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This page discusses the various types of allocation submission supported by CME ClearPort API. A block trade can be allocated and submitted when the trade is submitted for clearing if the allocation accounts are known. Alternatively the client can clear the block and then allocate the block to the different client accounts.

Submitting Pre-Clear Allocations for Clearing

Pre-Clear Allocations: In this allocation model, allocations can be submitted at the time of trade submission. Allocations can be submitted for both the single sided and dual sided allocation model. In a single sided submission model, the allocations will be processed only after the trade is matched (affirmed) by ClearPort. All the allocations can be submitted in a single trade with multiple allocation blocks. As each allocation is claimed and cleared, the submitter is notified. Alternatively, allocations can be broken up and submitted as multiple trades by referencing the block trade and each allocated trade is cleared as a unique trade.

Submitting Allocations with Multiple Allocation Blocks

In this allocation model, the trade is submitted with multiple allocation blocks. Upon submission, CME ClearPort assigns an allocation id for each allocation. The trade is split into multiple trades and sent to CME Clearing. The clearing firms will be notified of the trades. Based on the account configuration and the asset class, each allocated trade will be credit checked using the appropriate credit check model. As allocations  are explicitly claimed by clearing firms or allocations pass credit using the CME Hosted Risk limit check model, the submitters are notified. Eventually when both sides of allocations clear, the submitters are notified of cleared allocations and trades.

Submission Rules

  1. The Block will need to be fully allocated.
  2. While submitting allocations the original Block USI is required.
  3. Allocations using Allocation blocks are submitted for the allocating side only.
  4. The platform can optionally assign an allocation id (TrdCaptRpt/RptSide/Alloc/IndAllocID) for each allocation, 
  5. Once ClearPort receives the trade, ClearPort will assign an allocation id (TrdCaptRpt/RptSide/Alloc/IndAllocID2) for each allocation.
  6. A Bilateral USI is required for each allocation that is submitted with the namespace of the assigner at the time for trade submission. This is present in the allocation block. If a USI is not present on the submitted trade, CME ClearPort will assign one with the CME ClearPort Namespace. This will be sent back to the platform subsequent Acks or notifications to the platform.
  7. If the trade or allocation go into the claim workflow, claim quantities will be reported to submitters.
  8. As each allocation is cleared, a cleared USI is assigned for each allocation. 
  9. The non-allocating side also receives a cleared USI for the allocated quantity. 

Submitting Multiple Allocated Trades 

In this allocation model, each allocation is split and sent in as a unique trade by the affirmation platform. Each allocated trade submitted will reference the original block. Based on the account configuration and the asset class, each trade will be credit checked using the appropriate credit check model. As each side if the trade is explicitly claimed by the clearing firm,or passes credit using the CME Hosted Risk limit check model, the submitters are notified. Eventually when both sides of trade are claimed or credit checked, the submitter will be notified of cleared trade.


Submission Rules

  1. While submitting allocated trades, the original Block USI is required.
  2. A Bilateral USI is required for each allocation that is submitted with the namespace of the assigner at the time for trade submission. This is present in the TrdCaptRpt element. If a USI is not present on the submitted trade, CME ClearPort will assign one with the CME ClearPort Namespace. This will be sent back to the platform subsequent Acks or notifications to the platform.
  3. As the trade is cleared, a Cleared USI is assigned for each trade side and the submitter is notified.

Submitting Post Clear Allocations

Post Clear Allocation: In this allocation model, when a bilateral trade is executed and the allocations/accounts are not known within the required reporting time frame, the trade is submitted using a temporary block/ holding account. The trade cleared in the block/holding account. Subsequently the counterparty that intended to allocate can submit allocations by allocating out of the holding account into the appropriate allocation accounts.  In this model, the participants can submit partial allocations. The allocated trade will need to reference the original block trade (using the block USI). 

Block Trade Submission and Clearing - Step 1

This is the first step to submitting post trade allocations. The block trade is submitted to CME ClearPort by specifying a holding account.The Client intending to allocate the side will note the intention at the time of the block trade submission.  Based on the account configuration and the asset class, the block trade will be credit checked using the appropriate credit check model. As each side if the trade is explicitly claimed by the clearing firm,or passes credit using the CME Hosted Risk limit check model, the submitter will be notified. Eventually when both sides of trade are claimed or credit checked, the submitter is notified of cleared block trade.

Submission Rules

  1. Trades that will be allocated must contain BlckTrdAllcInd=0 (Block to be Allocated) and a temporary holding account on the applicable sides.
  2. Trades that will be allocated should also have a Bilateral USI. If one is not provided CME ClearPort will generate one.

Submitting  Allocations for the Cleared Block - Step 2

In this allocation submission model, the allocations are submitted by the allocating side after the block trade is cleared in a holding account. The non-allocating side is not involved in the allocation process. The trade can be allocated in one of two ways defined above. The trade can be submitted with multiple allocation blocks. Alternatively  allocations can be split and submitted as multiple trades. 

This diagram illustrates post trade allocation using multiple allocation blocks.

Submission Rules

  • Allocations must have a 'Block USI' attribute that references the Bilateral USI of a previously submitted trade.
  • Allocations must offset the applicable side, which is the holding account side of the referenced trade.
  • Allocations for the offsetting side must be submitted with no BlckTrdAllcInd attribute.
  • Allocations must have correct account(s) and BlckTrdAllcInd=2 (Allocated) on the allocated side.
  • Allocations can be submitted individually or within a single submission.
  • Allocations may reference a non-top day trade.

Bunched Order Entry

Example of a trade that will be allocated at a later time (bunched in/block trade):

<FIXML v="5.0 SP2" xv="109" s="20090815" cv="CME.0001">
    <TrdCaptRpt ExecID2="123456" RptID="20100622:373917:50014:1" TransTyp="0" RptTyp="0" QtyTyp="0" TrdTyp="22" TxnTm="2012-08-09T12:13:45.656-04:00" TrdDt="2012-08-09" LastQty="500000" PxNeg="1">
        <Hdr SID="RCPLT" SSub="rcafpl" TID="CME" TSub="CPAPI"/>
        <RegTrdID ID="1342376676" Src="abcdefghij" Typ="0" Evnt="0"/>
        <Instrmt MMY="201412" SecTyp="IRS" ID="CG13" Src="H" CpnRt="1.0" Exch="CME"/>
        <Yield Yld="0.92500"/>
        <TrdRegTS Typ="1" TS="2010-11-12T15:01:43.166-05:00"/>
        <RptSide Side="1" ClOrdID="ABC123" InptSrc="RCPLT">
            <Pty ID="RCAF_TRD1" R="7">
                <Sub Typ="49" ID="Y"/>
            </Pty>
            <Pty ID="rcaf1" R="36"/>
            <Pty ID="RCACCT1A" R="24" Src="C"/>
            <Pty ID="123" R="1"/>
            <Pty ID="rcaf1" R="36"/>
        </RptSide>
        <RptSide Side="2" BlckTrdAllocInd="0"  ClOrdID="XYZ123" InptSrc="RCPLT">
            <Pty ID="RCAF_ASMGR" R="49"/>
            <Pty ID="rcaf3" R="36"/>
            <Pty ID="ASMHOLDING" R="24" Src="C"/>
            <Pty ID="456" R="1"/>
        </RptSide>
    </TrdCaptRpt>
</FIXML>

Example of an Allocation referencing a bunched trade:

<FIXML v="5.0 SP2" xv="109" s="20090815" cv="CME.0001">
    <TrdCaptRpt ExecID2="123456" RptID="20100622:373917:50014:1" TransTyp="0" RptTyp="0" QtyTyp="0" TrdTyp="22" TxnTm="2012-08-09T12:13:45.656-04:00" TrdDt="2012-08-09" LastQty="500000" PxNeg="1">
        <Hdr SID="RCPLT" SSub="rcafpl" TID="CME" TSub="CPAPI"/>
        <RegTrdID ID="1342376676" Src="abcdefghij" Typ="2" Evnt="0"/>
        <Instrmt MMY="201412" SecTyp="IRS" ID="CG13" Src="H" CpnRt="1.0" Exch="CME"/>
        <Yield Yld="0.92500"/>
        <TrdRegTS Typ="1" TS="2010-11-12T15:01:43.166-05:00"/>
        <RptSide Side="1" ClOrdID="XYZ123" InptSrc="RCPLT">
            <Pty ID="RCAF_ASMGR" R="49"/>
            <Pty ID="rcaf3" R="36"/>
            <Pty ID="ASMHOLDING" R="24" Src="C"/>
            <Pty ID="456" R="1"/>
        </RptSide>
        <RptSide Side="2" BlckTrdAllocInd="2" ClOrdID="XYZ123" InptSrc="RCPLT">
            <Pty ID="RCAF_TRD1" R="7">
                <Sub Typ="49" ID="Y"/>
            </Pty>
            <Pty ID="rcf1" R="36"/>
            <Alloc Qty="250000">
                <RegTrdID ID="1342376111" Src="222defghij" Typ="0" Evnt="0"/>
                <Pty ID="RCACCT1A" R="24" Src="C"/>
                <Pty ID="789" R="1"/>
                <Pty ID="rcaf1" R="36"/>
            </Alloc>
            <Alloc Qty="250000">
                <RegTrdID ID="1342376222" Src="333wsfljkfls" Typ="0" Evnt="0"/>
                <Pty ID="RCACCT1B" R="24" Src="C"/>
                <Pty ID="456" R="1"/>
                <Pty ID="rcaf1" R="36"/>
            </Alloc>
        </RptSide>
    </TrdCaptRpt>
</FIXML>
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