CME STP Notices: November 18, 2021

CME STP

NewNew - Embedded FpML Enhancements for OTC IRS Trades - This Week

Effective this Sunday, November 21 (trade date Monday, November 22), to provide additional transparency for OTC IRS trades on CME STP, the following enhancements will be made available:

• Enrichment of Additional Payment
• Update to Stub Calculation Period Amount
• Update to Effective Date Adjustment Conventions

Details of these enhancements to CME STP are provided below:

Enrichment of Additional Payment

The additional payment (fee) information in the embedded FpML attribute /TrdCaptRpt/Instrmt/FpML will be enriched to reflect multiple upfront fees by value date.

This is reflected in /FpML/clearingConfirmed/trade/swap/additionalPayment. complexType.

This change has no impact on the FpML layout.

Update to Stub Calculation Period Amount

The stub logic for /FpML/clearingConfirmed/trade/swap/swapStream/stubCalculationPeriodAmount complexType will be updated to conform to FpML standards.

Update to Effective Date Adjustments

The attribute /FpML/clearingConfirmed/trade/swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/businessDayConvention will be updated to support the following enumerations:

• NONE
• FOLLOWING
• MODFOLLOWING
• PRECEDING

Related to this change, the attribute /FpML/clearingConfirmed/trade/swap/swapStream/calculationPeriodDates/effectiveDate/dateAdjustments/businessCenters will be updated to support any relevant business center(s) to adjust the effective date of the trade.

These enhancements are currently available for customer testing in New Release.

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Three-Month SOFR Futures vs Eurodollar Futures on CME STP - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10, 2022), an outright future (CME Globex product code - SED) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be available for trading on CME Globex. In CME STP, trades on this new outright futures will be decomposed into individual Trade Capture Reports for Three-Month SOFR futures (Clearing product code - SR3) and Eurodollar futures (Clearing product code - ED). These trades will be represented as /TrdCaptRpt/@TrdSubTyp=43 (TAM - Traded at marker).

The attribute TrdCaptRpt/DiffPx will carry the differential trade price with attribute TrdCaptRpt/DiffPxTyp=0 (Differential from Settlement)

There will be no Trade Capture Report for the SED outright future.

For reconciliation of Trade Capture Reports resulting from a SED trade, the individual Trade Capture Reports will reflect

• The attribute TrdCaptRpt/Instrmt/AID/@AltID=SED
• The attribute TrdCaptRpt/Instrmt/AID/AltIDSrc=112 (TAM Marker Price Symbol)
• The attribute TrdCaptRpt/@ExecID will be common to the ED and SR3 trades and unique for the SED trade.

This outright futures contract will be available for customer testing in New Release on Monday, December 20.

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CME STP FIX

NewNew - Embedded FpML Enhancements for OTC IRS Trades - This Week

Effective this Sunday, November 21 (trade date Monday, November 22), to provide additional transparency for OTC IRS trades on CME STP FIX, the following enhancements will be made available:

• Enrichment of Additional Payment
• Update to Stub Calculation Period Amount
• Update to Effective Date Adjustment Conventions

Details of these enhancements to CME STP FIX are provided below:

Enrichment of Additional Payment

The fee information in the embedded tag 1185-FpML in Trade Capture Report (tag 35-MsgType=AE) will be enriched to reflect multiple upfront fees by value date. This is reflected in /FpML/clearingConfirmed/trade/swap/additionalPayment. complexType.

This change has no impact on the FpML layout.

Update to Stub Calculation Period Amount

The stub logic for /FpML/clearingConfirmed/trade/swap/swapStream/stubCalculationPeriodAmount complexType will be updated to conform to FpML standard.

Update to Effective Date Adjustments

The attribute /FpML/clearingConfirmed/trade/swap/swapStream/calculationPeriodDates/effectiveDate/dateAdjustments/businessDayConvention will be updated to support the following enumerations:

• NONE
• FOLLOWING
• MODFOLLOWING
• PRECEDING

Related to this change, the attribute /FpML/clearingConfirmed/trade/swap/swapStream/calculationPeriodDates/effectiveDate/dateAdjustments/businessCenters will be updated to support any relevant business center(s) to adjust the effective date of the trade.

These enhancements are currently available for customer testing in New Release.

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Three-Month SOFR Futures vs Eurodollar Futures on CME STP FIX - January 9

Effective Sunday, January 9, 2022 (trade date Monday, January 10, 2022), an outright future (CME Globex product code SED) between the Three-Month SOFR Futures vs Eurodollar Futures contracts will be available for trading on CME Globex. In CME STP, trades on this new outright futures will be decomposed into individual Trade Capture Reports (tag 35-MsgType=AE) for Three-Month SOFR futures (Clearing product code SR3) and Eurodollar futures (Clearing product code ED). These trades will be represented as tag 829-TradeSubType=43 (TAM - Traded at marker)

Tag 10033-DifferentialPrice in Trade Capture Reports (tag 35-MsgType=AE) will carry the differential trade price with tag 10024-DifferentialPriceType=0 (Differential from Settlement)

There will be no Trade Capture Report for the SED outright future.

For reconciliation of Trade Capture Reports resulting from a SED trade, the individual Trade Capture Reports will reflect

• tag 455-AlternateIdentifier=SED
• tag 456-AlternateIdentifierSource=112 (TAM Marker Price Symbol)
• tag 17-ExecID will be common to the ED and SR3 trades and unique for the SED trade.

This futures contract will be available for customer testing in New Release on Monday, December 20.

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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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