CME STP and CME STP FIX

CME STP Support of European Markets Infrastructure Regulation (EMIR) Refit Obligations for CME Cleared OTC IRS/FX - This Week

Effective this Sunday, April 14 (trade date Monday, April 15), to support clients with their European Markets Infrastructure Regulation (EMIR) Refit obligations, CME Group will add Post-Trade Risk Reduction (PTRR) ID for trades involved in compression and begin to pass through Report Tracking Number (RTN) and PriorUTI (Prior Unique Transaction Identifier) in CME STP when they are available for CME-cleared OTC IRS and OTC FX trades.

Identifier	Description
Report Tracking Number (RTN)	Where a derivative was executed on a trading venue, a number generated by the trading venue and unique to that execution.
Post-Trade Risk Reduction (PTRR) ID	Identifier generated by the PTRR service provider or CCP providing the PTRR service in order to connect all derivatives entering into a given PTRR event and resulting from that PTRR event.
PriorUTI (Prior Unique Transaction Identifier)	Assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (e.g. in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one-to-many relation between transactions (e.g. in clearing or if a transaction is split into several different transactions). This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (e.g. in the case of a compression).

These identifiers will be populated: 

• In the field: 
  • FIX: tag-10027 SideRegulatoryTradeID
  • FIXML: /TrdCaptRpt/RptSide/RegTrdID/@ID 
• Of the Trade Capture Report (FIX: tag 35-MsgType=AE , FIXML: /TrdCaptRpt) within the repeating group
  • FIX: SideRegulatoryTradeIDGrp
  • FIXML: /TrdCaptRpt/RptSide/RegTrdID

Report Tracking Number

FIX TAG-NAME	FIXML PATH	DESCRIPTION	VALUES
10029-SideRegulatoryTradeIDEvent	/TrdCaptRpt/RptSide/RegTrdID/@Evnt	Event causing origination of the ID	0 - Initial Block trade
10030-SideRegulatoryTradeType	/TrdCaptRpt/RptSide/RegTrdID/@Typ	Position of ID in trade hierarchy	6 - Report Tracking Number

Post-Trade Risk Reduction (PTRR) ID

FIX TAG-NAME	FIXML PATH	DESCRIPTION	VALUES
10029-SideRegulatoryTradeIDEvent	/TrdCaptRpt/RptSide/RegTrdID/@Evnt	Event causing origination of the ID	3 - Compression
10030-SideRegulatoryTradeType	/TrdCaptRpt/RptSide/RegTrdID/@Typ	Position of ID in trade hierarchy	0 - Current
10028-SideReulatoryTradeIDSource	/TrdCaptRpt/RptSide/RegTrdID/@Src	ID of reporting entity assigned by regulatory agency. When present for PTRR ID, this is the compression provider LEI

PriorUTI (Prior Unique Transaction Identifier)

FIX TAG-NAME	FIXML PATH	DESCRIPTION	VALUES
10029-SideRegulatoryTradeIDEvent	/TrdCaptRpt/RptSide/RegTrdID/@Evnt	Event causing origination of the ID	0 - Initial Block trade
10030-SideRegulatoryTradeType	/TrdCaptRpt/RptSide/RegTrdID/@Typ	Position of ID in trade hierarchy	1 - Previous

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

Equity Option Trade Type Flags in CME STP FIXML and FIX - April 28

Effective Sunday, April 28 (trade date Monday, April 29), CME Group will add the following new field in CME STP FIXML and FIX, to support Equity Option Fee Incentive Programs as noted in Clearing House Advisory. This field establishes the capability to provide differentiated pricing for block and large-size trades.

FIX tag-Name	FIXML Abbr	Req	Format	Description	Enumerations
20063-FeeQuantityThresholdIndicator	FeeQtyThrshldInd	N	STRING	Indicator flag used to determine the eligibility of fee discount based on threshold level	"L1" - "Threshold Level 1 - The highest threshold level was met or surpassed." "L2" - "Threshold Level 2 - The middle threshold level was met." "L3" - "Threshold Level 3 - The lowest threshold level was met." "LN"- "Eligible but does not meet set thresholds"

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

CME STP Migration for EBS Customers - December 31

Central Post Trade (CPT) TOF and CPT FIX will be decommissioned on December 31.

All EBS clients must migrate to CME STP solutions before the decommission. Both CME STP and CME STP FIX currently support EBS trades as well as BrokerTec on CME Globex, BrokerTec Stream, and CME Group futures and options.

Start planning your migration now to ensure no interruption of service, and continued access to new products and features which will only be supported in CME STP. 

To facilitate your migration, Message Specifications and CME STP FIX Data Dictionary are now available along with Migration Guides for CPT TOF and CPT FIX to CME STP.

CME STP for EBS FX Markets are currently available for customer testing in New Release. Functional certification is required.

Please contact Global Account Management with any questions regarding this migration.

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.