the GEI in any reporting. ECC s General Entity Identifier is: 529900M6JY6PUZ9NTA71 ECC will also publish its GEI in the governance section of its website (http://www.ecc.de/en/aboutecc/governance) in due course. Furthermore, ECC will request all its Clearing Members and the Non-Clearing Members that use ECC-delegated reporting to provide an interim Legal Entity Identifier. Unique Product Identifier ECC will use taxonomy I in combination with the ISIN and the ECC Product Code to identify ECCcleared products. Please note that ECC expects further guidance on Unique Product Identifiers Page 13 17
taxonomy U to be published by ESMA. The below table summarizes how ECC intends to report the relevant fields for product identification. Component Common Data Field Futures Options Taxonomy Identification Taxonomy Used I I ISIN Product ID 1 Product ISIN Product ISIN Exchange Product Code Product ID 2 ECC Product ID ECC Product ID Call / Put Identifier Option Type P = Put / C = Call Expiry Date Maturity Date YYYY-MM-DD YYYY-MM-DD Strike Price Strike Price Strike Price Underlying Underlying ISIN of Underlying Specific Common Data Fields The below table contains the common data reporting fields and how ECC intends to report these fields. Reporting Field Taxonomy Used Product ID 1 Product ID 2 Underlying Notional Currency 1 Field Interpretation I ISIN of Contract ECC Product Code Futures: = Commodity Details Options: ISIN of Underlying ISO 4217 Currency Code of Contract Notional Currency 2 Deliverable Currency Trade ID Transaction Reference Number Venue of Execution Unique Trade Identifier Unique Trade Identifier MIC of Partner Exchange Compression Price / Rate Trades: Trade Price Positions: Settlement Price Price Notation = Notional Currency 1 Notional Amount Price Multiplier Quantity Price/Rate * Price Multiplier * Quantity Volume of Contract (in MWh, tons, therms, 1000 EUAs, 1000 GoOs) Trades: Lots in Trade Positions: Net Position Up-Front Payment Delivery Type Execution Timestamp C = Cash or P = Physical Clearing Timestamp = Matching Timestamp (YYYY-MM-DDTHH:MM:SS) Effective Date Page 14 17
Maturity Date 16 Expiry Date of Contract Termination Date Settlement Date 17 Expiry Date of Contract Master Agreement Type Master Agreement Version Confirmation Timestamp Confirmation Means Clearing Obligation Cleared Clearing Timestamp CCP Intragroup Commodity Base N = No Y = Yes Trades: Clearing Timestamp = Matching Timestamp (YYYY-MM-DDTHH:MM:SS) Positions: Date + 23:59:00 ECC preliminary LEI Y = Yes / N =No EN = Energy for Electricity, Gas and Coal EV = Environmental for Emissions and GoOs NG = Natural Gas Commodity Details Delivery Point or Zone CO = Coal EL = Electricity EM = Emissions and GoOs EIC of TSO Zone Interconnection Point Load Type Delivery Start Date and Time Delivery End and Time Contract Capacity Quantity Unit Base Load, Peak Load, Off-Peak depending on Load of Contract Delivery Start of Contract (YYYY-MM-DDTHH:MM:SS) Delivery End of Contract (YYYY-MM-DDTHH:MM:SS), e.g. End of Power Delivery = Day-1T23:59:59 = Price Multiplier = Contract Capacity divided by the Number of Delivery Days Price Time Interval Quantities Option Type Option Style (Exercise) Strike Price Futures: Options: C = Call / P = Put Futures: Options: E = European Futures: Options: Strike Price with 9999,99999 16 For CEGH Natural Gas Month Futures and EEX NBP Natural Gas Month Futures the Maturity Date and Settlement Date will be reported as the last Delivery Date. 17 Please refer to footnote 16. Page 15 17
Chapter E: Reportable Lifecycle Events Trade Lifecycle Events Lifecycle Event Action(s) Comment Account Transfer n/a Account type does not constitute an EMIR reporting field and trades do not need to be associated with a specific account. Give-up / Take-up Cancel The give-up will reported as cancellation and the subsequent takeup constitutes a new transaction with a separate UTI. New Historical Trade Transfer Cancel A HiTT is possible up to two days after execution. The original New trade will be cancelled and a new trade reported. Netting Modify Netting (end-of-day) will be identified by modifying the original trade record. New Trade New - Open Close Adjustments n/a Open/close adjustments are not relevant for EMIR reporting, because they do not alter the net trade position. Trade Reversal Cancel Reversals of mistrades will be reported as a cancellation. Trade Separation The separation of the original trade will be reported as cancellation Cancel and the resulting transactions constitute new transactions with New separate UTIs. Position Lifecycle Events Lifecycle Event Action(s) Comment As positions will be reported per account, transfers across accounts Account Transfer will be reflected as a position modification on the originating New Modify account and as either the initiation of a new or modification to an existing position on the designated account. Allocation n/a The futures contract has expired and the booking of the underlying constitutes a spot market transaction not relevant for EMIR reporting. For ECC s European-styled options exercise and expiry occur on Assignment / Exercise the same day. The adjustment on the option position is thus covered by the expiry and does not have to be separately reported. New Modify The assignment of the underlying is either reported as a new or a modified position in the underlying. The futures contract has expired and is replaced by constituting futures of shorter delivery period. The position adjustment of the Cascade New cascading future is thus covered by the expiry and does not have Modify to be separately reported. The positions in the constituting futures of shorter delivery period are either reported as new or modified positions in said futures. Page 16 17
Collateral Expiry / Termination Mark to Market Position Transfer Reopen / Close-out Update n/a Modify Update New Modify n/a Collateral is calculated and pledged per portfolio such that any position is associated with a collateral portfolio. Collateral is thus reported with the initial position report and continuously modified through collateral updates. Contract expiry does not have to be separately reported, as expiry information has been reported with the contract details in the initial position report. Where a customer has either closed or flattened a position (termination), the position will be reported with a zero quantity rather than cancelled, in order to carry the Unique Position Identifier through the position lifecycle. Positions are marked to market based on the daily settlement prices. Mark to market is thus continuously reported through valuation updates. As positions will be reported per exchange member and account, position transfers will be reflected as a position modification on the originating member s account and as either the initiation of a new or modification to an existing position on the designated member s account. To reopen or close out a certain number of contracts does not alter the net position and does thus not constitute a reportable position lifecycle event. Page 17 17