CME SDR - Production Release Advisory

To CME SDR Users:

The following changes have been deployed to the SDR Production Environment. Please note that all new fields added are optional.

New CSV Submission Fields – applicable to FX and Commodities submissions only, with exceptions noted below

AppendixB

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. 

In order to help facilitate the SDR’s obligations related to this, a modification has been made to the Commodity csv template to include a new field called “AppendixB.”  The acceptable values for this field are ‘Y’ or ‘N’.  

•   A ‘Y’ response indicates that the underlying asset to the swap references or is economically related to a contract listed in Appendix B to Part 43.
  

           Note: If the field is left blank the delivery point will be publically disseminated.

• A ‘N’ response indicates that the underlying asset to the swap does NOT reference and is NOT economically related to any contract listed in Appendix B to Part 43.

Note that the AppendixB field is only applicable to the Commodity asset class.

ReportingPartyLEISource

This field is to be used to explain the origin of the reporting counterparty entity identifier specified in the ReportingPartyLEI field.  If the Reporting counterparty populates the ReportingPartyLEI field with either a Legal Entity Identifier (LEI) or a CFTC Interim Compliant Identifier (CICI) per https://www.gmeiutility.org , the value in this field is to be specified as “LEI”.  If the Reporting counterparty populates the ReportingPartyLEI field with a value that is neither an LEI nor a CICI, then this field is to be populated with a value of “Other”.

RptPtyType

This field represents the entity classification of the reporting counterparty. Valid values for this field are “SD”, “MSP”, “FE”, which respectively denote “Swap Dealer”, “Major Swap Participant” and “Financial Entity” entity classifications.  If this field is not applicable it should remain blank.

RptPtyUSPerson

This field identifies whether the Reporting Counterparty is a US Person or not. The valid values for this field are “Y” and “N”, where a value of “Y” indicates the Reporting Counterparty is a US Person and “N” indicates that the Reporting Counterparty is not a US Person.

NonReportingPartyLEISource

This field is to be used to explain the origin of the non-reporting counterparty entity identifier specified in the NonReportingPartyLEI field.  If the Non Reporting counterparty populates the NonReportingPartyLEI with either a Legal Entity Identifier (LEI) or a CFTC Interim Compliant Identifier (CICI) per https://www.gmeiutility.org , the value in this field is to be specified as “LEI”.  If the Non Reporting counterparty populates the NonReportingPartyLEI with a value that is neither an LEI nor a CICI, then this field is to be populated with a value of “Other”.

NonRptPtyType

This field represents the entity classification of the non-reporting counterparty. Valid values for this field are “SD”, “MSP”, “FE”, which respectively denote “Swap Dealer”, “Major Swap Participant” and “Financial Entity” entity classifications. If this field is not applicable it should remain blank.

NonRptPtyUSPerson

This field identifies whether the non-reporting counterparty is a US Person or not. The valid values for this field are “Y” and “N”, where a value of “Y” indicates the non-reporting counterparty is a US Person and “N” indicates that the non-reporting counterparty is not a US Person.

ExecutionVenueLEISource

This field is to be used to explain the origin of the execution venue entity identifier specified in the ExecutionVenueLEI  field.  If the ExecutionVenueLEI field is populated with either a Legal Entity Identifier (LEI) or a CFTC Interim Compliant Identifier (CICI), per https://www.gmeiutility.org , the value in this field is to be specified as ”LEI”.  If the ExecutionVenueLEI field is populated with a value that is neither an LEI nor a CICI, then this field is to be populated with a value of “Other”.

ClearingVenueLEISource

This field is to be used to explain the origin of the clearing venue entity identifier specified in the ClearingVenueLEI  field.  If the ClearingVenueLEI field is populated with either a Legal Entity Identifier (LEI) or a CFTC Interim Compliant Identifier (CICI), per https://www.gmeiutility.org , the value in this field is to be specified as ”LEI”.  If the ClearingVenueLEI field is populated with a value that is neither an LEI nor a CICI, then this field is to be populated with a value of “Other”.

The broader csv technical specifications can be found here:  http://www.cmegroup.com/trading/global-repository-services/submitting-trades-to-cme-repository-service.html

New FIXML Submission Fields – applicable to FX and Commodity submissions only

Entity classifications (“Swap Dealer”, “Major Swap Participant”, “US Person”,  “Financial Entity”)  belonging to reporting and non-reporting counterparties can be specified on FIXML submissions by using appropriate sub types within the party role block on the FIXML message. Various sub types within a message denote entity classifications per the following FIXML message syntax:

o   A Swap Dealer is specified as: <Sub Typ=”45 ID=”Y”/>

o   A Major Swap Participant is specified as <Sub Typ=”46 ID=”Y”/>

o   A Financial Entity is specified as <Sub Typ="47" ID="Y"/>

o   A US Person is specified as <Sub Typ="48" ID="Y"/>

Message Excerpts

In keeping with the above specifications, samples of the various types of entity classification specifications are as follows:

•    Reporting Counterparty as Swap Dealer:

                <Pty R="7" ID="LEI00000PARTYA" Src="N">

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

                <Sub Typ="45" ID="Y" />

                   </Pty>

•  Reporting Counterparty as Major Swap Participant

                <Pty R="7" ID="LEI00000PARTYA" Src="N">

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

                <Sub Typ="46" ID="Y" />

                </Pty>

• Reporting Counterparty as Financial Entity:

                <Pty R="7" ID="LEI00000PARTYA" Src="N">

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

                <Sub Typ="47" ID="Y" />

                </Pty>

• Reporting Counterparty as US Person:

                <Pty R="7" ID="LEI00000PARTYA" Src="N">

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

                <Sub Typ="48" ID="Y" />

                </Pty>

In accordance with the broader FIXML specification, the same entity classification above can be specified for the non reporting counterparty by eliminating the sub type = 49 specification from the above message excerpts. The broader FIXML specifications can be found here:   http://www.cmegroup.com/trading/global-repository-services/submitting-trades-to-cme-repository-service.html

Please contact the CME Repository Service Support Team with any questions regarding this release. Thank you.

CME Repository Service Support Team