Margin Service API - Transaction - Add
- CME Group
Owned by CME Group
Apr 26, 2024
75 min read
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The add transaction request creates a new transaction in the CME CORE database.
| Entity | Transaction |
| Action | Add |
| URL | /transactions |
| HTTP Method | POST |
| Parameter Input | No |
| XML Input | Yes |
| Multiple Output | No |
| Synchronous | Yes |
Description
This request allows the Client to add or create a new transaction in CME CORE. The Client must submit the required attributes (specified below) for a new transaction, then the server validates the request. If the request is invalid, the server returns a status and an error message/code and if the request is valid, an internal identifier for the request along with the status are returned.
Multiple transactions can be added within one message. If processingMode="COMPLETE" then all transactions must pass validation, or none will be added. If processingMode="PARTIAL" then transactions that are invalid will not be added, but any valid transactions will be unaffected. Should this happen, the response will have have /transactionRpt@status="SUCCESS_WITH_ERRORS" and /transactionRpt/transaction/error@code and /transactionRpt/transaction/error@msg present for each transaction that failed.
Request
| XPath | Name | Type | Required | Notes |
|---|---|---|---|---|
/transactionReq@reqUserId | Requesting User ID | String | No | |
/transactionReq@processingMode | Processing Mode | Processing Mode | No | |
/transactionReq/transaction@portfolioId | Portfolio ID | String | Yes | |
/transactionReq/transaction@type | Transaction Type | Transaction Type | Yes | |
/transactionReq/transaction/payload@encoding | Payload Encoding | Transaction Encoding | Yes | |
/transactionReq/transaction/payload@format | Payload Format | Transaction Format | Yes | |
/transactionReq/transaction/payload/string | String Payload | String | Yes |
Response
| XPath | Name | Type | Required | Notes |
|---|---|---|---|---|
/transactionRpt@status | Status | Sync Report Status | Yes | |
/transactionRpt/error@code | Error Code | String | No | |
/transactionRpt/error@msg | Error Message | String | No | |
/transactionRpt/transaction@createTime | Create Time | Date/Time | Yes | |
/transactionRpt/transaction@id | ID | String | Yes | |
/transactionRpt/transaction@portfolioId | Portfolio ID | String | Yes | |
/transactionRpt/transaction@status | Entity Status | Entity Status | Yes | |
/transactionRpt/transaction@type | Transaction Type | Transaction Type | Yes | |
/transactionRpt/transaction@updateTime | Update Time | Date/Time | Yes | |
/transactionRpt/transaction/error@code | Error Code | String | No | |
/transactionRpt/transaction/error@msg | Error Message | String | No | |
/transactionRpt/transaction/payload@encoding | Payload Encoding | Transaction Encoding | Yes | |
/transactionRpt/transaction/payload@format | Payload Format | Transaction Format | Yes | |
/transactionRpt/transaction/payload/string | String Payload | String | Yes |
Errors
HTTP Status Codes
| Code | Description |
|---|---|
500 | The server was not able to process the request. More information (if available) will be provided in the error message. |
Using Your Own Id to Identify Invalid Trades
If you supply your own id (Client ID) for each trade, the Margin Services API returns the invalid trades and corresponding reason.
Examples:
| Format | Example Requests and Responses |
|---|---|
| Invalid all in one request | <?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:marginReq xmlns:ns2="http://cmegroup.com/schema/core/1.2"> <margin> <transactions> <transaction type="TRADE"> <payload format="CSV" encoding="STRING"> <string> Firm ID,Account ID,Client ID,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread Test,1234,Test Trade 1,Vanilla,USD,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,3M,NONE,USD-LIBOR,3M,6M,FLAT,N/A,N/A Test,1234,Test Trade 2,ZERO_COUPON,USD,9/6/2011,9/6/2021,"10,000,000",P,20,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,3M,NONE,N/A,N/A Test,1234,Test Trade 3,Vanilla,USD,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,3M,NONE,USD-LIBOR-BBA,3M,6M,FLAT,N/A,N/A </string> </payload> </transaction> </transactions> </margin> </ns2:marginReq> |
| Invalid all in one response | <?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="ERROR">
<error msg="null: Client Id: Test Trade 1 : leg2index='USD-LIBOR' is not an allowed value.,null: Client Id: Test Trade 2 : leg1fixedRate=Fixed rate must be less than 1." code="400"/>
</ns2:marginRpt>
|
| Invalid CSV Request | <?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,
Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1
Spread,Leg2 Spread
Test,1234,Test Trade 1,Vanilla,USD,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,6M,FLAT,N/A,N/A
Test,1234,Test Trade 2,OIS,USD,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,1T,NONE,USD-Federal-H.15-OIS-COMPOUND,N/A,1T,NONE,N/A,N/A
Test,1234,Test Trade 3,ZERO_COUPON,USD,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,3M,NONE,N/A,N/A
</string>
</payload>
</transaction>
</ns2:transactionReq>
|
| Invalid CSV Response | <?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS_WITH_ERRORS"> <transaction portfolioId="657898" type="TRADE" id="2914998937"> <transaction type="TRADE"> <error msg="leg2index='USD-Federal-H.15-OIS-COMPOUND' is not an allowed value." code="504"/> <payload encoding="STRING" format="FPML"> --> etc etc .... <-- </string></payload></transaction></ns2:transactionRpt> |
| Invalid FPML Request | <?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="FPML">
<string><![CDATA[
<ns3:FpML xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"
xmlns="http://www.fpml.org/FpML-5/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service"/>
<tradeId tradeIdScheme="cme_trade_id">SAMPLE</tradeId>
<tradeId tradeIdScheme="client_trade_id">testtrade</tradeId>
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm"/>
<accountReference href="account1"/>
<relatedParty>
<partyReference href="trade_source"/>
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code"/>
</partyTradeInformation>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_service"/>
<receiverAccountReference href="account1"/>
<receiverPartyReference href="clearing_firm"/>
<calculationPeriodDates>
<effectiveDate>
<unadjustedDate>2014-03-13</unadjustedDate>
</effectiveDate>
<terminationDate>
<unadjustedDate>2031-09-16</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
</paymentFrequency>
<paymentRelativeTo>CalculationPeriodEndDate</paymentRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000000</initialValue>
<currency>GBP</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.05625</initialValue>
</fixedRateSchedule>
<dayCountFraction>ACT/ACT.ICMA</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_firm"/>
<payerAccountReference href="account1"/>
<receiverPartyReference href="clearing_service"/>
<calculationPeriodDates>
<effectiveDate>
<unadjustedDate>2014-03-13</unadjustedDate>
</effectiveDate>
<terminationDate>
<unadjustedDate>2031-09-16</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>JPTO</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<paymentRelativeTo>CalculationPeriodEndDate</paymentRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</fixingDates>
<resetFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000000.0</initialValue>
<currency>GBP</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>GBP-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<period>M</period>
<periodMultiplier>6</periodMultiplier>
</indexTenor>
<spreadSchedule>
<initialValue>0.02363</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/365.FIXED</dayCountFraction>
<compoundingMethod>NONE</compoundingMethod>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="trade_source">
<partyId/>
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">SAMPLEFIRM</partyId>
</party>
<party id="clearing_service">
<partyId>CME</partyId>
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">SAMPLEACCT</accountId>
<servicingParty href="clearing_firm"/>
</account>
</clearingConfirmed>
</ns3:FpML>
]]></string>
</payload>
</transaction>
</ns2:transactionReq>
|
| Invalid FPML Response | <?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS_WITH_ERRORS"> <transaction portfolioId="657736" type="TRADE"><error msg="Client Id: testtrade : leg2resetDateAdjCal=Must match calculation period calendars."/> <payload encoding="STRING" format="FPML"><string> --> etc etc .... <-- </string> </payload> </transaction> </ns2:transactionRpt> |
Examples
Basic
Request
POST /transactions
<transactionReq>
<transaction portfolioId="1234" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
</transactionReq>
Response
<transactionRpt>
<transaction id="123" portfolioId="1234" type="TRADE" createTime="2013-01-09 10:01:02" updateTime="2013-01-09 10:02:10" status="INSERTED">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
</trsansactionRpt>
Multiple Transactions in FpML Format
Request
POST /transactions
<transactionReq processingMode="PARTIAL">
<transaction portfolioId="1234" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
<transaction portfolioId="1234" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
</transactionReq>
Response
<transactionRpt>
<transaction id="123" portfolioId="1234" type="TRADE" createTime="2013-01-09 10:01:02" updateTime="2013-01-09 10:02:10" status="INSERTED">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
<transaction id="124" portfolioId="1234" type="TRADE" createTime="2013-01-09 10:01:02" updateTime="2013-01-09 10:02:10" status="INSERTED">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<FIXML><!-- TrdCaptRpt goes here --></FIXML>]]></string>
</payload>
</transaction>
</trsansactionRpt>
Add Bulk Transactions Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"> <transaction portfolioId="12345" type="TRADE" id="0"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[<FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt TrdTyp="22" LastQty="100"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="201912" PutCall="1" Exch="CME"/> <RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML>]]></string> </payload> </transaction> <transaction portfolioId="12345" type="TRADE" id="0"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[<FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt TrdTyp="22" LastQty="100"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202003" PutCall="1" Exch="CME"/> <RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML>]]></string> </payload> </transaction> <transaction portfolioId="12345" type="TRADE" id="0"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[<FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt TrdTyp="22" LastQty="100"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202006" PutCall="1" Exch="CME"/> <RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML>]]></string> </payload> </transaction> <transaction portfolioId="12345" type="TRADE" id="0"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[<FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt TrdTyp="22" LastQty="100"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202009" PutCall="1" Exch="CME"/> <RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML>]]></string> </payload> </transaction> </ns2:transactionReq>
Add Bulk Transactions Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction portfolioId="1234565789" type="TRADE" id="23456789">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="100" SettlCcy="USD"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="201912" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="CME" R="21"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
<transaction portfolioId="1234565789" type="TRADE" id="23456780">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="100" SettlCcy="USD"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202003" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="CME" R="21"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
<transaction portfolioId="1234565789" type="TRADE" id="23456782">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="100" SettlCcy="USD"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202006" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="CME" R="21"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
<transaction portfolioId="1234565789" type="TRADE" id="23456783">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="100" SettlCcy="USD"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202009" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="CME" R="21"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
</ns2:transactionRpt>
Examples by Product in FpML and FIXML Formats
Basis Swap
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="12345" type="TRADE"><payload encoding="STRING" format="FPML"><string> <![CDATA[ <ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"> <clearingConfirmed> <trade> <tradeHeader> <partyTradeIdentifier> <partyReference href="clearing_service" /> <tradeId tradeIdScheme="cme_trade_id">3M EUR</tradeId> <tradeId tradeIdScheme="remaining_trade_id" /> <tradeId tradeIdScheme="platform_trade_id" /> <tradeId tradeIdScheme="block_trade_id" /> </partyTradeIdentifier> <partyTradeInformation> <partyReference href="clearing_firm" /> <accountReference href="account1" /> <relatedParty> <partyReference href="trade_source" /> <role>InputSource</role> </relatedParty> <category categoryScheme="cme_origin_code" /> </partyTradeInformation> <tradeDate>2011-09-06</tradeDate> </tradeHeader> <swap> <swapStream id="floatLeg"> <payerPartyReference href="clearing_firm" /> <payerAccountReference href="account1" /> <receiverPartyReference href="clearing_service" /> <calculationPeriodDates id="floatLegCalcPeriodDates"> <effectiveDate> <unadjustedDate>2011-09-06</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> <adjustedDate>2011-09-06</adjustedDate> </effectiveDate> <terminationDate> <unadjustedDate>2021-09-06</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>EUTA</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2021-09-06</adjustedDate> </terminationDate> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="floatLegCalcPeriodDates" /> <paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </paymentFrequency> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>10000000</initialValue> <currency>EUR</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex> <indexTenor> <periodMultiplier>3</periodMultiplier> <period>M</period> </indexTenor> </floatingRateCalculation> <!--dayCountFraction>30/360</dayCountFraction> <compoundingMethod>None</compoundingMethod --> </calculation> </calculationPeriodAmount> </swapStream> <swapStream id="floatLeg2"> <payerPartyReference href="clearing_service" /> <receiverPartyReference href="clearing_firm" /> <receiverAccountReference href="account1" /> <calculationPeriodDates id="floatLeg2CalcPeriodDates"> <effectiveDate> <unadjustedDate>2011-09-06</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> <adjustedDate>2011-09-06</adjustedDate> </effectiveDate> <terminationDate> <unadjustedDate>2021-09-06</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>EUTA</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2021-09-06</adjustedDate> </terminationDate> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="floatLeg2CalcPeriodDates" /> <paymentFrequency> <periodMultiplier>1</periodMultiplier> <period>M</period> </paymentFrequency> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>10000000</initialValue> <currency>EUR</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex> <indexTenor> <periodMultiplier>1</periodMultiplier> <period>M</period> </indexTenor> </floatingRateCalculation> <!--dayCountFraction>30/360</dayCountFraction> <compoundingMethod>None</compoundingMethod --> </calculation> </calculationPeriodAmount> </swapStream> </swap> </trade> <party id="trade_source"> <partyId /> </party> <party id="clearing_firm"> <partyId partyIdScheme="clearing_member_firms">Test</partyId> </party> <party id="clearing_service"> <partyId /> </party> <account id="account1"> <accountId accountIdScheme="clearing_firm_accounts">1234</accountId> <servicingParty href="clearing_firm" /> </account> </clearingConfirmed> </ns3:FpML> ]]> </string></payload></transaction></ns2:transactionReq>
FRA Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE" id="0"><payload encoding="STRING" format="FPML"><string>
<![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="cme_trade_id">123456</tradeId>
<tradeId tradeIdScheme="remaining_trade_id" />
<tradeId tradeIdScheme="platform_trade_id" />
<tradeId tradeIdScheme="block_trade_id" />
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm" />
<accountReference href="account1" />
<relatedParty>
<partyReference href="trade_source" />
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code" />
</partyTradeInformation>
<tradeDate>2017-09-17</tradeDate>
</tradeHeader>
<fra>
<buyerPartyReference href="clearing_firm" />
<buyerAccountReference href="account1" />
<sellerPartyReference href="clearing_service" />
<adjustedEffectiveDate id="ResetDates">2019-11-17</adjustedEffectiveDate>
<adjustedTerminationDate>2021-02-17</adjustedTerminationDate>
<fixingDateOffset>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
</fixingDateOffset>
<calculationPeriodNumberOfDays>0</calculationPeriodNumberOfDays>
<notional>
<currency>EUR</currency>
<amount>1000000000</amount>
</notional>
<fixedRate>0.00312</fixedRate>
<floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</fra>
</trade>
<party id="trade_source">
<partyId />
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">123</partyId>
</party>
<party id="clearing_service">
<partyId />
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">ACCOUNT</accountId>
<servicingParty href="clearing_firm" />
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
FRA Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:marginRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<margin asOfTime="2785-03-30T00:00:00+00:00" portfolioId="2920130" settleQual="COMP" settleInd="N" id="2215513" createTime="2014-10-28T19:18:21+00:00" updateTime="2014-10-28T19:18:32+00:00">
<amounts ccy="USD" conc="0" init="534586.1643819709438" maint="534586.1643819709438"/>
</margin>
</ns2:marginRpt>
OIS (Overnight Index Swap)
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE"><payload encoding="STRING" format="FPML"><string>
<![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="cme_trade_id" />
<tradeId tradeIdScheme="remaining_trade_id" />
<tradeId tradeIdScheme="platform_trade_id" />
<tradeId tradeIdScheme="block_trade_id" />
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm" />
<accountReference href="account1" />
<relatedParty>
<partyReference href="trade_source" />
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code" />
</partyTradeInformation>
<tradeDate>2018-02-22</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_firm" />
<payerAccountReference href="account1" />
<receiverPartyReference href="clearing_service" />
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2020-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference
href="fixedLegCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0064</initialValue>
</fixedRateSchedule>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_service" />
<receiverPartyReference href="clearing_firm" />
<receiverAccountReference href="account1" />
<calculationPeriodDates id="floatLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2020-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-Federal Funds-H.15-OIS-COMPOUND</floatingRateIndex>
<indexTenor>
<periodMultiplier></periodMultiplier>
<period></period>
</indexTenor>
<spreadSchedule>
<initialValue>0.00104</initialValue>
</spreadSchedule>
</floatingRateCalculation>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="trade_source">
<partyId />
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">123</partyId>
</party>
<party id="clearing_service">
<partyId />
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">ACCOUNT</accountId>
<servicingParty href="clearing_firm" />
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
Vanilla IRS
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE"><payload encoding="STRING" format="FPML"><string>
<![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="cme_trade_id" />
<tradeId tradeIdScheme="remaining_trade_id" />
<tradeId tradeIdScheme="platform_trade_id" />
<tradeId tradeIdScheme="block_trade_id" />
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm" />
<accountReference href="account1" />
<relatedParty>
<partyReference href="trade_source" />
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code" />
</partyTradeInformation>
<tradeDate>2018-02-22</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_firm" />
<payerAccountReference href="account1" />
<receiverPartyReference href="clearing_service" />
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2020-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference
href="fixedLegCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0064</initialValue>
</fixedRateSchedule>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_service" />
<receiverPartyReference href="clearing_firm" />
<receiverAccountReference href="account1" />
<calculationPeriodDates id="floatLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2020-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.00104</initialValue>
</spreadSchedule>
</floatingRateCalculation>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="trade_source">
<partyId />
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">123</partyId>
</party>
<party id="clearing_service">
<partyId />
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">ACCOUNT</accountId>
<servicingParty href="clearing_firm" />
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
Vanilla VNS (Variable Notional Swap)
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE"><payload encoding="STRING" format="FPML"><string>
<![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="cme_trade_id">123456</tradeId>
<tradeId tradeIdScheme="remaining_trade_id" />
<tradeId tradeIdScheme="platform_trade_id" />
<tradeId tradeIdScheme="block_trade_id" />
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm" />
<accountReference href="account1" />
<relatedParty>
<partyReference href="trade_source" />
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code" />
</partyTradeInformation>
<tradeDate>2018-05-30</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_service" />
<receiverPartyReference href="clearing_firm" />
<receiverAccountReference href="account1" />
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2019-05-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2019-06-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference
href="fixedLegCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>1250000</initialValue>
<step>
<stepDate>2018-05-30</stepDate>
<stepValue>1250000</stepValue>
</step>
<step>
<stepDate>2018-06-30</stepDate>
<stepValue>1000000</stepValue>
</step>
<step>
<stepDate>2018-09-30</stepDate>
<stepValue>750000</stepValue>
</step>
<step>
<stepDate>2018-12-31</stepDate>
<stepValue>500000</stepValue>
</step>
<step>
<stepDate>2019-03-31</stepDate>
<stepValue>250000</stepValue>
</step>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0032625</initialValue>
</fixedRateSchedule>
</calculation>
</calculationPeriodAmount>
<cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters>
</cashflows>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_firm" />
<payerAccountReference href="account1" />
<receiverPartyReference href="clearing_service" />
<calculationPeriodDates id="floatLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-05-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2019-06-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>1250000</initialValue>
<step>
<stepDate>2018-05-30</stepDate>
<stepValue>1250000</stepValue>
</step>
<step>
<stepDate>2018-06-30</stepDate>
<stepValue>1000000</stepValue>
</step>
<step>
<stepDate>2018-09-30</stepDate>
<stepValue>750000</stepValue>
</step>
<step>
<stepDate>2018-12-31</stepDate>
<stepValue>500000</stepValue>
</step>
<step>
<stepDate>2019-03-31</stepDate>
<stepValue>250000</stepValue>
</step>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="trade_source">
<partyId />
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">123</partyId>
</party>
<party id="clearing_service">
<partyId />
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">ACCOUNT</accountId>
<servicingParty href="clearing_firm" />
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
Zero Coupon
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE"><payload encoding="STRING" format="FPML"><string><![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service" />
<tradeId tradeIdScheme="cme_trade_id" />
<tradeId tradeIdScheme="remaining_trade_id" />
<tradeId tradeIdScheme="platform_trade_id" />
<tradeId tradeIdScheme="block_trade_id" />
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm" />
<accountReference href="account1" />
<relatedParty>
<partyReference href="trade_source" />
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code" />
</partyTradeInformation>
<tradeDate>2018-02-22</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_firm" />
<payerAccountReference href="account1" />
<receiverPartyReference href="clearing_service" />
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference
href="fixedLegCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0064</initialValue>
</fixedRateSchedule>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_service" />
<receiverPartyReference href="clearing_firm" />
<receiverAccountReference href="account1" />
<calculationPeriodDates id="floatLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2018-02-22</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-02-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
</calculationPeriodDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>35000000</initialValue>
<currency>USD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.00104</initialValue>
</spreadSchedule>
</floatingRateCalculation>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>
<party id="trade_source">
<partyId />
</party>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">123</partyId>
</party>
<party id="clearing_service">
<partyId />
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">ACCOUNT</accountId>
<servicingParty href="clearing_firm" />
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
Zero Coupon for BRL
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="4054940" type="TRADE"><payload encoding="STRING" format="FPML"><string>
<![CDATA[
<ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation">
<clearingConfirmed>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="clearing_service"/>
<tradeId tradeIdScheme="cme_trade_id"/>
<tradeId tradeIdScheme="remaining_trade_id"/>
<tradeId tradeIdScheme="platform_trade_id"/>
<tradeId tradeIdScheme="block_trade_id"/>
<tradeId tradeIdScheme="client_trade_id"/>
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="clearing_firm"/>
<accountReference href="account1"/>
<relatedParty>
<partyReference href="trade_source"/>
<role>InputSource</role>
</relatedParty>
<category categoryScheme="cme_origin_code"/>
</partyTradeInformation>
<tradeDate>2011-09-06</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="clearing_firm"/>
<payerAccountReference href="account1"/>
<receiverPartyReference href="clearing_service"/>
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2011-09-06</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
<adjustedDate>2011-09-06</adjustedDate>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-09-06</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2021-09-06</adjustedDate>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>BRBD</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<currency>BRL</currency>
</notionalStepSchedule>
</notionalSchedule>
<futureValueNotional>
<amount>12345</amount>
</futureValueNotional>
<fixedRateSchedule>
<initialValue>0.03123</initialValue>
</fixedRateSchedule>
<dayCountFraction>BUS/252.FIXED</dayCountFraction>
<compoundingMethod>None</compoundingMethod>
</calculation>
</calculationPeriodAmount>
<cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters>
</cashflows>
</swapStream>
<swapStream id="floatLeg">
<payerPartyReference href="clearing_service"/>
<receiverPartyReference href="clearing_firm"/>
<receiverAccountReference href="account1"/>
<calculationPeriodDates id="floatLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2011-09-06</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
<adjustedDate>2011-09-06</adjustedDate>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-09-06</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2021-09-06</adjustedDate>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatLegCalcPeriodDates"/>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="floatLegResetDates">
<calculationPeriodDatesReference href="floatLegCalcPeriodDates"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeTo href="floatLegResetDates"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<currency>BRL</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>BRL-CDI</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>BUS/252.FIXED</dayCountFraction>
<compoundingMethod>None</compoundingMethod>
</calculation>
</calculationPeriodAmount>
<settlementProvision>
<settlementCurrency>USD</settlementCurrency>
<nonDeliverableSettlement>
<referenceCurrency>BRL</referenceCurrency>
<fxFixingDate>
<periodMultiplier>-1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>PRECEDING</businessDayConvention>
<businessCenters>
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeToCalculationPeriodDates>
<calculationPeriodDatesReference href="fixedLegTerminationDate"/>
</dateRelativeToCalculationPeriodDates>
</fxFixingDate>
<settlementRateOption>BRL.PTAX/BRL09</settlementRateOption>
</nonDeliverableSettlement>
</settlementProvision>
<cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters>
</cashflows>
</swapStream>
</swap>
</trade>
<party id="clearing_firm">
<partyId partyIdScheme="clearing_member_firms">Test</partyId>
</party>
<party id="clearing_service">
<partyId/>
</party>
<party id="trade_source">
<partyId/>
</party>
<account id="account1">
<accountId accountIdScheme="clearing_firm_accounts">1234</accountId>
<servicingParty href="clearing_firm"/>
</account>
</clearingConfirmed>
</ns3:FpML>
]]>
</string></payload></transaction></ns2:transactionReq>
Vanilla Swaptions FPML Request Schema 1.3
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.3" reqUserId="userid"><transaction portfolioId="0" type="TRADE"><payload encoding="STRING" format="FPML"><string> <![CDATA[ <cme:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:cme="http://www.cmegroup.com/otc-clearing/confirmation" xmlns:dsig="http://www.w3.org/2000/09/xmldsig#"> <clearingConfirmed fpmlVersion="5-0"> <header> <messageId messageIdScheme="cme_message_id">123456789</messageId> <sentBy messageAddressScheme="cme_clearingorg_id">CME</sentBy> <sendTo messageAddressScheme="cme_firm_id">123</sendTo> <sendTo messageAddressScheme="cme_exchange_id">CME</sendTo> <creationTimestamp>2016-02-15T06:33:06-06:00</creationTimestamp> </header> <trade> <tradeHeader xsi:type="cme:CMETradeHeader" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"> <partyTradeIdentifier> <partyReference href="clearing_service"/> <tradeId tradeIdScheme="cme_trade_id">123456</tradeId> <tradeId tradeIdScheme="client_trade_id">TEST</tradeId> <tradeId tradeIdScheme="platform_trade_id">TEST</tradeId> <tradeId tradeIdScheme="platform_side_id">TEST</tradeId> <tradeId tradeIdScheme="block_trade_id">TEST</tradeId> </partyTradeIdentifier> <partyTradeInformation> <partyReference href="clearing_firm"/> <accountReference href="account1"/> <relatedParty> <partyReference href="trade_source"/> <role>InputSource</role> </relatedParty> <category categoryScheme="cme_origin_code">HOUS</category> </partyTradeInformation> <tradeDate>2018-02-15</tradeDate> <clearedDate>2018-02-16</clearedDate> <cme:originatingEvent>NEW_TRADE</cme:originatingEvent> <cme:status>CLEARED</cme:status> <cme:universalSwapIdentifier> <cme:issuer issuerIdScheme="cftc_Namespace">1234567</cme:issuer> <cme:usi usiScheme="reg_trade_id">1234567</cme:usi> </cme:universalSwapIdentifier> <cme:creditLimitInformation/> </tradeHeader> <swaption> <buyerPartyReference href="clearing_service"/> <sellerPartyReference href="clearing_firm"/> <sellerAccountReference href="account1"/> <premium> <payerPartyReference href="clearing_service"/> <receiverPartyReference href="clearing_firm"/> <paymentAmount> <currency>USD</currency> <amount>2250.00</amount> </paymentAmount> <paymentDate> <unadjustedDate>2019-02-11</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> </paymentDate> <paymentType>PREMIUM</paymentType> </premium> <europeanExercise> <expirationDate> <adjustableDate> <unadjustedDate>2019-04-15</unadjustedDate> <dateAdjustments> <businessDayConvention>PRECEDING</businessDayConvention> <businessCenters> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> </adjustableDate> </expirationDate> <earliestExerciseTime> <hourMinuteTime>09:00:00</hourMinuteTime> <businessCenter>USNY</businessCenter> </earliestExerciseTime> <expirationTime> <hourMinuteTime>11:00:00</hourMinuteTime> <businessCenter>USNY</businessCenter> </expirationTime> </europeanExercise> <swaptionStraddle>false</swaptionStraddle> <swap> <swapStream id="fixedLeg"> <payerPartyReference href="clearing_service"/> <receiverPartyReference href="clearing_firm"/> <receiverAccountReference href="account1"/> <calculationPeriodDates id="fixedCalcPeriodDates"> <effectiveDate> <unadjustedDate>2019-04-19</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> </effectiveDate> <terminationDate> <unadjustedDate>2024-04-19</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="fixedPrimaryBusinessCenters"/> </dateAdjustments> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="fixedPrimaryBusinessCenters"/> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>6</periodMultiplier> <period>M</period> <rollConvention>19</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="fixedCalcPeriodDates"/> <paymentFrequency> <periodMultiplier>6</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="fixedPrimaryBusinessCenters"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>7500000.00</initialValue> <currency>USD</currency> </notionalStepSchedule> </notionalSchedule> <fixedRateSchedule> <initialValue>0.03</initialValue> </fixedRateSchedule> <dayCountFraction>30/360</dayCountFraction> </calculation> </calculationPeriodAmount> <cashflows> <cashflowsMatchParameters>true</cashflowsMatchParameters> <paymentCalculationPeriod> <adjustedPaymentDate>2019-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2019-04-19</adjustedStartDate> <adjustedEndDate>2019-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2019-04-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2019-10-19</adjustedStartDate> <adjustedEndDate>2019-04-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2020-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-04-19</adjustedStartDate> <adjustedEndDate>2020-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-04-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-10-19</adjustedStartDate> <adjustedEndDate>2021-04-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2022-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2022-04-19</adjustedStartDate> <adjustedEndDate>2022-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2022-04-23</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2021-10-19</adjustedStartDate> <adjustedEndDate>2022-04-23</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <fixedRate>0.03</fixedRate> </calculationPeriod> </paymentCalculationPeriod> </cashflows> </swapStream> <swapStream id="floatLeg"> <payerPartyReference href="clearing_firm"/> <payerAccountReference href="account1"/> <receiverPartyReference href="clearing_service"/> <calculationPeriodDates id="floatingCalcPeriodDates"> <effectiveDate> <unadjustedDate>2019-04-19</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> </dateAdjustments> </effectiveDate> <terminationDate> <unadjustedDate>2022-04-19</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/> </dateAdjustments> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>19</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="floatPrimaryBusinessCenters"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <resetDates id="floatingLegResetDates"> <calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo> <fixingDates> <periodMultiplier>-2</periodMultiplier> <period>D</period> <dayType>Business</dayType> <businessDayConvention>NONE</businessDayConvention> <businessCenters> <businessCenter>GBLO</businessCenter> </businessCenters> <dateRelativeTo href="floatingLegResetDates"/> </fixingDates> <resetFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </resetFrequency> <resetDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/> </resetDatesAdjustments> </resetDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>7500000.00</initialValue> <currency>USD</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex> <indexTenor> <periodMultiplier>3</periodMultiplier> <period>M</period> </indexTenor> </floatingRateCalculation> <dayCountFraction>ACT/360</dayCountFraction> </calculation> </calculationPeriodAmount> <cashflows> <cashflowsMatchParameters>true</cashflowsMatchParameters> <paymentCalculationPeriod> <adjustedPaymentDate>2019-07-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2019-04-19</adjustedStartDate> <adjustedEndDate>2019-07-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2019-04-15</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2019-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2019-07-19</adjustedStartDate> <adjustedEndDate>2019-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2019-07-15</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2020-01-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2022-10-19</adjustedStartDate> <adjustedEndDate>2022-01-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2023-10-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2020-04-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-01-19</adjustedStartDate> <adjustedEndDate>2020-04-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2020-01-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2020-07-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-04-19</adjustedStartDate> <adjustedEndDate>2020-07-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2020-04-13</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2020-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-07-19</adjustedStartDate> <adjustedEndDate>2020-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2020-07-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-01-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2020-10-19</adjustedStartDate> <adjustedEndDate>2021-01-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2020-10-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-04-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2021-01-19</adjustedStartDate> <adjustedEndDate>2021-04-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2019-01-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-07-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2021-04-19</adjustedStartDate> <adjustedEndDate>2021-07-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2021-04-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-10-19</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2021-07-19</adjustedStartDate> <adjustedEndDate>2021-10-19</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2021-07-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2021-01-22</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2021-10-19</adjustedStartDate> <adjustedEndDate>2022-01-22</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2021-10-17</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod> <adjustedPaymentDate>2022-04-23</adjustedPaymentDate> <calculationPeriod> <adjustedStartDate>2022-01-22</adjustedStartDate> <adjustedEndDate>2022-04-23</adjustedEndDate> <notionalAmount>7500000.00</notionalAmount> <floatingRateDefinition> <rateObservation> <adjustedFixingDate>2022-01-18</adjustedFixingDate> <observedRate>0</observedRate> </rateObservation> </floatingRateDefinition> </calculationPeriod> </paymentCalculationPeriod> </cashflows> </swapStream> </swap> </swaption> </trade> <party id="clearing_firm"> <partyId partyIdScheme="clearing_member_firms">123</partyId> </party> <party id="clearing_service"> <partyId>CME</partyId> </party> <party id="trade_source"> <partyId></partyId> </party> <account id="account1"> <accountId accountIdScheme="clearing_firm_accounts">TEST</accountId> <servicingParty href="clearing_firm"/> </account> </clearingConfirmed> </cme:FpML> ]]> </string></payload></transaction></ns2:transactionReq>
Vanilla Swaptions FPML Response Schema 1.3
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.3" status="SUCCESS">
<transaction portfolioId="152243888" type="TRADE" id="2372840345">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:type="ns3:CMETradeHeader"><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id">123456</tradeId><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id">TEST</tradeId></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code">HOUS</category></partyTradeInformation><tradeDate>2019-04-19</tradeDate><ns3:status>CLEARED</ns3:status></tradeHeader><swaption><buyerPartyReference href="clearing_service"/><sellerPartyReference href="clearing_firm"/><premium><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><paymentAmount><currency/><amount>2250.00</amount></paymentAmount><paymentDate><unadjustedDate>2019-02-11</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2019-02-11</adjustedDate></paymentDate><paymentType>PREMIUM_FEE</paymentType></premium><europeanExercise><expirationDate><adjustableDate><unadjustedDate>2019-04-15</unadjustedDate><dateAdjustments><businessDayConvention>PRECEDING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate/></adjustableDate></expirationDate></europeanExercise><swaptionStraddle>false</swaptionStraddle><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2019-04-19</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2019-04-19</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2024-04-19</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2024-04-19</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>19</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>7500000.00</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2019-04-19</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2019-04-19</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2022-04-19</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2022-04-19</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>19</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>NONE</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>7500000.00</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></swaption></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">123</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">TEST</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML></string>
</payload>
</transaction>
</ns2:transactionRpt>
Examples by Product in FixML Format
Futures Request
<?xml version="1.0" encoding="UTF-8"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode=""> <transaction portfolioId="3003233" type="TRADE"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[ <FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt TrdTyp="22" LastQty="2013"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202103" PutCall="1" Exch="CME"/> <RptSide Side="1" InptDev="API"><Pty ID="TEST2" R="4"/><Pty ID="TEST" R="24"/></RptSide></TrdCaptRpt></FIXML>]]></string> </payload> </transaction> </ns2:transactionReq>
Futures Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.0" status="SUCCESS">
<transaction portfolioId="3003233" type="TRADE" id="58867320">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt TrdTyp="22" LastQty="2013"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="201803" PutCall="1" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="223906" R="4"/><Pty ID="SBSH-DRV-GFIL" R="24"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
FX (Forex)
<?xml version="1.0" encoding="UTF-8"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode="">
<transaction portfolioId="0" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string>
<![CDATA[
<FIXML xmlns="www.cmegroup.com/fixml50/1" xv="109" cv="CME.0001" s="20090815">
<TrdCaptRpt LastQty="1000000.00" LastPx="1">
<Instrmt SecTyp="FWD" MMY="20210320" Exch="CME" ID="EURJYC"/>
<RptSide Side="2">
<Pty ID="123" R="4"/>
<Pty ID="123" R="24"/>
</RptSide>
</TrdCaptRpt>
</FIXML>]]></string></payload></transaction></ns2:transactionReq>
FX Cleared Confirm
<?xml version="1.0" encoding="UTF-8"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2">
<transaction portfolioId="0" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<?xml version="1.0" encoding="UTF-8"?><FIXML xmlns="www.cmegroup.com/fixml50/1">
<TrdCaptRpt CalcCcyLastQty="1234" CopyMsgInd="Y" ExecID="1234" LastPx="130.0400000" LastQty="1000000" MLegRptTyp="1" MsgEvtSrc="CMESys" MtchID="1234" MtchStat="1" OrigTrdDt="2017-11-26" PxTyp="2" RptID="1234" RptRefID="123" RptTyp="1" TransTyp="0" TrdDt="2017-11-26" TrdHandlInst="5" TrdID="1234" TrdID2="1234" TrdTyp="22" TxnTm="2017-11-26T04:54:25-06:00" VenuTyp="X" VenueTyp="X">
<Hdr SID="CME" SSub="CME" Snt="2017-11-26T04:54:28-06:00" TID="123" TSub="CME"/>
<Instrmt CFI="CME" Exch="CME" ID="EURJYC" MMY="20210330" MatDt="2021-03-31" Mult="1" PxQteCcy="JPY" SecGrp="OTCFX" SecTyp="FWD" Src="H" Sym="EURJYCF620" UOM="EUR">
<Evnt Dt="2018-01-20" EventTyp="121"/>
<Evnt Dt="2018-01-22" EventTyp="13"/>
</Instrmt>
<RptSide AgrsrInd="Y" ClOrdID="1234" CustCpcty="4" InptDev="API" InptSrc="CPC" RiskChkStat="2" SesID="RTH" SesSub="X" Side="1">
<Pty ID="CME" R="21"/>
<Pty ID="123" R="4"/>
<Pty ID="CME" R="22"/>
<Pty ID="123" R="1"/>
<Pty ID="1234" R="24">
<Sub ID="1" Typ="26"/>
</Pty>
<Pty ID="1234" R="38">
<Sub ID="1" Typ="26"/>
</Pty>
<Pty ID="1234" R="30">
<Sub ID="1234" Typ="5"/>
</Pty>
<Pty ID="abcd" R="62">
<Sub ID="abcd" Typ="9"/>
</Pty>
<Pty ID="abcd" R="7">
<Sub ID="abcd" Typ="5"/>
<Sub ID="1234" Typ="100"/>
</Pty>
<Pty ID="abcd" R="16"/>
<RegTrdID Evnt="2" ID="abcd" Src="123" Typ="0"/>
<TrdRegTS TS="2017-11-26T04:53:00-06:00" Typ="1"/>
</RptSide>
</TrdCaptRpt>
</FIXML>
]]></string>
</payload>
</transaction>
</ns2:transactionReq>
FX Options FIXML
<?xml version="1.0" encoding="UTF-8"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode=""> <transaction portfolioId="0" type="TRADE"> <payload encoding="STRING" format="FIXML"> <string><![CDATA[ <FIXML xmlns="www.cmegroup.com/fixml50/1" xv="109" cv="CME.0001" s="20090815"> <TrdCaptRpt LastQty="1000000.00" CalcCcyLastQty="11266.80" LastPx="1.12668"> <Instrmt SecTyp="OPT" StrkPx="1.12668" PutCall="0" MMY="20200320" Exch="CME" ID="EURJYC"/> <Pmt Typ="10" Amt="-125000.00" Ccy="USD" Dt="2016-09-29"/> <RptSide Side="2"> <Pty ID="123" R="4"/> <Pty ID="123" R="24"/> </RptSide> </TrdCaptRpt> </FIXML>]]></string> </payload> </transaction> </ns2:transactionReq>
FX Options Cleared Confirm
<?xml version="1.0" encoding="UTF-8"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode="">
<transaction portfolioId="0" type="TRADE">
<payload encoding="STRING" format="FIXML">
<string><![CDATA[<?xml version="1.0" encoding="UTF-8"?><FIXML v="5.0" s="20040109" r="20030618">
<TrdCaptRpt RptID="1234" TrdTyp="22" MtchID="1234" ExecID="1234" PxTyp="2" TrdDt="2016-09-02" MsgEvtSrc="CMESys" RptRefID="1234" LastQty="10000.00" CalcCcyLastQty="11266.80" LastPx="1.12668" TxnTm="2016-09-02T02:24:52" OrigTrdDt="2016-09-02" VenuTyp="X" TransTyp="2" RptTyp="0" MtchStat="0" TrdHandlInst="0" BizDt="2016-09-02" MLegRptTyp="1" TrdRptStat="0" TrdID="1234" TrdID2="1234" LastUpdateTm="2016-09-02T01:24:53.053-05:00">
<Hdr Snt="2016-09-02T01:24:53.053-05:00" SID="CME" TID="987" SSub="CME" TSub="CME"/>
<Instrmt StrkPx="1.12668" PutCall="0" CFI="OPECCN" SecGrp="OTCFX" Sym="EURUSCU628" ID="EURUSC" SecTyp="OPT" Src="H" MMY="20190928" MatDt="2019-09-29" Mult="1" Exch="CME" PxQteCcy="USD" UOM="EUR" ExerStyle="0" SettlMeth="C" FnlSettlCcy="USD">
<Pmt Typ="10" Amt="-125000.00" Ccy="USD" Dt="2019-09-29"/>
<Evnt EventTyp="121" Dt="2016-09-28"/>
<Evnt EventTyp="13" Dt="2016-09-30"/>
</Instrmt>
<RptSide Side="1" ClOrdID="CCPC_1234" InptSrc="CPC" InptDev="UI" CustCpcty="4" SesID="RTH" SesSub="X" AgrsrInd="Y" RiskChkStat="3" AllocChngStat="0">
<Pty ID="CME" R="21"/>
<Pty ID="TEST3" R="24">
<Sub Typ="26" ID="2"/>
</Pty>
<Pty ID="AccT3" R="16">
<Sub Typ="5" ID="1234"/>
</Pty>
<Pty ID="ACCT2" R="7">
<Sub Typ="100" ID="1234"/>
</Pty>
<Pty ID="ACCT1" R="7">
<Sub Typ="5" ID="123"/>
</Pty>
<Pty ID="987" R="1"/>
<Pty ID="CME" R="22"/>
<Pty ID="TEST3" R="38">
<Sub Typ="26" ID="2"/>
</Pty>
<Pty ID="987" R="4"/>
<RegTrdID ID="CPC123" Src="123" Typ="0" Evnt="2"/>
<TrdRegTS TS="2016-09-02T01:24:28.028-05:00" Typ="1"/>
</RptSide>
</TrdCaptRpt>
</FIXML>
]]></string>
</payload>
</transaction>
</ns2:transactionReq>
Examples by Product in csv Format
Vanilla IRS (Interest Rate Swap) Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid"><transaction portfolioId="0" type="TRADE" id="0"><payload encoding="STRING" format="CSV"><string>Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread,FV_Notional Test,1234,1D BRL,ZERO_COUPON,BRL,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,1T,NONE,BRL-CDI,N/A,1T,NONE,N/A,N/A,"10,122,780" Test,1234,Vanilla ,Vanilla ,USD,9/22/2016,9/22/2026,"100,000,000",P,0.03123,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,6M,FLAT,N/A,N/A, Test,1234,OIS ,OIS ,USD,9/22/2016,9/22/2026,"10,000,000",P,0.03123,N/A,N/A,1T,NONE,USD-Federal Funds-H.15-OIS-COMPOUND,N/A,1T,NONE,N/A,N/A, Test,1234,ZERO_COUPON,ZERO_COUPON,USD,9/22/2016,9/22/2026,"10,000,000",P,0.03123,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,3M,NONE,N/A,N/A, Test,1234,FRA,FRA,EUR,9/16/2019,9/16/2020,"10,000,000",P,0.0048,EUR-EURIBOR-Reuters,3M,N/A,N/A,N/A,N/A,N/A,N/A,N/A,N/A, Test,1234,Basis ,Basis ,EUR,9/22/2016,9/22/2026,"10,000,000",P,N/A,EUR-EURIBOR-Reuters,3M,3M,NONE,EUR-EURIBOR-Reuters,1M,1M,NONE,0.002463,0.023576, Test,1234,OIS ,OIS ,INR,9/22/2016,9/22/2018,"10,000,000",P,0.03123,N/A,N/A,1Y,NONE,INR-FBIL-MIBOR-OIS-COMPOUND,N/A,1Y,NONE,N/A,N/A, Test,1234,Vanilla ,Vanilla ,KRW,9/22/2016,9/22/2020,"100,000,000",P,0.03123,N/A,N/A,3M,NONE,KRW-CD-KSDA-Bloomberg,3M,3M,NONE,N/A,N/A, </string></payload></transaction></ns2:transactionReq>
Vanilla IRS ( Interest Rate Swap) Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction portfolioId="123" type="TRADE" id="26412961">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2011-09-06</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412962">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2011-09-06</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo 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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412963">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412964">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412965">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412966">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412967">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412968">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412969">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412970">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412971">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
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id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-08</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-08</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-08</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>AUSY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-08</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>AUSY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>8</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>AUSY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>0</periodMultiplier><period>D</period><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>AUSY</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>6</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>AUSY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>AUD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>AUD-BBR-BBSW</floatingRateIndex><indexTenor><periodMultiplier>6</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>ACT/365.FIXED</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
<transaction portfolioId="123" type="TRADE" id="26412972">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2011-09-09</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-09</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-09</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-09</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-09</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>9</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>CHF</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-09</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-09</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-09</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-09</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>9</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>6</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>CHZU</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>CHF</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>CHF-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>6</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
Vanilla VNS (Variable Notional Swap) Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"><transaction portfolioId="${marginPortfolio}" type="TRADE" id="0"><payload encoding="STRING" format="CSV"><string>Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,NotionalType,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod
Test,1234,5678,Vanilla ,USD,6/18/2013,6/18/2025,Schedule,"23,000,000.00",P,0.03123,N/A,N/A,3M,NONE,USD-LIBOR-BBA,3M,3M,FLAT
Cleared Trade ID,Step Date,Step Value
5678,6/18/2013,"23,000,000.00"
5678,9/18/2013,"22,950,000.00"
5678,12/18/2013,"22,470,832.98"
5678,3/18/2014,"21,991,665.97"
5678,6/18/2014,"21,512,498.95"
5678,9/18/2014,"21,033,331.93"
5678,12/18/2014,"20,554,164.91"
5678,3/18/2015,"20,074,997.90"
5678,6/18/2015,"19,595,830.88"
5678,9/18/2015,"19,116,663.86"
5678,12/18/2015,"18,637,496.84"
5678,3/18/2016,"18,158,329.83"
5678,6/18/2016,"17,679,162.81"
5678,9/18/2016,"17,199,995.79"
5678,12/18/2016,"16,720,828.77"
5678,3/18/2017,"16,241,661.76"
5678,6/18/2017,"15,762,494.74"
5678,9/18/2017,"15,283,327.72"
5678,12/18/2017,"14,804,160.70"
5678,3/18/2018,"14,324,993.69"
5678,6/18/2018,"13,845,826.67"
5678,9/18/2018,"13,366,659.65"
5678,12/18/2018,"12,887,492.63"
5678,3/18/2019,"12,408,325.62"
5678,6/18/2019,"11,929,158.60"
5678,9/18/2019,"11,449,991.58"
5678,12/18/2019,"10,970,824.56"
5678,3/18/2020,"10,491,657.55"
5678,6/18/2020,"10,012,490.53"
5678,9/18/2020,"9,533,323.51"
5678,12/18/2020,"9,054,156.49"
5678,3/18/2021,"8,574,989.48"
5678,6/18/2021,"8,095,822.46"
5678,9/18/2021,"7,616,655.44"
5678,12/18/2021,"7,137,488.43"
5678,3/18/2022,"6,658,321.41"
5678,6/18/2022,"6,179,154.39"
5678,9/18/2022,"5,699,987.37"
5678,12/18/2022,"5,220,820.36"
5678,3/18/2023,"4,741,653.34"
5678,6/18/2023,"4,262,486.32"
5678,9/18/2023,"3,783,319.30"
5678,12/18/2023,"3,304,152.29"
5678,3/18/2024,"2,824,985.27"
5678,6/18/2024,"2,345,818.25"
5678,9/18/2024,"1,866,651.23"
5678,12/18/2024,"1,387,484.22"
5678,3/18/2025,"908,317.20"
</string></payload></transaction></ns2:transactionReq>
Vanilla VNS (Variable Notional Swap) Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction portfolioId="123" type="TRADE" id="26412974">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2013-06-18</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2013-06-18</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2013-06-18</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-06-18</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-06-18</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>18</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>23000000.00</initialValue><step><stepDate>2013-06-18</stepDate><stepValue>23000000.00</stepValue></step><step><stepDate>2013-09-18</stepDate><stepValue>22950000.00</stepValue></step><step><stepDate>2013-12-18</stepDate><stepValue>22470832.98</stepValue></step><step><stepDate>2014-03-18</stepDate><stepValue>21991665.97</stepValue></step><step><stepDate>2014-06-18</stepDate><stepValue>21512498.95</stepValue></step><step><stepDate>2014-09-18</stepDate><stepValue>21033331.93</stepValue></step><step><stepDate>2014-12-18</stepDate><stepValue>20554164.91</stepValue></step><step><stepDate>2015-03-18</stepDate><stepValue>20074997.90</stepValue></step><step><stepDate>2015-06-18</stepDate><stepValue>19595830.88</stepValue></step><step><stepDate>2015-09-18</stepDate><stepValue>19116663.86</stepValue></step><step><stepDate>2015-12-18</stepDate><stepValue>18637496.84</stepValue></step><step><stepDate>2016-03-18</stepDate><stepValue>18158329.83</stepValue></step><step><stepDate>2016-06-18</stepDate><stepValue>17679162.81</stepValue></step><step><stepDate>2016-09-18</stepDate><stepValue>17199995.79</stepValue></step><step><stepDate>2016-12-18</stepDate><stepValue>16720828.77</stepValue></step><step><stepDate>2017-03-18</stepDate><stepValue>16241661.76</stepValue></step><step><stepDate>2017-06-18</stepDate><stepValue>15762494.74</stepValue></step><step><stepDate>2017-09-18</stepDate><stepValue>15283327.72</stepValue></step><step><stepDate>2017-12-18</stepDate><stepValue>14804160.70</stepValue></step><step><stepDate>2018-03-18</stepDate><stepValue>14324993.69</stepValue></step><step><stepDate>2018-06-18</stepDate><stepValue>13845826.67</stepValue></step><step><stepDate>2018-09-18</stepDate><stepValue>13366659.65</stepValue></step><step><stepDate>2018-12-18</stepDate><stepValue>12887492.63</stepValue></step><step><stepDate>2019-03-18</stepDate><stepValue>12408325.62</stepValue></step><step><stepDate>2019-06-18</stepDate><stepValue>11929158.60</stepValue></step><step><stepDate>2019-09-18</stepDate><stepValue>11449991.58</stepValue></step><step><stepDate>2019-12-18</stepDate><stepValue>10970824.56</stepValue></step><step><stepDate>2020-03-18</stepDate><stepValue>10491657.55</stepValue></step><step><stepDate>2020-06-18</stepDate><stepValue>10012490.53</stepValue></step><step><stepDate>2020-09-18</stepDate><stepValue>9533323.51</stepValue></step><step><stepDate>2020-12-18</stepDate><stepValue>9054156.49</stepValue></step><step><stepDate>2021-03-18</stepDate><stepValue>8574989.48</stepValue></step><step><stepDate>2021-06-18</stepDate><stepValue>8095822.46</stepValue></step><step><stepDate>2021-09-18</stepDate><stepValue>7616655.44</stepValue></step><step><stepDate>2021-12-18</stepDate><stepValue>7137488.43</stepValue></step><step><stepDate>2022-03-18</stepDate><stepValue>6658321.41</stepValue></step><step><stepDate>2022-06-18</stepDate><stepValue>6179154.39</stepValue></step><step><stepDate>2022-09-18</stepDate><stepValue>5699987.37</stepValue></step><step><stepDate>2022-12-18</stepDate><stepValue>5220820.36</stepValue></step><step><stepDate>2023-03-18</stepDate><stepValue>4741653.34</stepValue></step><step><stepDate>2023-06-18</stepDate><stepValue>4262486.32</stepValue></step><step><stepDate>2023-09-18</stepDate><stepValue>3783319.30</stepValue></step><step><stepDate>2023-12-18</stepDate><stepValue>3304152.29</stepValue></step><step><stepDate>2024-03-18</stepDate><stepValue>2824985.27</stepValue></step><step><stepDate>2024-06-18</stepDate><stepValue>2345818.25</stepValue></step><step><stepDate>2024-09-18</stepDate><stepValue>1866651.23</stepValue></step><step><stepDate>2024-12-18</stepDate><stepValue>1387484.22</stepValue></step><step><stepDate>2025-03-18</stepDate><stepValue>908317.20</stepValue></step><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2013-06-18</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2013-06-18</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-06-18</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-06-18</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>18</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>23000000.00</initialValue><step><stepDate>2013-06-18</stepDate><stepValue>23000000.00</stepValue></step><step><stepDate>2013-09-18</stepDate><stepValue>22950000.00</stepValue></step><step><stepDate>2013-12-18</stepDate><stepValue>22470832.98</stepValue></step><step><stepDate>2014-03-18</stepDate><stepValue>21991665.97</stepValue></step><step><stepDate>2014-06-18</stepDate><stepValue>21512498.95</stepValue></step><step><stepDate>2014-09-18</stepDate><stepValue>21033331.93</stepValue></step><step><stepDate>2014-12-18</stepDate><stepValue>20554164.91</stepValue></step><step><stepDate>2015-03-18</stepDate><stepValue>20074997.90</stepValue></step><step><stepDate>2015-06-18</stepDate><stepValue>19595830.88</stepValue></step><step><stepDate>2015-09-18</stepDate><stepValue>19116663.86</stepValue></step><step><stepDate>2015-12-18</stepDate><stepValue>18637496.84</stepValue></step><step><stepDate>2016-03-18</stepDate><stepValue>18158329.83</stepValue></step><step><stepDate>2016-06-18</stepDate><stepValue>17679162.81</stepValue></step><step><stepDate>2016-09-18</stepDate><stepValue>17199995.79</stepValue></step><step><stepDate>2016-12-18</stepDate><stepValue>16720828.77</stepValue></step><step><stepDate>2017-03-18</stepDate><stepValue>16241661.76</stepValue></step><step><stepDate>2017-06-18</stepDate><stepValue>15762494.74</stepValue></step><step><stepDate>2017-09-18</stepDate><stepValue>15283327.72</stepValue></step><step><stepDate>2017-12-18</stepDate><stepValue>14804160.70</stepValue></step><step><stepDate>2018-03-18</stepDate><stepValue>14324993.69</stepValue></step><step><stepDate>2018-06-18</stepDate><stepValue>13845826.67</stepValue></step><step><stepDate>2018-09-18</stepDate><stepValue>13366659.65</stepValue></step><step><stepDate>2018-12-18</stepDate><stepValue>12887492.63</stepValue></step><step><stepDate>2019-03-18</stepDate><stepValue>12408325.62</stepValue></step><step><stepDate>2019-06-18</stepDate><stepValue>11929158.60</stepValue></step><step><stepDate>2019-09-18</stepDate><stepValue>11449991.58</stepValue></step><step><stepDate>2019-12-18</stepDate><stepValue>10970824.56</stepValue></step><step><stepDate>2020-03-18</stepDate><stepValue>10491657.55</stepValue></step><step><stepDate>2020-06-18</stepDate><stepValue>10012490.53</stepValue></step><step><stepDate>2020-09-18</stepDate><stepValue>9533323.51</stepValue></step><step><stepDate>2020-12-18</stepDate><stepValue>9054156.49</stepValue></step><step><stepDate>2021-03-18</stepDate><stepValue>8574989.48</stepValue></step><step><stepDate>2021-06-18</stepDate><stepValue>8095822.46</stepValue></step><step><stepDate>2021-09-18</stepDate><stepValue>7616655.44</stepValue></step><step><stepDate>2021-12-18</stepDate><stepValue>7137488.43</stepValue></step><step><stepDate>2022-03-18</stepDate><stepValue>6658321.41</stepValue></step><step><stepDate>2022-06-18</stepDate><stepValue>6179154.39</stepValue></step><step><stepDate>2022-09-18</stepDate><stepValue>5699987.37</stepValue></step><step><stepDate>2022-12-18</stepDate><stepValue>5220820.36</stepValue></step><step><stepDate>2023-03-18</stepDate><stepValue>4741653.34</stepValue></step><step><stepDate>2023-06-18</stepDate><stepValue>4262486.32</stepValue></step><step><stepDate>2023-09-18</stepDate><stepValue>3783319.30</stepValue></step><step><stepDate>2023-12-18</stepDate><stepValue>3304152.29</stepValue></step><step><stepDate>2024-03-18</stepDate><stepValue>2824985.27</stepValue></step><step><stepDate>2024-06-18</stepDate><stepValue>2345818.25</stepValue></step><step><stepDate>2024-09-18</stepDate><stepValue>1866651.23</stepValue></step><step><stepDate>2024-12-18</stepDate><stepValue>1387484.22</stepValue></step><step><stepDate>2025-03-18</stepDate><stepValue>908317.20</stepValue></step><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
ZCS with BRL Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="TRADE" id="0"><payload encoding="STRING" format="CSV">
<string>Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread,FV_Notional
Test,1234,1D BRL,ZERO_COUPON,BRL,9/6/2011,9/6/2021,"10,000,000",P,0.03123,N/A,N/A,1T,NONE,BRL-CDI,N/A,1T,NONE,N/A,N/A,1234
</string></payload></transaction></ns2:transactionReq>
ZCS with BRL Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.0" status="SUCCESS">
<transaction portfolioId="759756" type="TRADE" id="22253996">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2011-09-06</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>FOLLOWING</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>1</periodMultiplier><period>T</period><rollConvention>NONE</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>1</periodMultiplier><period>T</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDaysOffset><periodMultiplier>1</periodMultiplier><period>D</period><dayType>Business</dayType></paymentDaysOffset><paymentDatesAdjustments><businessDayConvention>FOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter><businessCenter>BRBD</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>BRL</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><futureValueNotional><amount>1234</amount></futureValueNotional><dayCountFraction>BUS/252</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>FOLLOWING</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>1</periodMultiplier><period>T</period><rollConvention>NONE</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>1</periodMultiplier><period>T</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDaysOffset><periodMultiplier>1</periodMultiplier><period>D</period><dayType>Business</dayType></paymentDaysOffset><paymentDatesAdjustments><businessDayConvention>FOLLOWING</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>0</periodMultiplier><period>D</period><businessDayConvention>PRECEDING</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>1</periodMultiplier><period>D</period></resetFrequency><resetDatesAdjustments><businessDayConvention>FOLLOWING</businessDayConvention><businessCenters><businessCenter>BRBD</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>BRL</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>BRL-CDI</floatingRateIndex></floatingRateCalculation><dayCountFraction>BUS/252</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML></string>
</payload>
</transaction>
</ns2:transactionRpt>
Vanilla Swaptions CSV Example Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid">
<transaction portfolioId="0" type="TRADE" id="0">
<payload encoding="STRING" format="CSV">
<string>Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,FV_Notional,Direction,Fixed Rate,BUY_SELL,PREMIUM_PAYMENT_AMOUNT,PREMIUM_PAYMENT_DATE,EXPIRATION_DATE
Swaption,All_Direction_SimpleUpload,3M USD,VANILLA_SWAPTION,USD,9/10/2019,9/8/2025,"100,000,000",N/A,P,0.03123,BUY,10000000,9/6/2021,9/6/2019
Swaption,All_Direction_SimpleUpload,3M USD,VANILLA_SWAPTION,USD,9/10/2019,9/8/2025,"100,000,000",N/A,R,0.03123,BUY,10000000,9/6/2021,9/6/2019
</string>
</payload>
</transaction>
</ns2:transactionReq>
Vanilla Swaptions Example Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction portfolioId="804528" type="TRADE" id="25937185">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:type="ns3:CMETradeHeader"><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id">3M USD</tradeId><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2017-09-08</tradeDate></tradeHeader><swaption><buyerPartyReference href="clearing_firm"/><sellerPartyReference href="clearing_service"/><premium><payerPartyReference href="clearing_firm"/><receiverPartyReference href="clearing_service"/><paymentAmount><currency/><amount>10000000</amount></paymentAmount><paymentDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter><businessCenter>GBLO</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></paymentDate><paymentType>PREMIUM_FEE</paymentType></premium><europeanExercise><expirationDate><adjustableDate><unadjustedDate>2017-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter><businessCenter>GBLO</businessCenter></businessCenters></dateAdjustments><adjustedDate/></adjustableDate></expirationDate></europeanExercise><swaptionStraddle>false</swaptionStraddle><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2017-09-08</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2017-09-08</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-09-08</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-09-08</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>8</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2017-09-08</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2017-09-08</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-09-08</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-09-08</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>8</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></swaption></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Swaption</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">All_Direction_SimpleUpload</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML></string>
</payload>
</transaction>
<transaction portfolioId="804528" type="TRADE" id="25937186">
<payload encoding="STRING" format="FPML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ns2="http://www.w3.org/2000/09/xmldsig#" xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:type="ns3:CMETradeHeader"><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id">3M USD</tradeId><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2017-09-08</tradeDate></tradeHeader><swaption><buyerPartyReference href="clearing_firm"/><sellerPartyReference href="clearing_service"/><premium><payerPartyReference href="clearing_firm"/><receiverPartyReference href="clearing_service"/><paymentAmount><currency/><amount>10000000</amount></paymentAmount><paymentDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter><businessCenter>GBLO</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></paymentDate><paymentType>PREMIUM_FEE</paymentType></premium><europeanExercise><expirationDate><adjustableDate><unadjustedDate>2017-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>USNY</businessCenter><businessCenter>GBLO</businessCenter></businessCenters></dateAdjustments><adjustedDate/></adjustableDate></expirationDate></europeanExercise><swaptionStraddle>false</swaptionStraddle><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2017-09-08</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2017-09-08</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-09-08</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-09-08</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>8</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2017-09-08</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2017-09-08</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2025-09-08</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2025-09-08</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>8</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></swaption></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Swaption</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">All_Direction_SimpleUpload</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML></string>
</payload>
</transaction>
</ns2:transactionRpt>
Delta Ladder Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq
xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="DELTA_LADDER" id="0">
<payload encoding="STRING" format="CSV">
<string>Value Date,CMF,PB Account,Curve Name,Currency,91D,183D,274D,365D,457D,548D,639D,731D,1096D,1461D,1826D,2192D,2557D,2922D,3287D,3653D,4383D,5479D,7305D,9131D,10958D,14610D,18263D
10/24/2013,test1,999,AUD_BBSW_6M_ERS,,32.0105455,64.58305936,31.13621844,20.35769193,15.41416217,96.80729233,75.32927274,25.67151709,24.23397357,0.687566587,9.694415416,58.80629205,31.95172325,15.3822619,79.15949202,32.98592737,94.26023515,17.7372275,20.18054008,15.11060597,42.29062295,33,44
</string>
</payload>
</transaction>
</ns2:transactionReq>
Delta Ladder Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:marginRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<margin asOfTime="2014-10-27T00:00:00+00:00" portfolioId="2920719" settleQual="FINAL" settleInd="Y" id="2216021" createTime="2014-10-28T20:40:41+00:00" updateTime="2014-10-28T20:40:41+00:00">
<amounts ccy="USD" conc="0" init="25143.1373928026" maint="25143.1373928026"/>
</margin>
</ns2:marginRpt>
FX (Forex) Request
<?xml version="1.1" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"> <transaction portfolioId="0" type="TRADE" id="0"> <payload encoding="STRING" format="CSV"> <string> Firm,Account,Cleared Trade ID,Ticker,Buy Sell,Base Currency Notional,Trade Price,Forward Fixing date,Origin,Put_Call,Option Expiration Date,Premium Amount,Premium Date Sample,Account1,FWD1,AUDJPY,B,10000000,82,9/17/2019,HOUS,,,, Sample,Account1,FWD2,USDBRL,S,100000,3.35,1/9/2019,HOUS,,,, Sample,Account1,FWD3,USDINR,B,456000,65.22,12/11/2019,CUST,,,, Sample,Account1,FWD4,USDKRW,S,100000,1065.89,2/15/2019,CUST,,,, Sample,Account1,FWD5,USDCNY,B,500000,6.299,3/13/2019,CUST,,,, </string> </payload> </transaction> </ns2:transactionReq>
FX (Forex) Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction type="TRADE" portfolioId="10386346" id="156593473">
<payload format="FIXML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" s="20090815" cv="CME.0001" xv="109" v="5.0 SP2"><TrdCaptRpt LastQty="1000000"><Instrmt Exch="CME" MMY="201612" SecTyp="FWD"/><RptSide InptDev="API"><Pty R="4" ID="test"/><Pty R="24" ID="test"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10386346" id="156593474">
<payload format="FIXML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" s="20090815" cv="CME.0001" xv="109" v="5.0 SP2"><TrdCaptRpt LastQty="1000000"><Instrmt Exch="CME" MMY="201612" SecTyp="FWD"/><RptSide InptDev="API"><Pty R="4" ID="test"/><Pty R="24" ID="test"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
FX Option CSV Request
<?xml version="1.0" encoding="UTF-8"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode="COMPLETE"> <transaction portfolioId="1234" type="TRADE"> <payload encoding="STRING" format="CSV"> <string>Firm ,Account ,Cleared Trade ID ,Ticker ,Buy Sell,Base Currency Notional,Trade Price ,Forward Fixing date,Origin,Put_Call,Option Expiration Date,Premium Amount,Premium Date 987,TESTACCT1,5011570,USDJPY,B,10000,111,,HOUS,P,02/12/2021,-10000,02/09/2021 </string> </payload> </transaction> </ns2:transactionReq>
FX Options TR Request
<?xml version="1.0" encoding="UTF-8"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" processingMode="COMPLETE"> <transaction portfolioId="1234" type="TRADE"> <payload encoding="STRING" format="CSV"> <string>Bus_Date,Trade_Date,Clear_Date,Exch,Product_Type,Product_Code,Setl_Cur,CVF,Period,Deliv_Date,Setl_Date,Buy_Sell,Qty,Discount,Setl_Price,Trade_Price,MTM_Amt,Deliv_Cash,Deliv,CO,CMF,PA,Seg,TMF_Exch,TMF,Origin,Broker,Cust_Acct,CTI,Order_ID,Trade_ID,ALLOC_IND,Variation,MTM_UnDisc,PAA,Exec_ID,Exec_ID2,SetlMeth,ValMeth,UOM,UOMCCy,PxQteCcy,FnlSettlCcy,Fix_Date,Contra_Qty,ORIGINAL_TRADE_DATE,Reg_Trd_ID,InvoiceAmt,AllocID2,Status, Originating_Event, Terminating_Event,Netting_ID,Fee_Type,Fee_Amt,Fee_Date,Asset_Class,CFI,Put_Call,Expiration_Date,Prem_Amt,Prem_Date,Delta,Gamma,Theta,Vega 3/21/2019,3/21/2019,3/21/2019,CME,OPT,USDJYN,JPY,1,20210317,3/19/2021,3/18/2021,B,10000,0.999703246,113.765,111,27650,0,10000,CME,987,TESTACCT1,HOUS ,CME,987,HOUS,,TESTACCT1,4,CCPC_1234,1234,N,-0.29,140.42,-0.19,3340925,3340925,CASH,OPTCI,Ccy,USD,JPY,JPY,,1110000,7/5/2016,CPC1234,0,1234,CLEARED,NEW_TRADE,,USDJPY50115700.1,,,,OTCFX,OPECCN,P,3/17/2021,-10000,3/18/2021,-41.69,-0.61,34.96,-161.5 3/21/2019,3/21/2019,3/21/2019,CME,OPT,EURUSN,USD,1,20210317,3/19/2021,3/18/2021,B,10000000,0.992003518,1.059,1.06,-10000,0,10000000,CME,987,TESTACCT1,HOUS,CME,987,HOUS,,TESTACCT1,4,C1234,1234,N,259666.23,261759.38,0.07,3426476,3426476,CASH,OPTCI,Ccy,EUR,USD,USD,,10600000,7/5/2016,CPC12345,0,12345,CLEARED,NEW_TRADE,,EURUSD50115710.2,,,,OTCFX,OPECCN,P,3/17/2021,-15000,3/18/2021,-42.39,-2.53,28.66,-70.03 3/21/2019,3/21/2019,3/21/2019,CME,OPT,GBPUSN,USD,1,20210317,3/19/2021,3/18/2021,B,10000000,0.992003518,1.2265,1.24,-135000,0,10000000,CME,987,TESTACCT1,HOUS,CME,987,HOUS,,TESTACCT1,4,C12345,1234,N,259666.23,261759.38,0.94,3426477,3426477,CASH,OPTCI,Ccy,GBP,USD,USD,,12400000,7/5/2016,CPC123456,0,123456,CLEARED,TRANSFER_IN,,GBPUSD50115720.3,TRANSFER_FEE,-259666.23,1/18/2017,OTCFX,OCECCN,C,3/17/2021,-12500,3/18/2021,-0.01,0,0.02,-0.03 </string> </payload> </transaction> </ns2:transactionReq>
Futures & Options CSV Requests
Example 1: Simple CSV Portfolio CSV
CORE API minimally requires the below attributes to build futures and options transactions. Note CORE will auto-fill attributes when able - for instance if a user supplies a valid Globex Ticket Symbol (Ticker Symbol attribute), other product attributes can be left blank. It is expected users leave the Product Name attribute blank.
<?xml version="1.1" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"> <transaction portfolioId="0" type="TRADE" id="0"><payload encoding="STRING" format="CSV"> <string> Firm Id,Acct Id,Exchange,Ticker Symbol,Product Name,CC Code,Period Code,Put / Call,Strike,Underlying Period Code,Net Positions,Margin Type Test,test,CME,GEU3,EURODOLLAR FUTURES,ED,202309,,,,-54461, Test,test,CME,GEU9,EURODOLLAR FUTURES,ED,201909,,,,-123456, Test,test,CME,GEH0,EURODOLLAR FUTURES,ED,202003,,,,-75406, Test,test,CME,GEZ4,EURODOLLAR FUTURES,ED,202412,,,,-70732, </string> </payload> </transaction> </ns2:transactionReq>
Example 2: Risk API CSV Portfolio
Risk API CSV or JSON format (see also below) are the expected SPAN 2 input payload formats. These formats are supported for futures and options only and are also compatible with the deployable margin software program.
Additional details around building a Risk API format payload can be found here.
Please note CORE API seperates transactions into multiple portfolios when the Account ID or Firm ID do not match.
<?xml version="1.1" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.12" reqUserId="userid"> <transaction portfolioId="0" type="TRADE" id="0"><payload encoding="STRING" format="CSV"> <string> requestId,version,sentTime,businessDate,cycleCode,runNumber,id,currency,customerAccountType,omnibusInd,parentPortfolioId,firmId,accountId,accountName,originType,accountType,segregationType,netQty,nakedLongQty,nakedShortQty,clearingOrganizationId,exchangeId,productCode,productType,periodCode,putCallInd,strike,underlyingPeriodCode,memo TEST,1,2021-06-21T09:26:49Z,6/18/2021,EOD,1,TEST,USD,SPECULATOR,NO,,1234,ACCOUNT1,ACCOUNT1,CUST,CSEG,CSEG,5,0,0,CME,CME,ED,FUT,202309,,,,memo-1 TEST,1,2021-06-21T09:26:49Z,6/18/2021,EOD,1,TEST,USD,SPECULATOR,NO,,1234,ACCOUNT1,ACCOUNT1,CUST,CSEG,CSEG,-5,0,0,CME,NYMEX,CL,FUT,202206,,,,memo-1</string> </payload> </transaction> </ns2:transactionReq>
Examples by Product in JSON Format
Risk API JSON or CSV format are the expected SPAN 2 input payload formats. These formats are supported for futures and options only and are also compatible with the deployable margin software program.
Additional details around building a Risk API format payload can be found here.
Please note CORE API seperates transactions into multiple portfolios when the Account ID or Firm ID do not match.
Futures and Options Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.12" reqUserId="userid">
<transactionReq>
<transaction portfolioId="1234" type="TRADE">
<payload encoding="STRING" format="RISK_API_JSON">
<string>{
"header": {
"requestId": "TEST",
"sentTime": "2021-06-21T09:26:49Z",
"version": "1"
},
"payload": {
"pointInTime": {
"cycleCode": "EOD",
"businessDt": "2021-06-18",
"runNumber": 1
},
"portfolios": [
{
"positions": [
{
"instrument": {
"clearingOrganizationId": "CME",
"exchangeId": "CME",
"periodCode": "202312",
"productCode": "ED",
"productType": "FUT"
},
"netQty": 5
},
{
"instrument": {
"clearingOrganizationId": "CME",
"exchangeId": "NYMEX",
"periodCode": "202206",
"productCode": "CL",
"productType": "FUT"
},
"netQty": -5
}
],
"currency": "USD",
"customerAccountType": "SPECULATOR",
"entities": {
"accountId": "ACCOUNT1",
"accountName": "ACCOUNT1",
"firmId": "1234",
"originType": "CUSTOMER",
"segregationType": "CSEG"
},
"memo": "memo-1",
"omnibusInd": "NO"
}
]
}
}></string>
</payload>
</transaction>
</transactionReq>
Futures and Options Response
Please note the response format for CORE API is FIXML regardles of inbound transaction type. CORE API assigns transaction and porfolio IDs to the newly created portfolio. The portfolio ID must be supplied in subsequent Margin actions.
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction portfolioId="12345" type="TRADE" id="1234567">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt LastQty="5" SettlCcy="USD"><Instrmt ID="ED" Src="H" SecTyp="FUT" MMY="202309" MatDt="2023-09-18" Exch="CME"/><RptSide Side="1" InptDev="API"><Pty ID="1234" R="4"/><Pty ID="CME" R="21"/><Pty ID="ACCOUNT1" R="24"><Sub ID="1" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
<transaction portfolioId="12345" type="TRADE" id="1234568">
<payload encoding="STRING" format="FIXML">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"><TrdCaptRpt LastQty="5" SettlCcy="USD"><Instrmt ID="CL" Src="H" SecTyp="FUT" MMY="202206" MatDt="2022-05-20" Exch="NYMEX"/><RptSide Side="2" InptDev="API"><Pty ID="1234" R="4"/><Pty ID="CME" R="21"/><Pty ID="ACCOUNT1" R="24"><Sub ID="1" Typ="26"/></Pty></RptSide></TrdCaptRpt></FIXML></string>
</payload>
</transaction>
</ns2:transactionRpt>
Examples Adding Multiple Rates Products in One Request
These examples show the REQUEST to ADD TRANSACTIONS to an existing portfolio. The RESPONSE is the subsequent MARGIN RESPONSE when you send a MARGIN GET. The flow of the calls would be:
- Add Portfolio (if not using an existing one)
- Add Transactions (like in the below request examples)
- Calculate Margin (take the margin request id from this for your margin get call)
- Get Margin (the responses below are from the margin get call)
Delta Ladder and Futures Request
<?xml version="1.1" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.2" reqUserId="userid"> <transaction portfolioId="9450453" type="TRADE"> <payload encoding="STRING" format="CSV"> <string> Value Date,CMF ID,PB Account ID,Curve Name,Currency,91D,183D,274D,365D,457D,548D,639D,731D,1096D,1461D,1826D,2192D,2557D,2922D,3287D,3653D,4383D,5479D,7305D,9131D,10958D,14610D,18263D 5/1/2015,TEST123,TEST,EUR_EONIA_1D_ERS,EUR,76.68712171,46.3058966,71.04005718,53.27827004,25.39266363,4.119744453,57.62719439,69.97975366,81.09153774,46.5451721,4.785928438,20.31804886,23.04591031,82.39499211,58.58227324,54.25518629,8.643396615,45.15384983,62.78940146,19.8988237,96.95792044,99.0835109,67.01002732 </string> </payload> </transaction> <transaction portfolioId="9450453" type="TRADE"> <payload encoding="STRING" format="CSV"> <string> Firm Id,Acct Id,Exchange,Ticker Symbol,Product Name,CC Code,Period Code,Put / Call,Strike,Underlying Period Code,Net Positions,Margin Type Test,123,CME,GEZ9,,ED,201912,,,,1000,FUT </string> </payload> </transaction> </ns2:transactionReq>
Delta Ladder and Futures Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
<transaction type="DELTA_LADDER" portfolioId="10389211" id="156618800">
<payload format="CSV" encoding="STRING">
<string>"Value Date","CMF","PB Account","Curve Name","Currency","91D","183D","274D","365D","457D","548D","639D","731D","1096D","1461D","1826D","2192D","2557D","2922D","3287D","3653D","4383D","5479D","7305D","9131D","10958D","14610D","18263D"
"05/01/2015","TEST123","TEST","EUR_EONIA_1D_ERS","","76.68712171","46.3058966","71.04005718","53.27827004","25.39266363","4.119744453","57.62719439","69.97975366","81.09153774","46.5451721","4.785928438","20.31804886","23.04591031","82.39499211","58.58227324","54.25518629","8.643396615","45.15384983","62.78940146","19.8988237","96.95792044","99.0835109","67.01002732"
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10389212" id="156618801">
<payload format="FIXML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" s="20090815" cv="CME.0001" xv="109" v="5.0 SP2"><TrdCaptRpt LastQty="1000"><Instrmt Exch="CME" PutCall="1" MMY="201912" SecTyp="FUT" Src="H" ID="ED"/><RptSide InptDev="API" Side="1"><Pty R="4" ID="Test"/><Pty R="24" ID="123"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
Delta Ladder and IRS Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid"> <transaction portfolioId="9450453" type="TRADE"> <payload encoding="STRING" format="CSV"> <string> Value Date,CMF ID,PB Account ID,Curve Name,Currency,91D,183D,274D,365D,457D,548D,639D,731D,1096D,1461D,1826D,2192D,2557D,2922D,3287D,3653D,4383D,5479D,7305D,9131D,10958D,14610D,18263D 5/1/2015,TEST123,TEST,USD_LIBOR_6M_ERS,USD,87.91069815,51.45610654,56.78624692,45.36329543,81.06477045,65.11628351,45.28058827,41.59868344,27.83144959,78.91017634,23.37353007,52.47776654,29.35107241,78.52952076,24.70027753,62.20913656,53.49839814,53.90158518,23.03446519,1.164965475,23.82325754,41.6182878,94.79988781 </string> </payload> </transaction> <transaction portfolioId="9450453" type="TRADE"> <payload encoding="STRING" format="CSV"> <string> Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread Test,1234,Basis ,Basis ,EUR,9/22/2016,9/22/2026,"10,000,000",P,N/A,EUR-EURIBOR-Reuters,3M,3M,NONE,EUR-EURIBOR-Reuters,1M,1M,NONE,0.002463,0.023576 </string> </payload> </transaction> </ns2:transactionReq>
Delta Ladder and IRS Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.0" status="SUCCESS">
<transaction type="DELTA_LADDER" portfolioId="10389216" id="156618827">
<payload format="CSV" encoding="STRING">
<string>"Value Date","CMF","PB Account","Curve Name","Currency","91D","183D","274D","365D","457D","548D","639D","731D","1096D","1461D","1826D","2192D","2557D","2922D","3287D","3653D","4383D","5479D","7305D","9131D","10958D","14610D","18263D"
"05/01/2015","TEST123","TEST","USD_LIBOR_6M_ERS","","87.91069815","51.45610654","56.78624692","45.36329543","81.06477045","65.11628351","45.28058827","41.59868344","27.83144959","78.91017634","23.37353007","52.47776654","29.35107241","78.52952076","24.70027753","62.20913656","53.49839814","53.90158518","23.03446519","1.164965475","23.82325754","41.6182878","94.79988781"
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10389217" id="156618828">
<payload format="FPML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2016-09-22</tradeDate></tradeHeader><swap><swapStream id="floatLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2016-09-22</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2016-09-22</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2026-09-22</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></dateAdjustments><adjustedDate>2026-09-22</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>22</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>3</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>EUR</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor><spreadSchedule><initialValue>0.002463</initialValue></spreadSchedule></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg2"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLeg2CalcPeriodDates"><effectiveDate><unadjustedDate>2016-09-22</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2016-09-22</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2026-09-22</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></dateAdjustments><adjustedDate>2026-09-22</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>1</periodMultiplier><period>M</period><rollConvention>22</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLeg2CalcPeriodDates"/><paymentFrequency><periodMultiplier>1</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLeg2ResetDates"><calculationPeriodDatesReference href="floatLeg2CalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters><dateRelativeTo href="floatLeg2ResetDates"/></fixingDates><resetFrequency><periodMultiplier>1</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>EUTA</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>10000000</initialValue><currency>EUR</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex><indexTenor><periodMultiplier>1</periodMultiplier><period>M</period></indexTenor><spreadSchedule><initialValue>0.023576</initialValue></spreadSchedule></floatingRateCalculation><dayCountFraction>30/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
IRS and Futures Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Firm Id,Acct Id,Exchange,Ticker Symbol,Product Name,CC Code,Period Code,Put / Call,Strike,Underlying Period Code,Net Positions,Margin Type
Test,123,CME,GEZ9,,ED,201912,,,,1000,FUT
</string>
</payload>
</transaction>
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread
Test,1234,Vanilla ,Vanilla ,USD,9/22/2016,9/22/2026,"100,000,000",P,0.03123,N/A,N/A,6M,NONE,USD-LIBOR-BBA,3M,6M,FLAT,N/A,N/A
</string>
</payload>
</transaction>
</ns2:transactionReq>
IRS and Futures Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.0" status="SUCCESS">
<transaction type="TRADE" portfolioId="10389575" id="156658534">
<payload format="FIXML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" s="20090815" cv="CME.0001" xv="109" v="5.0 SP2"><TrdCaptRpt LastQty="1000"><Instrmt Exch="CME" PutCall="1" MMY="201912" SecTyp="FUT" Src="H" ID="ED"/><RptSide InptDev="API" Side="1"><Pty R="4" ID="Test"/><Pty R="24" ID="123"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10389574" id="156658533">
<payload format="FPML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2016-09-22</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2016-09-22</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2016-09-22</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2026-09-22</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2026-09-22</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>6</periodMultiplier><period>M</period><rollConvention>22</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2016-09-22</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2016-09-22</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2026-09-22</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2026-09-22</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>22</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>100000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>Flat</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
Delta Ladder, IRS and Futures Request
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionReq xmlns:ns2="http://cmegroup.com/schema/core/1.0" reqUserId="userid">
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Value Date,CMF,PB Account,Curve Name,Currency,91D,183D,274D,365D,457D,548D,639D,731D,1096D,1461D,1826D,2192D,2557D,2922D,3287D,3653D,4383D,5479D,7305D,9131D,10958D,14610D,18263D
10/24/2013,test1,999,AUD_BBSW_6M_ERS,,32.0105455,64.58305936,31.13621844,20.35769193,15.41416217,96.80729233,75.32927274,25.67151709,24.23397357,0.687566587,9.694415416,58.80629205,31.95172325,15.3822619,79.15949202,32.98592737,94.26023515,17.7372275,20.18054008,15.11060597,42.29062295,33,44
</string>
</payload>
</transaction>
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Firm Id,Acct Id,Exchange,Ticker Symbol,Product Name,CC Code,Period Code,Put / Call,Strike,Underlying Period Code,Net Positions,Margin Type
Test,test,CME,GEZ4,EURODOLLAR FUTURES,ED,202412,,,,-70732,OTC
</string>
</payload>
</transaction>
<transaction portfolioId="${marginPortfolio}" type="TRADE">
<payload encoding="STRING" format="CSV">
<string>
Firm ID,Account ID,ClearedTradeId,Product Type ,Currency,Effective Date,Maturity Date,Notional,Direction,Fixed Rate,Leg1 Index,Leg1 IndexTenor,Leg1 Payfreq,Leg1 CompMethod,Leg2 Index,Leg2 IndexTenor,Leg2 Payfreq,Leg2 CompMethod,Leg1 Spread,Leg2 Spread
Test,1234,Test Trade 1,Vanilla ,USD,9/6/2011,9/6/2021,"1000000000000000",P,0.03123,N/A,N/A,1Y,NONE,USD-LIBOR-BBA,3M,6M,FLAT,N/A,N/A
</string>
</payload>
</transaction>
</ns2:transactionReq>
Delta Ladder, IRS and Futures Response
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:transactionRpt
xmlns:ns2="http://cmegroup.com/schema/core/1.0" status="SUCCESS">
<transaction type="DELTA_LADDER" portfolioId="10390215" id="156660896">
<payload format="CSV" encoding="STRING">
<string>"Value Date","CMF","PB Account","Curve Name","Currency","91D","183D","274D","365D","457D","548D","639D","731D","1096D","1461D","1826D","2192D","2557D","2922D","3287D","3653D","4383D","5479D","7305D","9131D","10958D","14610D","18263D"
"10/24/2013","test1","999","AUD_BBSW_6M_ERS","","32.0105455","64.58305936","31.13621844","20.35769193","15.41416217","96.80729233","75.32927274","25.67151709","24.23397357","0.687566587","9.694415416","58.80629205","31.95172325","15.3822619","79.15949202","32.98592737","94.26023515","17.7372275","20.18054008","15.11060597","42.29062295","33.0","44.0"
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10390217" id="156660898">
<payload format="FIXML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><FIXML
xmlns="www.cmegroup.com/fixml50/1" s="20090815" cv="CME.0001" xv="109" v="5.0 SP2"><TrdCaptRpt LastQty="10"><Instrmt Exch="CME" PutCall="1" StrkPx="92" MMY="201703" SecTyp="OOF" Src="H" ID="ED"/><Undly MMY="201703" SecTyp="FUT" Src="H"/><RptSide InptDev="API" Side="1"><Pty R="4" ID="Test"/><Pty R="24" ID="123"/></RptSide></TrdCaptRpt></FIXML>
</string>
</payload>
</transaction>
<transaction type="TRADE" portfolioId="10390216" id="156660897">
<payload format="FPML" encoding="STRING">
<string><?xml version="1.0" encoding="UTF-8" standalone="yes"?><ns3:FpML
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:ns2="http://www.w3.org/2000/09/xmldsig#"
xmlns:ns3="http://www.cmegroup.com/otc-clearing/confirmation"><clearingConfirmed><trade><tradeHeader><partyTradeIdentifier><partyReference href="clearing_service"/><tradeId tradeIdScheme="cme_trade_id"/><tradeId tradeIdScheme="remaining_trade_id"/><tradeId tradeIdScheme="platform_trade_id"/><tradeId tradeIdScheme="block_trade_id"/><tradeId tradeIdScheme="client_trade_id"/></partyTradeIdentifier><partyTradeInformation><partyReference href="clearing_firm"/><accountReference href="account1"/><relatedParty><partyReference href="trade_source"/><role>InputSource</role></relatedParty><category categoryScheme="cme_origin_code"/></partyTradeInformation><tradeDate>2011-09-06</tradeDate></tradeHeader><swap><swapStream id="fixedLeg"><payerPartyReference href="clearing_firm"/><payerAccountReference href="account1"/><receiverPartyReference href="clearing_service"/><calculationPeriodDates id="fixedLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>1</periodMultiplier><period>Y</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>1</periodMultiplier><period>Y</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>1000000000000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><fixedRateSchedule><initialValue>0.03123</initialValue></fixedRateSchedule><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>None</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream><swapStream id="floatLeg"><payerPartyReference href="clearing_service"/><receiverPartyReference href="clearing_firm"/><receiverAccountReference href="account1"/><calculationPeriodDates id="floatLegCalcPeriodDates"><effectiveDate><unadjustedDate>2011-09-06</unadjustedDate><dateAdjustments><businessDayConvention>NONE</businessDayConvention></dateAdjustments><adjustedDate>2011-09-06</adjustedDate></effectiveDate><terminationDate><unadjustedDate>2021-09-06</unadjustedDate><dateAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></dateAdjustments><adjustedDate>2021-09-06</adjustedDate></terminationDate><calculationPeriodDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></calculationPeriodDatesAdjustments><calculationPeriodFrequency><periodMultiplier>3</periodMultiplier><period>M</period><rollConvention>6</rollConvention></calculationPeriodFrequency></calculationPeriodDates><paymentDates><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><paymentFrequency><periodMultiplier>6</periodMultiplier><period>M</period></paymentFrequency><payRelativeTo>CalculationPeriodEndDate</payRelativeTo><paymentDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></paymentDatesAdjustments></paymentDates><resetDates id="floatLegResetDates"><calculationPeriodDatesReference href="floatLegCalcPeriodDates"/><resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo><fixingDates><periodMultiplier>-2</periodMultiplier><period>D</period><dayType>Business</dayType><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter></businessCenters><dateRelativeTo href="floatLegResetDates"/></fixingDates><resetFrequency><periodMultiplier>3</periodMultiplier><period>M</period></resetFrequency><resetDatesAdjustments><businessDayConvention>MODFOLLOWING</businessDayConvention><businessCenters><businessCenter>GBLO</businessCenter><businessCenter>USNY</businessCenter></businessCenters></resetDatesAdjustments></resetDates><calculationPeriodAmount><calculation><notionalSchedule><notionalStepSchedule><initialValue>1000000000000000</initialValue><currency>USD</currency></notionalStepSchedule></notionalSchedule><floatingRateCalculation><floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex><indexTenor><periodMultiplier>3</periodMultiplier><period>M</period></indexTenor></floatingRateCalculation><dayCountFraction>ACT/360</dayCountFraction><compoundingMethod>Flat</compoundingMethod></calculation></calculationPeriodAmount><cashflows><cashflowsMatchParameters>true</cashflowsMatchParameters></cashflows></swapStream></swap></trade><party id="clearing_firm"><partyId partyIdScheme="clearing_member_firms">Test</partyId></party><party id="clearing_service"><partyId/></party><party id="trade_source"><partyId/></party><account id="account1"><accountId accountIdScheme="clearing_firm_accounts">1234</accountId><servicingParty href="clearing_firm"/></account></clearingConfirmed></ns3:FpML>
</string>
</payload>
</transaction>
</ns2:transactionRpt>
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