• CME STP Notices March 21, 2018

      • To
      • CME STP Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180321
      • Notice Date
      • 21 March 2018
    • CME STP

      Initial Fixing Conventions in CME STP IRS Messages  - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), to provide more comprehensive information about the traded contract, initial rate and initial fixing date information will be available in the FpML for IRS Blending Remnant swaps.

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

      Examples - New FpML Fields

      Initial Rate

      <floatingRateCalculation>

      <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>

      <indexTenor>

      <periodMultiplier>3</periodMultiplier>

      <period>M</period>

      </indexTenor>

      <initialRate>0.017413</initialRate>

      </floatingRateCalculation>

       

      Initial Fixing Date  (new block)

      <initialFixingDate>

      <periodMultiplier>-2</periodMultiplier>

      <period>D</period>

      <dayType>Business</dayType>

      <businessDayConvention>PRECEDING</businessDayConvention>

      <businessCenters>

      <businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>

      <businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">USNY</businessCenter>

      </businessCenters>

      <dateRelativeTo href="payResetDates"/>

      </initialFixingDate>

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      CME FX Link Messaging in CME STP - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), CME Group is launching CME FX Link a new spot FX basis spread on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via CME Globex.  

      The spot FX basis spread will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:

      • EUR/USD
      • JPY/USD
      • GBP/USD
      • CAD/USD
      • AUD/USD
      • MXN/USD

      Learn more regarding CME Globex and CME STP.

      CME FX Link functionality is currently available for customer testing in New Release.

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      UpdateUpdate - Price Precision Extension - Q4 2018

      † Denotes update to the article

      In Q4 2018, CME STP will support an increase to the maximum price precision from seven to nine decimal places to provide greater price granularity for future launches.

      Also in Q4 2018, the first application of this new price format functionality, pending regulatory approval, will be implemented for 2-Year Treasury Note futures, future spreads and inter-commodity spreads.

      For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.

      All impacted attributes are on Trade Capture Reports at the Trade Capture Report or Trade Instrument Leg Group level.

      Level Field Name FIXML Attribute Name
      /TrdCaptRpt

       

      Trade Price LastPx
      Average Price AvgPx
      Differential Price DiffPx
      /TrdCaptRpt/TrdLeg Leg Last Price LastPx
      Leg Differential Price DiffPx

      These enhancements will be available for testing in New Release in Q2 2018.

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      CME STP FIX

      Initial Fixing Conventions in CME STP FIX IRS Messages  - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), to provide more comprehensive information about the traded contract, initial rate and initial fixing date information will be available in the FpML (tag 1184-SecXML) for IRS Blending Remnant swaps.

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

      Examples - New FpML Fields

      Initial Rate

      <floatingRateCalculation>

      <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>

      <indexTenor>

      <periodMultiplier>3</periodMultiplier>

      <period>M</period>

      </indexTenor>

      <initialRate>0.017413</initialRate>

      </floatingRateCalculation>

       

      Initial Fixing Date  (new block)

      <initialFixingDate>

      <periodMultiplier>-2</periodMultiplier>

      <period>D</period>

      <dayType>Business</dayType>

      <businessDayConvention>PRECEDING</businessDayConvention>

      <businessCenters>

      <businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">GBLO</businessCenter>

      <businessCenter businessCenterScheme="http://www.fpml.org/coding-scheme/business-center">USNY</businessCenter>

      </businessCenters>

      <dateRelativeTo href="payResetDates"/>

      </initialFixingDate>

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      CME FX Link Messaging in CME STP FIX  - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), CME Group is launching CME FX Link a new spot FX basis spread on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via CME Globex.  

      The spot FX basis spread will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:

      • EUR/USD
      • JPY/USD
      • GBP/USD
      • CAD/USD
      • AUD/USD
      • MXN/USD

      Learn more regarding CME Globex and CME STP FIX.

      CME FX Link functionality is currently available for customer testing in New Release.

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      Strategy Link ID Update - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), the FIX tag used for Strategy Link ID will be updated from 820 to 1851.

      FIX Tag Attribute FIXML Abbreviation Level Description
      1851 Strategy Link ID StrategyLinkID TrdCaptRpt/RptSide Links a group of trade legs together.

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

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      Update Update - Price Precision Extension - Q4 2018

      † Denotes update to the article

      In Q4 2018, CME STP FIX will support an increase to the maximum price precision from seven to nine decimal places to provide greater price granularity for future launches.

      Also in Q4 2018, the first application of this new price format functionality, pending regulatory approval, will be implemented for 2-Year Treasury Note futures, future spreads and inter-commodity spreads.

      For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.

      All impacted attributes are on Trade Capture Reports at the Trade Capture Report or Trade Instrument Leg Group level.

      Level FIX Tag Field Name FIXML Attribute Name
      /TrdCaptRpt

       

      31 Trade Price LastPx
      6 Average Price AvgPx
      10033 Differential Price DiffPx
      /TrdCaptRpt/TrdLeg 637 Leg Last Price LastPx
      2492 Leg Differential Price DiffPx

      These enhancements will be available for testing in New Release in Q2 2018.

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      CME STP Trade View

      CME FX Link Messaging in CME STP Trade View  - This Week

      Effective this Sunday, March 25 (trade date Monday, March 26), CME FX Link, a new spot FX basis spread, will launch on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX.  

      The spot FX basis spread will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:

      • EUR/USD
      • JPY/USD
      • GBP/USD
      • CAD/USD
      • AUD/USD
      • MXN/USD

      CME FX Link trades is currently available in CME STP Trade View for customer testing in New Release.

      Learn more about CME FX Link on CME Globex.

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      Contacts

      Please contact the following support teams for:

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