Download lot size conversion for certain ice futures us north american power

07 APRIL 2017
CIRCULAR C17/052
ENERGY CLEARING: LOT SIZE CONVERSION FOR CERTAIN ICE FUTURES US
NORTH AMERICAN POWER CONTRACTS
CATEGORY
General
ATTACHMENTS
None
Subject to the completion of the relevant regulatory processes, ICE Futures U.S. (the “Exchange”) intends to convert
the contract size of certain ICE Futures US North American Power contracts from a fixed contract size (e.g. 800MWh)
to a variable contract size based on the power profile and the number of hourly or daily cycles in that month for the
given profile (hereafter the “Power Conversion”). The Power Conversion will involve a change to the value of the
contract size from fixed to variable and a simultaneous refactoring of the open interest that will amend open interest
by an equivalent ratio such that the notional value of the outstanding positions remain constant. ICE Clear Europe
(the “Clearing House”) will make these changes following the clearing EOD on Friday 05 May 2017, with an effective
date of Monday 08 May 2017.
Following the contract size conversion and open interest refactoring, the Exchange will migrate open interest in
existing variable lot size contracts to the newly converted contracts. This is scheduled to occur following the clearing
EOD on Friday 12 May 2017, with an effective date of Monday 15 May 2017.
The Exchange will also implement conforming changes to the Exchange and Clearing Fees, Spot Month Position
Limits, Position Accountability and Reportable Levels and Block Trade Minimum Quantities to reflect the size
conversion for each affected futures and option contract. Further details of these changes can be found in the
Exchange Notice dated Tuesday 28 March 2017.
Affected Contracts
The list of the ICE Futures US North American Power Contracts (“Affected Contracts”) impacted by this change,
conversion factors and the updated contract sizes is available on ICE Community and at Appendix 1.
Margin Rates
In anticipation of the Contract Size conversion, the Clearing House will amend the current delta divisor for the
Affected Contracts. The delta divisor is used to scale a contract’s delta and set the unit size for intermonth spread
charges. The updated delta divisors will be effective from close of business on Monday 10 April 2017. This change
will have an immaterial margin impact. A test SPAN® file with these changes is available in MFT via the
/pub/span/test folder with the following file name: RiskArrays_I_20170130_Delta_Divisor_Change_V3.zip
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
1
As a result of the Contract Size conversion, the SPAN® margin parameters will be updated for the Affected
Contracts. The changes are effective from close of business on Monday 08 May 2017 and will be reflected in margin
calls made on Tuesday 09 May 2017. The updated rates will be published on Friday 28 April 2017 and Clearing
Members should refer to the margin parameter link below to verify changes to these rates. All other SPAN® margin
parameters remain unchanged.
The updated margin parameters will be available here.
Migration
Phase 1 - Contract Size Conversion and Open Interest Refactoring
Following the Clearing House’s EOD processing on Friday 05 May 2017, the Clearing House will adjust the open
interest in the affected contracts by a pre-determined conversion factor. The list of the Affected Contracts,
conversion factors and the updated contract sizes is available on ICE Community.
This change will be carried out as follows:
1.
2.
3.
4.
5.
6.
7.
8.
9.
Friday 05 May 2017 - prior to the conversion:
Final PCS instructions in the GCM File should be on the unconverted positions.
The EOD Match-off File and EOD Clearing reports for close of business Friday 05 May 2017 will contain
position prior to the conversion.
The Risk Arrays published will contain the pre-conversion margin rates, contract sizes and delta divisors.
EMIR Transaction reports will be on the unconverted trades and positions.
The Product (GSPD) and Contract (GSCD) reference data files published will contain the post-conversion
lot size and contract sizes.
Saturday 06 May 2017 - Following the conversion
Following the conversion, ICE will publish the Conversion Reconciliation report (MPCONV) to the following
MFT location: member/positions/XXX_MPCONV_YYYYMMDD.csv where the date is the business date
following the EOD (i.e. XXX_MPCONV_20170508.csv). These files will be available by 09:00 London time.
Sunday 07 May 2017
ICE Clear Europe will publish a converted Risk Array file to MFT in /pub/span/test with the following file
name:
 RiskArrays_I_20170506_Power_Conversion_Change.zip
This file will be available by 07:00 London time.
Monday 08 May 2017 - Effective Day
Next Day T+1 corrections on trades cleared prior to the conversion will not be permitted. Instead corrections
should be effected via position transfers.
The EOD Match-off File and EOD Clearing reports for close of business Monday 08 May 2017 will contain
the converted positions. Similarly Product (GSPD) and Contract (GSCD) reference data files published will
contain the updated lot size and contract sizes.
1
SPAN is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange
Inc. assumes no responsibility in connection with the use of SPAN by any person or entity. SPAN is a risk evaluation and margin
framework algorithm.
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
10. EMIR Transaction reporting for COB Monday 08 May 2017 will be on the converted positions.
Clearing Members are reminded that any pre-migration post trade management actions on Affected Contracts at the
Clearing House level and internally between client accounts should be processed at the correct traded lot size to
ensure that positions can be converted into whole lots during Phase 1. Any actions that would result in an odd lot
position at the Clearing House level following the conversion must be reversed before the Clearing House can
proceed with the conversion. If you are unsure of the implications of any post trade activity on the Affected Contracts
please contact Clearing Operations for clarification.
Phase 2 - Product Migration
Following the completion of the refactoring in Phase 1, the converted products will be duplicates of the existing
variable lot size products. As such, this phase involves the migration of the open interest from the existing 1MW
products ("Source Products"), where they exist, to the newly converted products ("Destination Products"), followed by
a delisting of the existing variable lot size products. A mapping of the source and Destination Products is available in
the Exchange Notice and ICE Community.
1.
2.
3.
4.
5.
Friday 12 May 2017 - prior to the migration
Final PCS in the GCM file should be reported for positions in both the Source and Destination Products.
The EOD Match-off File and EOD Clearing reports for close of business Friday 12 May 2017 will contain
position data for both the Source and Destination Products.
EMIR Transaction Reporting for close of business Friday 12 May 2017 will contain positions for both Source
and Destination Products.
Following the close of trading, the source products will be suspended from trading in preparation for the
delisting.
Saturday 13 May 2017
Clearing Members will be provided with the following files to assist with reconciliations:
– MPMSP - Migration Positions Projected
•
CSV report which details all positions which will be migrated
•
MFT directory: /<firm>/clearing/positions
•
MFT report name: XXX_MPMSP_YYYYMMDD.csv
–
MPMP - Migration Positions
•
a CSV report which details all positions which have been migrated
•
MFT ultimate directory: /<firm>/clearing/positions/
•
MFT report name: XXX_MPMP_YYYYMMDD.csv
These reports will be available by 09:00 London time on Saturday 13 May 2017.
6.
7.
8.
Monday 15 May 2017
Match-off file will not contain positions for the Source Contracts - these are now 0.
EMIR Transaction Reporting for COB Monday 15 May 2017 will include the updated positions in the
Destination Products and a 0 value for positions in the Source Products.
Tuesday 16 May 2017
The Source Products will be expired in the clearing system to complete the delisting process.
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
Testing
The Clearing House will make available the reconciliation files from each phase ahead of the migration.
1. Phase 1: The MPCONV test files will be made available on Monday 10 April 2017 using test data from
close of business Tuesday 14 February 2017. These files will be available in MFT in the /notices folder with
the following file name:
 XXX_MPCONV_20170215.csv
In addition, a test SPAN® file will be made available with the updated contract sizes. This will be available
using margin rates that were effective on Tuesday 14 February 2017 and is provided to allow Clearing
Members to test the updated contract sizes in the SPAN® file. This should not be used to perform a margin
impact analysis as it will not contain the updated margin rates that will be effective during the EOD on
Monday 08 May 2017. The test SPAN file will be available in MFT in the /pub/span/test folder with the
following file name:
 RiskArrays_I_20170214_Power_Conversion.zip
2. Phase 2 - the MPMSP and MPMP test files will be made available on Monday 17 April 2017, using test
data from close of business Thursday 16 February 2017. These files will be available in the MFT/notices
folder with the following file names:
 XXX_MPMP_ 20170216.csv
 XXX_MPMSP_20170216.csv
This migration of open interest will lead to a change to the terms of open positions in the Destination Products in
place between the Clearing House and relevant Clearing Members. This change will be made by the Clearing House
in accordance with its rights under Rule 109 (b)(viii). Further, no payments shall be made under Rule 109 (k) in
connection with this change.
Should you have any questions in relation to this Circular or require any further information, please contact ICE Clear
Europe Operations by phone on +44 (0)20 7065 7600 or by email [email protected].
Please ensure that the appropriate members of staff within your organisation and customers are advised of the
content of this Circular.
Signed:
Paul Swann
President & Managing Director
FOR MORE INFORMATION, PLEASE CONTACT:
Nazareen Noor Mahomed
Director of Energy Clearing Development
+44 (0)20 7065 7606
[email protected]
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
Marc Thomas
Director, ETD Settlements, Operations
+44 (0)20 7065 7629
[email protected]
Energy Risk Help Desk
+44 (0)20 7065 7630
[email protected]
Operations Help Desk
+44 (0)20 7065 7600
[email protected]
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
Appendix 1: Affected Contracts
Contract Name
Commodity
Code
Old
Contract
Size
New
Contract
Size
CAISO NP-15 Day-Ahead Peak Fixed Price Future
NPM
400MWh
1MW
CAISO NP-15 Day-Ahead Off-Peak Fixed Price Future
ONP
25MWh
1MW
CAISO SP-15 Day-Ahead Off-Peak Fixed Price Future
OFP
25MWh
1MW
CAISO SP-15 Day-Ahead Peak Fixed Price Future
SPM
400MWh
1MW
Option on CAISO SP-15 Day-Ahead Peak Fixed Price Future
SPM
400MWh
1MW
ERCOT Houston 345KV Real-Time Peak Fixed Price Future
ERH
800MWh
1MW
ERCOT North 345KV Real-Time Peak Fixed Price Future
ERN
800MWh
1MW
Option on ERCOT North 345KV Real-Time Peak Fixed Price Future
ERN
800MWh
1MW
ERCOT South 345KV Real-Time Peak Fixed Price Future
ERS
800MWh
1MW
ERCOT West 345KV Real-Time Peak Fixed Price Future
ERW
800MWh
1MW
NEX
800MWh
1MW
NEX
800MWh
1MW
ISO New England Massachusetts Hub Day-Ahead Peak Fixed Price Future
NEP
800MWh
1MW
Option on ISO New England Massachusetts Hub Day-Ahead Peak Fixed Price Future
NEP
800MWh
1MW
ISO New England Massachusetts Hub Day-Ahead Off-Peak Fixed Price Future
NOP
50MWh
1MW
Mid-Columbia Day-Ahead Peak Fixed Price Future
MDC
400MWh
1MW
Option on Mid-Columbia Day-Ahead Peak Fixed Price Future
MDC
400MWh
1MW
Mid-Columbia Day-Ahead Off-Peak Fixed Price Future
OMC
25MWh
1MW
MISO Indiana Hub Real-Time Peak Fixed Price Future
CIN
800MWh
1MW
Option on MISO Indiana Hub Real-Time Peak Fixed Price Future
CIN
800MWh
1MW
MISO Indiana Hub Real-Time Off-Peak Fixed Price Future
CPO
50MWh
1MW
NYISO Zone A Day-Ahead Off-Peak Fixed Price Future
AOP
50MWh
1MW
NYISO Zone A Day-Ahead Peak Fixed Price Future
NAY
800MWh
1MW
Option on NYISO Zone A Day-Ahead Peak Fixed Price Future
NAY
800MWh
1MW
NYISO Zone G Day-Ahead Off-Peak Fixed Price Future
NGO
50MWh
1MW
NYISO Zone G Day-Ahead Peak Fixed Price Future
NGY
800MWh
1MW
Option on NYISO Zone G Day-Ahead Peak Fixed Price Future
NGY
800MWh
1MW
NYISO Zone J Day-Ahead Off-Peak Fixed Price Future
NJO
50MWh
1MW
ISO New England Massachusetts Hub Day-Ahead Peak Calendar Year One Time Fixed
Price Future
Calendar One Time Option on ISO New England Massachusetts Hub Day-Ahead Peak
Calendar Year One Time Fixed Price Future
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884
NYISO Zone J Day-Ahead Peak Fixed Price Future
NJY
800MWh
1MW
Palo Verde Day-Ahead Off-Peak Fixed Price Future
OVP
25MWh
1MW
Palo Verde Day-Ahead Peak Fixed Price Future
PVM
400MWh
1MW
PJM AEP Dayton Hub Real-Time Off-Peak Fixed Price Future
AOD
50MWh
1MW
Option on PJM AEP Dayton Hub Real-Time Off-Peak Fixed Price Future
AOD
50MWh
1MW
PJM AEP Dayton Hub Real-Time Peak Fixed Price Future
MSO
800MWh
1MW
Option on PJM AEP Dayton Hub Real-Time Peak Fixed Price Future
MSO
800MWh
1MW
PJM NI Hub Real-Time Off-Peak Fixed Price Future
NIO
50MWh
1MW
PJM Western Hub Real-Time Off-Peak Calendar Year One Time Fixed Price Future
PWC
50MWh
1MW
Calendar One Time Option on PJM Western Hub Real-Time Off-Peak Calendar Year One
Time Fixed Price Future
PWC
50MWh
1MW
PJM Western Hub Real-Time Off-Peak Fixed Price Future
OPJ
50MWh
1MW
Option on PJM Western Hub Real-Time Off-Peak Fixed Price Future
OPJ
50MWh
1MW
PJM NI Hub Real-Time Peak Fixed Price Future
PNL
800MWh
1MW
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ICE Clear Europe Ltd, a Recognised Clearing House under the Financial Services & Markets Act 2000
Registered in England & Wales with Registered Office at Milton Gate, 60 Chiswell Street, London, EC1Y 4SA Company Registration No. 6219884