CME STP FIX - CollateralReport for BrokerTec Trades

908

CollRptID

RptID

String

Collateral Report Identifier

894

CollReqID

ReqID

String

Collateral Request Identifier

20048

CollateralAllocationID

CollID

String

Globally unique identifier of the collateral allocation.

20049

CollateralAllocationNumber

CollNo

String

Human-readable identifier for the collateral allocation.

allocation_item_number_n

20051

OriginalCollateralAllocationID

OrigCollID

String

In a substitution, this is the CollID of the allocation that was substituted.

20052

OriginalCollateralAllocationNumber

OrigCollNo

String

In a substitution, this is the CollNo of the allocation that was substituted.

orig_item_number_n

60

TransactTime

TxnTm

UTCTimestamp

Timestamp when the business transaction represented by the message occurred.

created_date_s + created_time_s

779

LastUpdateTime

LastUpdateTm

UTCTimestamp

Timestamp of last update to data item (or creation if no updates made since creation).

modified_date_s + modified_time_s

20012

CollateralReportTransactionType

TransTyp

String

Transaction type of the Collateral Report

broadcast_reason

• 1 - Trade registered

• 2 - Allocation registered

• 3 - Substitution registered

• 6 - Trade is cancelled

• 7 - Substitution/allocation cancelled

• 8 - Replace

910

CollStatus

Stat

int

Collateral Status

is_substitution_c

• 0 - Unassigned

• 3 - Assigned (Accepted) 

• 1001 - Substituted

• 1002 - Cancelled

20015

TradeCollateralStatus

TrdCollStat

String

Collateral status of the trade.

allocation_state

• 0 - Unallocated

• 1 - Partially allocated 

• 2 - Fully allocated

20016

MaximumCollateralCount

MaxColl

Int

Maximum number of different securities that can be allocated to the trade.

max_nbr_securities_c

1040

SecondaryTradeID

TrdID2

String

Used to carry an internal trade entity ID which may or may not be reported to the firm

53

Quantity

Qty

Qty

Quantity allocated in this Allocation Item

allocated_quantity_i

54

Side

Side

char

Side of order

bought_or_sold

• 1 - Buy

• 2 - Sell

44

Price

Px

Price

Price per unit of quantity (e.g. per share)

clean_value_i

20050

DirtyPrice

DirtPx

Price

Dirty price

collateral_value_i

159

AccruedInterestAmt

AcrdIntAmt

Amt

Amount of Accrued Interest for convertible bonds and fixed income

accrued_money_q

921

StartCash

StartCsh

Amt

Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.

start_consideration_q

922

EndCash

EndCsh

Amt

Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.

end_consideration_q

20054

TotalStartCash

TotStartCsh

Amt

Total start cash of the trade.

20053

TotalEndCash

TotEndCsh

Amt

Total end cash of the trade.

end_consideration_q

715

ClearingBusinessDate

BizDt

LocalMktDate

The "Clearing Business Date" referred to by this maintenance request.

start_consideration_q

75

TradeDate

TrdDt

LocalMktDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

created_date_s

20028

SubstitutionIndicator

SubInd

String

Indicates the status of the substitution.

is_alloc_new_c

• 2 - Original

• 3 - Substitution 

• 4 - Remainder

20031

SubstitutionsRemaining

SubRmng

int

Number of remaining rights of substitution.

remaining_subs_i

5149

Memo

Mem

String

Free format text field. Supported as follows, depending on source:

• CME Globex: Supported for all Globex-entered trades.

• CME Direct: Supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.

• CME ClearPort GUI: Supports the Memo field value for the non-alleged counterparty.

• CME ClearPort API:

  • For single-sided submissions, supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.

  • For dual-sided submissions, the Memo field supported on either or both sides, depending on the API submission. A note can be submitted for buy side and the sell side, and they can be different notes.

customer_info_s

20056

SettlementTradeID

SettlTrdID

String

Trade identifier as assigned by BrokerTec Clearing.

30

LastMkt

LastMkt

Exchange

Market of execution for last fill, or an indication of the market where an order was routed.

New field

55

→Symbol

Sym

String

Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.

long_name

48

→SecurityID

ID

String

The Clearing Product ID.

coll_isin_code_s

22

→SecurityIDSource

Src

String

Identifies class or source of the SecurityID value.

• 1 - CUSIP

• 4 - ISIN number

• H - Clearing House / Clearing Organization

167

→SecurityType

SecTyp

String

Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.

• BOND - Bond (generic)

• EUSOV - Euro Sovereigns

• EUSUP - Euro Supranational Coupons

• FUT - Future

• REPO - Repurchase

• SOV - UK Gilt

• SUPRA - USD Supranational Coupons

• TINT - Interest Strip

• TB - Treasury Bill - non US

• TBA - To Be Announced

• TIPS - Treasury Inflation Protected Security

• TBILL - US Treasury Bill

• TBOND - US Treasury Bond

• TNOTE - US Treasury Note

• FAC - US Federal Agency Coupon

• TFRN - US Treasury Floating Rate Note

107

→SecurityDesc

Desc

String

Can be used to provide an optional textual description for a financial

37513

→GUID

GUID

String

Globally unique identifier.

916

→StartDate

StartDt

LocalMktDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

start_date_s

917

→EndDate

EndDt

LocalMktDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

end_date_s

1907

RegulatoryTradeIDGrp

RegTrdID

1903

→RegulatoryTradeID

ID

String

Regulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.

1905

→RegulatoryTradeIDSource

Src

String

ID of reporting entity assigned by regulatory agency.

1904

→RegulatoryTradeIDEvent

Evnt

int

Event causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.

0 - Initial block trade

1906

→RegulatoryTradeIDType

Typ

int

Position of ID in trade hierarchy.

New value: 5

• 0 - Current (the default)

• 5 - Trading venue transaction identifier

1651

→RelatedSecurityIDSource

Src

String

Identifies class or source of the RelatedSecurityID (1650) value.

• 1 - CUSIP

• 4 - ISIN

1649

→RelatedSymbol

Sym

String

Symbol of the related security.

long_name

1650

→RelatedSecurityID

ID

String

Related security identifier. Value of RelatedSecurityIDSource (1651) type.

Depending on SecTyp and Src values this can be is_cusip, isin_code_s, subst_isin_code_s

1652

→RelatedSecurityType

SecTyp

String

Security type of the related instrument.

• GC - General Collateral

• SUB - Substituted Collateral

20055

→RelatedSecurityGUID

GUID

String

Globally unique identifier of the security