OTC Confirmation and Claim - FpML API

Product Scope Supported for Clearing

For more details refer to Product Scope

Message Usage by Function

Trade Identifiers on Messages

Universal Swap Identifier (USI/UTI)

The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. The creation and use of the USI has been mandated by the U.S. Commodity Futures Trading Commission (CFTC) and U.S Securities and Exchange Commission (SEC) as part of the Dodd-Frank Act. The Part 45 rules under Dodd-Frank Act prescribe USI creation using the “namespace” method. Under this method, the first characters of each USI will consist of a unique code that identifies the registered entity creating the USI given to the registered entity by the Commission during the registration process. The remaining characters of the USI will consist of a code created by the registered entity that must be unique with respect to all other USI’s created by that registered entity. 

Terms and Definitions

Namespace – A unique code that identifies the registered entity creating the USI

Transaction Identifier – An identifier that uniquely identifies the swap transaction within the registered entity

Registered Entity – denotes an entity that facilitates swaps transactions

Structure of the USI

Conventions

The USI standard uses the following conventions for data element representations (based on ISO 8908:1993, 3.2).

Character representations:

• n : Digits (numeric characters 0 to 9 only);
• a : uppercase letters ( alpha character A-Z only without “special” characters such as blanks, separators, punctuation , etc.);

The format of the USI is:

• Namespace : 10!n
• Transaction Identifier : 32an

Namespace

The namespace is the first component of the USI. It is a ten-digit alphanumeric identifier that consists of a three-digit prefix followed by a seven-digit identifier unique to each three-character prefix. The range of 101-119 is reserved for CFTC use for the three digit prefix.

• CFTC Reserved Namespace - CFTC will initially use 101 or 102 out of this range, followed by the seven-digit identifier assigned by the Commission.

• NFA Reserved Namespace - The namespace of NFA-registered entities will use 103 or 104 followed by the seven-digit NFA ID assigned by the NFA.

• Available Namespace Range - The range available for the prefix to other entities that could issue USIs in the future is 120-ZZZ.

• Namespace Exclusions - The namespace has the following exclusions:

• • It may not start with the digit zero (0).
  • It may not start with or use the letter O.
  • It may not start with or use the letter I.

Transaction Identifier

Appended to the value of each namespace instance will be the unique identifier for the swap transaction as assigned by the entity reporting swap data to the Swap Data Repository (SDR). The appended value must be unique within each namespace value. The appended value can be of variable length up to 32 characters. The namespace together with the appended value make up the USI.

Transaction Identifier Exclusions

The transaction identifier has the following exclusions:

All special characters other than “-“ ,  “|”,  “.” , “_” (underscore) ,  “:” , and “ “(a space) are excluded.

USI/UTI Assignment

When a trade is reported for clearing, a bilateral USI for the Swap is required. This is the initial USI that is assigned to the swap upon execution by the Reporting counterparty or the Swap Execution Facility (SEF). Once the trade is cleared, CME DCO will assign a cleared USI for each side based on the USI definition from CFTC.

Sample of cleared USI/UTI assigned by a CME DCO.

<cme:universalSwapIdentifier>
	<cme:issuer issuerIdScheme="cftc_Namespace">1010000023</cme:issuer>
	<cme:usi usiScheme="reg_trade_id">CCCIRS1475727</cme:usi>
</cme:universalSwapIdentifier>

Other Trade Identifiers

The API also sends out other identifiers assigned by the platform or SEF during trade execution, that can be leveraged by the clearing firms. 

<partyTradeIdentifier>
	<partyReference href="clearing_service"/>
	<tradeId tradeIdScheme="cme_trade_id">1475727</tradeId>
	<tradeId tradeIdScheme="client_trade_id">3WGE5</tradeId>
	<tradeId tradeIdScheme="platform_trade_id">13291904</tradeId>
	<tradeId tradeIdScheme="block_trade_id">13291904</tradeId>
</partyTradeIdentifier>

Credit Limit Information on Messages

The API also provides limit information on messages. These include information like the the level at which the limit is being reported like DV01, PV01 etc, the limit utilized, the remaining limit and the limit impact due to the current trade. For details please refer to the clearingConfirmed Message Specification.

<cme:creditLimitInformation>
	<cme:limitApplicable>
		<cme:level creditLimitLevelScheme="creditLimitLevelScheme">HOUS</cme:level>
		<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
		<cme:limitAmount>999999999999998980</cme:limitAmount>
		<cme:amountUtilized>47450</cme:amountUtilized>
		<cme:amountRemaining>999999999999951490</cme:amountRemaining>
		<cme:limitImpactDueToTrade>472</cme:limitImpactDueToTrade>
		<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
	</cme:limitApplicable>
	<cme:limitApplicable>
		<cme:level creditLimitLevelScheme="creditLimitLevelScheme">ACCT</cme:level>
		<cme:limitType creditLimitTypeScheme="http://www.fpml.org/coding-scheme/credit-limit-type">PV01</cme:limitType>
		<cme:limitAmount>1000000000000</cme:limitAmount>
		<cme:amountUtilized>6100</cme:amountUtilized>
		<cme:amountRemaining>999999993899</cme:amountRemaining>
		<cme:limitImpactDueToTrade>472</cme:limitImpactDueToTrade>
		<cme:currency currencyScheme="http://www.fpml.org/ext/iso4217-2001-08-15">USD</cme:currency>
	</cme:limitApplicable>
</cme:creditLimitInformation>

.