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This Notice to Members (“NTM”) 2015-47 supersedes NTM 2010-12 to eliminate any references to the Securities Industry Automation Corporation (“SIAC”) and to provide an updated large trader reporting (“LTR”) guide. As of November 23, 2015, OneChicago, LLC (“OneChicago” or “OCX”) has eliminated the role of SIAC in LTR of OneChicago products.
Large Trader Position Reporting
Reporting Firms
Exchange Clearing Members, Futures Commission Merchants (“FCMs”), broker-dealers (“BDs”), and foreign brokers (together, “Reporting Firms”) are required to report position information on behalf of customer accounts carried on their books that have a position at or above the reportable level of 200 contracts. Reporting Firms are required to report this large trader data to OneChicago and to the Commodity Futures Trading Commission (“CFTC”). OneChicago collects large trader data and transmits it to the CFTC on behalf of all Reporting Firms.
Reportable Accounts
A reportable account is any account, including customer, firm, or market maker that meets the reportable level. Each account that has been in reportable status must also be reported on the first day that it falls below the reportable level.
Reportable Level
For all OneChicago security futures products, the reportable level is 200 contracts on either side of the market in a single expiration/contract month. Once the 200-contract threshold level is met in any expiration/contract month, all other positions in the same contract in other expiration/contract months on the same exchange must be reported. The following is an example of when a report must be filed:
Example: An account establishes a position of 200 IBM June SSF contracts on OCX and also maintains positions of 50 IBM July and 100 IBM Sep SSFs contracts traded on OCX. The threshold level of 200 contracts is met in the IBM June SSF, so the entire position of 350 contracts must be reported.
Aggregated Accounts
For purposes of determining whether a large trader meets the 200-contract reporting threshold, reporting firms must aggregate accounts with common ownership and/or trading control, and report the positions under one reporting account number. (See CFTC Reg. 17.00(b) for the rules on aggregating accounts for reporting purposes).
Methods of Reporting
Firms carrying customer positions must report directly to OneChicago, which will report those positions to the CFTC. Reporting Firms can make arrangements with the OCC to report positions for accounts that clear in the Market Maker or Firm range at the OCC. For those firms submitting LTR to OneChicago, the reports must be submitted to OneChicago by 7:00 a.m. Central Time (8:00 a.m. Eastern Time).
Reporting Format
Reporting Firms must report LTR data in the format required by the CFTC. Please see the CFTC website for specifications.
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Any questions regarding this NTM should be directed to OneChicago Operations at operations@onechicago.com.
