Effective Sunday, August 3, 2014 (trade date Monday, August 4), the following changes will be implemented in CME ClearPort related to Rule 538 Exchange for Related Position (EFRP) trade types.
- EFRP Trade Type Consolidation
- CME ClearPort will no longer support the “EFS/EOO” trade type (Trade Type “12” in FIXML).
- The existing “EFR” trade type will be renamed “EFR/EOO” (remains Trade Type “11” inFIXML)
- Products which currently support “EFS/EOO” or “EFR” will support “EFR/EOO” going forward, as will be reflected in CME ClearPort API Security Definitions.
- SDR reporting of bilateral component of EFRPs
- CME ClearPort will no longer provide submitters automatic reporting of the bilateral component of cleared EFRP transactions to the CME Swap Data Repository (SDR).
- The Trade Contingency attribute (TrdCntgncy in FIXML), which is related to this functionality, will no longer be supported. It will simply be ignored if present on inbound Trade Capture Report messages going forward.
- Reporting Counterparties are responsible for making the bilateral report directly to their SDR of choice. Information on how to connect and submit directly to the CME SDR can be found here.
- Execution Timestamp required for EFRPs
- CME ClearPort will require that Execution Date and Time be specified in the Trade Regulatory Timestamp element (TrdRegTS in FIXML) for any “EFR/EOO” or “EFP” transaction(s) submitted for clearing. The timestamp should be specified in the local time zone of the proprietary trading system submitting the trade through the ClearPort API.
Example follows. Please note the UTC offset (Central Standard Time, for illustrative purposes):
<TrdRegTS Typ="1" TS="2014-06-26T10:23:34.232-06:00"/>
- If Execution Date and Time are not provided using Trade Regulatory Timestamp on the inbound trade message, the trade will rejected by CME ClearPort.
Additional business context around these regulatory-driven changes can be found in the latest CME Group Market Regulation Advisory Notice related to Rule 538.
These changes will be available for customer testing in New Release on Wednesday, 23 July 2014.
If you have questions, 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.