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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.

 

 

clearingRefused Element

 

clearingRefused Message Specifications

This message is sent when clearing is refused for a vanilla (non-packaged) trade. 

Field NameDescriptionXPath

Custom (Y/N)

Enumerations / Values / Schemes 
FpML Root ElementThis is a custom container that has been added to all messages implemented by CME. The element will be prefixed by CME namespace.<cme:FpML>Y 
Message NameThe FpML message Name/FpML/clearingRefused/N 
Message IDA unique message ID sent for every unique message sent./FpML/clearingRefused/messageIdNcme_message_id
Message Sent ByIdentifies the entity sending the message. This element uses a Message address scheme./FpML/clearingRefused/sentByN

cme_clearingorg_id

Message Sent to

Identifies the entity receiving the message. This element uses a Message address scheme.

There can be multiple occurrences of this element.

 Ncme_firm_id

cme_exchange_id

Create TimestampThis is the message creation timestamp or a transaction time/FpML/clearingRefused/creationTimestampN 

Trade Header Details (Fpml Trade Header)

Trade HeaderThis element contains trade details like the trade ids assigned by various parties to the trade and a reference to various parties to the trade./FpML/clearingRefused/trade/tradeHeader N 
CME Assigned Trade IDA unique Trade ID assigned by CME clearing for the trade. This element uses a trade id scheme.  /FpML/clearingConfirmed/trade/tradeHeader/ partyTradeIdentifier/tradeIdNcme_trade_id 
Client Trade IdA unique Trade ID assigned by Client while submitting the trade to clearing. This element uses a trade Id scheme.  /FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNclient_trade_id  
Platform Trade IdA unique Trade ID assigned by the Platform while submitting the trade to clearing. This element uses a trade Id scheme.  /FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNplatform_trade_id  
Block Trade IdThe unique id assigned to the block trade (bunched Trade) if the trade was allocated. This is only present for blocks (bunched trades)./FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNblock_trade_id
Trade Header Details (Party and Related Party)

Clearing Firm Reference

This is a reference to the clearing firm party. This does not contain the identifier of the party./FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/partyReferenceN 
Account ReferenceThis is a reference to the account. This does not contain the identifier of the account./FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/accountReferenceN 
Input Source ReferenceThis is a reference to the original trade source thru shich the party submitted the trade. This uses a Party role schema.

/FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/relatedParty/ partyReference

/FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/relatedParty/role

N cme_roles
Trade DateThe date on which the trade was submitted to clearing./FpML/clearingRefused/trade/ tradeHeader/tradeDateN 

Swap Details XPath : FpML/clearingRefused/trade/swaps

 

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
Party Details  
Clearing FirmThe identifier of the clearing firm as known by CME clearing that guarantees the trade./FpML/clearingRefused/party@id

/FpML/clearingRefused/party/partyId

 clearing_member_firms
Clearing Account The identifier of the Clearing Account./FpML/clearingRefused/account@id

/FpML/clearingRefused/account/partyId

 clearing_firm_accounts
Account OwnerContains a reference to the party that owns the account.  /FpML/clearingRefused/account/servicingParty   
Clearing Refusal Reason Details    
 Reject CodeA code associated with the refusal to clear the trade. This element uses a reason code scheme.  /FpML/clearingRefused/reason/reasonCode  OCR
 Reject TextA description of the reject code /FpML/clearingRefused/reason/description  Other Counterparty rejects deal

clearingRefused Message (Packages)

clearingRefused Message Specifications (Package)

This message is used when a package trade is rejected for clearing. The standard clearingRefused message has been customized to support a package trade.

Field NameDescriptionXPath

Custom (Y/N)

Enumerations / Values / Schemes 
FpML Root ElementThis is a custom container that has been added to all messages implemented by CME. The element will be prefixed by CME namespace.<cme:FpML>Y 
Message NameThe FpML message Name/FpML/clearingRefused/N 
Message IDA unique message ID sent for every unique message sent./FpML/clearingRefused/messageIdNcme_message_id
Message Sent ByIdentifies the entity sending the message. This element uses a Message address scheme./FpML/clearingRefused/sentByN

cme_clearingorg_id

Message Sent to

Identifies the entity receiving the message. This element uses a Message address scheme.

There can be multiple occurrences of this element.

 Ncme_firm_id

cme_exchange_id

Create TimestampThis is the message creation timestamp or a transaction time/FpML/clearingRefused/creationTimestampN 

Package Header Details

The package header will include the package type and the size of the package. Additionally the the tradePackage element will act as a container for all the trades in the package.

Package TypeIdentifies the type of package that was traded./FpML/clearingRefused/tradePackage/packageHeader/packageTypeYhttp://www.fpml.org/coding-scheme/package-type
Package SizeIdentifies the number of trades in the package./FpML/clearingRefused/tradePackage/packageHeader/sizeY 

Trade Header Details (for each trade in the package)

Trade HeaderThis element contains trade details like the trade ids assigned by various parties to the trade and a reference to various parties to the trade./FpML/clearingRefused/trade/tradeHeader N 
CME Assigned Trade IDA unique Trade ID assigned by CME clearing for the trade. This element uses a trade id scheme.  /FpML/clearingConfirmed/trade/tradeHeader/ partyTradeIdentifier/tradeIdNcme_trade_id 
Client Trade IdA unique Trade ID assigned by Client while submitting the trade to clearing. This element uses a trade Id scheme.  /FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNclient_trade_id  
Platform Trade IdA unique Trade ID assigned by the Platform while submitting the trade to clearing. This element uses a trade Id scheme.  /FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNplatform_trade_id  
Block Trade IdThe unique id assigned to the block trade (bunched Trade) if the trade was allocated. This is only present for blocks (bunched trades)./FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNblock_trade_id
Package IDThe unique id assigned to the package trade by the submitter of the package.

/FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeId

Npackage_trade_id
Position IDThe position of the trade within the package/FpML/clearingRefused/trade/ tradeHeader/ partyTradeIdentifier/tradeIdNposition_trade_id
Trade Header Details (Party and Related Party Information)

Clearing Firm Reference

This is a reference to the clearing firm party. This does not contain the identifier of the party./FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/partyReferenceN 
Account ReferenceThis is a reference to the account. This does not contain the identifier of the account./FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/accountReferenceN 
Input Source ReferenceThis is a reference to the original trade source thru shich the party submitted the trade. This uses a Party role schema.

/FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/relatedParty/ partyReference

/FpML/clearingRefused/trade/ tradeHeader/ partyTradeInformation/relatedParty/role

N cme_roles
Trade DateThe date on which the trade was submitted to clearing./FpML/clearingRefused/trade/ tradeHeader/tradeDateN 

Swap Details: XPath : FpML/clearingRefused/trade/swaps

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
     
Party Details  
Clearing FirmThe identifier of the clearing firm as known by CME clearing that guarantees the trade./FpML/clearingRefused/party@id

/FpML/clearingRefused/party/partyId

 clearing_member_firms
Clearing Account The identifier of the Clearing Account./FpML/clearingRefused/account@id

/FpML/clearingRefused/account/partyId

 clearing_firm_accounts
Account OwnerContains a reference to the party that owns the account.  /FpML/clearingRefused/account/servicingParty   
Clearing Refusal Reason Details    
 Reject CodeA code associated with the refusal to clear the trade. This element uses a reason code scheme.  /FpML/clearingRefused/reason/reasonCode  

OCR

TNF

 Reject TextA description of the reject code /FpML/clearingRefused/reason/description  

 

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