CME STP FIX - Bilateral Trades

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:

<Instrument

Tag

Name

FIXML Abbr

Datatype

Description

New Enumeration

Tag

Name

FIXML Abbr

Datatype

Description

New Enumeration

167

SecurityType

SecTyp

String

Indicates type of instrument or security.

CMDTYSWAP = Commodity Swap

<UnderlyingInstrument>

Tag

Name

FIXML Abbr

Datatype

Description

New Enumeration

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.

Additional Fields that Support Bilateral Trades

Trade Capture Report (/TrdCaptRpt)

Tag

Name

FIXML Abbr

Datatype

Description

Enumerations

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:

  • 0 = Not cleared

  • 1 = Cleared

1924

ClearingIntention 

ClrIntn

Int

An indication of whether or not a reportable swap transaction is intended to clear.

Valid values:

  • 0 = Do not intend to clear

  • 1 = Intend to clear

1932

ClearingRequirementException

ClrReqmtExcptn

Int

An indication of whether a party to a swap is using the end-user exception.

Valid values:

  • 0 = No exception

  • 1 = Exception

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:

  • 0 = Uncollateralized

  • 1 = Partially Collateralized

Valid values:

  • 2 = One-Way Collateralized

  • 3 = Fully Collateralized

2405

Execution Method

ExecMeth

Int

Specifies whether the transaction was executed via an automated execution platform or other method.

Valid values:

  • 1 = Manual

  • 2=Automated

Trade Capture Report Side Group (TrdCaptRpt/RptSide - repeating)

Tag

Name

FIXML Abbr

Datatype

Description

Enumerations

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

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

  • Bcf = Billion cubic feet

  • MMbbl = Million Barrels

  • MMBtu = One Million BTU

  • MWh = Megawatt hours

Variable Quantity UOM

  • Bbl = Barrels

  • Bu = Bushels

  • lbs = pounds

  • Gal = Gallons

  • oz_tr = Troy Ounces

  • t = Metric Tons (aka Tonne)

  • tn = Tons (US)

  • USD = US Dollars



  • Alw = Allowances

1194

ExerciseStyle

ExerStyle

Int

Type of exercise of a derivatives security

Valid values:

'0' European
'1' American
'2' Bermuda

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
'2' Special reference
'3' Optimal value (Lookback)
'4' Average value (Asian option)

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.




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