• REVISED Change to Venue Identifiers in FIXML for SEF Trade Reporting Coming October 21, 2013

      • To
      • Clearing Member Firms; Back Office Managers; Service Providers
      • From
      • CME Clearing
      • #
      • 13-400
      • Notice Date
      • 12 September 2013
      • Effective Date
      • 21 October 2013
    • REVISED:  To accommodate regulations regarding Swap Execution Facility (SEF) trade processing, beginning trade date October 21, 2013, CME Group real-time FIXML messages and FIXML Trade Register messages will be enhanced to show new venue and trade types for these new trades. Changes made to identify SEF trades are additions to current functionality, not replacements for existing venues and trade types. The changes are as follows:
      ·         A new value of “R” will be used to indicate that the trade was done on a SEF venue. Previously, a value of “S” was to be assigned for SEF trades.  Attributes carrying this new value will be VenuTyp, and VenueTyp*.
      ·         The SesSub* attribute, which has traditionally been aligned with VenuTyp and VenueTyp*, will continue to carry the value of “X” (meaning ex-pit), even though VenuTyp and VenueTyp will change for the SEF trades. Also, in some circumstances, the SesSub* value will now be “X” for SEF trades that have been done on Globex (in the past, the only possible value for SesSub was “E” for Globex trades).
      ·         New Trade Type (TrdTyp) attributes available for SEF trades will be:
      o    TrdTyp=”54” = Large Notional Off-Facility Swap
      o    TrdTyp=”58” = Swap Block
      * Note that it is our intention to remove SesSub and VenueTyp from real-time FIXML messages altogether early next year, and if you will be changing programs to accommodate the new SEF attribute values, now would be an appropriate time to switch from using SesSub as a key value in any messaging between your firm and CME Group. We will not remove the existing SesSub and VenueTyp attributes for this change, but it is advised to start preparing now, to cause the least disruption when the attributes are actually removed. As Giveup API messages do not have VenuTyp at all at this time, it is advised to search first for VenuTyp, then if not found, use SesSub, to be sure that you are covered for all situations, if making this change now, ahead of the change that will be made early next year.
      A chart detailing possible attribute combinations can be found on the next page, along with sample FIXML Trade Capture Reports (TrdCaptRpt). In addition, you may download sample messages from file SesSubVenuTypVenueTypTrdTyp_SEF.txt, located at ftp.cmegroup.com/pub/span/data/cme/test/FIXML. The messages in the sample file correspond to the table on the page following this, in order.
      Testing in New Release will be available starting October 3, 2013.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      REVISED 13-400