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This topic provides information to support clients subject to MiFID II requirementsCME Group will provide the following reports, which can be accessed here:

  • A CSV report for each clearing or executing firm containing the trades for products subject to MiFIR reporting requirements will be available by 12 a.m. Central Time via the CME Groups FTP site or the Enterprise Reporting Portal (EREP), Monday through Friday.
    • Within EREP the reports will be known as:
      • Report ID : TR001
      • Report Name : MiFID Transaction Report

    • The naming convention for the file is as follows:
      • Example: MIFID.xxxLEI.20171016.csv
        • Format: MIFID.{LEI}.{Date}.csv
        • Date is YYYYMMDD
  • A CSV report on products covered under the MiFIR requirementsThe file can be cross-referenced with the FPRF file, to identify specific instruments.

Contents 

Sign Up Process

Firm must be an existing, onboarded CME firm to register for MiFIR Transaction reports.

  1. Sign up for the trade report here.  
  2. A UK Global Account Management (GAM) team member will send the Terms and Conditions.
  3. Review the Terms and Conditions form, enter the firm LEI, sign the form and send to GAM.
  4. Register MiFID II eligible accounts in Account Management Service.
  5. Inform GAM of your preference to access files via sFTP or EREP.

A subscription service for MiFID II reporting updates is available at the CME Group Subscription Center.

MiFIR Transaction Reporting File Specifications

  • Only the following MiFIR Fields will be available in the reports. Client systems must join this information with in-house records to generate the full report.
  • Please note that the MiFIR Data Service does not take into account any of Client's own circumstances that could affect the required contents of its Transaction Reports. Clients are solely responsible for complying with the Reporting Obligation and must use data provided by the MiFIR Data Service accordingly. 
  • The CME LEI is SNZ2OJLFK8MNNCLQOF39.
  • Use this guide to map from the CSV to individual fill messages (Note: when reporting the Trading Venue Transaction ID Code, do not include the pipe delimiters within this field on the CSV).
  • Field 41- Instrument Identification Code - CME Group products do not have an ISIN, and are not required to have one under CFTC rules. MiFID fields 42-56 will instead be provided to help clients identify the traded instruments, with the exception of field 47 – Underlying instrument code since this ISIN is not stored within CME systems.

CSV Field HeaderMiFIR Field Number MappingMiFIR Field Name MappingDescriptionData TypeExampleMaps to
CYC_DT-

ISO 8601 standard business date when the report was generated.

DATE2017-05-16-
TRDG_FIRM_ID-

Trading Firm Identifier

VARCHAR(40)999_cmegroup

Clearing Confirmation:

TrdCaptRpt/RptSide/Pty/@ID (tag 44)

Where

TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7)

AND

TrdCaptRpt/RptSide/Pty/@Src="C" (tag 447=C)

TXN_REF_NBR2Transaction Reference NumberUnique Transaction Reference NumberVARCHAR(52)844531565

 Clearing Confirmation:

TrdCaptRpt/@RptID (tag 571)

TRDG_VNU_TXN_ID_CD3Trading Venue Transaction Identification Code

Trading Venue Transaction Identification Code

52-character alphanumeric field populated with a code generated by the trading venue, disseminated to both buyer and sellers

VARCHAR(52)123456

Clearing Confirmation: 

TrdCaptRpt/@ExecID (tag 17)

Trade Fill:

The values from the following separated by a | character

ExecRpt/@TrdDt (tag 75) +

ExecRpt/Instrmt/@Desc (tag 107) +

The number at the end ExecRpt/@ExecID (tag 17) after the “TN” ignoring any leading zeros

BUYR_SELR_ID_CD7/16Buyer Identification Code/Seller Identification CodeTrading Firm LEI.VARCHAR(50)SNZ2OJLFK8MNNCLQOF39

 Clearing Confirmation: 

TrdCaptRpt/RptSide/Pty/@ID (tag 448)

Where

TrdCaptRpt/RptSide/Pty/@R="7" (tag 452=7)

AND

TrdCaptRpt/RptSide/Pty/@Src="N” (tag 447=N)

TRD_DT_TM28Trade Date Time

ISO 8601 standard trade date and time

YYYY-MM-DDThh:mm:ss:ddddddZ

DATETIME

2017-03-01T13:00:00.000000Z

 Clearing Confirmation: 

TrdCaptRpt/RptSide/TrdRegTS/@TS (tag 1012)

Where

TrdCaptRpt/RptSide/TrdRegTS/@Typ="1" (tag 1013=1)

QTY30QuantityQuantity tradedNUMBER(18,17)20.0Clearing Confirmation:

TrdCaptRpt/@LastQty (tag 32)

Trade Fill:

ExecRpt/@LastQty (tag 32)

PX33PricePrice of instrumentNUMBER(18,17)65.62Clearing Confirmation:

TrdCaptRpt/@LastPx (tag 31)

Trade Fill:

ExecRpt/@LastPx (tag 31)

PX_SGN33Price

Price sign Indicator

  • false = positive price
  • true = negative price
VARCHAR(5)

false

Determined based on whether LastPx (tag 31) is positive or negative.
PX_CCY34Price CurrencyPrice currencyVARCHAR(3)USD

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

VNU36VenueIdentifies the type of venue where a trade was executed.VARCHAR(4)

XOFF

CME Group MIC codes

 Clearing Confirmation:

TrdCaptRpt/@VenuTyp (tag 1430)

UPFT_PMT38Up-Front PaymentUp-front paymentNUMBER(18,5)0

Clearing Confirmation:

TrdCaptRpt/Amt/@Amt (tag 708)

Where

TrdCaptRpt/Amt/@Typ="CRES" (tag 707=CRES)

UPFT_PMT_SGN38Up-Front Payment

Up-front payment sign indicator

    • false = positive up-front price
    • true = negative up-front  price
VARCHAR(5)

false

Determined based on whether Amt (tag 708) is positive or negative.
UPFT_PMT_CCY39Up-Front Payment CurrencyUp-front payment currencyVARCHAR(3)USDClearing Confirmation:

TrdCaptRpt/Amt/@Ccy (tag 1055)

Where

TrdCaptRpt/Amt/@Typ="CRES" (tag707=CRES)

CPLX_TRD_CPNT_ID40Complex Trade Component ID

Complex Trade Component ID

Unique ID internal to the reporting firm and used to identify all reports relating to the same execution of a combination of financial instruments (e.g. strategy trades).

Will only be populated for spread trades.

VARCHAR(35)654321

Clearing Confirmation:

TrdCaptRpt/RptSide/@StrategyLinkID (tag 1851)

Fills:

ExecRpt/@ExecID (tag 17)

INST_FULL_NAME42Instrument Full NameFull name of instrumentVARCHAR(350)Natural Gas Options

 Clearing Confirmation:

TrdCaptRpt/Instrmt/@Desc (tag 107)

INST_CSFN43Instrument ClassificationInstrument classification using ISO 10962 standard.VARCHAR(6)OPAXPS

 Clearing Confirmation:

TrdCaptRpt/Instrmt/@CFI (tag 461)

NOTL_CCY_144Notional Currency 1

Notional currency

The currency of the notional amount. In the case of an interest rate derivative
contract, this will be the notional currency of leg 1.

Will be null if not a currency.

VARCHAR(3)USD

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

PX_MULT46Price Multiplier

Price multiplier

Number of units of the underlying instrument represented by a single derivative contract. For a future or option on an index, the amount per index point.

NUMBER(18,17)10000

Clearing Confirmation:

TrdCaptRpt/Instrmt/@Mult (tag 231)
UND_IDX_NAME48Underlying Index NameUnderlying instrument nameVARCHAR(30)

Natural Gas Options

Clearing Confirmation:

TrdCaptRpt/Undly/@Desc (tag 307)

OPT_TYP50Option TypeOption type

VARCHAR(4)

PUTO - Put option

CALL - Call option

OTHR - Other option

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PutCall (tag 201)

STRK_PX51
Strike price

NUMBER(18,17)

5250.0

Clearing Confirmation:

TrdCaptRpt/Instrmt/@StrkPx (tag 202)

STRK_PX_SGN

51

Strike Price

Strike price sign indicator

    • false = positive strike price
    • true = negative strike price
VARCHAR(5)

false

Determined based on whether the value of StrkPx (tag 202) is positive or negative.


STRK_PX_CCY52Strike Price CurrencyStrike price currencyVARCHAR(3)USD

Clearing Confirmation:

TrdCaptRpt/Instrmt/@PxQteCcy (tag 1524)

OPT_EXER_STYL53Option Exercise StyleOption Exercise Style (Americal or European)VARCHAR(4)AMER

Clearing Confirmation:

TrdCaptRpt/Instrmt/@ExerStyle (tag 1194)

EXPY_DT55Expiry DateISO 8601 standard expiration date of instrumentDATE2018-01-26

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@MatDt (tag 541)

DLV_TYP56Delivery Type

Delivery Type

    • Physical (PHYS)
    • Financial (CASH)
    • Option (OPT)
VARCHAR(5)PHYS

Clearing Confirmation: 

TrdCaptRpt/Instrmt/@SettlMeth (tag 1193)


Product File Specifications

CSV FieldDescriptionData TypeExample
Clearing CodeClearing Product Code.VARCHAR(10)ON
CME Globex CodeGlobex Product Code.VARCHAR(10)ON
CME ClearPort CodeCME ClearPort Product Code.VARCHAR(10)ON
ExchangeExchange product trades on.VARCHAR(10)NYMEX
Product NameName of the product.VARCHAR(50)Natural Gas Options