This Advisory Notice supersedes Market Regulation Advisory Notice RA1003-5 from March 29, 2010, and is being issued to advise clearing member firms and omnibus accounts that effective on August 6, 2012, firms will have an additional hour to make adjustments to their large trader submissions to CME Group Exchanges. The large trader adjustment deadline will be moved to 9:00 a.m. Central Time (“CT”)/10:00 a.m. Eastern Time (“ET”). The current deadline is 8:00 a.m. CT/9:00 a.m. ET. Large trader reporting requirements are set forth in each Exchange’s Rule 561 (“Reports of Large Positions”), a copy of which appears on page 3 of this Advisory Notice.
Additionally, CME Group has made enhancements to the Large Trader: Firm Edition (“LTFE”) portal to provide tools designed to assist firms in reporting accurately. This new functionality became available with positions for July 20 and is further described below.
Accurate and Timely Reporting Requirements
All clearing firms and omnibus accounts are reminded of their obligation to accurately report open interest, large trader positions and, where applicable, long positions eligible for delivery consistent with required submission deadlines. This requirement includes ensuring that open interest and large trader positions resulting from option assignments are accurate.
Open Interest (PCS) Submission: 6:00 p.m. CT / 7:00 p.m. ET for NYMEX and COMEX products
7:30 p.m. CT / 8:30 p.m. ET for CME and CBOT products
Open Interest (PCS) Adjustments: The deadline for PCS adjustments for all CME Group Exchanges is 8:00 a.m. CT / 9:00 a.m. ET
Large Trader Submission: 7:00 a.m. CT / 8:00 a.m. ET for all CME Group products
Large Trader Adjustments: Error corrections or any other adjustments to the large trader position file must be completed using the web-based LTFE portal application. Effective August 6, 2012, the large trader adjustment deadline will move to 9:00 a.m. CT/10:00 a.m. ET.
Large Trader: Firm Edition Portal
The LTFE portal, LTFE has been enhanced to allow clearing member firms to generate a large trader and open interest comparison report (“Misreporting Report“) by product, contract month and, for options, by strike price. The Misreporting Report also allows clearing member firms to query reported positions and to utilize static queries to assist in identifying additional potential reporting discrepancies such as potential offsets and over- or under-reporting of positions.
Market Regulation strongly encourages firms to utilize the new functionality to assist in the identification of potential reporting discrepancies in order to ensure that any necessary adjustments are submitted by the established adjustment deadlines.
An LTFE manual is available on the LTFE portal for reference.
Omnibus Account Reporting
Omnibus accounts that carry reportable positions pursuant to Rule 561 must submit reportable large trader positions directly to the exchange via FTP to the CME Group File Server. Omnibus reporting entities may submit large trader positions using the CFTC-assigned alpha firm ID. If an omnibus entity does not currently submit large trader positions and is not set up to submit via FTP, the entity should contact the Market Regulation Department Large Trader Group to obtain further reporting instructions. The omnibus entity may use the following large trader file layout: http://www.cftc.gov/IndustryOversight/MarketSurveillance/LargeTraderReportingProgram/ltrformat.html
In order to ensure accurate open interest and large trader positions, Clearing Members are required to obtain timely offset instructions for all accounts they carry, including omnibus accounts. Clearing Members are responsible for the accurate position reporting of accounts carried on their books on an omnibus basis. Accordingly, Clearing Members must have appropriate procedures in place to ensure the that any position offsets for omnibus accounts are timely reported no later than the established adjustment deadlines set forth above.
Questions regarding this Advisory should be directed to Sandra Valtierra, Manager, Market Surveillance, at 312.347.4137 or Sandra.Valtierra@cmegroup.com.
For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or firstname.lastname@example.org.
Rule 561. Reports of Large Positions
561.A. General Provisions
Clearing members, omnibus accounts and foreign brokers shall submit to the Exchange a daily report of all positions required to be reported as set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations Section at the end of Chapter 5. Positions at or above the reportable level in a particular expiration month of a futures contract or in all puts or in all calls of a particular option contract expiration month trigger reportable status. For a person in reportable status in a particular contract, all positions, regardless of size, in any futures contract month and in any put or call on that futures contract must be reported.
Additionally, the daily Large Trader submission to the Exchange must include for each reportable account 1) the EFRP volume bought and sold in the reportable instrument, by contract month, and for EOOs by put and call strike and 2) the number of delivery notices issued and the number of deliveries stopped in the reportable instrument.
Failure by an omnibus account or foreign broker to submit required information may result in a hearing by the Business Conduct Committee and result in limitations, conditions or denial of access of such omnibus account or foreign broker to any Exchange market. Notwithstanding the above, clearing members carrying such accounts remain responsible for obtaining and providing to the Exchange information regarding the ownership and control of positions in circumstances where an omnibus account or foreign broker has failed to provide the information to the Exchange.
All large trader reports shall be submitted in a form acceptable to the Market Regulation Department. The Exchange may require that more than one large trader report be submitted daily. The Business Conduct Committee or the Market Regulation Department may require reports from any clearing member, omnibus account or foreign broker on a lesser number of positions than reflected in the Position Limit, Position Accountability and Reportable Level Table.
Clearing members, omnibus accounts and foreign brokers must provide the Market Regulation Department with the required CFTC Form 102 (“Identification of Special Accounts”) identifying the owner, any controlling parties and any additional required information for each reportable account. The form must be submitted to the Market Regulation Department no later than the business day following the date on which the account becomes reportable. Additionally, any material changes to the information previously provided to the Market Regulation Department will require the submission of a revised form within three business days of such changes becoming effective.
561.B. Reportable Levels
The reportable levels for all contracts are set forth in the Position Limit and Reportable Level Table in the Interpretations Section at the end of Chapter 5.