FpML Messages
| Message | Description |
|---|---|
| clearingConfirmed message | A clearingConfirmed message is sent when a trade is cleared by CME Clearing or terminated by CME Clearing. The status of the trade indicates if it is Cleared or Terminated. This message includes the Swap block and the definition of the Swap component is provided above. Please refer to the message samples for more details. The clearingConfirmed message will also include a cleared USI (Universal Swap Identifier) generated for the side. |
| requestConsent message | A requestConsent message is sent to a Clearing firm from CME to claim a trade. This happens when a clearing firm has opted for explicit claim. This message will include a swap block containing all the economic details of the deal and the limit information. The message has been customized by CME clearing to include limit and package information. The message provides claiming or declining a trade or a package. |
| consentGranted message | A consentGranted message is sent by a Clearing firm to CME Clearing when they claim a trade. This message will not include a swap block. Please refer to the message samples for more details. |
| consentRefused message | A consentRefused message is sent by a Clearing firm to CME Clearing when they decline a trade. This message will not include a swap block. Please refer to the message samples for more details. |
| consentException message | A consentException message is sent by CME clearing to a Clearing firm in response to a consentGranted or a consentRefused. This is sent when CME Clearing cannot process either of these messages due to not finding the trade based based on the trade id provided as the correlation id in the message. This message will not include a swap block. Please refer to the message samples for more details. |
| clearingRefused message | A clearingRefused message is sent when a trade is rejected by CME Clearing due to credit failure. The message contains a reason code and a brief description as to why the trade was refused for clearing. This message will include the Swap block. CME Clearing also supports a custom implementation of the clearingRefused message to support packages. |
FpML Product Specifications
Swap Element
The Swap component, which is comprised of SwapStreams, is used to define the product economic fields between the principal parties involved in the Swap. The SwapStream component can be used to specify the payment streams associated with the swap. These can be fixed or float payment streams. This component is also used to specify the elements needed to specify calculations associated with each stream.
NS: Not Supported Fixed/Float, Basis, OIS, ZCS Unadjusted Effective Date The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). D - Day W - Week M - Month Y - Year T - Term Shortinitial ShortFinal LongInitial LongFinal The known amount can be specified instead of a notional amount. This is the final amount that will be paid out at the end of the swapstream period This is used sometimes in Zero coupon swaps for the fixed leg. The schedule of step date and non-negative value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. The tenor or the designated maturity of the floating rate index. Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). D - Day W - Week M - Month Y - Year T - Term D - Day W - Week M - Month Y - Year T - Term The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable. The specific averaging method of calculation is specified in FloatingRateCalculation. In case the reset frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate. Frequency at which resets occur. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). D - Day W - Week M - Month Y - Year T - Term D - Day W - Week M - Month Y - Year T - Term Payment Dates Calculation (swap/swapStream/paymentDates) Defines all the dtaes and calculations required to calculate the payment date. D - Day W - Week M - Month Y - Year T - Term CalculationPeriodStartDate CalculationPeriodEndDate LastPricingDate ResetDate ValuationDate FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable CashFlows swap/swapStream/cashFlows Defines all the cash flows associated with the swap. The cleared confirm will include all the cashflows associated with the swap for the life of the swap.Swap Element Specification
Field Name Description XPath Enumeration / Coding Scheme Calculation Period dates Calculation period date schedule for floating and fixed leg swap/swapStream/calculationPeriodDates/ Effective Date Date when the floating accruals or fixed accruals on the swap or begin. The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. swap/swapStream/calculationPeriodDates/ effectiveDate/unadjustedDate Business Day Convention swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/businessDayConvention Business Center reference and Business Center A reference to a set of financial business centers used to determine whether a particular day is a business day or not. swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCentersReference swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCenters/businessCenter Adjusted Effective Date Effective Date (Adjusted) The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date swap/swapStream/calculationPeriodDates /effectiveDate/adjustedDate Unadjusted Termination Date Termination Date Date when fixed accruals or floating accruals stop. The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. swap/swapStream/calculationPeriodDates /terminationDate/unadjustedDate Business Day Convention The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/businessDayConvention Business Center reference and Business Center A reference to a set of financial business centers used to determine whether termination date is a business day or not. swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCentersReference swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCenters/businessCenter Adjusted Termination Date Termination Date he end date of the calculation period. This date should already be adjusted for any applicable business day convention swap/swapStream/calculationPeriodDates /terminationDate/adjustedDate Calculation Period Frequency Calculation Frequency Period swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/period Calculation Frequency Period Multiplier A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1 swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/ periodMultiplier Calculation Period Frequency Roll convention The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates. calculationPeriodDates/calculationPeriodFrequency/ rollConvention Stub Details Stub Period Type An optional element to allow the definition of how any irregular period should be handled. This element can be present along with the explicit dates but if this is the case there is a rule that the dates generated using the stubPeriodType should be consistent with the dates present within calculationPeriodDates swap/swapStream/calculationPeriodDates / stubPeriodType First Regular Period Start Date This element is specified for a front Stub. This date marks the end of the stub period calculation and the date on which the regular period begins. This date has to be greater than the Swap effective date if specified swap/swapStream/calculationPeriodDates/ firstRegularPeriodStartDate Last regular Period End Date This field is specified for a back Stub. This date marks the end of the last regular period and the date on which the final stub period begins. This date has to be less than the Swap termination date if specified. swap/swapStream/calculationPeriodDates/ lastRegularPeriodEndDate Calculation Period and Amount Details Notional Amount The notional amount associated with the calculation period for the stream swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ initialValue/ Known Amount swap/swapStream/calculationPeriodAmount/ knownAmountSchedule/initialValue Notional amount Schedule swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepDate swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepValue Notional Amount Currency The currency associated with the notional amount of the notional amount schedule. swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ currency Day count Fraction Day count basis convention to use to find the period between two dates swap/swapStream/calculationPeriodAmount/ calculation/dayCountFraction Fixed Rate The fixed rate. swap/swapStream/calculationPeriodAmount/ calculation/fixedRateSchedule/initialValue Floating Rate Index The index used for calculating the floating leg. swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/floatingRateIndex Please refer to the Product Scope for the supported indices. Floating Rate Index Tenor swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/periodMultiplier A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1 swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/period Initial Stub Rate An actual rate to apply for the initial stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05. swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ stubRate Initial Stub floating Rate designated maturity (Index tenor) This specifies the tenor information if a floating rate index is specified for the initial stub swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ period swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier Final Stub Rate An actual rate to apply for the final stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05. swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ stubRate Initial Stub floating Rate designated maturity (Index tenor) This specifies the tenor information if a floating rate index is specified for the final stub swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ period swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier Reset Dates for Floating Rate Stream Reset Date calculation period dates Reference This element is used to generate reset dates schedule and associated fixing dates related to a floating rate Stream. The reset dates are determined relative to the calculation periods schedules dates. This element is used to specify the reference to the floating rate calculation period dates. swap/ swapStream/ resetDates/ calculationPeriodReference Reset date relative to This is used to specify whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included. swap/ swapStream/ resetDates/ resetRelativeTo Reset Frequency swap/ swapStream/ resetDates/ resetFrequency Reset Frequency Period swap/ swapStream/ resetDates/ resetFrequency/period swap/ swapStream/ resetDates/ resetFrequency/ periodMultiplier Reset Date Adjustments Reset Date Adjustment business day convention The business day convention to apply to each reset date if it would otherwise fall on a day that is not a business day in the specified financial business centers. Fixing Dates for Floating Rate Stream Fixing Date Period Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element. swap/ swapStream/resetDates/fixingDates/ period swap/ swapStream/resetDates/fixingDates/ periodMultiplier Fixing Date relative to Specifies the anchor date as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor date is defined swap/ swapStream/resetDates/fixingDates/ dateRelativeTo Fixing date business day convention The convention for adjusting the fixing date if it falls on a day that is not a business day. swap/ swapStream/resetDates/fixingDates/ businessDayConvention Fixing Date Business Centers A reference to a set of financial business centers used to determine whether fixing date is a business day or not. swap/ swapStream/resetDates/fixingDates/ businessCenters/businessCenter Fixing Date Offset Period Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the adjustedEffectiveDate element. Reference to the Calculation period Date A Reference to the calculation Period date swap/ swapStream/paymentDates/ calculationPeriodDatesReference Payment Date Frequency The frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to the payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid. If the payment frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate swap/ swapStream/paymentDates/ paymentFrequency/ periodMultiplier swap/ swapStream/paymentDates/ paymentFrequency/ period Payment Date Relative to This element specifies whether payments occur relative to the calculation period start or end date, or the reset date swap/ swapStream/paymentDates/ payRelativeTo Payment Date Business Day convention The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers. swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessDayConvention Payment Date Business Center Reference A reference to a set of financial business centers used to determine whether the payment date is a business day or not. swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessCenters/ businessCenter Cash Flow Match Parameter A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information. swap/ swapStream/cashFlows/cashflowsMatchParameters Adjusted Payment Date The adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. A list of payment calculation period elements may be ordered in the document by ascending adjusted payment date. swap/ swapStream/cashFlows/ paymentCalculationPeriod/ adjustedPaymentDate Adjusted Calculation period Start date The calculation period start date, adjusted according to any relevant business day convention. swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedStartDate Adjusted Calculation period End date The calculation period end date, adjusted according to any relevant business day convention. swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedEndDate Notional Amount The amount that a cashflow will accrue interest on swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/notionalAmount Adjusted Fixing Date The adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention. swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ adjustedFixingDate Floating Rate The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05 swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ observedRate Fixed rate The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05. swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/fixedRate
FRA Element
The Fra component is also used to specify the elements needed to specify calculations associated with the payment and maturity of the fra contract.
Fra Element Specification
| Field Name | Description | XPath | Enumeration / Coding Scheme |
|---|---|---|---|
| Effective Date (Adjusted) | The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date | fra/ adjustedEffectiveDate | |
| Termination Date | he end date of the calculation period. This date should already be adjusted for any applicable business day convention | fra/ adjustedTerminationDate | |
| Calculation Period and Amount Details | |||
| Notional Amount | The notional amount associated with the calculation period for the stream | fra/notiona/amount | |
| Notional Amount Currency | The currency associated with the notional amount of the notional amount schedule. | fra/notiona/currency | |
| Day count Fraction | Day count basis convention to use to find the period between two dates | fra/dayCountFraction | |
| Fixed Rate | The fixed rate. | fra/fixedRate | |
| Floating Rate Index | The index used for calculating the floating leg. | fra/floatingRateIndex | Please refer to the Product Scope for the supported indices. |
| Floating Rate Index Tenor | The tenor or the designated maturity of the floating rate index. Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1 | fra/indexTenor/periodMultiplier | |
| A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). | fra/indexTenor/period | D - Day W - Week M - Month Y - Year T - Term | |
| Calculation Period Number of Days | The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction. | fra/calculationPeriodNumberOfDays | |
| FRA Discounting | Specifies whether discounting applies and, if so, what type. | fra/fraDiscounting | ISDA |
Fixing Dates Offset Calculation Specifies the elements needed for calculating the fixing date. | |||
| Fixing Date Offset Period | Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element. | fra/fixingDateOffset/periodMultiplier | |
| fra/fixingDateOffset/period | D - Day W - Week M - Month Y - Year T - Term | ||
| Fixing Date Offset Day Type | In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included | fra/fixingDateOffset/dayType | Business Calendar CommodityBusiness CurrencyBusiness ExchangeBusiness ScheduledTradingDay |
| Fixing date business day convention | The convention for adjusting the fixing date if it falls on a day that is not a business day. | fra/fixingDateOffset/ businessDayConvention | FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable |
| Fixing Date Offset Business Center | This set of business centers is used to determine whether a particular day is a business day or not. | fra/fixingDateOffset/businessCenters/businessCenter | |
| Fixing Date Offset relative to | Specifies the anchor date as an href attribute. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element. | fra/fixingDateOffset/dateRelativeTo | |
| Payment Details | |||
| Unadjusted Payment Date | The payment date. This date is subject to adjustment in accordance with any applicable business day convention. | fra/paymentDate/ unadjustedDate | |
| Payment Date Business Day convention | The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers. | fra/paymentDate/dateAdjustments/ businessDayConvention | FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable |
| Payment Date Business Center Reference | A reference to a set of financial business centers used to determine whether the payment date is a business day or not. | fra/paymentDate/dateAdjustments/ businessCenters/ businessCenter | |