• CME ClearPort API Changes Regarding Swap Trade Submissions

      • #
      • 20131020
      • Notice Date
      • 18 September 2013
      • Effective Date
      • 20 October 2013

    • Effective Sunday, October 20, 2013 (trade date Monday, October 21), the following CME ClearPort API changes will be effective in the production environment.  They will be available for customer testing in the New Release environment on Wednesday, October 2, 2013.

      The Execution Venue Type FIXML enumeration used to specify Swap Execution Facility (SEF) trades over the CME ClearPort API will change from “S” to “R”.  Going forward, the value of “S” will no longer be supported.

      Two new swap trade types will be supported:

      • Swap Block (SWBLK)

      The FIXML TrdTyp enumeration for Swap Block is 58

      • Large Notional Off-Facility Swap (LGNOT).

      The FIXML TrdTyp enumeration for Large Notional Off-Facility Swap is 54

      Both trade types are similar to the existing futures Block trade type, but are only available for swap products. These trade types require top-day trade submission for clearing, execution time to be specified (in RegTrdTS), and product- specific minimum block quantities to be met. More information about submitting swap trades to CME ClearPort for clearing and using CME ClearPort to report bilateral trades to CME Repository Service can be found here.

      As a reminder, the “Execution Venue Type” and “Execution Venue” fields were added to the CME ClearPort API Trade Capture Report message specifications back in October 2012 as part of the Primary Economic Terms (PET) data required for swap data reporting to CME Repository Service.

      The Execution Venue Type field is used in the CME ClearPort API to identify a swap trade as being executed on a SEF or having occurred Off-facility.  The Execution Venue Field is used to specify the Legal Entity Identifier (LEI) of the actual facility, and is technically required for SEF trade submissions.

      Attribute

      Usage

      Syntax

       

       

       

       

       

      Execution Venue Type

       

       

      Inbound (Optional):  Execution Venue Type should be specified at the trade level.

       

      Outbound (Present):  Will appear on

      outbound trade confirmations.  Defaulted to R

      if not specified for Swap Blocks.  Defaulted to O (Off-facility) if not specified for all other swaps.

      New TCR-level attribute

       

      R = SEF/Swap Market/DCM O = Off-facility

       

      Example:

      <TrdCaptRpt RptID="12345" TransTyp="0" RptTyp="0" QtyTyp="0" TrdTyp="22" TxnTm="2012-09-

      12T12:13:45.656-04:00" TrdDt="2012-09-12" LastQty="5000000" PxNeg="1" RegRptTyp="4" CnfmMeth="1" VerfMeth="1" VenuTyp="R">

       

       

       

       

      Execution

      Venue

      Inbound (Conditional Required):  If Execution Venue Type is R (SEF/Swap Market/DCM) then the LEI/CICI of the Execution Venue becomes required.

       

      Outbound (Present):  Will appear on outbound trade confirmations if specified on inbound trade submissions.

       

      Party Role 73 at the trade level (right before Instrmt).

       

      Example:

      <Pty R="73" ID="SNZ2OJLFK8MNNCLQOF39" Src="N"/>

       

      Please note- SEF Trades will not be accepted for clearing unless the SEF LEI is registered with CME Group.

       

       

      For additional information as well as links to message specifications and message samples, please see the CME ClearPort

      Implementation Guides located here:

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

       

      If you have questions 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

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