Enhancements in CME ClearPort API June Release

Please be advised that the following ClearPort API enhancements will be effective in Production on

Sunday, June 16, 2013 (for the June 17th business date).  These changes are now available for testing in the New Release environment.

Trade Contingency attribute

The ClearPort API will support a new Trade Contingency attribute for EFRP (EFS/EOO and EFR) trade submissions.  The new attribute will define whether a report should be sent automatically to the CME SDR which describes the transitory swap legs of an EFRP transaction.  The term “contingency” in this context is simply meant to refer to the reporting treatment selected for the incoming transitory swap components of these transactions.

Currently, ClearPort considers all EFRPs submitted for clearing through the ClearPort API to be “Contingent”, and therefore, the bilateral portion of these trades is automatically reported to the CME SDR.  With the new Trade Contingency attribute, ClearPort API submitters can now specify that the EFRP transaction they are submitting is a “Non-Contingent trade”, in which case no SDR reporting will occur.

 Please Note-  EFRP trades submitted over the Clearing API will continue to default to “Contingent” unless it is specified that the trade is a “Non-contingent trade”.

 “Trader individual” requirements for Asset-Managed Accounts

 Currently, for most asset classes, the ClearPort API trade submissions must contain a trader individual at the Account Owner firm in Party Role 36 (Credit Default Swaps and OTC FX are the only market types where a trader individual is not required).  If a particular Account has an Asset Manager firm assigned to it, ClearPort will now allow an asset manager user at the Asset Manager firm to satisfy trader individual requirements.

For example:

Platform submits brokered energy trade through the ClearPort API

The sell-side account is Asset Managed by an Asset Manager firm, and therefore, the party role 36 can be an asset manager user at the Asset Manager firm (instead of a trader at the Account Owner firm).  In this case, the asset manager user will satisfy the “trader individual” requirement that exists for most market types:

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

<TrdCaptRpt RptID="0000001" ExecID2="12345620000929" TransTyp="0" TrdTyp="1" TxnTm="2013-

06-03T15:13:46.342-04:00" TrdDt="2013-06-03" LastPx="100" QtyTyp="1" LastQty="500">

<Hdr SID="PLTFM" SSub="platform_user" TID="CME" TSub="CPAPI"/>

<Instrmt SecTyp="FUT" Exch="NYMEX" ID="CL" Src="H" MMY="201312" TmUnit="Mo"/>

<TrdRegTS TS="2013-06-03T15:13:46.342-04:00" Typ="1"/>

<RptSide InptSrc="PLTFM" Side="1">

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

<Pty ID="BUY_ACCOUNT" R="24"/>

<Pty ID="BROKER_FIRM" R="30"/>

<Pty ID="broker_user" R="62"/>

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

</RptSide>

<RptSide InptSrc="PLTFM" Side="2">

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

<Pty ID="SELL_ACCOUNT" R="24"/>

<Pty ID="BROKER_FIRM" R="30"/>

<Pty ID="broker_user" R="62"/>

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

</RptSide>

</TrdCaptRpt>

</FIXML>

Brokered trades on behalf of Asset Managers

Furthermore, if a brokered trade is submitted using an asset managed account, the Asset Manager firm associated with that account will be persisted as a party to the trade and appear on the outbound trade confirmation as Party Role 49 (regardless of whether the Party Role 36 on the inbound trade submission contained an asset manager user at the Asset Manager or trader user at the Account Owner firm).

For example:

Broker submits energy trade through the ClearPort API

The buy-side account is Asset Managed by an Asset Manager firm.  Though the buy-side account is

Asset Managed, the broker can still specify a trader at the Account Owner firm in Party Role 36:

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

<TrdCaptRpt RptID="0000001" ExecID2="12345620000929" TransTyp="0" TrdTyp="1" TxnTm="2013-

06-03T15:13:46.342-04:00" TrdDt="2013-06-03" LastPx="100" QtyTyp="1" LastQty="500">

<Hdr SID="BRKR" SSub="broker _user" TID="CME" TSub="CPAPI"/>

<Instrmt SecTyp="FUT" Exch="NYMEX" ID="CL" Src="H" MMY="201312" TmUnit="Mo"/>

<TrdRegTS TS="2013-06-03T15:13:46.342-04:00" Typ="1"/>

<RptSide InptSrc="BRKR" Side="1">

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

<Pty ID="BUY_ACCOUNT" R="24"/>

<Pty ID="BROKER_FIRM" R="30"/>

<Pty ID="broker_user" R="62"/>

<Pty ID="trader_user1" R="36"/>

</RptSide>

<RptSide InptSrc="BRKR" Side="2">

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

<Pty ID="SELL_ACCOUNT" R="24"/>

<Pty ID="BROKER_FIRM" R="30"/>

<Pty ID="broker_user" R="62"/>

<Pty ID="trader_user2" R="36"/>

</RptSide>

</TrdCaptRpt>

</FIXML>

ClearPort API Cleared status message

The trade is accepted for clearing and contains the Asset Manager Firm (who is now a party to the trade)

in Party Role 49, in addition to the Broker Firm in Party Role 30 and the Account Owner in Party Role 7:

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

<TrdCaptRpt RptID="1372344085717" TransTyp="0" TrdRptStat="0" TrdTyp="1" OrigTrdDt="2013-06-

03" TrdDt="2013-06-03" BizDt="2013-06-03" ExecID="5870239" ExecID2="12345620000929" TxnTm="2013-06-03T14:21:03.366-05:00" QtyTyp="1" LastQty="500" LastPx="100" RptTyp="0" LastRptReqed="Y" TotNumTrdRpts="1" ReqID="123456">

<Hdr SID="CME" SSub="CPAPI" TID="BRKR" TSub="broker _user"/>

<Instrmt ID="CL" Src="H" SecTyp="FUT" MMY="201312" Exch="NYMEX" TmUnit="Mo"/>

<TrdRegTS TS="2013-06-03T14:13:46-05:00" Typ="1"/>

<RptSide Side="1" InptDev="API" InptSrc="BRKR" CustCpcty="4">

<Pty R="44" ID="broker _user"/>

<Pty R="30" ID="BROKER_FIRM">

<Sub Typ="5" ID="ABC Brokerage"/>

</Pty>

<Pty R="62" ID="broker_user">

<Sub Typ="9" ID="Broker User"/>

</Pty>

<Pty R="36" ID="trader_user1">

<Sub Typ="9" ID="Trader User1"/>

</Pty>

<Pty R="49" ID="ASSET_MGR_FIRM">

<Sub Typ="5" ID="XYZ Asset Management"/>

</Pty>

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

<Sub Typ="5" ID="123 CLEARING CORP."/>

</Pty>

<Pty R="24" ID="BUY_ACCOUNT" Src="C">

<Sub Typ="26" ID="1"/>

</Pty>

</RptSide>

<RptSide Side="2" InptDev="API" InptSrc="BRKR" CustCpcty="4">

<Pty R="44" ID="broker _user"/>

<Pty R="30" ID="BROKER_FIRM">

<Sub Typ="5" ID="ABC Brokerage"/>

</Pty>

<Pty R="62" ID="broker_user">

<Sub Typ="9" ID="Broker User"/>

</Pty>

<Pty R="36" ID="trader_user2">

<Sub Typ="9" ID="Trader User2"/>

</Pty>

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

<Sub Typ="5" ID="456 CLEARING CORP."/>

</Pty>

<Pty R="24" ID="SELL_ACCOUNT" Src="C">

<Sub Typ="26" ID="2"/>

</Pty>

</RptSide>

</TrdCaptRpt>

</FIXML>

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