CME STP Notices: February 25, 2019

CME STP

Consolidated Trade Capture Report Messages in STP  - March 3

On Sunday, March 3 (trade date Monday, March 4), CME Group will continue the launch of consolidated iLink fill messages on CME Globex to reduce the number of iLink Execution Report - Fill messages. With this launch, CME Globex will consolidate aggressor Fill Execution Reports.

This consolidation will be reflected in the STP Trade Capture Report (TCR) messages as a reduced number of TCR messages for all trades except the swap legs of Invoice Swaps, Invoice Swap Calendars and Invoice Swap Switch spreads.

Please review the Client Impact Assessment for the full rollout schedule, consolidation scenarios and examples.

This enhancement is currently available for customer testing in New Release.

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Update Update - Fee Multiplier Supported in CME STP  - March 31

† Denotes update to the article

Effective Sunday, March 31 (trade date Monday, April 1), to facilitate automation of a tiered fee schedule, CME STP will support Fee Multiplier at the Trade Capture Report level.

This enhancement supports the extension of the listing schedule for futures contracts on products such as the S&P 500 Total Return Index, where the tiered fee schedule maturities in the first two years (zero to 23 months out) are charged a base rate, maturities in the next three years (24 to 59 months out) are charged twice the base rate, and the furthest out maturities (60 months and more) are charged four times the base rate.

Please review the Clearing Advisory for additional information.

This enhancement will be available for customer testing in New Release on †Tuesday, March 12.

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UpdateUpdate - Settlement Method Available at the Leg Level - March 31

† Denotes update to the article

Effective Sunday, March 31 (Monday, April 1), to support Settlement Method for all security types on multi-leg spread messages (MLegRptTyp = 3), Settlement Method will be added at the Instrument Leg level (TrdCaptRpt/TrdLeg/Leg/@SettlMeth).

This enhancement will be available for customer testing in New Release on †Tuesday, March 12.

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Memo Field in CME STP - March 31

Effective Sunday, March 31 (trade date Monday, April 1), in response to customer requests, a new Memo field (TrdCaptRpt/RptSide/@Mem) will be supported on CME STP messages for CME Globex trades. The new iLink order tag, 5149-Memo, allows customers to submit a free-form note that will be exposed on CME STP trade capture reports to facilitate end-of-day reconciliations between trading and clearing firms.

This enhancement will apply to all trades, except the swap legs of Invoice Swaps, Invoice Swap Calendars and Invoice Swap Switch spreads.

This enhancement is currently available for customer testing in New Release.

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CME STP FIX

Consolidated Trade Capture Report Messages in STP  - March 3

On Sunday, March 3 (trade date Monday, March 4), CME Group will continue the launch of consolidated iLink fill messages on CME Globex to reduce the number of iLink Execution Report - Fill messages. With this launch, CME Globex will consolidate aggressor Fill Execution Reports.

This consolidation will be reflected in the STP Trade Capture Report (TCR) messages as a reduced number of TCR messages for all trades except the swap legs of Invoice Swaps, Invoice Swap Calendars and Invoice Swap Switch spreads.

Please review the Client Impact Assessment for the full rollout schedule, consolidation scenarios and examples.

This enhancement is currently available for customer testing in New Release.

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UpdateUpdate - Fee Multiplier Supported in CME STP FIX - March 31

† Denotes update to the article

Effective Sunday, March 31 (trade date Monday, April 1), to facilitate automation of a tiered fee schedule, CME STP FIX will support Fee Multiplier at the Trade Capture Report level.

This enhancement supports the extension of the listing schedule for futures contracts on products such as the S&P 500 Total Return Index, where the tiered fee schedule maturities in the first two years (zero to 23 months out) are charged a base rate, maturities in the next three years (24 to 59 months out) are charged twice the base rate, and the furthest out maturities (60 months and more) are charged four times the base rate.

Please review the Clearing Advisory for additional information.

This enhancement will be available for customer testing in New Release on †Wednesday, March 13.

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Update Update - Settlement Method Available at the Leg Level for CME STP FIX - March 31

† Denotes update to the article

Effective Sunday, March 31 (Monday, April 1), to support Settlement Method for all security types on multi-leg spread messages (MLegRptTyp = 3), Settlement Method will be added at the Instrument Leg level(TrdCaptRpt/TrdLeg/Leg/@SettlMeth).

This enhancement will be available for customer testing in New Release on †Wednesday, March 13.

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Memo Field in CME STP FIX - March 31

Effective Sunday, March 31 (trade date Monday, April 1), in response to customer requests, a new Memo field (tag 5149-Mem) will be supported on CME STP messages for CME Globex trades. The new iLink order tag, 5149-Memo, allows customers to submit a free-form note that will be exposed on CME STP trade capture reports to facilitate end-of-day reconciliations between trading and clearing firms.

This enhancement will apply to all trades, except the swap legs of Invoice Swaps, Invoice Swap Calendars and Invoice Swap Switch spreads.

This enhancement is currently available for customer testing in New Release.

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CME STP Trade View

Consolidated Trade Capture Report Messages in STP Trade View  - March 3

On Sunday, March 3  (trade date Monday, March 4), CME Group will continue the launch of consolidated iLink fill messages on CME Globex to reduce the number of iLink Execution Report - Fill messages. With this launch, CME Globex will consolidate aggressor Fill Execution Reports.

This consolidation will be reflected in the STP Trade Capture Report (TCR) messages as a reduced number of TCR messages for all trades except the swap legs of Invoice Swaps, Invoice Swap Calendars and Invoice Swap Switch spreads.

Please see the Client Impact Assessment for the full rollout schedule, consolidation scenarios and examples.

This enhancement is currently available for customer testing in New Release.

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Contacts

Please contact the following support teams for:

• New Release Environment Support:
  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.
• Production Environment Support:
  CME Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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