• CME STP: August 28, 2015

      • To
      • CME STP Customers
      • #
      • 20150828stp
      • Notice Date
      • 28 August 2015

    •  

      Topics in this issue include:

      New - Unit of Measure Enhancements for Options on Futures

      Effective Sunday, September 27 (trade date Monday, September 28), the Unit of Measure (UOM) field will be updated for all options on outright futures.

      With this enhancement, the Unit of Measure value will always be present and will match the value of the underlying future.

      CME STP messaging with the new field values will be available in New Release for customer testing Thursday, September 10.

      New - CME STP Enhancement: New and Updated CME STP Attributes

      Effective Sunday, September 27 (trade date Monday, September 28), CME STP will support the following attributes for Trade Capture Reports to enhance risk portfolio management.

      New Attributes:

      Attribute

      FIXML Field Name

      FIXML Message Component Level

      Description

      Notes

      Trading Quantity

      		 TrdgQty Quantity per Original Time Unit as submitted on a CME ClearPort API trade report when:
      • A product has multiple time units, or
      • Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade
      • Power customers can see the more granular original quantity entered per original time unit.
      • As populated from CME ClearPort API (CPC API) Leg Time Unit and Trade Quantity

      Original Platform Side ID

      (IRS Trades Only)      		 OrigTrdID Trade Capture Report Side Group Ties the trade back to one of the report sides of the IRS trade submission from MarkitWire. Supports the ability to follow the history of bilateral IRS trades.
      Original Platform Trade ID (IRS Trades Only) ExecID2

      Trade Capture Report

      		 Platform Trade ID Supports the ability to follow the history of bilateral IRS trades.

      Updates for Existing Attributes:

      Attribute

      FIXML Field Name

      FIXML Message Component Level

      Description

      Notes

      Unit of Measure (UOM)

      		 UOM Instrument Leg

      The unit of measure of the product upon which the contract is based. It is also referred to as the trading unit.

      UOM will be consistently populated on options on futures with values matchingthe underlying future.
      • Enables more efficient management of risk portfolio at the instrument leg level.
      • The specification definitions will be the same as the definitions at the Instrument level.

      Unit of Measure Currency

      		 UOMCcy Instrument Leg Currency of the unit of measure. Conditionally available when UnitOfMeasure=Ccy. Will be populated where appropriate.
      • Enables more efficient management of risk portfolio at the instrument leg level.
      • The specification definitions will be the same as the definitions at the Instrument level.

      Sample messages for Trading Quantity are available online. 

      These enhancements will be available for customer testing in New Release on Thursday, September 10.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 for production questions.

      New - IRS Offset Terminations

      Effective Sunday, September 27 (trade date Monday, September 28), offset terminations for the following IRS products will be identified in CME STP messaging:
      • Plain Vanilla Interest Rate Swaps
      • Overnight Index Swaps
      • Zero Coupon Swaps
      • FRAs

      These terminations will be identified in the embedded FpML with originatingEvent set to TERMINATION_OFFSET.

      FIXML messages will be populated with the following values:

      Attribute

      FIXML Field Name

      FIXML Message Component Level

      Value

      Description
      Trade Type(TrdTyp) TrdTyp

      Trade Capture Report

      57

      		 Netted

      Trade Sub Type(TrdSubTyp)

      		 TrdSubTyp Trade Capture Report 48 Multilateral Compression

      These enhancements will be available for customer testing in New Release on Thursday, September 10.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 for production questions.

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