• CME STP Notice: June 01, 2016

      • To
      • CME STP Customers
      • #
      • 20160606
      • Notice Date
      • 01 June 2016
    • Topics in this issue include:

      New - CME STP Invoice Swap Spread Support

      Effective this Sunday, June 5 (trade date Monday, June 6), Calendar spreads and Switch spread trades will be published out to CME STP as an IRS and a Futures leg, in the same format as the currently accepted Invoice Swap spreads.

      Security Sub Types (SubTyp) for all Invoice Swap spreads will be:

      • IN - Invoice Swap Spreads
      • SC - Invoice Swap Calendar Spreads
      • SW - Invoice Swap Switch Spreads

      This enhancement is currently available for customer testing in the New Release environment.

      Certification is required to access Invoice Swap Spreads in CME STP. Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      New Party ID Source for Trading Firm, Clearing Organization and Exchange Party Roles

      Effective Sunday, June 26 (trade date Monday, June 27), as part of the CME STP API upcoming support of non-cleared trades, CME STP will use the Party ID Source of C (Src=“C”) on CME Cleared Trade Capture Reports for Trading Firm (R="7"), Clearing Organization (R=”21”) and Exchange (R=”22”) Party Roles.

      See party role and source code definitions here.

      These enhancements will be available for testing in New Release on Wednesday, June 1.

      See sample message.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 for production questions.

      Compression ID for Blended or Netted Trades

      Effective Sunday, June 26 (trade date Monday, June 27), a Compression ID will be added to Interest Rate Swaps (IRS), Forward Rate Agreements (FRA) and Swaptions trades, enabling platforms to identify which trades have been blended or netted with each other.

      The Compression Group ID will be available in tradeIdScheme in embedded FpML.

      FIXML messages will be populated with the following values:

      Attribute FIXML Field Name FIXML Message Component Level Description
      Compression ID CmprsnGrpID Trade Capture Report/RptSide Identifier for trades which have been blended or netted with each other.

      These enhancements will be available for customer testing in New Release on Wednesday, June 15.

      See sample message.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 for production questions.