Both Commodity swaps and options on swaps (commodity swaptions) may be submitted using CME STP BaCE (bilaterals and cleared-elsewhere) and supported in CME STP FIX. A robust set of product reference data attributes is supported for Bilateral transactions.
Contents:
Commodity Swaps and Swaptions Structure
The commodity swap or swaption is specified as Streams. Each Stream component describes details like the notional, unit of measure, currency, the payer, the receiver etc. The Commodity Base specifies the general base type of the commodity traded, including: Metal, Bullion, Oil, Natural Gas. Coal, Electricity, Inter-Energy, Grains, Oils Seeds, Dairy, Livestock, Forestry, Softs, Weather, and Emissions, and others.
The SettlementPeriodGrp is a repeating subcomponent of the PaymentStreamCommodity component used to detail commodity delivery periods.
View samples.
Commodity Swaps
Commodity swaps are detailed at the Instrument level.
Commodity Swaptions
Commodity swap options detail the option at the Instrument level and the swap at the Underlying Instrument level. The Premium is specified in the Payment (pmt) component.
Specification Updates
The following specifications are used for bilaterals:
Security Type
An enumeration for Security Type is sent in the following blocks:
| Tag | Name | FIXML Abbr | Datatype | Description | New Enumeration |
|---|---|---|---|---|---|
| 167 | SecurityType | SecTyp | String | Indicates type of instrument or security. | CMDTYSWAP = Commodity Swap |
| Tag | Name | FIXML Abbr | Datatype | Description | New Enumeration |
|---|---|---|---|---|---|
| 310 | UnderlyingSecurityType | SecTyp | String | Indicates type of instrument or security. | CMDTYSWAP = Commodity Swap |
Blocks that Support Bilateral Trades
These blocks are used for bilateral trade support.
- The Commodity Swap Structure is captured in the repeating Stream group: Stream Group for Swaps, and UnderlyingStream Group for Commodity Swaptions).
- The Payment Group specifies the premium for commodity swaptions.
Additional Fields that Support Bilateral Trades
Trade Capture Report (/TrdCaptRpt)
| Tag | Name | FIXML Abbr | Datatype | Description | Enumerations |
|---|---|---|---|---|---|
| 1832 | ClearedIndicator | Clrd | Int | An indication of whether or not a reportable swap transaction is cleared by a derivatives clearing organization. | Valid values:
|
| 1924 | ClearingIntention | ClrIntn | Int | An indication of whether or not a reportable swap transaction is intended to clear. | Valid values:
|
| 1932 | ClearingRequirementException | ClrReqmtExcptn | Int | An indication of whether a party to a swap is using the end-user exception. | Valid values:
|
| 1936 | TrdCollateralization | TrdCollztn | Int | If a swap is not cleared, an indication of whether a swap is Uncollateralized, Partially Collateralized, One-Way Collateralize, Fully Collateralized. | Valid values:
Valid values:
|
| 2405 | Execution Method | ExecMeth | Int | Specifies whether the transaction was executed via an automated execution platform or other method. | Valid values:
|
Trade Capture Report Side Group (TrdCaptRpt/RptSide - repeating)
| Tag | Name | FIXML Abbr | Datatype | Description | Enumerations |
|---|---|---|---|---|---|
| 526 | SecondaryClOrdID | ClOrdID2 | String | Client Order ID 2 | |
| 58 | Text | Txt | String | Free format text string |
Instrument (/TrdCaptRpt/Instrmt)
| Tag | Name | FIXML Abbr | Datatype | Description | Enumerations |
|---|---|---|---|---|---|
| 1866 | StrikeIndex | StrkNdx | String | Specifies the index used to calculate the strike price. | |
| 10046 | StrikeIndexLocation | StrkNdxLctn | string | Strike Index Location | |
| 967 | StrikeMultipier | StrikeMult | Float | Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. | |
| 1191 | PriceUnitofMeasure | PxUOM | String | Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract | Valid Values: Fixed Qty UOM
Variable Quantity UOM
|
| 1194 | ExerciseStyle | ExerStyle | Int | Type of exercise of a derivatives security | Valid values: '0' European |
| 1481 | UnderlyingPriceDeterminationMethod | PxDtrmnMeth | Int | Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option"). | Valid values: '1' Regular |
Testing and Certification
Certification is required for bilateral trades. 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 the New Release Environment or to schedule a certification.