• CME STP Notices: July 26, 2017

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      • CME STP Customers
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      • Global Market Solutions & Services
      • #
      • 20170726
      • Notice Date
      • 26 July 2017
    • CME STP

      Enhancements for OTC FX Transfers - August 6 

      Effective Sunday, August 6 (trade date Monday, August 7), to facilitate OTC FX transfers between clearing firms, the following enhancements will be made to the Trade Capture Report messages:

      Enhancements for OTC FX Transfers
      Attribute Description FIXML Message Component Level

      /TrdCaptRpt@TrdRptStat=”7

      New value for netting

      The Trade Report Status will be set to “7” (/TrdCaptRpt@TrdRptStat=”7”) for trades terminated as a result of netting.

       

      Trade Capture Report

      /TrdCaptRpt/Amt@Typ="IPMT"

      New value for transfer fees

      Amount Type will be set to “IPMT” (/TrdCaptRpt/Amt@Typ="IPMT") where there are fees associated with the transfer.

      Trade Capture Report/Amt

      /TrdCaptRpt/@TrnsfrRsn

      New Field

      The reason a trade is being transferred.

      Trade Capture Report

      Please Note: 

      • Transfers for OTC trades result in an Offset and Onset message being generated.
      • Transfers of Non-OTC trades result in an Offset and Onset with TrdTyp=3 (transfer), but without an OfstInst attribute.

      These enhancements are currently available for customer testing in New Release.

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      Attributes for TAS and TAM Spreads  - August 6

      Effective Sunday, August 6 (trade date, Monday, August 7), to support Trade at Settlement (TAS) and Trade at Marker (TAM) spread trades, the following price attributes will be added at the Trade Instrument Leg Group level for MLegRptTyp="3" messages. TAS and TAM products are traded at a differential price from prior settlement or marker price.

      • Price Subtype (PxSubTyp) 
      • Price Type (PxTyp)
      • Differential Price (DiffPx)
      • Differential Price Type (DiffPxTyp)

      To additionally support TAM spreads, the Leg Security Alternate Identifier block will also be added at the Trade Instrument Leg level:

      Instrmt Sym="OQB:SP" ID="OQB" SecTyp="COMBO" Src="H" SubTyp="SP" MMY="20170700" MatDt="2017-05-31" Mult="1000" Exch="DME" PxQteCcy="USD"/>
      <TrdLeg LegNo="1" Qty="100" RefID="100001" LastPx="49.93" RptID="15CA1F75A5491155A" PxTyp="2" PxSubTyp="0" DiffPx="0.01" DiffPxTyp="0">
      <Leg ID="OQ" MMY="20170700" Mat="2017-05-31" CFI="FCEPSX" Exch="DME" Side="1" Mult="1000" SecTyp="FUT" Sym="OQDN7XXX"/>
      <LegAID SecAltID="12345" SecAltIDSrc="112"/>
      </TrdLeg>

      These enhancements are currently available for customer testing in New Release.

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      Delivery Restriction Values Update  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), to more accurately reflect the delivery restriction from CME ConfirmHub submitted trades, the Delivery Restriction attribute (TrdCaptRpt/Instrmt/Strm/DlvryStrm/@DlvryRstctn) will be set to: 

      • 101 - when "Firm, with liquidating damages" is received from CME ConfirmHub
      • 102 - when "WSPP Schedule C Firm, with Liquidating Damages" is received from CME ConfirmHub

      Confirm Letters in STP Trade View will display the original text: "Firm, with liquidating damages" or "WSPP Schedule C Firm, with Liquidating Damages," respectively.

      These enhancements are currently available for customer testing in New Release.

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      Settlement Provision Relative Date for Non-deliverable Swap Currencies  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), to increase accuracy of Settlement Provision relative date, the embedded FpML for IRS and FRA trades will use “dateRelativeToPaymentDates” element for all non-deliverable swap currencies except the Brazilian Real (BRL).

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

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      Populate Trading Quantity and Original Time Unit - August 13

      Effective Sunday, August 13 (trade date Monday, August 14), to provide additional trade information, Trading Quantity (TrdgQty) and Original Time Unit (OrigTmUnit) attributes will be populated at the Trade Capture Report and Trade Capture Report/Trade Leg  level for all trades.

      Please see Quantity Calculation examples.

      These enhancements will be available for customer testing in New Release on Wednesday, August 2.

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      UpdateUpdate - CME STP Enhancements for Straight Through Processing  - Q3 2017

      † Denotes update to the article

      Starting Sunday, September 10 (trade date Monday, September 11), to better support Straight Through Processing, the following enhancements will be implemented by market segment in CME STP for CME Globex trades:

      • CME Globex Trade Capture Report spreads (MLegRptTyp=”3”) will be published by CME STP, providing greater flexibility in trade reporting, with the following exception:
        • Interexchange spreads and legs will continue to be supported by MLegRptTyp=”2”, but will not be supported by MLegRptTyp=”3”.
      • A new field Market Data Trade Entry ID (MDTrdEntrID) will be added to Trade Capture Report messages for:
        • MLegRptTyp=”2” – Trade Capture Reports on all trades of outright instruments and the individual, outright legs of multi-leg security (spread/combo) trades
        • MLegRptTyp=”3” – Trade Capture Reports on all trades of outright instruments and multi-leg securities (spread/combo). Legs are included in repeating groups in the mutli-leg security trades TCR.
        • This field will reflect an end-to-end value available on CME Globex iLink order entry, MDP 3.0 market data, and CME STP clearing messages, allowing clients to follow an order from CME Globex execution through clearing.
      Attribute FIXML Field Name FIXML Message Component Level Description
      Market Data Trade Entry ID MDTrdEntrID Trade Capture Report Unique Trade Identifier that will match to a CME Globex order execution associated market data message and STP messaging
      • A new format for Execution ID (TradeCaptureReport/@ExecID) will align the CME Globex Execution ID with the CME STP Execution ID, so both are identical.
        • The new format for Execution ID also enables linking a newly created trade to a cancelled trade resulting from a price adjustments using the right most nine characters:
          • Execution ID associated with order execution and cancelled trade: 00010720170407163234TN0000023
          • Execution ID associated with new Trade Capture Report: 8245:M:258TN0000023

      These enhancements are currently available in New Release for customer testing.

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      Information Security Update  - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

      This change will be effective in New Release on Tuesday, August 29.

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      CME STP FIX

      Delivery Restriction Values Update  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), to more accurately reflect the delivery restriction from CME ConfirmHub submitted trades, Delivery Restriction (tag 41063- DlvryRstctn in the Stream Group ) will be set to: 

      • 101 - when "Firm, with liquidating damages" is received from CME ConfirmHub
      • 102 - when "WSPP Schedule C Firm, with Liquidating Damages" is received from CME ConfirmHub

      Confirm Letters in STP Trade View will display the original text: "Firm, with liquidating damages" or "WSPP Schedule C Firm, with Liquidating Damages," respectively.

      These enhancements are currently availablefor customer testing in New Release.

      Back to Top

       

      Settlement Provision Relative Date for Non-deliverable Swap Currencies  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), to increase accuracy of Settlement Provision relative date, the embedded FpML for IRS and FRA trades will use “dateRelativeToPaymentDates” element for all non-deliverable swap currencies except the Brazilian Real (BRL).

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

      Back to Top

       

      Populate Trading Quantity and Original Time Unit - August 13

      Effective Sunday, August 13 (trade date Monday, August 14), to provide additional trade information, Trading Quantity (tag 10037-TrdgQty) and Original Time Unit (tag 997-OrigTmUnit) attributes will be populated at the Trade Capture Report and Trade Capture Report/Trade Leg  level for all trades. 

      Please see Quantity Calculation examples.

      These enhancements will be available for customer testing in New Release on Wednesday, August 2.

      Back to Top

       

      UpdateUpdate - CME STP FIX Enhancements for Straight Through Processing  - Q3 2017

      † Denotes update to the article

      Starting Sunday, September 10 (trade date Monday, September 11), to better support Straight Through Processing, the following enhancements will be implemented by market segment in CME STP for CME Globex trades:

      • CME Globex Trade Capture Report spreads (tag 442-MultiLegReportingType = 3) will be published by CME STP FIX, providing greater flexibility in trade reporting, with the following exception:
        • Interexchange spreads and legs will continue to be supported by tag 442-MultiLegReportingType = 2, but will not be supported by tag 442-MultiLegReportingType = 3.
      • A new tag 37711-MDTradeEntryID will be added to Trade Capture Report messages for:
        • tag 442-MultiLegReportingType = 2 - Trade Capture Reports on all trades of outright instruments and the individual, outright legs of multi-leg security (spread/combo) trades
        • tag 442-MultiLegReportingType = 3 - Trade Capture Reports on all trades of outright instruments and multi-leg securities (spread/combo). Legs are included in repeating groups in the mutli-leg security trades TCR.
        • This tag will reflect an end-to-end value available on CME Globex iLink order entry, MDP 3.0 market data, and CME STP FIX clearing messages, allowing clients to follow an order from CME Globex execution through clearing.
      Tag FIX Name FIXML Field Name FIXML Message Component Level Description
      37711 MDTradeEntryID MDTrdEntrID Trade Capture Report Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging
      • A new format for Execution ID (Tag 17-ExecID) will align the CME Globex Execution ID with the CME STP FIX Execution ID, so both are identical.
        • The new format for Execution ID also enables linking a newly created trade to a cancelled trade resulting from a price adjustments using the right most nine characters:
          • Execution ID associated with order execution and cancelled trade: 00010720170407163234TN0000023
          • Execution ID associated with new Trade Capture Report: 8245:M:258TN0000023

      These enhancements are currently available in New Release for customer testing.

      Back to Top

       

      Information Security Update  - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

      This change will be effective in New Release on Tuesday, August 29.

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      Contacts

      Please contact the following support teams for:

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