OTC Confirmation and Claim - FpML API
- Space Sync for Confluence
CME Clearing firm FpML API is a real time API available to clearing firms for Interest Rate Swaps. The API supports Clearing firm functions such as receiving Cleared trade confirms and claiming or rejecting trades. For trades that need to be claimed, the API will notify the appropriate clearing firm. The API also supports the sending of real time messages after a netting process.
Related Content |
|---|
Product Scope Supported for Clearing
For more details refer to Product Scope
Product | Description |
|---|---|
Fixed Float Swap | A fixed/float swap is a financial derivative instrument in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate (or vice versa). |
Basis Swap (Float/Float) | A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments. |
Zero Coupon Swap | A Zero Coupon Swap is an interest rate swap in which one or both legs have payments made in one lump sum at the maturity of the swap (i.e. ZCFixed vs. Float, Fixed vs. ZCFloat, and ZCFixed vs. ZCFloat). The payment on the zero coupon leg is usually made when the contract matures, “in arrears.” |
Overnight Index Swap | An Overnight Index Swap (OIS) is fixed-for-floating interest rate swap with a relatively short term (usually one week to one year duration). The flowing-rate period is usually tied to a daily overnight rate, although occasionally, a daily fixing rate may be used. On the floating side, interest is calculated on a compound basis. |
Variable Notional Swap | A variable Notional Swap is an interest rate swap where the notional amount changes during the duration of the swap. |
Forward Rate Agreement (FRA) | A forward rate agreement (FRA) is an OTC contract between parties that determines the rate of interest to be paid or received on an obligation (notional) beginning at a future start date. The contract will determine the rates to be used along with the termination date and notional value. |
Message Usage by Function
Function | From | To | Description | Fpml message |
|---|---|---|---|---|
Alleged Trade Notification | CME | Clearing Firm | This message is sent to the clearing firms if the trade needs to be explicitly claimed by the clearing firm. | requestConsent |
Clear Trade Confirm Notification | CME | Clearing Firm | This message is sent to clearing firms when a trade is cleared. | clearingConfirmed |
Clearing Rejected Notification | CME | Clearing Firm | This message is sent to clearing firms when a trade is rejected and not cleared. | clearingRefused |
Claim/Accept Trade | Clearing Firm | CME | This message is sent by the clearing firm to accept/claim a trade. | consentGranted |
Refuse/Reject Trade | Clearing Firm | CME | This message is sent by the clearing firm to refuse/reject a trade. | consentRefused |
Negative Ack for a Claim or Reject | CME | Clearing Firm | This message is sent by CME in response to a Claim or reject from the clearing firm if the claim/reject request was not processed successfully. | consentException |
Trade Amendment Notification | CME | Clearing Firm | This message is sent by CME to Clearing Firms when trade is amended by the clearing house based on bilateral agreements by the counterparties. This message is sent to clearing firms of both the clients. | clearingConfirmed |
Trade Termination Notification | CME | Clearing Firm | This message is sent by CME to Clearing Firms when trade is terminated (voided) by the clearing house based on bilateral agreements by the counterparties. This message is sent to clearing firms of both the clients. | clearingConfirmed |
Trade Identifiers on Messages
Universal Swap Identifier (USI/UTI)
The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. The creation and use of the USI has been mandated by the U.S. Commodity Futures Trading Commission (CFTC) and U.S Securities and Exchange Commission (SEC) as part of the Dodd-Frank Act. The Part 45 rules under Dodd-Frank Act prescribe USI creation using the “namespace” method. Under this method, the first characters of each USI will consist of a unique code that identifies the registered entity creating the USI given to the registered entity by the Commission during the registration process. The remaining characters of the USI will consist of a code created by the registered entity that must be unique with respect to all other USI’s created by that registered entity.
Terms and Definitions
Namespace – A unique code that identifies the registered entity creating the USI
Transaction Identifier – An identifier that uniquely identifies the swap transaction within the registered entity
Registered Entity – denotes an entity that facilitates swaps transactions
Structure of the USI
Conventions
The USI standard uses the following conventions for data element representations (based on ISO 8908:1993, 3.2).
Character representations:
n : Digits (numeric characters 0 to 9 only);
a : uppercase letters ( alpha character A-Z only without “special” characters such as blanks, separators, punctuation , etc.);
The format of the USI is:
Namespace : 10!n
Transaction Identifier : 32an
Namespace
The namespace is the first component of the USI. It is a ten-digit alphanumeric identifier that consists of a three-digit prefix followed by a seven-digit identifier unique to each three-character prefix. The range of 101-119 is reserved for CFTC use for the three digit prefix.
CFTC Reserved Namespace - CFTC will initially use 101 or 102 out of this range, followed by the seven-digit identifier assigned by the Commission.
NFA Reserved Namespace - The namespace of NFA-registered entities will use 103 or 104 followed by the seven-digit NFA ID assigned by the NFA.
Available Namespace Range - The range available for the prefix to other entities that could issue USIs in the future is 120-ZZZ.
Namespace Exclusions - The namespace has the following exclusions:
It may not start with the digit zero (0).
It may not start with or use the letter O.
It may not start with or use the letter I.
Transaction Identifier
Appended to the value of each namespace instance will be the unique identifier for the swap transaction as assigned by the entity reporting swap data to the Swap Data Repository (SDR). The appended value must be unique within each namespace value. The appended value can be of variable length up to 32 characters. The namespace together with the appended value make up the USI.
Transaction Identifier Exclusions
The transaction identifier has the following exclusions:
All special characters other than “-“ , “|”, “.” , “_” (underscore) , “:” , and “ “(a space) are excluded.
USI/UTI Assignment
When a trade is reported for clearing, a bilateral USI for the Swap is required. This is the initial USI that is assigned to the swap upon execution by the Reporting counterparty or the Swap Execution Facility (SEF). Once the trade is cleared, CME DCO will assign a cleared USI for each side based on the USI definition from CFTC.
Sample of cleared USI/UTI assigned by a CME DCO.
Cleared USI/UTI
<cme:universalSwapIdentifier>
<cme:issuer issuerIdScheme="cftc_Namespace">1010000023</cme:issuer>
<cme:usi usiScheme="reg_trade_id">CCCIRS1475727</cme:usi>
</cme:universalSwapIdentifier>Other Trade Identifiers
The API also sends out other identifiers assigned by the platform or SEF during trade execution, that can be leveraged by the clearing firms.
Field | tradeIdScheme | Description |
CME assigned cleared trade ID | tradeID | Trade identifier assigned by CME ClearPort at the point the single sided trade is received trade is received. |
Client Trade ID | Client_trade_id | The Submitter provides a unique ID associated with the trade side that is referred to as the Client Order ID. |
Platform Trade ID | platform_trade_id | The platform assigned execution ID for the original bilateral deal that was submitted for clearing. |
Block Trade ID | block_trade_id | The unique id assigned for the block trade if the block trade was allocated. This is only present for blocks. |
<partyTradeIdentifier>
<partyReference href="clearing_service"/>
<tradeId tradeIdScheme="cme_trade_id">1475727</tradeId>
<tradeId tradeIdScheme="client_trade_id">3WGE5</tradeId>
<tradeId tradeIdScheme="platform_trade_id">13291904</tradeId>
<tradeId tradeIdScheme="block_trade_id">13291904</tradeId>
</partyTradeIdentifier>Credit Limit Information on Messages
The API also provides limit information on messages. These include information like the the level at which the limit is being reported like DV01, PV01 etc, the limit utilized, the remaining limit and the limit impact due to the current trade. For details please refer to the clearingConfirmed Message Specification.
<cme:creditLimitInformation>
<cme:limitApplicable>
<cme:level creditLimitLevelScheme="creditLimitLevelScheme">HOUS</cme:level>
<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
<cme:limitAmount>999999999999998980</cme:limitAmount>
<cme:amountUtilized>47450</cme:amountUtilized>
<cme:amountRemaining>999999999999951490</cme:amountRemaining>
<cme:limitImpactDueToTrade>472</cme:limitImpactDueToTrade>
<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
</cme:limitApplicable>
<cme:limitApplicable>
<cme:level creditLimitLevelScheme="creditLimitLevelScheme">ACCT</cme:level>
<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
<cme:limitAmount>1000000000000</cme:limitAmount>
<cme:amountUtilized>6100</cme:amountUtilized>
<cme:amountRemaining>999999993899</cme:amountRemaining>
<cme:limitImpactDueToTrade>472</cme:limitImpactDueToTrade>
<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
</cme:limitApplicable>
</cme:creditLimitInformation>.
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.