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.

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
Blocks that support Bilateral Trades
Additional Fields that Support Bilateral Trades

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.

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

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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