• CME ETR Production Environment Update and Technical Specifications v2.5

      • #
      • ETR-04-16-14
      • Notice Date
      • 16 April 2014
      • Effective Date
      • 16 March 2014

    • CME ETR Technology and Client Services Teams are excited to advise the following enhancements introduced to the CME ETR Production environment earlier this week.  Since early December, CME ETR team has worked closely with the CME ETR end clients, logged client feedback as well as identified technology and data trends.  The enhancements listed below is the result of client collaboration and the CME ETR team looks forward to continuing the dialogue with the goal of improving the client reporting experience.

      Attached you will find the latest version of the CME ETR Technical Specifications (v2.5).  It is important to note the enhancements listed below and changes to the technical specifications do *NOT* directly impact client prior development to the CME ETR.  Submission files do not need to be altered for successful file upload though we do encourage clients, were applicable, to make plans to incorporate CME ETR enhancements. 

      For CME ETR specific field, “ProductType”, acceptable product type options was expanded for all asset classes to include the following:

       

      IRS

      FX

      Commodities

      Equities

      CDS

      CFD*
      InterestRateSwap
      Swaption
      FRA
      CapFloor
      BondSwap*

      CFD*
      FXForward
      FXNDF
      FXSwap
      FXOption

      CFD*
      CommoditySwap
      CommoditySwaption
      Forward
      Option

      CFD*
      EquitySwap
      EquityOption
      EquityForward*

      CFD*
      CDSIndexSwap
      CDSIndexOption
      CDSIndexTranche
      CDS

       

      *Indicates new valid product types for the CME ETR 

      CME ETR team encourages clients to revisit respective internal product mapping and were applicable apply the expanded product type options.

      For CME ETR specific field, “Action”, ETR system action for the record submission now also includes Compression.  In doing so, we complete the necessary action type list to cover all transaction events.

      Field Header

      Description

      Trade Upload (Action=New or Snapshot or SnapVal Or Terminate Or Amend)

      Trade Valuation/Collateral Report (Action=SnapVal or Valuation)

      Position Upload (Action=New or SnapVal Or Terminate Or Amend)

      EMIR Field

      EMIR Requirement

      Action

      ETR system action on trade
      • NEW - Enter a new trade
      • AMEND - make changes to an existing trade. Amends require the original UTI and UTINamespace.
      • ERROR - Report cancellation of erroneous submissions to the TR.
      • TERMINATE - Report termination of an open position. Trades cannot be deleted, terminate, reports the cancellation of the trade. Termination of a non-cleared bilateral swap that occurs on the same date must be reported. The date and time are also required.
      • SNAPSHOT - Report current open positions on a daily basis. Not applicable for historical trades. Use submission type SNAPSHOT when a bilateral trade is submitted for reporting and the trade has a different price every month.
      • SNAPVAL - Report current open positions with  valuation and Collateral data on a daily basis. All required and applicable fields must also be populated. Not applicable for historical trades.
      • VALUATION - Report valuation and collateral data on a daily basis. All required and applicable fields must also be populated
      • POSITION - Report position level data (including Valuation & Collateral) on a daily basis. All required and applicable fields must also be populated
      • COMPRESSION - For specifying compression of the reported contract

      Required

      Required

      Required

      None

      No but required by CME

       

      Introduce a new CME ETR specific and an optional field named "ExchangeTraded".  The field allows CME ETR clients to designate the record with valid value Y or N regarding exchange traded derivative submissions. 

      Field Header

      Description

      Trade Upload (Action=New or Snapshot or SnapVal Or Terminate Or Amend)

      Trade Valuation/Collateral Report (Action=SnapVal or Valuation)

      Position Upload (Action=New or SnapVal Or Terminate Or Amend)

      EMIR Field

      EMIR Requirement

      ExchangeTraded

      For specifying the submission is for Exchange Traded derivative

      Valid Values:

      Y = Yes
      N = No

      Optional*

      Not Required

      Optional

      None

      No but may be required for CME TR

       

      The following two fields are also new to the ETR technical specifications.  Field “IsPosition” enables CME ETR client to easily flag a record submission as a position.  The second field, “IsLifecycle,” enables client to flag the record submission to indicate life cycle status.

      Field Header

      Description

      Trade Upload (Action=New or Snapshot or SnapVal Or Terminate Or Amend)

      Trade Valuation/Collateral Report (Action=SnapVal or Valuation)

      Position Upload (Action=New or SnapVal Or Terminate Or Amend)

      EMIR Field

      EMIR Requirement

      IsPosition

      Indicate if a given submission is a Trade or Position

      Example - Y

      Valid Values
      Y = Yes
      N = No

      Optional*

      Not Required

      Optional

      Table 2i Common Data Field 59

      Yes if applicable

      IsLifecycle

      Indicate if a given submission is a Lifecycle event or not

      Example - Y

      Valid Values
      Y = Yes
      N = No

      Optional

      Not Required

      Optional

      None

      No

      To assist with client reconciliation and report view, CME ETR technology team enhanced the CME ETR user interface view and trade report to include field "Action Type."  In doing so the reports available to clients for reconciliation have more descriptive detail and improve client experience.

      A summary of progressive changes can be found in the tab entitled ‘Change Log’.  This advisory note is issued to all CME ETR Production and Test Environment registered users.

      Please contact repositorysupport@cmegroup.com with any questions.

       

      CME European Trade Reporting Specs v2.5