CME STP Notices: September 2, 2021

CME STP

EONIA/IBOR Conversion of Interest Rate Swaps - September 12

Effective Sunday, September 12 (trade date September 13), to support the EONIA/IBOR conversion of Interest Rate Swaps, CME Group will introduce changes to FpML in /TrdCaptRpt/Instrmt/SecXML in CME STP.

EONIA/IBOR conversion includes:

• Splitting of GBP, JPY and CHF basis swaps to fix-float swaps
• EUR EONIA OIS to €STR OIS
• GBP, JPY and CHF IBOR to RFR OIS

For trades in-scope of the conversion, the FpML will be populated with following values:

The history block (/FpML/clearingConfirmed/trade/tradeHeader/cme:history) will be included to identify related trades.

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

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New Originating Event Enumeration in CME STP Interest Rate Swap (IRS) Messages - September 12

Effective Sunday, September 12 (trade date September 13), in support of the triReduce benchmark conversion via risk replacement trades, an Originating Event enumeration will be added to OTC Interest Rate Swaps trades on CME STP for TrdCaptRpt/@TrdTyp=”22” (Over the Counter Privately Negotiated Trades).

FpML messages will be populated with the following values:

Detailed information on this change is available in the Clearing House Notice.

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

For onboarding questions, please contact the CME Client Services Team at onboarding_clearing@cmegroup.com or +1 312 338 7112.

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Enhancement to Trade Number in CME STP - September 19

Effective Sunday, September 19 (trade date Monday, September 20), to provide a unique binary trade number across all markets, CME Globex will add a market segment specific prefix to tag 1797-OrderEventExecID on the iLink 3 Execution Report.

The updated values in tag 1797-OrderEventExecID on the iLink 3 Execution Report will be reflected in Trade Capture Report attribute /TrdCaptRpt/@TrdNum of CME STP for BrokerTec US and EU Repo trades as follows:

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

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Defined Fixed Price Ratio Inter-Commodity Futures Spread Supported in CME STP - October 3

Effective Sunday, October 3 (trade date Monday, October 4), the Fixed Price Ratio Inter-Commodity futures spreads will be available for trading on CME Globex. CME STP will support Trade Capture Reports for these spreads under MlegRptTyp = "2" and MlegRptTyp="3", with a new security sub type "AE" (/TrdCaptRpt/Instrmt/@SubTyp="AE").

The spread is currently available for customer testing in New Release.

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Exchange-Defined South American Soybean/CBOT Soybean Inter-Commodity Futures Spread Supported in CME STP - October 3

Effective Sunday, October 3 (trade date Monday, October 4), the South American Soybean/CBOT Soybean Inter-Commodity futures spreads will be available for trading on CME Globex. CME STP will support Trade Capture Reports for these spreads under MlegRptTyp = "2" and MlegRptTyp="3", with a new security sub type "BT" (/TrdCaptRpt/Instrmt/@SubTyp="BT").

The spread is currently available for customer testing in New Release.

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CME STP FIX

EONIA/IBOR Conversion of Interest Rate Swaps - September 12

Effective Sunday, September 12 (trade date September 13), to support the EONIA/IBOR conversion of Interest Rate Swaps, CME Group will introduce changes to tag 1185-FpML in Trade Capture Report (tag 35-MsgType=AE) of CME STP FIX.

EONIA/IBOR conversion includes:

• Splitting of GBP, JPY and CHF basis swaps to fix-float swaps
• EUR EONIA OIS to €STR OIS
• GBP, JPY and CHF IBOR to RFR OIS

For trades in-scope of the conversion, the FpML will be populated with following values:

The history block (/FpML/clearingConfirmed/trade/tradeHeader/cme:history) will be included to identify related trades.

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

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New Originating Event Enumeration in CME STP FIX Interest Rate Swap (IRS) Messages - September 12

Effective Sunday, September 12 (trade date September 13), in support of the triReduce benchmark conversion via risk replacement trades, an Originating Event enumeration will be added to OTC Interest Rate Swaps trades on CME STP for Tag 828 -TradeType=22 (Over the Counter Privately Negotiated Trades).

FpML messages will be populated with the following values:

Detailed information on this change is available in the Clearing House Notice.

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

For onboarding questions, please contact the CME Client Services Team at onboarding_clearing@cmegroup.com or +1 312 338 7112.

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Enhancement to Trade Number in CME STP FIX - September 19

Effective Sunday, September 19 (trade date Monday, September 20), to provide a unique binary trade number across all markets, CME Globex will add a market segment specific prefix to tag 1797-OrderEventExecID on the iLink 3 Execution Report.

The updated values in tag 1797-OrderEventExecID on the iLink 3 Execution Report will be reflected in Trade Capture Report (tag 35-MsgType=AE) field Trade Number (tag 2490-TradeNumber) of CME STP FIX for BrokerTec US and EU Repo trades as follows:

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

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Exchange-Defined Fixed Price Ratio Inter-Commodity Futures Spread Supported in CME STP FIX - October 3

Effective Sunday, October 3 (trade date Monday, October 4), the Fixed Price Ratio Inter-Commodity futures spreads will be available for trading on CME Globex. CME STP FIX will support Trade Capture Reports for these spreads under tag 442-MultilegReportingType=”2” and tag 442-MultilegReportingType ="3", with a new security sub type "AE" (tag 762-SecuritySubTyp=AE).

The spread is currently available for customer testing in New Release.

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Exchange-Defined South American Soybean/CBOT Soybean Inter-Commodity Futures Spread Supported in CME STP FIX - October 3

Effective Sunday, October 3 (trade date Monday, October 4), the South American Soybean/CBOT Soybean Inter-Commodity futures spreads will be available for trading on CME Globex. CME STP FIX will support Trade Capture Reports for these spreads under tag 442-MultilegReportingType=”2” and tag 442-MultilegReportingType ="3", with a new security sub type "BT" (tag 762-SecuritySubTyp=BT).

The spread is currently available for customer testing in New Release.

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CME STP Trade View

Exchange-Defined Fixed Price Ratio Inter-Commodity Futures Spread Supported in CME STP Trade View - October 3

Effective Sunday, October 3 (trade date Monday, October 4), CME STP Trade View will support Fixed Price Ratio Inter-Commodity futures spreads on CME Globex.

The spread is currently available for customer testing in New Release.

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Exchange-Defined South American Soybean/CBOT Soybean Inter-Commodity Futures Spread Supported in CME STP Trade View - October 3

Effective Sunday, October 3 (trade date Monday, October 4), CME STP Trade View will support South American Soybean/CBOT Soybean Inter-Commodity futures spreads on CME Globex.

The spread is currently available for customer testing in New Release.

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CME STP and STP FIX

Market Data Trade Entry ID Field - September 26

Effective Sunday, September 26 (trade date Monday, September 27), and pending all relevant CFTC regulatory review periods, the Basis Trade at Cash Open (TACO) and Basis Trade at Index Close (BTIC) will open for Monday’s trade date on the previous Friday afternoon.

The Market Data Trade Entry ID is a common trade identifier reflecting an end-to-end value available on CME Globex iLink order entry, MDP3 market data, and CME STP clearing messages, allowing clients to follow an order from CME Globex execution through clearing.  The value is reset on Sunday.

With this change, CME STP and CME STP FIX will for the first time support trade confirmations for a trade date over a weekend. The trade date for these products will not roll over on the weekend. This change will impact CME STP and CME STP FIX.

Please review the Client Impact Assessment for information on functionality and messaging impacts.

This change 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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