MIFID II POSITION REPORTING GUIDANCE 24 November 2017

Fall 08

1. Introduction ...... 3 2. Who has to report and why? ...... 3 2.1. Delegation of Reporting ...... 4 3. What has to be reported? ...... 6 3.1. Which Contracts? ...... 6 3.2. Position Limits and Aggregation of Contracts ...... 6 3.3. Risk Reducing Positions ...... 7 4. Reporting Logic ...... 9 4.1. Position ISIN Codes ...... 9 4.2. Reporting Entity ID, Position Holder ID and Ultimate Parent Entity ID...... 10 4.2.1. Legal Entity Identifiers (“LEI”) ...... 10 4.2.2. National ID ...... 11 4.3. ICE’s logic for determining Spot Month or Other for MIFID Position Limits and Reporting ...... 12 4.4. Treatment of Options Positions ...... 13 4.5. Treatment of Expiring Futures and Options Contracts ...... 13 4.6. Aggregation of Data ...... 14 5. Submission of MIFID Position Reports ...... 15 5.1. Where do I submit? ...... 15 5.2. Reporting Format ...... 16 5.3. How often should you report and when should you report by? ...... 16 5.4. Location of Daily Delta Files ...... 17 5.5. What if I had a position and no longer have a position? ...... 17 6. Other File Specifications ...... 18 6.1. File Naming convention ...... 18 6.2. Validations on Submitted Position Reporting Files ...... 19 6.3. Correction, cancellation and amendment of files and records...... 19 6.4. Can a third party report on my behalf? ...... 21 6.5. How many Reporting Entity IDs can there be in a single MIFID Positon Reporting File? 21 7. How will ICE treat my confidential data? ...... 22 8. Compliance ...... 22 9. Monitoring of file submissions and positions ...... 23 9.1. Reconciliation ...... 23 10. Contact ...... 23

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Appendix A ...... 24 Appendix B ...... 24

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1. Introduction

ICE Futures Europe and ICE Endex (Collectively “the Exchanges”, “Trading Venues” or “ICE”) have created this document to provide guidance as to their MIFID Position Reporting regime for their Contracts that are deemed reportable as per Articles 58(1)(b) and 58(3) of MIFID II 1 . Members of the Exchanges, Investments Firms and any other entity or person reporting positions for MIFD II should review this document and the information produced by the relevant National Competent Authority (“NCA”) of each Trading Venue2. Defined terms used herein will have the meaning ascribed to them in the Exchange Rules, unless otherwise defined. 2. Who has to report and why?

MIFID II requires that Trading Venues report to their relevant NCA on a daily basis, a breakdown of positions held by all persons on that trading venue in Commodity and emissions allowances or their derivatives3.

Article 58(3) 4 provides that in support the position limit regime being imposed, Members of regulated markets should report details of their own positions held on contracts traded on that trading venue on a daily basis,

“…as well as those of their clients and the clients of those clients until the end client is reached…”

The Exchanges will require that all Exchange members report all end-of-day positions they or their clients hold on ICE Exchange Traded Contract to ICE on a T+1 basis. However, non- member investment firms and any other entity or person wishing or considering whether they have a reporting obligation should seek their own legal advice.

Those persons considering MIFID Position Reporting and related Position Limits should consider ESMA’s Questions and Answers on MIFID II and MiFIR Commodity Derivatives Topics5, including

1 Directive 2014/65/EU found at: http://eur-lex.europa.eu/legal- content/EN/TXT/?uri=celex%3A32014L0065 2 For ICE Futures Europe the relevant National Competent Authority is the UK Financial Conduct Authority (“FCA”) who have published details to: https://www.fca.org.uk/markets/mifid- ii/commodity-derivatives For ICE Endex the Dutch Authority for Consumers & Markets is the relevant National Competent Authority 3 See the FCA Commodity position Reports Instructions found at: https://www.fca.org.uk/publication/systems-information/commodity-position-reporting- instructions.pdf 4 See Article 58(3) of Directive 2014/65/EU found at: http://eur-lex.europa.eu/legal- content/EN/TXT/?uri=celex%3A32014L0065 5 See: https://www.esma.europa.eu/document/qa-mifid-ii-and-mifir-commodity-derivatives-topics

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their guidance with respect to netting positions and treatment of non-EU Entities. Please be aware relevant NCA’s may also produce guidance or other documentation on the matter. 2.1. Delegation of Reporting To assist Exchange Members with their reporting obligations, the Exchanges will permit the following types of delegated reporting, subject to the obligations listed in this section:

(a) non-clearing Exchange Members (“NCMs”) may delegate the reporting of positions to a Clearing Member (“CMs”)(NCMs and CMs together “Exchange Members”); and

(b) clients of Exchange Members (“Clients”) may report directly to the Exchanges.

In instances where interested parties have opted for delegated reporting, the following will apply:

(a) the delegation of reporting will be subject to all interested parties’ agreement and in all cases with the consent of the relevant Exchange Member with whom the MiFID II obligations rests;

(b) the delegation of reporting is done on the basis that all relevant positions and information (e.g. identifying risk-reducing or speculative positions) is provided accordingly by the reporting entity. To this end, Clients should provide all reasonable assistance to their Exchange Members, ensuring that such Exchange Members can meet their position reporting obligations; and

Interested parties wishing to benefit from the delegated reporting must fill in the MiFID II Position Reporting Form attached to this guidance (see Appendix A) and return it to the Exchange(s). All forms must be countersigned by other interested parties, such as the relevant NCM, CM, intermediary firm or clearing broker (as applicable), prior to such reporting being undertaken.

Where the Client holds positions via multiple Exchange Members (or clearing brokers), a countersigned form for each Exchange Member (or clearing broker) must be provided to the relevant ICE Exchange(s) prior that client directly reporting the relevant positions to the Exchanges directly.

As per the UK Financial Conduct Authority’s (FCA) Commodity Position Reporting Instructions6, under UK FCA Handbook MAR 10.4.11 G (4)7, an investment firm can arrange for its position reports for commodity derivatives, or emission allowance, traded on a Regulated Market to be submitted on its behalf by a trading venue where the relevant commodity derivative or emission allowance is traded. The investment firm will retain responsibility for the completeness, accuracy

6 See: https://www.fca.org.uk/publication/systems-information/commodity-position-reporting- instructions.pdf 7 https://www.handbook.fca.org.uk/handbook/MAR/10/?view=chapter

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and timely submission of the report and the report should be populated with the position holders ID being their LEI.

Investment firms which hold positions only in commodity derivatives, emission allowances, or derivatives thereof traded on a Regulated Market do not have an obligation to report under article 58(2) MiFID II. To the extent that an investment firm is a trading venue participant, it should report these positions, and those of its client chain, to the trading venue in accordance with Article 58(3) MIFID II, which will then be reported to the FCA by the trading venue.

Other useful sources for firms to consider whether they have a reporting include the MAR 10 sourcebook published with the FCA MIFID II Policy Statement PS 17/58.

Where an Exchange Member, investment firm or other reporting entity (“Reporting Entity” also known as “RE”) uses a third party technology provider or other entity to undertake their MIFID Position Reporting on their behalf, the relevant Member, investment firm or reporting firm will retain responsibility for completeness, accuracy and timely submission of the MIFID position report9.

8 Found at: https://www.fca.org.uk/publications/policy-statements/ps17-5-mifid-ii-implementation

9 See also MAR 10.4.11 G (2) found at: https://www.handbook.fca.org.uk/handbook/MAR/10/?view=chapter

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3. What has to be reported?

Long or Short End-of-Day Positons in ICE Commodity Contracts are reportable. All Reportable positions should be reported Net by Position Holder. All End of Day Positions in ICE Commodity Contracts are reportable for MIFID Position Reporting. For the purposes of this document these End-of-Day Positions will be known as Reportable Positions (“RP”). 3.1. Which Contracts? This means that all Futures and Options contracts for the following Market Identifier (“MIC”) Codes are deemed MIFID reportable:  IFEU  IFLX  NDEX For MIC Code IMCO and subject to further announcements by ICE, one contract (contract code “TTO”) will be deemed reportable. Any further reportable contracts for MIC Code IMCO will be announced by Circular where applicable. Positions gained via any Emissions Primary Auction hosted by ICE Futures Europe or ICE Endex will not be subject to position reporting unless stated as such by the relevant Exchange. Should the ICE introduce further MIC Codes where there are applicable MIFID reportable contracts, these will be announced by Circular or other public communication published by ICE. All end of day positions will be deemed reportable (including a one lot position). For clarity, MIFID Position Reporting will include positions in Emissions Futures and Options contracts (such as EUA, CER and Daily EUAs). Contracts subject to MIFID Position Reporting will be deemed “MIFID Reportable Contracts” (Or “RC”). 3.2. Position Limits and Aggregation of Contracts Market participants should be aware that Commodity Contracts are subject to positon limits are per Commission Delegated Regulation (EU) 2017/59110 (also known as “RTS 21”). The FCA has published a list Position Limits and aggregating contracts using the methodology in RTS 21.

The FCA has published the applicable bespoke and de minimis contracts which should be aggregated for the purpose of calculating a person’s position and determining whether the relevant limits are complied with. This list can be found at the following location: https://www.fca.org.uk/markets/mifid-ii/commodity-derivatives/position-limits

10 http://eur-lex.europa.eu/legal- content/EN/TXT/?uri=uriserv:OJ.L_.2017.087.01.0479.01.ENG&toc=OJ:L:2017:087:TOC

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The Dutch Authority for the Financial Markets (AFM) will publish Position Limits for ICE Endex reportable contracts under the following link: https://www.afm.nl/en/professionals/onderwerpen/mifid-2/grondstofderivaten-emissierechten- positielimieten

Please be aware that the FCA and/or AFM may change a position limit as a result of an ESMA Opinion, or in the event we decide it is necessary to do so.

Limits will be applied to aggregated positions with separate limits for the Spot and Other Months Period basis11. Please see below for further information on how ICE will aggregate the position information it receives.

3.3. Risk Reducing Positions As per RTS 21 Article 712 (as per Article 57(1) of Directive 2014/65/EU) non-financial entities may hold positions in a commodity derivatives traded on trading venue may qualify as risk reducing positions (essentially a “hedge”) where such activity directly relates -to the commercial activities of that entity and fulfils certain criteria:

Art 7.1 “(a) …reduces the risks arising from the potential change in the value of assets, services, inputs, products, commodities or liabilities that the non-financial entity or its group owns, produces, manufactures, processes, provides, purchases, merchandises, leases, sells, or incurs or reasonably anticipates owning, producing, manufacturing, processing, providing, purchasing, merchandising, leasing, selling or incurring in the normal course of its business”

(b).. it qualifies as a hedging contract pursuant to International Financial Reporting Standards (IFRS) adopted in accordance with Article 3 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (1)..”

Please see the regulation for further details.

As a result, non-financial entities may have to report both hedge and speculative positions for the same contract maturity 13 . Where an entity has is not reporting directly but has a hedge or speculative positions breakdown to report, it should consider how it communicates this breakdown to the relevant entity that is reporting on its behalf.

11 For further details please see: https://www.fca.org.uk/markets/mifid-ii/commodity- derivatives/position-limits 12 See Commission Delegated Regulation (EU) 2017/591: http://eur-lex.europa.eu/legal- content/EN/TXT/?uri=uriserv:OJ.L_.2017.087.01.0479.01.ENG&toc=OJ:L:2017:087:TOC 13 See Articles 3 and 4 of Commission Delegated Regulation (EU) 2017/591: Ibid

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Where an entity wishes to apply for an exemption from Positon Limits, it should undertake this on the basis of RTS 21 Article 8. Such applications should be made to the relevant national competent authority of the relevant trading venue.

Please find below useful links to the FCA14 and AFM15 Hedging exemption portals.

UK FCA

FCA Position Limit Exemption Form can be found at: https://fca.org.uk/publication/documents/cpr- exemption-form-format.pdf

The FCA Guide to Completing the Commodity Position Limit Exemption Form can be found at: https://www.fca.org.uk/publication/forms/commodity-position-limits-exemption-application- guide.pdf

Dutch AFM https://www.afm.nl/en/professionals/onderwerpen/mifid-2/grondstofderivaten-emissierechten- positielimieten

14 See: https://www.fca.org.uk/markets/mifid-ii/commodity-derivatives 15 See: https://www.afm.nl/en/professionals/onderwerpen/mifid-2

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4. Reporting Logic

4.1. Position ISIN Codes All Reportable Contracts (“RC”) will be identified using International Securities Identification Number’s (“ISIN”) at the Contracts Instrument (“CI”) Level. The ISIN Code will be supplied by ICE. This means there will be an ISIN for each maturity, and for options at each strike whether Put or Call (“Reportable ISIN”). An ISIN is a 12 digit number containing 11 alpha numeric values 16 with the 12th value being a Check Sum of the other 11 characters . The Contract Instrument (“CI”) represents the lowest, granular level of an ICE Reportable Contract that can be held as a net long or net short position with ICE:  The Futures CI will consist of the following values: o The Market Identifier Code (“MIC”) o The Commodity Code o The day or month of the expiry of the contract held

 The Option CI will consist of the following values: o The MIC o The Commodity Code o The day or month of the expiry of the contract held o The Put/Call indicator o The Strike Price Every End-of-Day position held for each reportable ISIN should be reported. A list of ISINs, Corresponding Physical Contract Codes and other reference data will be published to the following location on the ICE Website: https://www.theice.com/marketdata/reports/232 The ISIN file will be a CSV file which will detail the ISINs to the corresponding PCC code broken down by futures, options, maturity, strike and option type etc. This file will be available on the website for seven business days from the date of its publication.

16 http://www.isin.org/education/

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Figure 1 - Example of the ICE ISIN File

4.2. Reporting Entity ID, Position Holder ID and Ultimate Parent Entity ID. Every record submitted will have three ids, these being the Reporting Entity ID, Position Holder ID and the Ultimate Parent Entity ID. The ID fields can be populated with either: 1. A Legal Entity Identifier (“LEI”) for legal entities; or 2. A National ID {NATIONAL_ID} for natural persons not having a LEI. In Field 8, the submitting party, as the RE submitting the record will provide their Reporting Entity ID. The Reporting Entity ID will be either the LEI (“Reporting Entity ID”) of the relevant investment firm or National ID {NATIONAL_ID} should the submitter be a natural person17. In Field 14, the Position Holder ID for the entity or individual holding the position. This Field should be populated with LEI for the relevant legal entities or National ID {NATIONAL_ID} for natural persons not having a LEI. (Note: if the position is held as a proprietary position of the reporting firm, this field will be identical to field “Reporting Entity ID”). In Field 19, the Ultimate Parent Entity ID. This entity may be identical to “Reporting Entity ID” field and/or “Position holder ID” field, if the ultimate parent entity holds its own positions, or makes its own reports.

4.2.1. Legal Entity Identifiers (“LEI”) An LEI code must be 20 alphanumeric characters and based on the ISO 17442 standard developed by the International Organization for Standardization (ISO). LEIs are unique for each legal entity and need to be refreshed annually for a fee. LEIs can be obtained from a Local

17 For the sake of clarity, though subject to all relevant applicable laws and regulations, this being a human individual with appropriate authorizations, licenses, qualifications etc. as may be deemed necessary by any relevant regulatory or other statutory body as the appropriate person for such a MIFID Position Reporting undertaking. That natural person should hold such identification documentation as required by the relevant regulations.

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Operating Units (LOU) endorsed by the LEI Regulatory Oversight Committee (“ROC”). For list of LOUs, please see following link for more information: https://www.leiroc.org/ In the United Kingdom, the approved LOU is the London Stock Exchange 18 and in the Netherlands, it is the Dutch Chamber of Commerce (KvK)19. ALL LEI data received will be validated against Global Legal Entity Identifier Foundation (“GLEIF”)20.

4.2.2. National ID For MIFID Position Reporting natural persons National ID can be up to a maximum of 35 characters. The minimum length is 3 characters. The characters should be "European" alphanumeric and special characters. In addition when reporting with a national ID for MIFID Position Reporting, the name of the identification scheme ("NIDN" - National Identifier OR "CCPT" - Passport Number) must also be report in the "Cd" field; or when reporting with a proprietary "free text" identification scheme, "CONCAT" must be reported in the "Prtry" field. Where using a CONCAT identifier, this should follow the procedure as defined in Articles 6(1) and 6(4) of the Commission Delegated Regulation (EU) 2017/59021.

18 See: https://www.lseg.com/LEI 19 http://www.kvk.nl/english/how-to-register-deregister-and-report-changes/legal-entity-identifier- lei/ 20 See: https://www.gleif.org/en 21 For further guidance see page 22 of https://www.esma.europa.eu/file/21278/download?token=7gCWzi_l

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4.3. ICE’s logic for determining Spot Month or Other for MIFID Position Limits and Reporting Reporting Firms should be aware that MIFID Position Reporting will be used by the relevant NCA, such as the FCA and AFM, to monitor positions. As part of the Positon Limit Regime being applied under MIFID II, positions are broken down into two pools to reflect Spot and Other. The relevant NCA will review the positions received via the MIFID Positions Reports to determine whether any such positions in in breach of the relevant Sport or Other limits. Please note that RTS 21 Article 222 provides that a Spot contract is the next to expire in accordance to the rules set by the relevant Trading Venue. ICE will determine the Spot month based on the ISIN. For MIFID Position Limit purposes, the Spot Period will be deemed to cease on the Last Trading Day of the relevant Futures Contract maturity. For the purposes of explaining its logic, ICE will use the following terms:

 Non-Correlated Futures This is a futures or options contract that is not correlated with another futures or options contract.

 Correlated Futures (Aggregating) This is a futures contract that is either positively or negatively correlated with another Contract. This type of contract will determine its SPOT/OTHR designation based on the future it is correlated to, which by definition must be a Non-Correlated Future.

 Option An option on one of the futures contracts as described above. An Option contract will determine its SPOT/OTHR designation based on the Non-Correlated Future that it is either directly associated with, or that it is associated with via correlation.

On this basis, the following logic will be used on the follows terms:

For a Non-Correlated Futures Contract (or Option of such), ICE will determine the Spot Last Trade Date for the relevant maturity (strip) on that business date. If the Last Trade Date for that maturity (to which the position relates) is after that the Last Trade Date of the Spot Non- Correlated Futures Contract, the position and maturity will be deemed to be Other. If the Last Trade Date of the maturity is equal to or before the Last Trade Date of the determined Spot Contract for the relevant Non-Correlated Futures Contract, that Contract will be deemed a Spot Contract.

For a Correlated Futures Contract (or Option of such), ICE will determine the Spot Last Trade Date for the relevant maturity (strip) as of that business date. If the relevant maturity for that Correlating Futures Contract (to which the position relates) has a Last Trade Date that is after the

22 See Article 2 of Commission Delegated Regulation (EU) 2017/591: http://eur- lex.europa.eu/legal- content/EN/TXT/?uri=uriserv:OJ.L_.2017.087.01.0479.01.ENG&toc=OJ:L:2017:087:TOC

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Last Trade Date of the Spot Contract to which that Correlated Futures Contract correlates, that position will be deemed an Other Contract. If the Last Trade Date of the relevant maturity (to which the position relates) is equal to or before the Last Trade Date of the determined Non- Correlated Spot Contract to which that Correlated Futures Contract correlates, that contract will be deemed a Spot Position.

4.4. Treatment of Options Positions As per ESMA’s Guidance23, options positions are converted into positions in their respective future contracts on the basis of the current delta to arrive at a delta equivalent futures position. Long delta equivalent positions on calls and short delta equivalent positions on puts should be added to positions on futures. Short delta equivalent positions on calls and long delta equivalent positions on puts should be subtracted from positions on futures. The basis of this conversion will be done according to the options delta as provided by ICE (see section 5.4) 4.5. Treatment of Expiring Futures and Options Contracts Subject to any guidance published by relevant regulatory authorities, where a futures position has expired on the last trading day, the position will be deemed reportable; this being the position immediately prior to the clearing settlement of the relevant expiring contract. For options contracts, irrespective of whether the option position is in the money or not, it should be an RP (i.e. the option position held immediately prior to contract exercise). It should be noted that MIFID Position Reporting includes the reporting of Option ISINs at a gross (/PstnQty) and an optional delta adjusted level (/DeltaPstnQty). ICE will calculate all options to a delta adjusted futures equivalent using the Exchange’s delta factor.

See also Section 5.5

23 See Question 9 of https://www.esma.europa.eu/document/qa-mifid-ii-and-mifir-commodity- derivatives-topics

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4.6. Aggregation of Data Upon receipt of the data, ICE systems will start to aggregate Position Holder records at a SPOT/OTHR product level only which may potentially include information from multiple REs prior to its submission to the relevant NCA. By way of example, if the following position records were submitted on a single Business Date and considered SPEC (H/S):

Risk RptEnt PosHldr PrntEnt PosHldr ISIN Desc PstnQty FutEq PstnQty RdcInd ABC12 DEF101 PAR100 EUICE0000014 ICE Brent 100.00 100.00 S 1 3 Feb18 ABC12 DEF101 PAR100 EUICE0000014 ICE Brent -100.00 -37.50 -37.50 S 3 Feb18 55.00 2 Call ABC12 DEF101 PAR100 EUICE0000028 ICE Brent -100.00 -100.00 S 3 3 Mar18 BBB33 DEF101 PAR100 EUICE0000014 ICE Brent 100.00 100.00 S 4 3 Feb18 CCC222 DEF101 PAR100 EUICE0000014 ICE Brent -250.00 -250.00 S 5 Feb18 CCC222 DEF101 PAR100 EUICE0000018 ICE Brent 0.00 0.00 S May18

If the above data received was received by ICE this would result in the following aggregation:

Risk RptEnt PosHldr PrntEnt PosHldr ISIN SPOT/OTHR PstnQty RdcInd 1 DEF101 PAR100 EUICE0000014 SPOT -87.50 S 2 DEF101 PAR100 EUICE0000028 OTHR -100.00 S 3 DEF101 PAR100 EUICE0000018 OTHR 0.00 S

In the above example, the end result is ICE will report the combined SPOT/OTHR positions records from REs ABC123, BBB333 and CCC222 on behalf of DEF101 to the relevant NCA. Note: in the above aggregated table the RE values are left blank for two reasons: 1) There are (potentially) multiple RE values that are submitting positions to ICE for the same PH. 2) ICE will replace the RE with the relevant MIC value (IFEU, IFLX, NDEX, or IMCO) when reporting onto the regulator. Position Holders who wish to report independently of any investment firm (whether this be an Exchange Member or Other) should make their reporting intentions expressly clear to the relevant entity. The Exchange will not be held responsible for communication between Exchange Members and their clients.

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5. Submission of MIFID Position Reports

5.1. Where do I submit? At a basic level, MIFID Position Reports should be submitted by the Reporting Entity (“RE”) via Secure File Transfer Protocol (SFTP) to the ICE MIFID Managed File Transfer (“MFT”). The RE should request access to the MFT directory for MIFID Files (“the MFT MIFID Service”) via a request form. Submission of the form (to [email protected] and copying in [email protected]) should also include a public key generated by the RE (REs should speak to their relevant information technology teams and ask them to generate). ICE MIFID MFT Access Request Forms can be found at the following Locations: ICE Endex https://www.theice.com/endex/market-resources ICE Futures Europe https://www.theice.com/futures-europe/market-resources ICE Community https://community.theice.com/docs/DOC-22227 It is the responsibility of the RE to request access and where they permission the use of a third party technology provider, the RE should provide the relevant contact details of that person with their MIFID MFT Access Request Form. Res submitting MIFID Position Reporting Files should be submitted to the following location: mifid/submission/position For further details on the ICE MIFID MFT, please see the following user guide located in ICE Community: https://community.theice.com/docs/DOC-22224 Found at: https://community.theice.com/community/mifid-ii-mifir

If you do not have access to ICE Community, please visit: https://community.theice.com/login.jspa. Use the “Don’t have an account?” option to start the two step account creation process. Please note that you must use an email address that is set up on your company domain. No @yahoo.com, @gmail.com, @hotmail.com email addresses will be approved for access to ICE Community. Once you have validated your email address you will need to create your account. At that point, you will be required to respond to “Why I need access to ICE Community.” Please use the following reason: “MIFID Position Reporting”.

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5.2. Reporting Format The Exchanges will use a reporting format agreed by multiple industry bodies, participants and trading venues as the industry standard to facilitate position reporting under MiFID II. The EFET- FIA ITS 4 Schema builds upon the schema developed by the UK Financial Conduct Authority (FCA) on the basis of Implementing Technical Standard 4 24 (ITS4) drafted by the European Securities and Markets Authority (ESMA) and adopted by the European Commission in 2017. The EFET-FIA ITS4 schema allows for the provision of the extra static data for position reporting, as well as additional information required by trading venues to complete the Commitment of Trader Report The EFET-FIA ITS4 schema can be found at: https://community.theice.com/community/mifid-ii-mifir/mifid-ii-position-reporting You will also find at the above location sample files and industry agreed guidance notes relating to the daily position report. The Exchanges hope that by utilizing this industry agreed format, Members and other market participants will have a reduced the burden placed on their resources with respect to the reporting obligations. If you do not have access to ICE Community, please visit: https://community.theice.com/login.jspa. Please use the “Don’t have an account?” option to start the two step account creation process. Please note that you must use an email address that is set up on your company domain. No @yahoo.com, @gmail.com, @hotmail.com email addresses will be approved for access to ICE Community. Once you have validated your email address you will need to create your account. At that point, you will be required to respond to “Why I need access to ICE Community.” Please use the following reason: “MIFID Position Reporting”. Please note that further documentation may be added to the MIFID II EU Position Reporting space on ICE Community from time-to-time. 5.3. How often should you report and when should you report by? Members and relevant REs should aim to submit a first version of their MIFID Position Reporting Files to the Exchanges by 10:00am UTC on a T+1 daily basis. Please note, however that the Exchanges will allow REs until 14:00 UTC for the final submission deadline or to make T+1 revisions as they deem appropriate in order to resolve any immediate identified file issues. After 14:00 UTC, ICE will start formally processing the data received and submit the information to the relevant NCA. If the relevant ICE Exchange is open for trading during a public holiday, then this day will be deemed a reportable day as with any other trading day. Further details as to Exchange Trading Schedules can be found on the ICE website in the Market Resources areas of the Exchanges.

24 See Commission Implementing Regulation (EU) 2017/1093 laying down implementing technical standards with regard to the format of position reports by investment firms and market operators http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=OJ:L:2017:158:TOC

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For ICE Endex, please see: https://www.theice.com/endex/market-resources For ICE Futures Europe, please see: https://www.theice.com/futures-europe/market-resources Please note that the FCA has said that where a Trading Venue is closed, they will carry forward positions from the previous working day. The FCA have also said that if an entity does not submit data for another reason, such as technical failure, then the FCA may choose to carry forward positions received from the entity from the previous reporting day25.

5.4. Location of Daily Delta Files ICE will generate daily delta factor files, which can be accessed by REs and Position Holders and these files will be placed into the ICE MFIID MFT. Details as to the location within the MFT directory structure can be found in following user guide located in ICE Community: https://community.theice.com/docs/DOC-22224 Found at: https://community.theice.com/community/mifid-ii-mifir

5.5. What if I had a position and no longer have a position? Where position ceases to exist, a RE should submit a record with a zero position for the first day when the position is zero, to indicate that the position no longer exists.

25 See page 4 of the Commodity Positon Reports - Reporting Instructions found at: https://www.fca.org.uk/markets/mifid-ii/commodity-derivatives

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6. Other File Specifications

6.1. File Naming convention The RE will use the following file name convention when reporting XML position files to ICE MFT:

# Header Type Description Example 1 Sender_ STR(3) The ICE three character directory identifier given AAA, BB1, XYZ to the RE by ICE System Operations (SOPT) 2 File Desc_ A(11) The value will always be “MIFIDEODPOS” for MIFIDEODPOS reporting of the MiFID end-of-day positions 3 Recipient_ A(3) The value will always be “ICE” ICE 4 File Date_ STR(8) The next 8 will be the date value of the file 20180104 submission in the following format: yyyymmdd 5 Sequence_ N(2) The next two numbers will be an incremental 01 value identifying the submission number for that 02 Key1 value above and will always start with 01. 03… Each subsequent submission will be incremented by ‘1’. Second submission in the same day - 02, third submission in the same day - 03, and so on. 6 File Type STR(4) The XML file will be zipped prior to submission to .xml the ICE MFT. .zip

Example: RE (AAA) submits a position file to ICE for January 4th, 2018 for the 3rd’s position records. The file’s first submission to ICE will be the following:

First daily XML file: AAA_MIFIDEODPOS_ICE_20180104_01.xml Zipped: AAA_ MIFIDEODPOS_ICE_20180104_01.zip

If a subsequent file is submitted in the same day:

Second daily XML file: AAA_ MIFIDEODPOS_ICE_20180104_02.xml Zipped: AAA_ MIFIDEODPOS_ICE_20180104_02.zip

Note: MFT will apply a timestamp to version each file it receives from the RE. This does not remove the need for the RE to report files with proper sequence numbers and in sequence.

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6.2. Validations on Submitted Position Reporting Files The Exchanges will automate feedback to the RE shortly after processing. The Exchange will automate feedback to an email provided by the RE in their MIFID MFT Access Request Form. The Exchange Compliance teams will also at their discretion follow-up with REs and Position Holders if a position file submission contains invalid or improperly structured position data.

A list of validations used for MIFID Position Reporting Files will be placed here: https://community.theice.com/community/mifid-ii-mifir/mifid-ii-position-reporting

6.3. Correction, cancellation and amendment of files and records. There are two types of correction that can be made:

 Cancel and correction of entire file and replace with a new version with an updated file name;  Correction of individual records.

ICE will accept three XML record type submissions:

 NEWT - New position record  AMND - Amend a previously submitted NEWT position record with updated data  CANC - Cancel a previously submitted NEWT or AMND position record

Only the RE of the Position Holder data can amend (“AMND”) or cancel (“CANC”) a previously submitted position record. The following criteria are used to define a unique record ‘key’ for a position record:

 Reporting Entity  Trade Date  Report Reference Number  Position Holder Entity  ISIN value has to be same as NEWT record

If the RE has to submit an AMND a record then ‘Unique Key’ values should be the same as those for a previously submitted NEWT record will be accepted.

Please see the following business rules to be applied when submitting NEWT, AMND and CANC records:

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Inbound BusDt Position Record[1] Position Record Result Comment RepTyp Exists in ICE State in ICE Database Database Current NEWT No -- Accept Normal Day Recognized as a Current correction to NEWT Yes Not Accepted Accept Day previous submission Accepted Position Current NEWT Yes Accepted Error exists, only AMND Day and CANC allowed Normal (Late NEWT Prior Day No -- Accept reported position) Recognized as a late correction to NEWT Prior Day Yes Not Accepted Accept previous submission Accepted Position NEWT Prior Day Yes Accepted Error exists, only AMND and CANC allowed Current Must exist to be AMND No -- Error Day amended Recognized as a Current correction to AMND Yes Not Accepted Accept Day previous submission Current AMND Yes Accepted Accept Normal Day Must exist to be AMND Prior Day No -- Error amended Recognized as a late correction to AMND Prior Day Yes Not Accepted Accept previous submission AMND Prior Day Yes Accepted Accept Normal Current Must exist to be CANC No -- Error Day cancelled Recognized as a Current cancellation of CANC Yes Not Accepted Accept Day previously errored submission Current CANC Yes Accepted Accept Normal Day Must exist to be CANC Prior Day No -- Error cancelled Recognized as a late cancellation of CANC Prior Day Yes Not Accepted Accept previously errored submission Note: This has no impact on what was reported to CANC Prior Day Yes Accepted Accept FCA/AFM for the prior day, since the errored record

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would not have been included Note: Normal

[1] In this table, the term “Position Record” refers to the combination of Reporting Entity, Business Date, Report Ref No, and Position Holder as these items combined are the unique key to a given Position in the Reporting Entity’s point of view.

6.4. Can a third party report on my behalf? Yes, please see the above in Section 2.1. Exchange Members and investment firms will have to expressly permission a third party or other Exchange Members to undertake position reporting on their behalf. Where a third party vendor is used, the RE should submit the appropriate MIFID Access Request Form.

6.5. How many Reporting Entity IDs can there be in a single MIFID Positon Reporting File? Please be aware there should only be one Reporting Entity ID per MIFID Position Reporting file. Please note however, that the Reporting Entity can submit one file for positions for multiple MIC Codes (e.g. IFEU, IFLX and NDEX).

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7. How will ICE treat my confidential data?

MIFID Position Reporting Data, including national ID information, will be held in conformance with Rule A.4 of the ICE Future Europe Regulations26 and Rule I-15 of the ICE Endex Markets B.V Regulations27.

8. Compliance

ICE Futures Europe and ICE Endex will introduce where appropriate rules. For ICE Futures Europe this will include amendments and additional rules in Section P of the Exchange Regulations. Proposed rule changes will be announced by Circular. ICE Endex Regulations can be found here: https://www.theice.com/endex/regulation ICE Futures Europe Exchange Regulations can be found here: https://www.theice.com/futures-europe/regulation Exchange Circulars can be subscribed at: https://www.theice.com/subscriptions.

26 See the ICE Future Europe Regulations: https://www.theice.com/publicdocs/contractregs/master_file/Z_Master_Document.pdf 27 See ICE Endex Markets B.V. Market Rules:https://www.theice.com/publicdocs/endex/ICE_Endex_Markets_B.V._Rules.pdf

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9. Monitoring of file submissions and positions

Please note that the relevant NCA’s will review the positions received to enable them to undertake the check compliance with the position limits, and taking supervisory or other enforcement actions where they deem appropriate. ICE reserves the right to use the data for its own internal monitoring and controls. The Compliance teams of relevant Exchanges will also review the submission of the information to ensure compliance with their rules and shall at their discretion contact the REs, Exchange Member and/or Position Holder where they deem appropriate to request reporting is undertaken, verify the information provided, request further information or seek corrective action as may be necessary. Members, reporting firms and their clients should take steps to ensure they are in compliance with the Exchange Regulations.

9.1. Reconciliation As per ICE Futures Europe Regulation C.4 and ICE Endex Regulation I-9, all information and documents provided to the Exchange, should be complete, fair and accurate. Exchange Members and other REs should have arrangements in place to ensure their reporting is in line with Exchange requirements. The Exchange shall seek further information where it deems appropriate to ensure compliance with its Rules.

10. Contact

The contact email address for ICE MIFID Position Reporting is: [email protected]

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Appendix A

This form allows a NCM to delegate its reporting to relevant CM. This form should be countersigned by the NCM and relevant CM. This form can also be used by Clients who are not Exchange Members who wish to report their positions directly to ICE, again the form must be countersigned appropriate parties, such as the relevant NCM, CM, intermediary firm or clearing broker (as applicable), prior to such reporting being undertaken.

Appendix B

This is the ICE MIFID MFT Access Request Form.

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