Bunched Order Support for CDS

Please be advised that effective Sunday, April 14, 2013 (for the April 15thbusiness date) a new feature will be added to CME ClearPort to correctly calculate volume and fees for bunched orders. When a bilateral trade is executed and the allocations/accounts are unknown within the required reporting time frame, the trade must be submitted into a temporary holding account. Subsequently allocations must be submitted with a reference to the previously submitted trade.

Please note the following details for CDS bunched order submissions over the CME ClearPort API:

Trades that will be allocated must contain BlckTrdAllcInd=0 (Block to be Allocated) and a temporary holding account on the applicable sides.

Note: Asset Managers are responsible for providing the submitter with the correct holding accounts for their bunched orders.

Trades that will be allocated should also have a Bilateral USI. If one is not provided CME ClearPort will generate one.

Allocations must have a 'Block USI' attribute that references the Bilateral USI of a previously submitted trade.

Allocations must offset the applicable side, which is the holding account side of the referenced trade.

Allocations for the offsetting side must be submitted with no BlckTrdAllcInd attribute.

Allocations must have correct account(s) and BlckTrdAllcInd=2 (Allocated) on the allocated side. Allocations can be submitted individually or within a single submission.

Allocations may reference a non-top day trade.

Example of a trade that will be allocated at a later time (bunched in/block trade):

<FIXML v="5.0 SP2" xv="109" s="20090815" cv="CME.0001">

<TrdCaptRpt ExecID2="123456" RptID="20100622:373917:50014:1" TransTyp="0" RptTyp="0" QtyTyp="0" TrdTyp="22" TxnTm="2012-08-09T12:13:45.656-04:00" TrdDt="2012-08-09" LastQty="500000" PxNeg="1">

<Hdr SID="RCPLT" SSub="rcafpl" TID="CME" TSub="CPAPI"/>

<RegTrdID ID="1342376676" Src="abcdefghij" Typ="0" Evnt="0"/>

<Instrmt MMY="201412" SecTyp="CDS" ID="CG13" Src="H" CpnRt="1.0" Exch="CMD"/>

<Yield Yld="0.92500"/>

<TrdRegTS Typ="1" TS="2010-11-12T15:01:43.166-05:00"/>

<RptSide Side="1" ClOrdID="ABC123" InptSrc="RCPLT">

<Pty ID="RCAF_TRD1" R="7">

<Sub Typ="49" ID="Y"/>

</Pty>

<Pty ID="rcaf1" R="36"/>

<Pty ID="RCACCT1A" R="24" Src="C"/>

<Pty ID="123" R="1"/>

<Pty ID="rcaf1" R="36"/>

</RptSide>

<RptSide Side="2" BlckTrdAllocInd="0"  ClOrdID="XYZ123" InptSrc="RCPLT">

<Pty ID="RCAF_ASMGR" R="49"/>

<Pty ID="rcaf3" R="36"/>

<Pty ID="ASMHOLDING" R="24" Src="C"/>

<Pty ID="456" R="1"/>

 </RptSide>

</TrdCaptRpt>

</FIXML>

Example of an Allocation referencing a bunched trade:

<FIXML v="5.0 SP2" xv="109" s="20090815" cv="CME.0001">

<TrdCaptRpt ExecID2="123456" RptID="20100622:373917:50014:1" TransTyp="0" RptTyp="0" QtyTyp="0" TrdTyp="22" TxnTm="2012-08-09T12:13:45.656-04:00" TrdDt="2012-08-09" LastQty="500000" PxNeg="1">

<Hdr SID="RCPLT" SSub="rcafpl" TID="CME" TSub="CPAPI"/>

<RegTrdID ID="1342376676" Src="abcdefghij" Typ="2" Evnt="0"/>

<Instrmt MMY="201412" SecTyp="CDS" ID="CG13" Src="H" CpnRt="1.0" Exch="CMD"/>

<Yield Yld="0.92500"/>

<TrdRegTS Typ="1" TS="2010-11-12T15:01:43.166-05:00"/>

<RptSide Side="1" ClOrdID="XYZ123" InptSrc="RCPLT">

<Pty ID="RCAF_ASMGR" R="49"/>

<Pty ID="rcaf3" R="36"/>

<Pty ID="ASMHOLDING" R="24" Src="C"/>

<Pty ID="456" R="1"/>

</RptSide>

<RptSide Side="2" BlckTrdAllocInd="2" ClOrdID="XYZ123" InptSrc="RCPLT">

<Pty ID="RCAF_TRD1" R="7">

<Sub Typ="49" ID="Y"/>

</Pty>

<Pty ID="rcf1" R="36"/>

<Alloc Qty="250000">

<RegTrdID ID="1342376111" Src="222defghij" Typ="0" Evnt="0"/>

<Pty ID="RCACCT1A" R="24" Src="C"/>

<Pty ID="789" R="1"/>

<Pty ID="rcaf1" R="36"/>

</Alloc>

<Alloc Qty="250000">

<RegTrdID ID="1342376222" Src="333wsfljkfls" Typ="0" Evnt="0"/>

<Pty ID="RCACCT1B" R="24" Src="C"/>

<Pty ID="456" R="1"/>

<Pty ID="rcaf1" R="36"/>

</Alloc>

</RptSide>

</TrdCaptRpt>

</FIXML>

For more detailed information regarding the allocation submission through ClearPort API, please see the ClearPort API Trade Submission documentation (Overview, FIXML Message Specifications, and FIXML Message Samples) located here:

 http://www.cmegroup.com/clearing/clearport/clearport-api.html

 If you have questions or need help facilitating your tests in NR, please contact:

 Market Operations Technical Support

 24 Hour 6 Days a Week Support available from Sundays at 5PM ET to Fridays at 5PM ET

Phone: 800-275-6215 / 212-301-4720

Email:  thirdpartyservices@cmegroup.com