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Commodity swaps and options on swaps (commodity swaptions) may be submitted using CME STP BaCE (bilaterals and cleared-elsewhere) and supported in CME STP. A robust set of product reference data attributes is supported for Bilateral transactions.


Contents

Commodity Swaps and Swaptions Structure

The commodity swap or swaption is specified as Streams. Each Stream component describes details like the notional, unit of measure, currency, the payer, the receiver etc. The Commodity Base specifies the general base type of the commodity traded, including: Metal, Bullion, Oil, Natural Gas. Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, and Emissions, and others. 

The SettlementPeriodGrp is a repeating subcomponent of the PaymentStreamCommodity component used to detail commodity delivery periods.

View samples.

Commodity Swaps

Commodity swaps are detailed at the Instrument level.

Commodity Swaptions

Commodity swap options detail the option at the Instrument level and the swap at the Underlying Instrument level. The Premium is specified in the Payment (pmt) component.

Specifications

The following specifications are used for bilaterals:

Security Type

An enumeration for Security Type is sent in the following blocks:

NameAbbrDatatypeDescriptionNew Enumeration
Security TypeSecTypStringIndicates type of instrument or security.CMDTYSWAP = Commodity Swap

Blocks that Support Bilateral Trades

The blocks described below support bilateral trades.

  • The Commodity Swap Structure is captured in the repeating Stream group: Stream Group for Swaps, and UnderlyingStream Group for Commodity Swaptions).
  • The Payment block (trdCaptRpt/Pmt) specifies the premium for commodity swaptions.

Additional Fields that Support Bilateral Trades

The following fields support bilateral trade support.

TrdCaptRpt

NameAbbrDatatypeDescriptionEnumerations
ClearedIndicatorClrdInt

An indication of whether or not a reportable swap transaction is cleared by a derivatives clearing organization.

Valid values:

  • 0 = Not cleared
  • 1 = Cleared
ClearingIntention ClrIntnIntAn indication of whether or not a reportable swap transaction is intended to clear.

Valid values:

  • 0 = Do not intend to clear
  • 1 = Intend to clear
ClearingRequirementExceptionClrReqmtExcptnInt

An indication of whether a party to a swap is using the end-user exception.

Valid values:

  • 0 = No exception
  • 1 = Exception
TrdCollateralizationTrdCollztnIntIf a swap is not cleared, an indication of whether a swap is Uncollateralized, Partially Collateralized, One-Way Collateralize, Fully Collateralized.

Valid values:

  • 0 = Uncollateralized
  • 1 = Partially Collateralized

Valid values:

  • 2 = One-Way Collateralized
  • 3 = Fully Collateralized
Execution MethodExecMethIntSpecifies whether the transaction was executed via an automated execution platform or other method.

Valid values:

  • 1 = Manual
  • 2=Automated

/TrdCaptRpt/RptSide (repeating)

NameAbbrDatatypeDescriptionEnumerations
Client Order ID 2ClOrdID2StrngClient Order ID 2 
TextTxtSsringFree format text string 

TrdCaptRpt/Instrmt

NameAbbrDatatypeDescriptionEnumerations
StrikeIndexStrkNdxStringSpecifies the index used to calculate the strike price. 
StrikeIndexLocationStrkNdxLctnstring

Strike Index Location

 
StrikeMultipierStrikeMultFloatUsed for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. 
PriceUnitofMeasurePxUOMStringUsed to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract

Valid Values:

Fixed Qty UOM

  • Bcf = Billion cubic feet
  • MMbbl = Million Barrels
  • MMBtu = One Million BTU
  • MWh = Megawatt hours

Variable Quantity UOM

  • Bbl = Barrels
  • Bu = Bushels
  • lbs = pounds
  • Gal = Gallons
  • oz_tr = Troy Ounces
  • t = Metric Tons (aka Tonne)
  • tn = Tons (US)
  • USD = US Dollars

 

  • Alw = Allowances
ExerciseStyleExerStyleIntType of exercise of a derivatives security

Valid values:

'0' European
'1' American
'2' Bermuda

UnderlyingPriceDeterminationMethodPxDtrmnMethIntSpecifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

Valid values:

'1' Regular
'2' Special reference
'3' Optimal value (Lookback)
'4' Average value (Asian option)

 

Testing and Certification

Certification is required for bilateral trades. 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 the New Release Environment or to schedule a certification.

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