### Allocating Outrights

CME ClearPort allows submitters to include allocations for outright trades at the time of trade submission for all trade submission models. The CME ClearPort API supports multiple methods for splitting the outright trades into allocations. If the trade fails any of the validations mentioned below, the trade is rejected by CME ClearPort.

#### Allocating as Quantities

In this method, the customer allocates the actual trade's quantity.

##### Allocating Contracts

If the allocation is submitted in Contract terms, each allocation account can be allocated a part of the total number of traded contracts.

Validations

• The total allocation quantity must equal the traded quantity

where n is the number of allocations for a side

• The allocation quantity must be a whole number.

Example

Total traded quantity is 10 contracts. Allocation quantities are 3, 5, and 2. This validates because:

• 3 + 5 + 2 = 10
• 3, 5, and 2 are whole numbers
##### Allocating Units

If the allocation is submitted in Units, each allocation account can be allocated a part of the total units of the trade.

Validations

• The total allocation quantity must equal the traded quantity

where n is the number of allocations for a side

• The allocation quantity must be a whole number.
• The allocation quantity must be a multiple of the contract’s Unit of Measure quantity.

Example

Total traded quantity is 6,000 barrels. Allocation quantities are 2,000 and 4,000. This validates because:

• 2,000 + 4,000 = 6,000
• 2000 and 4000 are whole numbers
• Both 2,000 and 4,000 are multiples of the product’s Unit of Measure Quantity (1,000 barrels)
##### Allocating Notionals

If the allocation is submitted in notionals, each allocation account can be allocated a part of the total notional quantity of the trade.

Validations

• The total allocation quantity must equal the traded quantity.

where n is the number of allocations for a side

• The allocation quantity must be a a multiple of the contract’s Unit of Measure quantity.

Example

Total traded quantity is \$500,000.25 USD. Allocation quantities are \$200,000.25 and \$300,000. This validates because:

• \$200,000.25 + \$300,000 = \$500,000.25
• Both \$200,000.25 and \$300,000 are multiples of the product’s Unit of Measure Quantity (\$0.01)

#### Allocating Using Factors

In this method, the customer/submitter allocates by specifying a common factor of the traded quantity and an allocation multiplier for each allocation account. Each side (buy/sell) can have a different common factor based on how each side wants to allocate. CME ClearPort derives the actual allocation quantity from the factors and multipliers for the purpose of Clearing.

Rules for Defining the Common Factor

• The factor defined must be a factor of the traded quantity.
• Non-notional quantities must be converted to contract terms for the purposes of determining the factor.
• The common factor is not required if the side is not being allocated out.
• Notional leg quantities must be expressed as whole numbers of smallest denomination (e.g. \$100.00 = 10,000¢ – the penny is the smallest denomination for USD, hence the notional is multiplied by 100) for the purposes of determining the common factor.
• The common factor must be a whole number.
##### Allocating Contracts

If the allocation is submitted in Contract terms, each allocation account can be allocated as a part of the factor defined.
The allocation quantity = Total Block Quantity x Allocation Multiplier/Factor

Validations

• The Factor must equal the total of all Allocation Multipliers

where n is the number of allocations for a side

• The total allocation quantity across all allocations for the side must equal the traded quantity.

where n is the number of allocations for a side

• The allocation multiplier must be a whole number.
• The resulting allocated quantity must be a whole number.

Example

Total quantity is 10 contracts. The factor is 5. The allocation multipliers are 2 and 3. This validates because:

• 2 + 3 = 5
• The allocation quantities are 4 (10 × 2 ÷ 5) and 6 (10 × 3 ÷ 5). 4 + 6 = 10.
• 2 and 3 are whole numbers.
• 4 and 6 are whole numbers.
##### Allocating Units

If the allocation is submitted in units, determine the factor and allocation multipliers for each account by converting the units to contract terms and then choosing an appropriate factor and allocation multipliers using the validations above.

##### Allocating Notionals

If the allocation is submitted in notionals, each allocation account can be allocated as a part of the factor defined for the total notional quantity in the trade.

Validations

• The Factor must equal the total of all Allocation Multipliers

where n is the number of allocations for a side

• The total allocation quantity across all allocations for the side must equal the traded quantity.

where n is the number of allocations for a side

• The factor must be a whole number.
• The computed allocation quantity for each allocation account can be a decimal but cannot be more granular than the product's Unit of Measure Quantity.

Example

Total quantity is \$100 USD. The factor is 8. The allocation multipliers are 3 and 5. This validates because:

• 3 + 5 = 8
• The allocation quantities are \$37.50 (\$100 × 3 ÷ 8) and \$62.50 (\$100 × 5 ÷ 8). \$37.50 + \$62.50 = \$100.
• 8 is a whole number.
• \$37.50 and \$62.50 are not more granular than the product’s Unit of Measure Quantity (\$0.01).

Alternately, total quantity is \$100 USD. The factor is 3. The allocation multipliers are 2 and 1,  although:

• 2 + 1 = 3
• The allocation quantities are \$66.67 (\$100 × 2 ÷ 3) and \$33.33 (\$100 × 1 ÷ 3). \$66.67 + \$33.33 = \$100.
• 3 is a whole number.

This does not validate because:

• Both \$100 × 2 ÷ 3 and \$100 × 1 ÷ 3 result in repeating decimals that must be rounded to get \$66.67 and \$33.33. They are therefore more granular than the product’s Unit of Measure Quantity.

#### Quantity Attributes Used to Allocate Outrights

AttributeAllocation MethodDescriptionXPath

Quantity

Quantity or

Factor

/TrdCaptRpt/@LastQty

Allocation Quantity

Quantity

Represents the quantity allocated to each account.

/TrdCaptRpt/RptSide/Alloc/@Qty

Factor

Factor

Represents the total number of units that make up the traded quantity.

/TrdCaptRpt/RptSide/@SideQty

Allocation Multiplier

Factor

Represents the number of units allocated to each account.

/TrdCaptRpt/RptSide/Alloc/@Qty

CME ClearPort allows submitters to include allocations for spread trades at the time of trade submission. This is for all trade submission models that support spread trade submission. The method for allocating Spreads is defined below with the validations. If the trade fails any of the validations mentioned below, the trade is rejected by CME ClearPort.

#### Allocating Using Factors

In this method, the customer/submitter allocates by specifying a common factor across all the leg quantities and an allocation multiplier for each allocation account. Each side (buy or sell) can have a different common factor based on how each side wants to allocate. CME ClearPort derives the actual allocation quantity for each leg from the factors and multipliers for the purpose of Clearing.

Rules for Defining the Common Factor

• The factor defined must be a factor common across all the leg quantities of the spread.
• Non-notional leg quantities must be converted to contract terms for the purposes of determining the factor.
• The common factor is not required if the side is not being allocated out.
• Notional leg quantities must be expressed as whole numbers (for example \$100.25 = 10,025¢ – the most granular leg quantity is expressed in cents, hence the notional leg dollar quantities are all multiplied by 100) for the purposes of determining the common factor.
• The common factor must be a whole number.

The examples below use a spread that has three legs, defined as follows:

• Leg 1: 10 Contracts
• Leg 2: 15,000 Barrels
• Leg 3: \$5,000.25 USD Notional
##### Allocating Contracts

If the allocation is submitted in Contract terms, each allocation account can be allocated as a part of the common factor defined.

Validations

• The Factor must equal the total of all Allocation Multipliers

where n is the number of allocations for a side

• The total allocation quantity across all allocations for the side must equal the traded quantity.
where n is the number of allocations for a leg

• The allocation multiplier must be a whole number.
• The resulting allocated quantity must be a whole number.

Example

In the spread above, the first leg, expressed as 10 contracts, is allocated with a common factor of 5 and allocation multipliers of 2 and 3. This validates because:

• 2 + 3 = 5
• The leg allocation quantities are 4 (10 × 2 ÷ 5) and 6 (10 × 3 ÷ 5). 4 + 6 = 10.
• 2 and 3 are whole numbers.
• 4 and 6 are whole numbers.
##### Allocating Units

If the allocation is submitted in units, determine the factor and allocation multipliers for each account by converting the units to contract terms and then choosing an appropriate factor and allocation multipliers using the validations above.

Example

In the spread above, the second leg, expressed as 15,000 barrels (converted to 15 contracts to arrive at a common factor of 5) and allocated with multipliers of 2 and 3. This validates because:

• 2 + 3 = 5
• The leg allocation quantities are 6,000 (15,000 × 2 ÷ 5) and 9,000 (15,000 × 3 ÷ 5). 6 + 9 = 15.
• 2 and 3 are whole numbers.
• 6,000 and 9,000 are both multiples of the product’s Unit of Measure Quantity (1,000 barrels).
##### Allocating Notionals

If the leg is submitted with notional quantity, each allocation account can be allocated as a part of the common factor defined for the notional quantity in the spread legs.

Validations

• The Factor must equal the total of all Allocation Multipliers
where n is the number of allocations for a side

• The total allocation quantity across all allocations for the side must equal the traded quantity.
where n is the number of allocations for a leg

• The computed allocation quantity for each allocation account cannot be more granular than the product’s Unit of Measure Quantity (in this case .01).

Example

In the spread above, the third leg, expressed as \$5,000.25 USD notional, is allocated with multipliers of 2 and 3. This validates because:

• 2 + 3 = 5
• The allocation quantities are \$2,000.10 (\$5,000.25 × 2 ÷ 5) and \$3,000.15 (\$5,000.25 × 3 ÷ 5). \$2,000.10 + \$3,000.15 = \$5,000.25.
• 5 is a whole number.
• \$2,000.10 and \$3,000.15 are not more granular than the product’s Unit of Measure Quantity (\$0.01)

#### Quantity Attributes Used to Allocate Spreads

AttributeDescriptionXPath

Leg Quantity

Represents the Leg quantity for the leg of the spread.

/TrdCaptRpt/TrdLeg/@Qty

Factor

Represents the total number of units that make up the spread

/TrdCaptRpt/RptSide/@SideQty

Allocation Multiplier

Represents the number of units allocated to each account

/TrdCaptRpt/RptSide/Alloc/@Qty

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