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While submitting trades, identifying the parties or entities involved in the trade is essential to Clearing. The clearing account, also referred to as the customer, is one of the most important party roles for trade submission to clearing. Details about retrieving entity information from CME ClearPort are available in the CME ClearPort Entity Reference API.

While submitting trades, identifying the Instrument being traded is critical. CME ClearPort allows trading of outrights and spreads. The submitted trade must contain all the attributes needed to identify a contract. Details on getting Product reference information from CME ClearPort are available in the CME ClearPort Product Reference API.

Submitting Account Aliases

The API allows submission of account aliases into CME ClearPort instead of the Clearing account with all the qualifying Party Roles. It encapsulates the Trading firm, Clearing account number and Clearing Firm, allowing use of an external reference for specifying an account. Allowing aliases to be defined at these levels, the API provides the flexibility for trading firms and platforms to represent the account as they know it. It supports submission of different types of aliases into the API. Currently a Trading firm or a platform may define unique aliases for clearing accounts in CME ClearPort.

Additionally, CME Group automatically assigns a unique alias to each existing account, as well as any newly created accounts. CME Group publishes these account aliases via the ClearPort API for Entity Reference Data. Trading firms and platforms can submit trades using this CME alias in lieu of specifying a clearing account number, trading firm, and clearing firm. If the trading firm or platform uses the CME Group alias to submit a trade, the resulting acknowledgement likewise uses this alias in lieu of a clearing account number, trading firm, and clearing firm.

The following forms of aliases are supported:

Trading Firm Assigned Alias

A Trading firm or an Asset manager can assign an alias to the Clearing Account. The source attribute identifies whether the alias being sent is a custom alias. The trading firm is identified in the Sub tag.

You must identify the type of Alias and the value of the entity that is the owner of the alias.

<Pty R="24" ID="TrdFirmAliasForAccount" Src="D">       D - implies a Custom value
  <Sub ID="123456" Typ="1">                            123456 - the Trading Firm number for the Asset manager and Typ="1" implies Firm
</Pty>

Platform Assigned Alias

CME ClearPort also supports submission of a platform assigned alias. The source identifies whether the alias being sent is a custom alias. The platform is identified in the Sub tag. 

 

<Pty R="24" ID="PlatformAliasForAcct" Src="D">         D - implies a Custom value
  <Sub ID="BCG" Typ="3">                               BCG - the Platform identifier for the Account and Typ="3" implies Platform
</Pty>

CME Assigned Alias

CME ClearPort also supports submission of a CME assigned alias. The source identifies whether the alias being sent is a custom alias. The platform is identified in the Sub tag. 

 

<Pty R="24" ID=" CMEAliasForAcct " Src="H"/>           H - a CME alias

Submitting Legal Entity Identifier (LEI)

Each counterparty to a swap subject to the jurisdiction of the CFTC must be identified in all recordkeeping and swap data reporting under Part 45 by using a single legal entity identifier, known as LEI.

Until the FSB endorses the recommendations, the CFTC is referring to the identifier to be used in reporting under the CFTC rule as the CFTC Interim Compliant Identifier (CICI).

The ClearPort API will not make the distinction between LEI and CICI. 

 

<Pty R="7" ID=" LEI of the Trading Firm" Src="N"/>     N - implies LEI

Submitting Reporting Counterparty

The Reporting Counterparty (RCP) is the party to a swap with the responsibility to report a publicly reportable swap transaction as soon as technologically practicable to a Swaps Data Repository (SDR) in accordance with the Dodd-Frank Act. Under this Act, one party must bear responsibility to ensure that the trade is reported.

In their rulemaking, the CFTC has created a hierarchy whereby:

  • Swap Dealers (SDs) always report when trading with Major Swap Participants (MSPs) and end users, and

  • MSPs always report when trading with end users.

The Reporting counterparty can be specified along with the Customer Account or with the Trading firm. The Reporting counterparty is identified in the Sub tag.

<Pty R="24" ID=" PlatformAliasForAcct " Src="D">        D - implies a Custom value	
  <Sub ID="BCG" Typ="3">                                BCG - the Platform identifier for the Account and Typ="3" implies Platform
  <Sub ID="Y" Typ="49">                                 Typ=49 implies Reporting Counterparty.
</Pty>
<Pty R="7" ID=" LEI of the trading firm " Src="N">      N - implies an LEI
  <Sub ID="Y" Typ="49">                                 Typ=49 implies Reporting Counterparty.
</Pty>

Submitting Other Party Roles

Use the following party roles (R) in the Party block when submitting a dual-sided trade. Refer to the validation rules when submitting Party roles.

FieldXPathDescription

ClearPort Trading Firm Identifier

/TrdCaptRpt/RptSide/Pty/@R=”7”

/TrdCaptRpt/RptSide/Pty/@ID\/TrdC//TrdCaptRpt/RptSide/Pty/@Src="C" 

Trading Firm to identify the side submitting the trade. For example, PIMCO, BlackRock etc.

Supported Value:
7 – Trading Firm

LEI of the Trading firm

/TrdCaptRpt/RptSide/Pty/@R=”7”

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/@Src="N"

Legal Entity identifier of the trading firm to identify the side submitting the trade. For example, PIMCO, BlackRock etc.

Supported Value:
R - 7 – Trading Firm
Src – N – Legal Entity Identifier

Trader ID

/TrdCaptRpt/RptSide/Pty/@R="36"

/TrdCaptRpt/RptSide/Pty/@ID

The UserID of the trader individual for a trading entity (typically a trading firm in this model) who is authorized to perform functions like submit trades into CME ClearPort, view trades etc..

Supported Value:
36 – Trader User ID or Asset Manager User ID

Broker Firm

/TrdCaptRpt/RptSide/Pty/@R="30"

/TrdCaptRpt/RptSide/Pty/@ID

The Inter dealer broker who brokered the deal.

Supported Value:
30 – Inter Dealer Broker (IDB)

Broker ID

/TrdCaptRpt/RptSide/Pty/@R="62"

/TrdCaptRpt/RptSide/Pty/@ID

The UserID of the broker individual at the Broker Firm.

Supported Value:
62 – Broker User ID

Clearing Firm

/TrdCaptRpt/RptSide/Pty/@R="1"

/TrdCaptRpt/RptSide/Pty/@ID

The firm that guarantees the account for Risk purposes.

Supported Value:
1 – Clearing Firm

Customer Account

/TrdCaptRpt/RptSide/Pty/@R="24"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/@Src="C"

The account to which a trade is posted or the beneficiary. Accounts are always associated with a Clearing firm and they guarantee the account.

Supported Value:
24 – Customer Account

Account Alias

  

/TrdCaptRpt/RptSide/Pty/@R="24"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/ @Src="D"

/TrdCaptRpt/RptSide/Pty/ Sub/@Typ="1"

/TrdCaptRpt/RptSide/Pty/ Sub/@ID

Trading Firm Alias

A single piece of identification that encapsulates the Account, Origin and Clearing firm and is assigned by the trading firm

Supported Value:
24 – Customer Account
1 - Trading Firm

Reporting Counterparty

/TrdCaptRpt/RptSide/Pty/@R="24"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/ @Src="H"

/TrdCaptRpt/RptSide/Pty/ Sub/@Typ="49"

/TrdCaptRpt/RptSide/Pty/ Sub/@ID=”Y”

OR

/TrdCaptRpt/RptSide/Pty/@R="7"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/ @Src="N"

/TrdCaptRpt/RptSide/Pty/ Sub/@Typ="49"

/TrdCaptRpt/RptSide/Pty/ Sub/@ID=”Y”

The Reporting Counterparty (RCP) is the party to a swap with the responsibility to report a publicly reportable swap transaction.

SEF (Swap Execution Facility)

/TrdCaptRpt/RptSide/Pty/@R="73"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/@Src="N"

The LEI of the Swap Execution facilituy. This is specified if the VenueTyp is a SEF or a DCM.

SDR (Swaps Data Repository)

/TrdCaptRpt/RptSide/Pty/@R="102"

/TrdCaptRpt/RptSide/Pty/@ID

/TrdCaptRpt/RptSide/Pty/@Src="N"

The LEI of the Swaps Data Repository to which the bilateral trade was reported.

Party Role Validations

    • The Customer account information is required.
    • Participants can either submit an account alias or a fully qualified account.
    • If an alias is provided, it has to indicate if the alias is Trading firm assigned, platform assigned, or CME assigned.
    • If the participant submits an account (not alias), the clearing firm will have to be specified.
    • A Broker Firm (Party role 30) is required for brokered trade submissions into the CME ClearPort API. The broker firm must be permissioned to submit trades for the specified accounts or the trade will not be accepted.
    • If a Broker (Party role 30) is specified on the trade, a Broker User (Party role 62) may be required. The Broker User will have to be a valid User ID in ClearPort.
    • Asset Manager Firm (Party role 49) / Trading Firm (Party Role 7) are optional for non-brokered trade submissions. 
      • If an Asset Manager Firm is assigned to the referenced account(s) then it will be persisted as the buyer/seller principal for the applicable side.
      • If an Asset Manager Firm is not assigned to the referenced account(s) then CME ClearPort will verify that the Account Owner / Trading Firm has active trading rights.  
        • If active trading rights exist, the Trading Firm will be persisted as the buyer/seller principal for the applicable side. 
        • If active trading rights do not exist, the trade will be rejected.
    • If an Asset Manager (Party role 49) is specified on the trade, an Asset Manager User (Party role 36) will be required. The Asset Manager User will have to be a valid User ID in ClearPort.
    • If a Broker submits a trade using an account(s) with an Asset Manager assigned, the Asset Manager firm becomes a part of the trade and will appear as Party Role 49 on the applicable side or allocation.
    • A Trader ID (Party Role 36) indicating entering trader, is required for all exchanges except CME and CBOT. In some cases, an Asset Manager User ID may be sepcified in Party Role 36 to satisfy the Trader ID requirement. CME ClearPort will validate the User ID in Party Role 36 to ensure that the Trader ID specified is a valid Trader or Asset Manager for the specified Account.
    • The Trader ID will not be validated if the Source of the Trader ID is a Custom Source (Src="D").
    • The reporting counterparty can be specified as a Sub Tag of a Customer Account or a Sub Tag of the Trading Firm.

Submitting an Outright Instrument

When submitting an outright instrument, the API requires the submitter to provide all the attributes that identify the instrument. The identifiers can vary based on the security type. Some of the instruments will require that the underlying Instrument be specified.

The following are the identifying attributes for all contracts.

Instrument Identifiers

The following fields are required for contract identification in the Instrument block for various security types:

For other required FIXML attributes required during trade submission, please refer to the message specification.

Field

Description

Valid Enum

XPath

Applicable to SecTyp

Product Code

An ID assigned to the Product by CME Clearing.

 

TrdCaptRpt/Instrmt/@ID

All

Product Code Source

Source of the specified Product Code.

H – Clearing House

TrdCaptRpt/Instrmt/@Src

All

Exchange

The exchange listing the Product

NYMEX

TrdCaptRpt/Instrmt/@Exch

All

 

 

COMEX

 

 

 

 

DME – Dubai Merc. Exchange

 

 

 

 

GEX – GreenX

 

 

 

 

CME

 

 

 

 

CBT – CBOT

 

 

Security Type

The Type of Security

FUT – Future

TrdCaptRpt/Instrmt/@SecTyp

FUT

 

 

FWD – Forward

 

FWD

 

 

OPT – Option

 

OPT

Maturity

The Contract Maturity.

OTC FX Forwards – this field must contain the contract's Fixing Date.

 

TrdCaptRpt/Instrmt/@MMY

All

Strike Price

The Strike price of the Option

 

TrdCaptRpt/Instrmt/@StrkPx

OPT

Put Call Ind

Indicates if the contract is Put or Call

0 – Put

TrdCaptRpt/Instrmt/@PutCall

OPT

 

 

1 - Call

 

 

Underlying Details

Field

Description

Valid Enum

XPath

Required for SecTyp

Underlying Clearing Product Code

An ID assigned to the Underlying Product by CME Clearing.

 

TrdCaptRpt/Undly/@SecTyp

OPT

Underlying Product Code Source

The Source of the Underlying Product Id

H – Clearing

TrdCaptRpt/ Undly/@Src

 

Underlying Exchange

The exchange listing the Underlying Product

 

TrdCaptRpt/ Undly/@Exch

 

Underlying Security Type

The Type of Underlying Security

FUT – Future

TrdCaptRpt/ Undly/@SecTyp

 

 

 

FWD – Forward

 

 

 

 

MLEG – Multi-leg (Combo)

 

 

Underlying Maturity

The Contract Maturity of the underlying Instrument

 

TrdCaptRpt/ Undly/@MMY

 

Underlying Maturity

The Contract Maturity of the underlying Instrument

 

TrdCaptRpt/ Undly/@MMY

 

Option Message Sample with an Underlying

<Instrmt ID="LO" SecTyp="OPT" Src="H" MMY="201107"
MatDt="2011-06-16" StrkPx="140.0" Exch="NYMEX"
PutCall="1"/>

Instrument Details for an Option

<Undly ID="CL" Src="H" MMY="201107" Exch="NYMEX"
SecTyp="FUT"/>

Underlying for an Option

Submitting a Spread Instrument

While submitting a Spread, the submitter must submit an Instrument and details of the Spread legs. The Instrument must indicate that the Security type is a Multi-legged instrument and the Leg must contain the contract identifiers for the Legs. If any leg is an option, the Instrument may indicate the underlying instruments for the legs.

Spread Instrument Details

Field

XPath

Description

Required for SecTyp

Security Type

TrdCaptRpt/Instrmt/@SecTyp

The Type of Security

Supported Values:
MLEG – Multi Leg (Combo)

MLEG

Security Sub Type

TrdCaptRpt/Instrmt/@SubTyp

This may be optionally provided for Spreads

Supported Values:
GN - Generic
SP – Calendar Spreads
BF – Butterfly
PK = Pack
FB = Bundle
PB = Pack Bfly
CF = Condor
PS = Pack Spread
SA = Strip
MP = Month Pack
FX – FX Calendar Spreads

 

Leg Instrument Details

FieldXPathDescriptionRequired for SecTyp

Leg Clearing Product Code

TrdCaptRpt/TrdLeg/Leg/@ID

An ID assigned to the Product by CME Clearing.

All

Leg Exchange

TrdCaptRpt/ TrdLeg/Leg/ @Exch

The exchange listing the Product

All

Leg Security Type

TrdCaptRpt/ TrdLeg/Leg/ @SecTyp

The Type of Security.

Supported Values:
FUT – Future
FWD – Forward
OPT – Option

FUT
FWD
OPT

Leg Maturity

TrdCaptRpt/ TrdLeg/Leg /@MMY

The Contract Maturity.

OTC FX Forwards – this field must contain the contract's Fixing Date.

All

Leg Strike Price

TrdCaptRpt/ TrdLeg/Leg /@Strk

The Strike price of the Option

OPT

Leg Put Call Ind

TrdCaptRpt/ TrdLeg/Leg /@PutCall

Indicates if the contract is Put or Call
Supported Values:
0 – Put
1 – Call

OPT

Leg Buy Sell Code

TrdCaptRpt/ TrdLeg/Leg /@Side

Supported Values:
1 – Buy
2 - Sell

All

Leg Underlying Instrument Details

FieldXPathDescriptionRequired for SecTyp

Leg Underlying Clearing Product Code

TrdCaptRpt/TrdLeg/Undlys/Undly/@ID

An ID assigned to the Product by CME Clearing.

OPT

Source of the Leg Underlying Product Code

TrdCaptRpt/TrdLeg/ Undlys/Undly/@Src

The Source of the Product ID.
Supported Values:
H – Clearing

OPT

Leg Underlying Exchange

TrdCaptRpt/TrdLeg/ Undlys/Undly/@Exch

The exchange listing the Product

OPT

Leg Underlying Security Type

TrdCaptRpt/TrdLeg/Undlys/Undly/@SecTyp

The Type of Security.

Supported Values:
FUT – Future
FWD – Forward
MLEG – Multi-leg (Combo)

OPT

Leg Underlying Maturity

TrdCaptRpt/TrdLeg/Undlys/Undly/@MMY

The Contract Maturity

OPT

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