Information Circular IC12-017 - CFE

Regulatory Circular RG15-013
Date:
March 23, 2015
To:
CFE Trading Privilege Holders and
Other Persons Subject to Large Trader Reporting Requirements
From: Regulatory Services Division
RE:
Large Trader Reporting Systems Requirements
This circular is being issued to provide updated contact information for establishing connectivity with
SIAC for reporting Large Trader Position information to CBOE Futures Exchange, LLC (“CFE” or
“Exchange”).
This circular is not addressing new Ownership and Control Reporting (“OCR”)
requirements. A circular pertaining to the new OCR requirements will be issued at a later date.
Introduction
CFTC regulations require the adoption of a Large Trader Reporting System ("LTRS") for all futures and
options on futures contracts. There are two components to the LTRS. The first component requires that
the positions of all accounts at, or in excess of, the reportable level be submitted daily to CFE and the
CFTC in the format described below. The second component requires that a CFTC Form 102
(Identification of "Special Accounts") be completed and submitted to CFE and the CFTC at such time an
account first reaches the reportable level.
Large Trader Position Reporting Requirements
Who Must Report
CFE Clearing Members, futures commission merchants and foreign brokers (collectively called
"Reporting Firms") are required to report position information to CFE on behalf of those accounts carried
on their books that meet the reportable level. Although reporting firms also have a regulatory obligation
to file large trader data with the CFTC, CFE in conjunction with the CFTC has determined that this
obligation can be met by filing the data through a third party as described below. Specifically, reporting
firms may provide reportable positions and related information to the CFTC through the same methods
that are required to be used to report this data to CFE.
Reportable Accounts
A reportable account is any futures account, including customer, market-maker and proprietary, that
establishes an end of day position at or above the reportable level.
Reportable Levels
The reportable level for contracts that are listed on CFE varies by product. The current reportable levels
for the products listed on CFE as of the date of this circular are as follows:
•
The position level that is required to be reported to CFE and the CFTC in the CBOE Volatility
Index (VIX) futures contract, the CBOE Short-Term Volatility Index (VXST) futures contract, the
CBOE/CBOT 10-Year U.S. Treasury Note Volatility Index (VXTYN) futures contract, Individual
Stock Based and Exchange-Traded Fund Based Volatility Index (Volatility Index) security futures
contracts, the CBOE Nasdaq-100 Volatility Index (VXN) futures contract and the CBOE Russell
2000 Volatility Index (RVX) futures contract is any open position at the close of trading on any
trade day equal to or in excess of 200 contracts on either side of the market.
•
The position level that is required to be reported to CFE and the CFTC in the S&P 500 Variance
(VA) futures contract is any open position at the close of trading on any trade day equal to or in
excess of 25 contracts on either side of the market.
The contract specification chapter in CFE’s Rulebook for each CFE product sets forth the reportable
level for that product. Once the applicable contract threshold level is met in any one expiration/contract
month, all other positions in the same product in other expiration/contract months must be reported.
Aggregated Accounts
For purposes of determining whether a large trader meets the applicable contract reporting threshold,
reporting firms must aggregate accounts with common ownership and/or trading control and report the
positions under one reporting account number. Please see CFTC Regulation § 17.00(b) for the rules on
aggregating accounts for reporting purposes and please see "File Description" under the Large Options
Position Report ("LOPR") format to determine how to report the components of a reportable position.
Methods of Reporting
Position information for all reportable customer accounts must be directly filed, in electronic format, with
the Securities Industry Automation Corporation ("SIAC") so that SIAC can then provide the information to
CFE and the CFTC. With respect to accounts that clear in the market-maker or firm range at The
Options Clearing Corporation ("OCC"), OCC submits position data directly to CFE and the CFTC on
behalf of the reporting firms with these accounts. Clearing Members are only required to report
customer account information to SIAC. The data must be submitted to SIAC by 7:00 a.m. (Chicago
time) on the morning following the trade date that establishes the position in order to allow sufficient time
for that data to be submitted to the CFTC by 9:00 a.m. (Chicago time).
Reports to SIAC
Reporting Firms are responsible for reporting positions to SIAC for accounts that clear in the customer
range at OCC.
SIAC provides a facility for firms to transmit large trader data for futures to SIAC. SIAC has two file
layouts for collecting this data. One is a modified version of the LOPR format (see Attachment I); the
second is patterned after the CFTC Large Trader format (see Attachment II). Reporting firms in this
category may choose to submit large trader data to SIAC in either format. Please contact the Regulatory
Services Division's Interpretation and Guidance Team at (312) 786-8141 or by email
at: [email protected] for copies of the formats. In order for firms to utilize this method of reporting,
they must first contact SIAC's Broker Services at [email protected].
Firm and Market-Maker Accounts
Individual market-maker and clearing firm accounts that clear directly (fully disclosed) at OCC are not
required to actively transmit large trader data. Instead, OCC will function as a "service bureau" for this
group by transmitting large trader data to CFE and the CFTC.
CFTC Form 102 – Reportable Account Information
CFTC regulations require an account identification ("CFTC Form 102") to be filed with the CFTC to
identify each reportable account (see Attachment III). The form generally must be submitted within three
business days of the establishment of the reportable position. Completed CFTC Form 102s must be
filed directly with the CFTC and a copy must be sent to CFE.
If an account becomes reportable in products listed on the CFE and a CFTC Form 102 has already been
filed for that account (as a result of becoming reportable at another exchange), the firm carrying the
position must file with CFE a copy of the previously filed form. The firm need not file a new form with the
CFTC, unless the information provided on the previously filed form has become materially inaccurate.
Customer Accounts: The Clearing Member carrying the account at OCC is responsible for obtaining
information from the customer necessary to complete the form.
Firm and Market-Maker Accounts: The Clearing Member maintaining the reportable position for firm
and market-maker accounts is required to complete CFTC Form 102. Although the Clearing Members'
requirement to report their positions will be handled by OCC (as described above), they are directly
responsible for ensuring that CFTC Form 102s are filed with the CFTC and CFE. Clearing Members
may choose to facilitate this process on behalf of those market-maker accounts that they clear.
If and when the information required in a previously submitted CFTC Form 102 changes, and the
reportable trader in question continues to hold (or has established new) reportable positions, the firm
carrying the positions has the responsibility to file an updated CFTC Form 102 with the CFTC and CFE.
Omnibus Accounts: All accounts, including omnibus accounts as well as each (and every) account
within an omnibus account, that become reportable for the first time are required to file a CFTC Form
102 directly with the CFTC and CFE's regulatory services provider the National Futures Association
("NFA"). Each of these accounts is identified on the CFTC Form 102 by means of a unique CFTC
Reporting Number.
Separate and apart from identifying the reportable account on the CFTC Form 102, each account must
submit large trader positions to the CFTC and to NFA in its capacity as CFE’s regulatory services
provider.
Once NFA has received a CFTC Form 102 for an omnibus account, NFA will contact the Clearing
Member and request that the Clearing Member inquire as to whether there are any reportable accounts
within the omnibus account. If so, each of these accounts must submit a CFTC Form 102 to the CFTC
and to NFA in its capacity as CFE’s regulatory services provider.
Conclusion
Reporting firms should be familiar with the LTRS and establish procedures for the timely and accurate
filing of position information. This system is mandated by the CFTC and is essential to the market
centers in carrying out their self-regulatory functions. In addition, reporting firms are obligated to ensure
that their submission of large trader data is complete and accurate at all times. In the event that a firm
transmits inaccurate or incomplete data, it will be contacted by CFE (or in certain cases by the CFTC or
SIAC) and instructed to immediately send corrected data. Failure to provide accurate large trader data,
or corrections to erroneous data, may result in appropriate disciplinary action.
Exchange Regulatory Contacts
Regulatory Services Division's Interpretation and Guidance Team
Phone:
(312) 786-8141
Email: [email protected]
Contact for Systems Related Issues
SIAC:
[email protected]
CFTC Contact
Margaret M. Sweet: (312) 596-0609
NOTE: LARGE TRADER POSITION REPORT RECORDS ARE DOCUMENTED AT THE CFTC'S
WEBSITE (WWW.CFTC.GOV).
(Replaces CFE Regulatory Circular RG13-09)
Attachment I
ISG LARGE TRADER POSITION REPORTING SYSTEM
INPUT MODIFIED LOPR FILE LAYOUT
V1.2
FILE DESCRIPTION
The ISG Large Trader Position Reporting System will accept a modified Large Option Reporting System
(LOPR) formatted file for submitting Large Trader position reports. The file will contain a (Datatrak)
header record followed by any number of account/position records followed by a single trailer record. An
account’s reportable position(s) for a given date is reported by a series of up to 5 records that define the
account followed by all position records. Service bureaus may report multiple firms in a single file.
Firms should report the details for each account that makes up a reportable position. Reportable
positions are determined by summarizing positions in each account that has been assigned a given
CFTC account identifier at a given firm. The LTPR will report the detail account positions to each SRO.
The CFTC will receive a report of the positions summarized by CFTC account identifier, product
symbols, expiration dates, trade dates and add/change delete indicator.
If a firm wishes to Change or Delete a previously submitted position report and if the original position
report was one of many for a given CFTC account identifier, the firm must resubmit all the details of all
accounts with the same CFTC identifier. As noted above, SIAC will summarize position reports sent to
the CFTC. Because the CFTC receives a single record that potentially consists of the summarization of
more than one individual account, it is necessary for firms to resubmit all the individual accounts and
positions when reporting a Change or Delete. For a Change, resubmission must consist of all the
accounts and positions originally reported that did not change as well as those that did change. For a
Delete, the resubmission must consist of all accounts and positions originally submitted.
A change or delete to a position report must be performed in separate physical file transmission to SIAC.
E.g., if a firm submits an add transaction and wishes to subsequently change the data, it must include
the change transaction in a separate file transmission.
ESTABLISHING CONNECTIVITY TO SIAC
Organizations that do not already have connectivity to SIAC’s Shared Data Center and its Datatrak input
subsystem, must contact SIAC’s Help Desk by electronic mail: at [email protected] or
by telephone at (212) 896-2830 Option 4. Please identify your request by mentioning Datatrak Sysid
28323. You will be issued a ticket number and details will be forwarded to the appropriate support team
who will contact you directly. Various connectivity options will be presented to you. They will also assign
Datatrak Originator and Sub-Originator codes that must be included as part of the Datatrak header and
trailer records.
If you already maintain connectivity to SIAC, you may use the Datatrak Originator and Sub-Originator
you use in other file transmissions.
TESTING REQUIREMENTS
Prior to being approved to submit production data to SIAC, each submitting organization must conduct a
successful test with SIAC. The test will verify connectivity and check the format and content of a test file.
Please contact SIAC’s Client Connectivity Group at (212) 383-5401 and once again identify your request
by mentioning Datatrak Sysid 28323.
DATATRAK HEADER RECORD
The Datatrak header record must be the first record in the file.
Position
1-16
Field Name
System ID
Description
Identifies the file as a Large a Large
Trader Position File.
Format
X(16)
17-20
Originator
Identifies organization sending the
file.
X(4)
21-22
23-26
Filler
SubOriginator
Date
Description
Filler
27-34
35-59
60-80
Identifies organization sending the
file.
Date of file submission.
Textual identification of the file.
X(2)
X(4)
X(8)
X(25)
X(21)
Value
HDR.S28323.E00.C
(There are two zeros – not the
letters “OO” after the “E” above).
Assigned by SIAC please call 212
383 5401
.S
Assigned by SIAC please call 212
383 5401
MMDDYYYY
ISG LOPR FORMAT
Space
ACCOUNT IDENTIFICATION RECORDS
A set of up to 5 records are used to identify an account. The first 34 characters of each set of 5 records
th
are identical. The 35 character is a record type (1-5). The remaining characters of each record are
name and address fields. Record Type 1 also contains the CFTC Account Number and an add, change
or delete indicator. Only record type 1 is required to identify an account. Record types 2-5 are optional.
Position
1
2-7
8-10
11-11
12-15
16-24
25-33
34-34
35-35
36-65
66-77
78-78
79-80
Field Name
ID
Trade Date
Firm ID
Reserved
Branch
Account
Number
Social
Security
Number or
Tax ID
Social
Security
Number or
Tax ID
Indicator
Record Type
Name and
Address.
CFTC
Account
Number.
Update
indicator.
Filler.
Description
Identifies the file type.
Position effective date.
Reporting firm number.
Reserved for future use.
Firm branch code.
Account number.
Format
X(1)
9(6)
X(3)
X(1)
X(4)
X(9)
Value
“S”
MMDDYY
CFTC assigned reporting firm ID.
Must be spaces.
Social Security Number or Tax ID
depending on the Indicator field.
X(9)
If Social Security/Tax ID Indicator
is “F” or “N”, this field should be
zero.
Indicates whether the above field is
a Social Security Number or a Tax
ID.
X(1)
S = Social Security Number
T = Tax ID
F = Foreign
N = Not available
Identifies the record type.
Up to 5 records used to supply the
account’s name and address.
The CFTC account number. Only
required on record type 1.
X(1)
X(30)
“1”, ”2”, “3”, “4” or “5”
X(12)
Indicates whether the report for this
account is an add, change or delete
of a previously reported position.
Only required on record type 1.
X(1)
Right justified and zero filled. This
field should be set to spaces on
record types 2-5.
A = Add
C = Change
D = Delete
This field should be set to spaces
on record types 2-5.
Space
X(2)
POSITION RECORDS
Position records (Record Type 6) appear after the account identification records for a given
account/trade date. Any number of position records may be used to supply all of the accounts
reportable positions.
Position
1-34
Field Name
Record Key
Description
Format
X(34)
35-35
Record Type
X(1)
36-41
Symbol
Identifies the position record
type.
Product symbol.
42-43
Exchange
Code
Exchange on which the position
was obtained.
X(2)
44-47
Expiration
Date
Reserved
Put/Call
48-49
50-50
51-62
63-69
70-76
77-77
Strike Price
Long Quantity
Short Quantity
CFTC Report
Type
78-80
Filler
X(6)
9(4)
Reserved for options on futures.
Reserved for options on futures.
Long position.
Short position.
X(2)
X(1)
9(6)V9(6)
9(7)
9(7)
X(1)
X(3)
Value
Same data as record sequence
numbers 1-5 for this account.
“6”
Do not include the exchange code
as part of the product symbol.
Two character exchange identifier
assigned by the CFTC. If product is
fungible this field should be set to
FF.
YYMM
Spaces
Space for futures.
For options:
P = Put
C = Call
Spaces for futures.
If no position, set to zero.
If no position, set to zero.
R = Position Report.
E = Exchange for Physicals.
D = Delivery Notices.
Spaces
DATATRAK TRAILER RECORD
This record must be the last one in the file.
Position
1-16
Field Name
Trailer ID
Description
Identifies the Trailer Record.
Format
X(16)
17-20
Originator
Identifies organization sending the
file.
X(4)
Value
END.Sxxxxx.E00.C
(There are two zeros – not the letters
“OO” after the “E” above).
Same as Header Record.
21-22
23-26
Filler
SubOriginator
Filler
X(2)
X(4)
.S
Same as Header Record.
X(54)
Spaces.
27-80
Identifies organization sending the
file.
Attachment II
ISG LARGE TRADER POSITION REPORTING SYSTEM
INPUT CFTC STYLE FILE LAYOUT
V1.1
FILE DESCRIPTION
The ISG Large Trader Position Reporting System will accept Large Trader position reports in the CFTC
format from member firms and SROs. The file will consist of a Datatrak (SIAC’s input subsystem)
header record, followed by any number of position reports, and followed by a single trailer record. SROs
and service bureaus may report multiple firms in a single file.
ESTABLISHING CONNECTIVITY TO SIAC
Organizations that do not already have connectivity to SIAC’s Shared Data Center and its Datatrak input
subsystem, must contact SIAC’s Client Connectivity Group at (212) 383-5401. Please identify your
request by mentioning Datatrak Sysid 28322 (see below for special instructions for the CME). Various
connectivity options will be presented to you. They will also assign Datatrak Originator and SubOriginator codes that must be included as part of the Datatrak header and trailer records.
If you already maintain connectivity to SIAC, you may use the Datatrak Originator and Sub-Originator
you use in other file transmissions.
TESTING REQUIREMENTS
Prior to being approved to submit production data to SIAC, each submitting organization must conduct a
successful test with SIAC. The test will verify connectivity and check the format and content of a test file.
Please contact SIAC’s Client Connectivity Group at (212) 383-5401 and once again identify your request
by mentioning Datatrak Sysid 28322.
DATATRAK HEADER RECORD
The Datatrak header record must be the first record in the file.
Position
1-16
Field Name
System ID
Description
Identifies the file as a Large a Large
Trader Position File.
Format
X(16)
17-20
Originator
Identifies organization sending the
file.
X(4)
21-22
23-26
Filler
SubOriginator
Identifies organization sending the
file.
27-34
35-59
Date
Description
Date of file submission.
Textual identification of the file.
60-80
Filler
X(2)
X(4)
X(8)
X(25)
Value
HDR.S28322.E00.C
(There are two zeros – not the letters
“OO” after the “E” above).
For firms and service bureaus:
Assigned by SIAC please call 212
383 5401
.S
For firms and service bureaus:
Assigned by SIAC please call 212
383 5401
MMDDYYYY
For firms and service bureaus:
ISG CFTC FORMAT
X(21)
Space
LARGE TRADER POSITION REPORT RECORDS
The file layout and field definitions are documented at the CFTC’s Website.
DATATRAK TRAILER RECORD
This record must be the last one in the file.
Position
1-16
Field Name
Trailer ID
Description
Identifies the Trailer Record.
Format
X(16)
17-20
21-22
23-26
Originator
Filler
SubOriginator
Filler
Identifies organization sending the file.
X(4)
X(2)
X(4)
Value
END.S28322.E00.C
Additional ID for the CME:
END.S28320.E00.C
(There are two zeros – not the letters
“OO” after the “E” above).
Same as Header Record.
.S
Same as Header Record.
X(54)
Spaces.
27-80
Identifies organization sending the file.
Attachment III
An electronic version of CFTC Form 102 that may be filled in and printed is available
at: http://www.cftc.gov/ucm/groups/public/@forms/documents/file/cftcform102.pdf