CME STP Notices: November 17, 2022

CME STP

Instrument Strategy Type Identifying Pit Spreads on CME STP - November 21

On Monday, November 21, the value LS will be permitted for the instrument strategy type /Instrmt/@SubTyp on the Trade Capture report, for pit trade spread legs executed as a Eurodollar-SOFR option spread. Support for the LS spread type will be introduced in anticipation of fee waivers that CME plans to implement beginning in November 2022.

The attribute /TrdCaptRpt/Instrmt/@SubTyp=LS will allow firms to submit the spread type on pit trades to identify a trade leg as part of an LS spread as noted in the CME Clearing House notice.

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

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USI to UTI support in CME STP - December 4

Effective Sunday, December 4 (trade date Monday, December 5), as required by CFTC regulation § 45.5, CME Group will add support for Global Unique Transaction Identifiers (UTI) to Side Regulatory Trade ID Group(/TrdCaptRpt/RptSide/RegTrdID) in CME STP Trade Capture Report(/TrdCaptRpt/).

Please review the CME Clearing House Advisory Notice for additional details. Trades transacted prior to transition date will continue to retain current Unique Swap Identifiers (USI).

• Current Format (USI) Example
  <RegTrdID Evnt="2" ID="CCCIRS10898105" Src="1010000023" Typ="0"/>


• New Format (UTI) Example
  <RegTrdID Evnt="2" ID="SNZ2OJLFK8MNNCLQOF39CCCIRS10898105" Src="" Typ="0"/>

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

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CME STP FIX

Instrument Strategy Type Identifying Pit Spreads on CME STP FIX - November 21

On Monday, November 21, the value LS will be permitted for the instrument strategy type tag 762-SecuritySubType in the Trade Capture Report (tag 35-MsgType=AE), for pit trade spread legs executed as a Eurodollar-SOFR option spread. Support for the LS spread type will be introduced in anticipation of fee waivers that CME plans to implement beginning in November 2022.

The value in tag 762-SecuritySubType=LS will allow firms to submit the spread type on pit trades to identify a trade leg as part of an LS spread as noted in the CME Clearing House notice.

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

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USI to UTI Support in CME STP FIX - December 4

Effective Sunday, December 4 (trade date Monday, December 5), as required by CFTC regulation § 45.5, CME Group will add support for Global Unique Transaction Identifiers (UTI) to Side Regulatory Trade ID Group in CME STP FIX Trade Capture Report (tag 35-MsgType=AE).

Please review the CME Clearing House Advisory Notice for additional details. Trades transacted prior to transition date will continue to retain current Unique Swap Identifiers (USI).

• Current Format (USI) Example
  <RegTrdID
  tag 10029-Side Regulatory Trade ID Event="2"
  tag 10027-Side Regulatory Trade ID="CCCIRS10898105"
  tag 10028-Side Regulatory Trade ID Source ="1010000023"
  tag 10030-Side Regulatory Trade ID Type="0"/>


• New Format (UTI) Example
  <RegTrdID
  tag 10029-Side Regulatory Trade ID Event="2"
  tag 10027-Side Regulatory Trade ID=" SNZ2OJLFK8MNNCLQOF39CCCIRS10898105"
  tag 10028-Side Regulatory Trade ID Source =""
  tag 10030-Side Regulatory Trade ID Type="0"/>

This change is now 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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