Post-Settlement Execution Restatements

Execution Report messages received at the time of the trade in Trade-At-Settlement (TAS) should be considered initial notification of trade. In all three of these products, information available only after the settlement time of the associated contract is required before the trade can be cleared. The following describe the post-settlement processing required for each applicable product:

Execution prices of TAS trades will represent an offset to the end-of-day settlement price of the associated futures contract. For example, a trade executed at 0.02 in a VXT contract is an agreement to buy and sell VX contracts of the same expiration at a price that 2-cents above the end-of-day settlement price, which is available after 3:00 p.m. CT. When VX end-of-day settlements are available, TAS trades executed during the business date will be resolved by updating the execution price and changing the symbol to the associated futures contract. TAS trades will be cleared as regular futures contract (i.e. VX) trades.

Trades executed intraday are acknowledged back to participants using standard Execution Report messages. The first Execution Report message received in these products is considered a Pending trade. CFE follows up each initial (i.e., pending) TAS execution with post-settlement Execution Report messages with the following field values:

• ExecTransType = 2 (Correct)
• ExecType = D (Restated)

In addition, custom fields are added to the follow-up Execution Report messages (see Custom FIX Fields). The following summarizes the restatement details for each product:

TAS trades will be restated with the same ExecID and ClOrdID as the original trade. The as-executed symbol, price and size are maintained in the Symbol, LastPx and LastShares fields respectively. The symbol with which the TAS execution will clear (i.e., the VX symbol with the equivalent expiration as the as-executed VXT symbol) will be contained in the ClearingSymbol (21053) field. The price with which the TAS execution will clear (i.e., the as-executed price from the LastPx field offset by the settlement price of the associated VX contract) will be contained in the ClearingPrice (21050) field.

Post-execution restatement Execution Report messages associated with orders originally submitted with TimeInForce (59) = 4 (FOK) will contain TimeInForce = 3 (IOC) rather than the originally specified 4 value.