• SEF Identifiers to be Added to CDS FIXML Confirmation Messages Beginning October 21, 2013

      • To
      • Clearing Member Firms; Back Office Managers; Service Providers
      • From
      • CME Clearing
      • #
      • 13-491
      • Notice Date
      • 18 October 2013
      • Effective Date
      • 21 October 2013
    • Beginning trade date October 21, 2013, FIXML trade confirmation messages for Credit Default Swaps (CDS) will carry Swap Execution Facility (SEF) identifiers, for trades executed on a SEF and cleared by CME Clearing. These identifiers will mirror the attributes and blocks used for commodity swaps FIXML messages, as outlined in previous Advisories.
       
      As stated previously for commodity swaps, the new LEI Party ID will be a maximum of 20 characters in length, and be found in a Party Block with Role=”73”. Party Role “73” means “SEF,” and Source “N” means “LEI.” The LEI for the CME SEF is “SNZ2OJLFK8MNNCLQOF39”. Trades matched on other SEF’s will have LEI’s representing those platforms. Please also keep in mind that there are different types of LEI’s; be sure to qualify these as SEF LEI’s.
       
      Also, the new VenuTyp attribute of “R” will be present on SEF Trade Capture Reports (TrdCaptRpts). The following SesSub/VenuTyp/TrdTyp combinations will be possible:
       
       

      Type of Trade
      InptSrc
      SesSub
      VenuTyp
      VenueTyp
      TrdTyp
      Current CME ClearPort Clearing (CPC) OPNT Trade
      CPC
      X
      X
      X
      22
      Same as Above, but New Venue Types
      CPC
      X
      R
      R
      22
      New CPC Trade, Large Notional, New Venue Types
      CPC
      X
      X
      X
      54
      New CPC Trade, Swap Block New Venue Types
      CPC
      X
      R
      R
      58

       
      The Advisory link for commodity swap messages detailing the SEF LEI Party block can be found in Clearing Advisory 13-460.
       
      Testing opportunities are currently available in the New Release environment.
       
       
      For questions or further information please contact CME Clearing Services (CCS) at 312-338-7112 or onboarding@cmegroup.com.

       

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      13-491

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