FpML Message Flows

CME Hosted Credit Check Flows

Both sides are pre-approved for credit by SEF or pass CME hosted credit check - trade cleared

This flow is initiated when a two sided matched trade is submitted into CME Clearport. The trade passes all validations and Credit.

1. CME Clearing clears the trade and sends the Clearing Firms a clearingConfirmed message. The status of the trade will be CLEARED. The originatingEvent will be set to a NEW_TRADE. In addition to this, all the relevant trade Ids, the Client assigned, Clearing assigned and the platform assigned will be sent in the message to the Clearing Firm. Additionally a new USI will be assigned to each cleared trade. The limit information will be included in the clear trade confirm to the clearing firms.

Clearing firm Explicit Claim/Reject Flows

Both sides explicit claim - trade cleared

This flow is initiated when a two sided matched trade is submitted into CME Clearport. The trade passes all validations. Both the clearing firms have opted to explicitly claim the trade. The trade is in a pending clear state.

1. The Clearing Firm of the client and the executing dealer receive a requestConsent message. The originatingEvent will be set to NEW_TRADE and the status of the trade will be set to ALLEGED. The Clearing assigned Trade ID will be sent on the message.

2. The Clearing firm responds with a consentGranted message. The correlationId will be set to the clearing assigned trade id. The message includes limit information and will include the impact to the credit limit for the current trade.

3. On receipt of the second claim notice from the clearing firm, CME Clearing clears the trade and sends the Clearing Firms a clearingConfirmed message. The status of the trade will be CLEARED. The originatingEvent will be set to a NEW_TRADE. In addition to this, all the relevant trade Ids, the Client assigned, Clearing assigned and the platform assigned will be sent in the message to the Clearing Firm. Additionally a new USI will be assigned to each cleared trade. The limit information will be included in the clear trade confirm to the clearing firms.

Explicit claim / CME hosted credit check - trade cleared

This flow is initiated when a two sided matched trade is submitted into CME Clearport. The trade passes all validations. One of the clearing firm has hosted limits at CME and the other clearing firm has opted to explicitly claim the trade.  The trade is in a pending clear state.

1. The Clearing Firm of the client and the executing dealer receive a requestConsent message. The originatingEvent will be set to NEW_TRADE and the status of the trade will be set to ALLEGED. The Clearing assigned Trade ID will be sent on the message.

2. The Clearing firm responds with a consentGranted message. The correlationId will be set to the clearing assigned trade id.

3. On receipt of the claim notice from the clearing firm, CME Clearing clears the trade and sends a clearingConfirmed message to both the clearing firms. The status of the trade will be CLEARED. The originatingEvent will be set to a NEW_TRADE.Additionally a new USI will be assigned to each cleared trade. The limit information will be included in the clear trade confirm to the clearing firms.

Explicit reject by one side - trade rejected

This flow is initiated when a two sided matched trade is submitted into CME Clearport. The trade passes all validations. One of the clearing firm has hosted limits at CME and the other clearing firm has opted to explicitly claim the trade.  The trade is in a pending clear state.

1. The Clearing Firm of the client and the executing dealer receive a requestConsent message. The originatingEvent will be set to NEW_TRADE and the status of the trade will be set to ALLEGED. The Clearing assigned Trade ID will be sent on the message.

2. The Clearing firm responds with a consentRefused message. The correlationId will be set to the clearing assigned trade id.

3. On receipt of the reject notice from the clearing firm, CME Clearing clears the trade and sends a clearingRefused message to both the clearing firms. The reason element contains rejection reason. 

Trade Withdrawal Flow

Withdrawal processed successfully

This flow is initiated when a platform initiates a withdrawal. At this point the trade is in pending status because one of the sides has failed credit and is awaiting approval from the clearing firm.

1. The Clearing Firms of the Client and the Executing Dealer receive a clearingConfirmed message. The terminatingEvent will be a WITHDRAWAL and the status of the trade will be TERMINATED. 

Withdrawal rejected by CME - trade in cleared status

This flow is initiated when a platform initiates a withdrawal. At this point the trade is already cleared. The withdrawal is rejected by the CME Clearing.The clearing firm is not notified of any withdrawal.

Transfer Flow

Transfers are initiated by the client to transfer a position from one clearing firm to another clearing firm. The transferor will receive an Offset and the transferee will receive an Onset record. Currently transfers can be initiated via the UI in CME Clearing.

The flow is initiated when a clearing firm initiates a transfer based on a client request. A position can be transferred to a different account within the same clearing firm or a different clearing firm. After validation, if the clearing firms has opted for explicit claim, the trade will go thru  the claim workflow. The transfer is in Pending clear state.

1. The transferee Clearing Firm will receive a requestConsent message. The originatingEvent will be set to NEW_TRADE and the status of the trade will be set to ALLEGED. The Clearing assigned Trade ID will be sent on the message.

2. The Clearing firm responds with a consentGranted message. The correlationId will be set to the clearing assigned trade id.

3. On receipt of the claim notice from the clearing firm, CME Clearing clears the trade and sends a clearingConfirmed message to both the clearing firms. The status of the trade will be CLEARED. 

   1. The originatingEvent will be set to TRANSFER_IN for the clearing firm receiving the trade that results from a transfer.A new USI will be assigned to the cleared transfer trade. The limit information will be included in the transfer confirm.

   2. The originatingEvent will be set to TRANSFER_OUT for the clearing firm that is transferring out the position.A new USI will be assigned to the cleared transfer trade. The limit information will be included in the transfer confirm.

Allocation Flow

Trades can be allocated out of the bunched order holding account to other accounts. The workflow is similar to the transfer workflow. The bunched order account will receive an Offset and the side the trade is being allocated to will receive an Onset record. Allocations are currently supported via the transfer GUI in CME Clearing or via the API. 

1. The Clearing Firm receiving the allocation will receive a requestConsent message. The originatingEvent will be set to NEW_TRADE and the status of the trade will be set to ALLEGED. The Clearing assigned Trade ID will be sent on the message.

2. The Clearing firm responds with a consentGranted message. The correlationId will be set to the clearing assigned trade id.

3. On receipt of the claim notice from the clearing firm, CME Clearing clears the trade and sends a clearingConfirmed message to both the clearing firms. The status of the trade will be CLEARED. 

   1. The originatingEvent will be set to ALLOCATION_IN for the clearing firm receiving the trade that results from an allocation. A new USI will be assigned to the cleared onset trade. The limit information will be included in the onset trade confirm.

   2. The originatingEvent will be set to ALLOCATION_OUT for the clearing firm that is holding the bunched order account. A new USI will be assigned to the Offset trade. The limit information will be included in the offset trade confirm.

Netting Flows

Full Netting

CME Clearing runs a netting process at end of day. All the swaps that are eligible to be netted together will be netted. The notional amounts are offset if the swap positions are in opposite directions and aggregated if the swap positions are in the same direction. In this scenario, netting results in total offset of the trades and all the trades will be terminated

1. The Clearing firms receives a clearingConfirmed message. The status of the trade will be TERMIANTED. The terminatingEvent will be set to a FULL_NETTING

Partial Netting

CME Clearing runs a netting process at end of day. All the swaps that are eligible to be netted together will be netted. The notional amounts are offset, if the swap positions are in opposite directions and aggregated if the swap positions are in the same direction. In this scenario, the result is partial offset or aggregation then one of the cleared swaps in the group will be amended with the resultant notional. The swap that is amended is selected if it has the same direction of the remaining notional and is the latest trade that is cleared. All other trades in the group will be terminated

1. The Clearing firms receives a clearingConfirmed message for each terminated trade. The status of the trade will be TERMIANTED. The terminatingEvent will be set to a PARTIAL_NETTING. Each terminated message will have references to all trades that were netted together and a special reference to the resulting trade.

2. The Clearing firm will also receive a clearingConfirmed message for the amended trade . The status of the trade will be AMEND. The originatingEvent will be set to a NETTING_REMNANT.
   
   
   

Amendment Flow

CME Clearing supports trade amendments to the economic or non-economic attributes of a cleared trade any time between cleared date and maturity date.  The amendment can be initiated by either the counterparties to the trade or the clearing member. Non-economic amendments such as Client ID updates can be made without approval from the other counterparty.  Economic amendments require approval from both counterparties and clearing members prior to CME processing the amendment.

Once the amendment is approved, CME Clearing sends a clearingConfirmed message to both the clearing firms. The status of the trade will be AMENDED. The originatingEvent will be set to TRADE_AMEND.

Trade Void/Termination Flow

CME Clearing supports trade voids similar to amendment of a cleared trade any time between cleared date and maturity date. The trade void can be initiated by either the counterparties to the trade or clearing member. Trade void require approval from both counterparties and clearing members prior to CME processing the void. 

• CME Clearing sends a clearingConfirmed message to both the clearing firms. The status of the trade will be TERMINATED. The terminatingEvent will be set to VOID.
  
  
  

Coupon Blending Flows

Coupon blending is a form of compression that reduces notional amounts and line items for trades with varying fixed rates, notional amounts and direction but otherwise contain matching attributes. The net cash flows of the resulting positions will remain the same as the original portfolio.

Full Blending

All the swaps that are eligible to be blended based on the account setting will be blended together. If the blending results in two trades with offsetting notional amounts, it results in full blending.  In this scenario, blending results in total offset of the trades and all the trades will be terminated

1. The Clearing firms receives a clearingConfirmed message. The status of the trade will be TERMINATED. The terminatingEvent will be set to a FULL_BELNDING

Partial Blending

All the swaps that are eligible to be blended based on the account setting will be blended together. If the blending results in two trades where the notional amounts cannot be offset with each other, it results in partial blending.

In this scenario, the blending results in two remnant trades. 

1. The Clearing firms receives a clearingConfirmed message for each terminated trade. The status of the trade will be TERMINATED. The terminatingEvent will be set to a PARTIAL_BLENDING. Each terminated message will have references to all trades that were blended together and a special reference to the resulting trade.

2. The Clearing firm will also receive a clearingConfirmed message for the amended trade . The status of the trade will be AMEND. The originatingEvent will be set to a BLENDING_REMNANT.