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This page and all the related pages define the Fpml message specifications of all the messages supported by clearing. The message maps from the field name/meaning to the specific location in the XML instance document.  Mappings are shown using XPath notation. Also included is a brief description of the element, possible enumeration/values and if the element is custom. 

FpML Messages 

MessageDescription
clearingConfirmed message
A clearingConfirmed message is sent when a trade is cleared by CME Clearing or terminated by CME Clearing. The status of the trade indicates if it is Cleared or Terminated. This message includes the Swap block and the definition of the Swap component is provided above. Please refer to the message samples for more details. The clearingConfirmed message will also include a cleared USI (Universal Swap Identifier) generated for the side.
requestConsent message
A requestConsent message is sent to a Clearing firm from CME to claim a trade. This happens when a clearing firm has opted for explicit claim. This message will include a swap block containing all the economic details of the deal and the limit information. The message has been customized by CME clearing to include limit and package information. The message provides claiming or declining a trade or a package.
consentGranted message
A consentGranted message is sent by a Clearing firm to CME Clearing when they claim a trade. This message will not include a swap block. Please refer to the message samples for more details.
consentRefused message
A consentRefused message is sent by a Clearing firm to CME Clearing when they decline a trade. This message will not include a swap block. Please refer to the message samples for more details.
consentException message
A consentException message is sent by CME clearing to a Clearing firm in response to a consentGranted or a consentRefused. This is sent when CME Clearing cannot process either of these messages due to not finding the trade based based on the trade id provided as the correlation id in the message. This message will not include a swap block. Please refer to the message samples for more details.
clearingRefused message
A clearingRefused message is sent when a trade is rejected by CME Clearing due to credit failure. The message contains a reason code and a brief description as to why the trade was refused for clearing. This message will include the Swap block. CME Clearing also supports a custom implementation of the clearingRefused message to support packages.

FpML Product Specifications

Swap Element

The Swap component, which is comprised of SwapStreams, is used to define the product economic fields between the principal parties involved in the Swap. The SwapStream component can be used to specify the payment streams associated with the swap. These can be fixed or float payment streams. This component is also used to specify the elements needed to specify calculations associated with each stream. 


Swap Element Specification

NS: Not Supported

Field NameDescriptionXPathEnumeration / Coding Scheme


Fixed/Float, Basis, OIS, ZCS


Calculation Period datesCalculation period date schedule for floating and fixed legswap/swapStream/calculationPeriodDates/

Unadjusted Effective Date

Effective Date Date when the floating accruals or fixed accruals on the swap or begin. The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. swap/swapStream/calculationPeriodDates/ effectiveDate/unadjustedDate
Business Day Convention

The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers

swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/businessDayConvention

FOLLOWING

FRN

MODFOLLOWING

PREDEDING

MODPRECEDING

NEAREST

NONE

NotApplicable

Business Center reference and Business CenterA reference to a set of financial business centers used to determine whether a particular day is a business day or not.swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCentersReference


swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCenters/businessCenter
Adjusted Effective Date
Effective Date (Adjusted)The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset dateswap/swapStream/calculationPeriodDates /effectiveDate/adjustedDate
Unadjusted Termination Date
Termination DateDate when fixed accruals or floating accruals stop. The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. swap/swapStream/calculationPeriodDates /terminationDate/unadjustedDate
Business Day ConventionThe business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centersswap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/businessDayConvention

FOLLOWING

FRN

MODFOLLOWING

PREDEDING

MODPRECEDING

NEAREST

NONE

NotApplicable

Business Center reference and Business CenterA reference to a set of financial business centers used to determine whether termination date is a business day or not.swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCentersReference


swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCenters/businessCenter
Adjusted Termination Date
Termination Datehe end date of the calculation period. This date should already be adjusted for any applicable business day conventionswap/swapStream/calculationPeriodDates /terminationDate/adjustedDate
Calculation Period Frequency
Calculation Frequency Period

Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream.

A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).

swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/period
Calculation Frequency Period MultiplierA time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/ periodMultiplier

D - Day

W - Week

M - Month

Y - Year

T - Term

Calculation Period Frequency Roll conventionThe convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.calculationPeriodDates/calculationPeriodFrequency/ rollConvention
Stub Details
Stub Period TypeAn optional element to allow the definition of how any irregular period should be handled. This element can be present along with the explicit dates but if this is the case there is a rule that the dates generated using the stubPeriodType should be consistent with the dates present within calculationPeriodDatesswap/swapStream/calculationPeriodDates / stubPeriodType

Shortinitial

ShortFinal

LongInitial

LongFinal

First Regular Period Start DateThis element is specified for a front Stub. This date marks the end of the stub period calculation and the date on which the regular period begins. This date has to be greater than the Swap effective date if specifiedswap/swapStream/calculationPeriodDates/ firstRegularPeriodStartDate
Last regular Period End DateThis field is specified for a back Stub. This date marks the end of the last regular period and the date on which the final stub period begins. This date has to be less than the Swap termination date if specified.swap/swapStream/calculationPeriodDates/ lastRegularPeriodEndDate
Calculation Period and Amount Details
Notional AmountThe notional amount associated with the calculation period for the streamswap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ initialValue/
Known Amount

The known amount can be specified instead of a notional amount. This is the final amount that will be paid out at the end of the swapstream period This is used sometimes in Zero coupon swaps for the fixed leg.


swap/swapStream/calculationPeriodAmount/ knownAmountSchedule/initialValue
Notional amount Schedule

The schedule of step date and non-negative value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date.

This will be used in amortizing swaps.
swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepDate


swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepValue
Notional Amount CurrencyThe currency associated with the notional amount of the notional amount schedule.swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ currency
Day count FractionDay count basis convention to use to find the period between two datesswap/swapStream/calculationPeriodAmount/ calculation/dayCountFraction
Fixed RateThe fixed rate.swap/swapStream/calculationPeriodAmount/ calculation/fixedRateSchedule/initialValue
Floating Rate IndexThe index used for calculating the floating leg.swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/floatingRateIndexPlease refer to the Product Scope for the supported indices.
Floating Rate Index Tenor

The tenor or the designated maturity of the floating rate index.

Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream.

A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).

swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/periodMultiplier

A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/period
Initial Stub RateAn actual rate to apply for the initial stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05.swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ stubRate
Initial Stub floating Rate designated maturity (Index tenor)This specifies the tenor information if a floating rate index is specified for the initial stubswap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ period

D - Day

W - Week

M - Month

Y - Year

T - Term



swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier


Final Stub RateAn actual rate to apply for the final stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05.swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ stubRate
Initial Stub floating Rate designated maturity (Index tenor)This specifies the tenor information if a floating rate index is specified for the final stubswap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ period

D - Day

W - Week

M - Month

Y - Year

T - Term



swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier
Reset Dates for Floating Rate Stream
Reset Date calculation period dates ReferenceThis element is used to generate reset dates schedule and associated fixing dates related to a floating rate Stream. The reset dates are determined relative to the calculation periods schedules dates. This element is used to specify the reference to the floating rate calculation period dates.swap/ swapStream/ resetDates/ calculationPeriodReference
Reset date relative toThis is used to specify whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included.swap/ swapStream/ resetDates/ resetRelativeTo
Reset Frequency

The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.

The specific averaging method of calculation is specified in FloatingRateCalculation. In case the reset frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate.

swap/ swapStream/ resetDates/ resetFrequency
Reset Frequency Period

Frequency at which resets occur.

A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).

swap/ swapStream/ resetDates/ resetFrequency/period

D - Day

W - Week

M - Month

Y - Year

T - Term



swap/ swapStream/ resetDates/ resetFrequency/ periodMultiplier


Reset Date Adjustments


Reset Date Adjustment business day conventionThe business day convention to apply to each reset date if it would otherwise fall on a day that is not a business day in the specified financial business centers.

Fixing Dates for Floating Rate Stream
Fixing Date PeriodSpecifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.swap/ swapStream/resetDates/fixingDates/ period

D - Day

W - Week

M - Month

Y - Year

T - Term



swap/ swapStream/resetDates/fixingDates/ periodMultiplier


Fixing Date relative toSpecifies the anchor date as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor date is definedswap/ swapStream/resetDates/fixingDates/ dateRelativeTo
Fixing date business day conventionThe convention for adjusting the fixing date if it falls on a day that is not a business day.swap/ swapStream/resetDates/fixingDates/ businessDayConvention
Fixing Date Business CentersA reference to a set of financial business centers used to determine whether fixing date is a business day or not.swap/ swapStream/resetDates/fixingDates/ businessCenters/businessCenter
Fixing Date Offset PeriodSpecifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the adjustedEffectiveDate element.

Payment Dates Calculation (swap/swapStream/paymentDates)

Defines all the dtaes and calculations required to calculate the payment date.

Reference to the Calculation period DateA Reference to the calculation Period dateswap/ swapStream/paymentDates/ calculationPeriodDatesReference
Payment Date FrequencyThe frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to the payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid. If the payment frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDateswap/ swapStream/paymentDates/ paymentFrequency/ periodMultiplier


swap/ swapStream/paymentDates/ paymentFrequency/ period

D - Day

W - Week

M - Month

Y - Year

T - Term

Payment Date Relative toThis element specifies whether payments occur relative to the calculation period start or end date, or the reset dateswap/ swapStream/paymentDates/ payRelativeTo

CalculationPeriodStartDate

CalculationPeriodEndDate

LastPricingDate

ResetDate

ValuationDate

Payment Date Business Day conventionThe business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers.swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessDayConvention

FOLLOWING

FRN

MODFOLLOWING

PREDEDING

MODPRECEDING

NEAREST

NONE

NotApplicable

Payment Date Business Center ReferenceA reference to a set of financial business centers used to determine whether the payment date is a business day or not.swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessCenters/ businessCenter

CashFlows swap/swapStream/cashFlows

Defines all the cash flows associated with the swap.

The cleared confirm will include all the cashflows associated with the swap for the life of the swap.

Cash Flow Match ParameterA true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information.swap/ swapStream/cashFlows/cashflowsMatchParameters
Adjusted Payment DateThe adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. A list of payment calculation period elements may be ordered in the document by ascending adjusted payment date.swap/ swapStream/cashFlows/ paymentCalculationPeriod/ adjustedPaymentDate
Adjusted Calculation period Start dateThe calculation period start date, adjusted according to any relevant business day convention.swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedStartDate
Adjusted Calculation period End dateThe calculation period end date, adjusted according to any relevant business day convention.swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedEndDate
Notional AmountThe amount that a cashflow will accrue interest onswap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/notionalAmount
Adjusted Fixing DateThe adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention.swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ adjustedFixingDate
Floating RateThe actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ observedRate
Fixed rateThe calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/fixedRate

FRA Element

The Fra component is also used to specify the elements needed to specify calculations associated with the payment and maturity of the fra contract.


Fra Element Specification

Field NameDescriptionXPathEnumeration / Coding Scheme
Effective Date (Adjusted)The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date fra/ adjustedEffectiveDate
Termination Datehe end date of the calculation period. This date should already be adjusted for any applicable business day convention fra/ adjustedTerminationDate
Calculation Period and Amount Details
Notional AmountThe notional amount associated with the calculation period for the stream fra/notiona/amount
Notional Amount CurrencyThe currency associated with the notional amount of the notional amount schedule.  fra/notiona/currency
Day count FractionDay count basis convention to use to find the period between two dates fra/dayCountFraction
Fixed RateThe fixed rate.fra/fixedRate
Floating Rate IndexThe index used for calculating the floating leg.fra/floatingRateIndexPlease refer to the Product Scope for the supported indices.
Floating Rate Index Tenor

The tenor or the designated maturity of the floating rate index.

Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream.

A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1

fra/indexTenor/periodMultiplier

A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).fra/indexTenor/period

D - Day

W - Week

M - Month

Y - Year

T - Term

Calculation Period Number of DaysThe number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.fra/calculationPeriodNumberOfDays
FRA DiscountingSpecifies whether discounting applies and, if so, what type.fra/fraDiscountingISDA

Fixing Dates Offset Calculation

Specifies the elements needed for calculating the fixing date.

Fixing Date Offset PeriodSpecifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.fra/fixingDateOffset/periodMultiplier




fra/fixingDateOffset/period

D - Day

W - Week

M - Month

Y - Year

T - Term

Fixing Date Offset Day TypeIn the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be includedfra/fixingDateOffset/dayType

Business

Calendar

CommodityBusiness

CurrencyBusiness

ExchangeBusiness

ScheduledTradingDay

Fixing date business day conventionThe convention for adjusting the fixing date if it falls on a day that is not a business day.fra/fixingDateOffset/ businessDayConvention

FOLLOWING

FRN

MODFOLLOWING

PREDEDING

MODPRECEDING

NEAREST

NONE

NotApplicable

Fixing Date Offset Business CenterThis set of business centers is used to determine whether a particular day is a business day or not.fra/fixingDateOffset/businessCenters/businessCenter
Fixing Date Offset relative toSpecifies the anchor date as an href attribute. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.fra/fixingDateOffset/dateRelativeTo
Payment Details
Unadjusted Payment DateThe payment date. This date is subject to adjustment in accordance with any applicable business day convention.fra/paymentDate/ unadjustedDate
Payment Date Business Day conventionThe business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers.fra/paymentDate/dateAdjustments/ businessDayConvention

FOLLOWING

FRN

MODFOLLOWING

PREDEDING

MODPRECEDING

NEAREST

NONE

NotApplicable

Payment Date Business Center ReferenceA reference to a set of financial business centers used to determine whether the payment date is a business day or not.fra/paymentDate/dateAdjustments/ businessCenters/ businessCenter