CME SDR Release Advisory

ID

New Field/Workflow Summary

Asset

Classes

CSV field name(s)/logic

CSV valid values

FIXML XPath Details/Logic

Valid FIXML Enumerations

SDR User Interface Field Name

SDR User Interface (UI) Field Values

1

A new “Mixed Swap” field used to specify whether a swap is reportable to more than one regulatory jurisdiction (e.g. if the swap is reportable to both the CFTC and SEC then it is deemed to be a mixed swap).

For all mixed swaps, an LEI field is also provided to identify the SDR LEI belonging to the SDR which falls under the non –CFTC jurisdiction. Such an SDR is referred to as the Mixed Swap Alternate SDR.

All

“Mixed Swap” is the field name used to indicate that a swap is a mixed swap.

“MixedAlternateSDRLEI”

Is the field name used to indicate the LEI of the SDR under the non-CFTC jurisdiction

Validations: Optional field. But if this field is used, it must conform to the above specification.

“Mixed Swap”

“Y” is used to denote that the swap is a mixed swap

“N/A”, “NA”, “N”, “Not Applicable” or <blank> can all be used to denote that the swap is not a mixed swap

Validations: Optional field. But if this field is used, it must conform to the above specification.

“MixedAlternateSDRLEI”

Valid LEI values are 1-50 characters.

Validations: Optional, but required if the Mixed Swap field value is set to “Y”.

Mixed Swap Indicator

This is an optional field used to denote that the swap is a mixed swap.

TrdCaptRpt/@MixedSwapInd

Identifying the Mixed Swap Alternate SDR LEI

/TrdCaptRpt/Pty/@ID, where

@R = "102",

@Src = "N" and

@Qual = "12”

Mixed Swap Indicator

@MixedSwapInd =“0” is used to denote that a swap is NOT a mixed swap

@MixedSwapInd  =“1” is used to denote that a swap IS a mixed swap

Mixed Swap Alternate SDR LEI

This would be specified as the LEI of the mixed swap alternate SDR.

The “Mixed Swap” field is used to indicate that a swap is a mixed swap.

The “Mixed Alt SDR LEI” field is used to indicate the LEI of the SDR under the non-CFTC jurisdiction

Mixed Swap field

·         “Yes” denotes that the swap has been specified to be a mixed swap,

·         “Not Applicable” denotes that the swap has been specified to NOT be a mixed swap

·         <blank> denotes that the field value has not been specified

Mixed Alt SDR LEI field

·         Will display the value of the Mixed SDR LEI specified by the submitter

2

Extension of Reporting Party and Non Reporting Party entity identifier sources for FIXML submissions.

New FIXML attribute values for @Src attribute defined to allow specification of additional reporting counterparty and non reporting counterparty entity identifier sources other for non LEI identifiers (e.g. “Internal SDR”, “Other”).

The ability to specify such additional sources has previously been made available for specification on csv submissions (e.g. “ReportingPartyLEISource” fields).  As such, for this release, csv columns are “N/A” in this table.

All

N/A

N/A

TrdCaptRpt/RptSide/Pty/@Src

@Src = “D” is a new enumeration used to denote that the legal entity identifier specified is one that is generated internally by an SDR

*Note that @Src = “N” is already available to specify that an entity identifier is an LEI.

If attribute values other than @Src = “D” or @Src =”N” are specified, then it is implied that the source of the entity identifier is “Other”

Existing UI fields will be utilized. These are:

Ctrpty_1_ID_Source

Ctrpty_2_ID_Source

(for entity identifier sources as specified by reporting and non-reporting parties, respectively, per CFTC data harmonization UI naming convention requirements)

·         “LEI” denotes that per the entity identifier source submitted, the entity identifier is an LEI.

·         “Internal SDR” denotes that per the entity source submitted, the entity identifier is one that has been constructed internally by an SDR.

·         “Other” denotes that per the entity source submitted, the entity identifier is neither an “LEI” nor an “Internal SDR” generated identifier.

3

Extension of Clearing venue entity identifier sources.

New FIXML enumeration for @Src attribute defined to allow specification of additional clearing entity identifier sources for non LEI identifiers (e.g. “Internal SDR”, “Other”).

The ability to specify this has previously been made available for specification on csv submissions (e.g. “ClearingVenueLEISource” fields).  As such, for this release, csv columns are “N/A” in this table.

All

N/A

N/A

TrdCaptRpt/Pty/@Src,

where @R = 21

@Src = “D” is a new enumeration used to denote that the legal entity identifier specified is one that is generated internally by an SDR

*Note that @Src = “N” is already available to specify that an entity identifier is an LEI.

If attribute values other than @Src = “D” or @Src =”N” are specified, then it is implied that the source of the entity identifier is “Other”

Existing UI field will be utilized. This is:

Clearing_Organization_ID_Source

·         “LEI” denotes that per the entity identifier source submitted, the entity identifier is an LEI.

·         “Internal SDR” denotes that per the entity source submitted, the entity identifier is one that has been constructed internally by an SDR.

·         “Other” denotes that per the entity source submitted, the entity identifier is neither an “LEI” nor an “Internal SDR” generated identifier.

4

Extension of Execution venue entity identifier sources.

New FIXML enumeration for @Src attribute defined to allow specification of additional clearing entity identifier sources for non LEI identifiers (e.g. “Internal SDR”, “Other”).

The ability to specify this has previously been made available for specification on csv submissions (e.g. “ExecutionVenueLEISource” fields).  As such, for this release, csv columns are “N/A” in this table.

All

N/A

N/A

TrdCaptRpt/Pty/@Src

Where @R = 73

@Src = “D” is a new enumeration used to denote that the legal entity identifier specified is one that is generated internally by an SDR

*Note that @Src = “N” is already available to specify that an entity identifier is an LEI.

If enumerations other than @Src = “D” or @Src =”N” are specified, then it is implied that the source of the entity identifier is “Other”

To be exposed via UI in a future production release

To be exposed via UI in a future production release

5

Allow for specification of various upfront payment parameters

FX and Commodities

UpfrontFee, UpfrontFeeCurrency,

UpfrontFeeDate,

UpfrontFeePartyLEI

“UpfrontFee” is the fee specified as a decimal value

“UpfrontFeeCurrency” is the currency specified. This needs to be an ISO currency code

“UpfrontFeeDate” is the date specified as a date in MM/dd/yyyy OR yyyy-MM-dd format

“UpfrontFeePartyLEI” is used to denote the LEI of the party paying the upfront fee

Validations: These are optional fields, with the following restrictions:

If “UpfrontFeeCurrency” is specified then ISO currency codes must be used for the specification

If “UpfrontFee” is specified, then “UpfrontFeeDate”, “UpfrontFeeCurrency” and “UpfrontFeePartyLEI” are all required

TrdCaptRpt/Pmt/@Typ=1

TrdCaptRpt/Pmt/@Amt = Upfront Fee amount

TrdCaptRpt/Pmt/@Ccy = Upfront fee currency

TrdCaptRpt/Pmt/@Dt = Upfront fee date

TrdCaptRpt/Pmt/@PaySide = Upfront fee payer, corresponds to RptSide

Validations:

All optional fields.

TrdCaptRpt/Pmt/@Amt is a decimal value if specified

TrdCaptRpt/Pmt/@Ccy is an ISO currency code if specified

TrdCaptRpt/Pmt/@Dt is specified in YYYYMMDD format

TrdCaptRpt/Pmt/@Payside = 1 or 2, corresponding to RptSide in the TrdCaptRpt

“Upfront Pmnt” field represents the Upfront Fee

“Upfront Pmnt Ccy” field represents the Upfront Payment Currency

“Upfront Pmnt Date” represents the Upfront Fee Date

“Upfront Pmnt Party LEI” represents the LEI of the payer of the upfront payment

“Upfront Pmnt Party Name” represents the legal name of the payer of the upfront payment

Values in the respective upfront payment fields are self explanatory, per the field name descriptions in the previous columns

6

This is the “Appendix B” FIXML specification. Already provided for with respect to csv submissions, per the “AppendixB” csv field. Hence, csv columns in this release note are N/A.

Background on AppendixB classification is as follows: CFTC Regulation 43.4 requires a SDR to publicly disseminate swap transactions and pricing data in real time ("RT").  For illiquid swaps in the Commodity asset class, so as not to identify the counterparty(s) to the swap, the regulation requires the SDR to map to geographic regions rather than a specific delivery point.  Liquid contracts are deemed to reference or are “economically related” to those contracts in Appendix B to Part 43.  Any swap whose underlying asset does not reference or is not economically related to those contracts listed in Appendix B, must be mapped to a geographic region. 

Commodities

N/A

N/A

TrdCaptRpt/InstrmtExt/Attrb /@Val

Where @Typ = 133

Values for TrdCaptRpt/InstrmtExt/Attrb /@Val:

“Y” if the swap qualifies as an Appendix B submission

“N” if the swap does not qualify as an Appendix B submission.

Example:
<InstrmtExt>
<Attrb Typ="133" Val="Y"/>
</InstrmtExt>

Appendix B

·         “Y” will denote that the commodity swap reported falls within the set of those contracts that are in Appendix B to Part 43.

·         “N” will denote that the commodity swap reported does not fall within the set of those contracts that are in Appendix B to Part 43.

7

“Contract Sub-Type” FIXML specification. This field is already available for csv submissions via the “Product Subtype” fields. Hence, the csv columns for this field in this release note are “N/A”.

All

N/A

N/A

TrdCaptRpt/Instrmt/ @SwapClss

Valid attribute values for @SwapClss as follows:

“BS” denotes Basis swap

“IX” denotes Index swap

“BB” denotes Broad-based security swap

“SK” denotes Basket swap

Product Sub-Type

“Basis Swap”

“Index Swap”

“Broad-based security swap”

“Basket swap”

8

“Secondary asset class” FIXML specification. This field is already available for csv submissions via the “SecondaryAsset” field. Hence, the csv columns for this field in this release note are “N/A”.

All

N/A

N/A

TrdCaptRpt/Instrmt/ScndryAsset/@Clss

Valid attribute values for @Clss as follows:

“1” denotes Interest Rate

“2” denotes  FX

“3” denotes  Credit

“4” denotes  Equity

“5” denotes Commodity

Asset Clss 2

“Interest Rate”

“FX”

“Credit”

“Equity”

“Commodity”

9

The “InitialSDRLEI” csv field allows for the submitter to specify the SDR to which trade was first reported to, in order to satisfy part 43 real time reporting regulation.

All

InitialSDRLEI

Validations:

This is an optional field, but if specified, this field supports

Text (between 1-50 characters)

This is an optional field, but if used, use the following specification:

TrdCaptRpt/Pty/@ID,

where @Src = “N”, @R = “102”

and  @Qual = “10”

TrdCaptRpt/Pty/@ID,

where @Src = “N”, @R = “102”

and  @Qaul = “10”

Sample message excerpt:

<TrdCaptRpt>

<Pty R="102" ID="SDRLEI" Src="N" Qual="10">

</Pty>

</TrdCaptRpt>

Initial SDR LEI

Initial SDR LEI value as specified by the submitter.

10

“Multi asset swap” field allows for the submitter to indicate that the trade submission qualifies as a multi asset swap.

All

MultiAssetSwap

Validations:

This is an optional field, but if specified, this field supports the following values:

“Y”, “NA”, or <blank>

/TrdCaptRpt/ @MAsstSwapInd

@MAsstSwapInd = 0 or 1 (respectively meaning that the swap is not and is a multi- asset swap.

Multi-Asset Swap

·         “Y” will denote that the swap reported is a multi asset swap

·         “N” will denote that the swap reported is a multi asset swap

11

Availability of “Registered Market DCM” as a valid enumeration for both csv and FIXML submissions of ExecutionVenueType

All

ExecutionVenueType

“E”, used to denote a Registered Market -DCM

TrdCaptRpt/ @VenuTyp

“E” is the new attribute value for @VenuTyp, and is used to denote “Registered Market – DCM”

Execution Venue Type

“Registered Market DCM” is the new UI value representing DCMs.

12

A new field allowing for specification of the daycount convention for credit swaps has been made available. This is a required field for credit submissions.

Credit

DayCount

Validations:

This is an optional field.

Valid values are as follows:

1/1

30/360

30/365

30E*/360

30E+/360

30E/360

30E/360 Final

30E/365

ACT+1/360

ACT+1/365

ACT+1/365JPY

ACT/360

ACT/365

ACT/365.25

ACT/365I

ACT/365JPY

ACT/366

ACT/ACT

ACT/ACT29

ACTB/ACTB

ACT_365CM

BU/252

NL/365

/TrdCaptRpt/Instrmt/Strm/PmtStrm/@DayCnt

Validations:

This is an optional field.

@DayCnt is enumerated per the following:

0 = 1/1
1 = 30/360 (30U/360)
2 = 30/360 (SIA)
3 = 30/360M
4 = 30E/360
5 = 30E/360 ISDA
6 = Act/360
7 = Act/365 FIXED
8 = Act/Act AFB
9 = Act/Act ICMA
10 = Act/Act ISMA Ultimo
11 = Act/Act ISDA
12 = BUS/252
13 = 30E+/360
14 = Act/365L
15 = NL365
16 = NL360

Day Count

The Day Count field will contain the day count as submitted by the user.

13

Base Product

(per ISDA taxonomy)

This is a field implemented per the CFTC’s data harmonization initiative. The CFTC has begun this harmonization effort in the credit asset class.

Credit

BaseProduct

Validations:

This is an optional field. If specified, it must conform to one of the following names:

“Single Name”

“Index”

"Index Tranche"

"Credit Basket"

/Instrmt/@AssetSubClss

This is an optional  field. If specified, please note that this is an enumerated FIXML field per the following:

To specify “Single Name”,

/Instrmt/@AssetSubClss = 4

To specify “Index”,

/Instrmt/@AssetSubClss = 5

To specify “Index tranche”,

/Instrmt/@AssetSubClss = 6

To specify “Credit basket”,

/Instrmt/@AssetSubClss = 7

Base Product

Values as specified by user. Depending on user specification, these would appear on the UI as one of the following enumerated values:

“Single Name”

“Index”

"Index Tranche"

"Credit Basket"

14

Sub Product

(per ISDA taxonomy)

This is a field implemented per the CFTC’s data harmonization initiative. The CFTC has begun this harmonization effort in the credit asset class.

Credit

SubProduct

Validations:

This is an optional field. If specified, it must conform to one of the following names:

"Corporate"

“Sovereign”

“CDX”

“CDX Structured”

“iTraxx”

“iTraxx Structured”

“Muni”

“ABS”

“High Grade”

“Investment Grade”

“LCDX”

/Instrmt/AssetTyp

Validations:

This is an optional field and is also a non-enumerated FIXML field. If specified, recommended values for /Instrmt/AssetTyp, which   conform to the ISDA taxonomy are as follows:

"Corporate"

“Sovereign”

“CDX”

“CDX Structured”

“iTraxx”

“iTraxx Structured”

“Muni”

“ABS”

“High Grade”

“Investment Grade”

“LCDX”

Sub Product

Values as specified by user.

15

Specification and mapping of delivery and pricing locations for Commodities, per Appendix E

New fields have been made available to specify index and delivery regions to comply with CFTC Commodities regulatory reporting rules as defined in Appendices B and E. Details below.

Regulatory background:

CFTC Regulation 43.4(d)(4)(iii) requires an SDR to publicly disseminate the underlying asset(s) for swaps in the "Other Commodity" asset class as follows:

(i)The actual underlying asset(s) for any publicly reportable swap that references or is "economically related" to one of the contracts in Appendix B.

(ii) the actual underlying asset(s) for any publicly reportable swap that was executed on or pursuant to the rules of a SEF or DCM.

(iii) limiting the geographic detail(s) of the underlying asset(s) by displaying the delivery or pricing point as set forth in Appendix E for any publicly reportable swap in the "Other Commodity" asset class not described in or (ii).

CTFTC Regulation 43.2 defines the term 'economically related' to mean "...a direct or indirect reference to the same commodity at the same delivery location or locations, or with the same or a substantially similar cash market price series."

These obligations require the SDR to be able to identify whether a swap in the "Other Commodity" asset class: (1) references or is "economically related" to one of the contracts in Appendix B or (2) was executed on or pursuant to the rules of a SEF or DCM. If neither is applicable, the regulation requires an SDR to be able to map the delivery or pricing point to the geographic buckets set forth in Appendix E to Part 43 for purposes of public dissemination.  The geographic buckets are described in the attached spreadsheet named Appendix E Mapping.xls

Commodities

The following new optional fields are available to specify leg level index and delivery regions:

‘Leg1IndexRegion'
'Leg1DeliveryRegion'
'Leg2IndexRegion'
'Leg2DeliveryRegion'

Validation:

Optional fields, but if specified, these fields allow up to 100 characters.

Note: As indicated in the regulatory background noted for this field (per the second column of this row) if the commodities product reported falls outside of the commodities Appendix B product set, then the regions are to mapped to generic location values as per Appendix E. These values are as specified in the attachment named Appendix E Mapping.xls

Validation:

Optional fields, but if specified, these fields allow up to 100 characters.

TrdCaptRpt/Instrmt/Strm/Cmdty/ @DlvryPxngRgn captures the delivery or index region, depending on the attribute value of

TrdCaptRpt/Instrmt/Strm/ @Typ

<

To specify an index pricing location:

TrdCaptRpt/Instrmt/Strm/ @Typ = 0

TrdCaptRpt/Instrmt/Strm/Cmdty/ @DlvryPxngRgn will then be used to specify the index pricing location.

To specify a delivery location:

TrdCaptRpt/Instrmt/Strm/ @Typ = 1

TrdCaptRpt/Instrmt/Strm/Cmdty/ @DlvryPxngRgn will then be used to specify the delivery location.

To be exposed via UI in a future production release

To be exposed via UI in a future production release

16

Reporting of Cancellations and Corrections

At a summary level, per regulation, cancels and corrects are only valid on amending submissions, and must reference a previous RT report. As such, with respect to cancellation and correction workflows, CME SDR has incorporated the following changes:

·         Unless cancels and corrects are reported as amends, the trade submission will be rejected by CME SDR

·         Submissions of Cancels and Corrects must be on an RT (part 43) submission

·         Submissions of cancels and corrects must also have a preceding RT submission

All

The trade submission is rejected by CME SDR if the following is true:

[If Event = “Cancel/Correct”

           AND

Action <> “Amend”

          AND

SubmissionType <>

( “RT” OR

“RT+PET” OR

“RT+PET+Confirm”)]

N/A

The trade submission is rejected by CME SDR if the following is true:

if TrdCaptRpt/ @TrdContntn = "30"

                      AND

TrdCaptRpt/ @TransTyp<>"2"

                      AND

TrdCaptRpt/ RegRptTyp <>

        (0 OR 4 OR 6 OR 10)

N/A

N/A

N/A

17

New fields allowing for the identification of a swap as an international swap has been made available. International swaps are those swaps that are required to be reported to more than regulatory jurisdiction.

All

The “IntlSwapInd” field is an identifier used to indicate that the swap is an international swap.

The “IntlSDRLEI” field is used to indicate the LEI of the other SDRs to which the swap is reported to.

The “IntlSwapIdentifier” field contains the USIs, or other international identifiers, of the swaps contained in other international SDRs

Validations:

This is an optional field

Validations:

“IntlSwapInd” is an optional field, but if used, this field supports the following values:

“Y”, “N” , which  are used to respectively denote that the swap is, and is not, an international swap.

“IntlSDRLEI” is required if “IntlSwapInd” is set to “Y”. This is a repeatable text field that supports 1-50 characters.

“IntlSwapIdentifier” is required if “IntlSwapInd” is set to “Y”. This is a repeatable text field that supports 1-50 characters.

International Swap indicator

/TrdCaptRpt/ @IntlSwapInd is used to identify as to whether a given swap submission is an international swap or not.

If the swap is an international swap, this is to be specified as:

/TrdCaptRpt/ @IntlSwapInd = 1

If the swap is not an international swap, this is to be specified as:

/TrdCaptRpt/ @IntlSwapInd = 0

Identifying the International SDR LEI

/TrdCaptRpt/Pty/@ID, where

@R = "102",

@Src = "N" and

@Qual = "11”

Per the previous column, international swaps and non-international swaps are respectively specified as:

/TrdCaptRpt/ @IntlSwapInd = 1

/TrdCaptRpt/ @IntlSwapInd = 0

Per the previous column, the party role, source and qualification attributes are to be specified as follows for the identification of international swap SDRs:

/TrdCaptRpt/Pty/@ID, where

@R = "102",

@Src = "N" and

@Qual = "11”

Per the example noted below, this is to be repeated as necessary, depending upon how many additional SDRs an international swap has been reported to.

Sample message excerpt:

The following message excerpt specifies an international swap spanning three international SDRs:

<TrdCaptRpt IntlSwapInd="Y">

<Pty R="102" ID="LEI of 1st additional repository" Src="N" Qual="11">
</Pty>

<Pty R="102" ID="LEI of 2nd additional repository" Src="N" Qual="11">
</Pty>

<Pty R="102" ID="LEI of 3rd additional trade repository" Src="N" Qual="11">
</Pty>

</TrdCaptRpt>

The international swap data is exposed only via the trade report in the UI.

On the trade report grid, if a given swap record on the grid is an international swap, the ensuing menu that appears when right clicking on the swap record will contain an option named “International swap”. Selecting this option will provide the details of the international swap under the following headers:

USI, USI Namespace, Asset Class, Reporting Party LEI and International SDR LEI.

There will be such row of international swap data per international SDR.

The values under the following headers will contain values as specified by users:

USI, USI Namespace, Asset Class, Reporting Party LEI and International SDR LEI.