Consolidated Audit Trail (CAT) Reporting
For the purpose of this document, TPHs are assumed to have registered and onboarded with CAT as a CAT Reporter.
The use of the CCS for multilateral compression generally results in Consolidated Audit Trail (CAT) reportable option events for participating TPHs (CCS CAT Industry Member (IM)).
Cboe generates CAT event data for CCS IM option events. IM event data are conditionally submitted to the CAT based on TPH profile information provided when registering to use the CCS (see Service Registration). TPHs that wish to self-submit IM data to the CAT will download data files from the Cboe Web Portal. All IM CAT data files, are accessible on the Cboe Web Portal as a form of 'drop copy' for CAT submission data files, irrespective of whether or not a TPH has opted to self-submit IM data.
TPHs submit constrained position files representing positions they are willing to compress. The entries in the constrained position files are not orders. When a TPH approves its portion of a multilateral compression portfolio, a New Option Order (MONO) event is generated for each option that trades in the approved portfolio (i.e., non-zero traded_qty in the portfolio detail output file). The positions that do not trade in the approved compression portfolio (i.e., zero traded_qty in the portfolio detail output file) do not result in MONO events at the time that the TPH approves a portfolio. Associated with each MONO event, the exchange generates a consistent Option Order Routed (MOOR) IM event. The MONO and MOOR events be reported to CAT whether or not unanimous approval results in executed trades.
When all participating TPHs have approved their respective portfolios, the CCS performs processing to clear and report the multilateral set of trades comprising the compression portfolio. If one or more TPHs does not approve their portfolio, no trades are executed. An Option Trade (OT) PP event is created for each trade executed in a unanimously approved multilateral compression. In the event of an unsuccessful compression in which one or more participating TPHs fails to approve their respective portfolio, MONO, MOOR, and OOA events are still reported but no OT trades will be reported.
The table below summarizes the IM and Plan Participant (PP) option order events that result from a TPH approving a multilateral compression portfolio, and the PP option trade events that result when all participating TPHs unanimously approve the multilateral compression portfolio.
| Trigger | Source | Event | Description |
|---|---|---|---|
| TPH Approves Portfolio | IM | MONO | New Option Order Event is created for each series in the portfolio with non-zero traded_qty (see Compression Portfolio Detail File). Orders are created with GTT time in force with time set to compression date 17:30 ET. As a result, MOOC events are not required when unanimous approval not achieved. The event timestamp for all MONO events is the time of portfolio approval. The Firm Designate ID value is set to the value specified by the firm in the CCS service registration data (see Service Registration). |
| IM | MOOR | Option Order Route Event is created for each MONO. | |
| PP | OOA | Simple Option Order Accepted Event created for each MONO. | |
| Unanimous TPH Portfolio Approval | PP | OT | When all participating TPHs have approved their respective portfolios, an Option Event is created to represent each two-sided trade between participating TPHs that is executed and cleared at the OCC. The event timestamp for all OT events is the time at which unanimous approval was realized (i.e., the time of the last TPH to approve their respective portfolio). |