swap futures trade details specification

1

Swap Futures Trade Details Specification

February

2017

© 2017 Eris Exchange. All rights reserved.


2

Introduction ---------------------------------------------------------------------------------------------------- 4

1.0 Prerequisites-------------------------------------------------------------------------------------------- 4

1.1 Delivery Methodology -------------------------------------------------------------------------------- 4

1.2 Eris Exchange Contact Information ----------------------------------------------------------------- 4

Message Definition-------------------------------------------------------------------------------------------- 5

2.0 Trade Capture Report --------------------------------------------------------------------------------- 5

2.0.1 One Sided FIXML---------------------------------------------------------------------------------- 5

FIXML --------------------------------------------------------------------------------------------------------- 5

Name --------------------------------------------------------------------------------------------------------- 5

Data Type ---------------------------------------------------------------------------------------------------- 5

Description -------------------------------------------------------------------------------------------------- 5

Supported Values------------------------------------------------------------------------------------------- 5

2.0.2 Embedded Swap Definition --------------------------------------------------------------------- 7

FpML Element----------------------------------------------------------------------------------------------- 7

Name --------------------------------------------------------------------------------------------------------- 7

Data Type ---------------------------------------------------------------------------------------------------- 7

Description -------------------------------------------------------------------------------------------------- 7

Supported Values------------------------------------------------------------------------------------------- 7

Appendix A: Data Schemas --------------------------------------------------------------------------------- 15

A.1 One-Sided Trade Capture Report ------------------------------------------------------------------ 15

A.1.a One Sided FIXML -------------------------------------------------------------------------------- 15

A.1.b Embedded FpML -------------------------------------------------------------------------------- 15

A.1.c Embedded FpML/Header ---------------------------------------------------------------------- 16

A.1.d Embedded FpML/Trade ------------------------------------------------------------------------ 16

A.1.e Embedded FpML/trade/tradeHeader -------------------------------------------------------- 17

A.1.g Embedded FpML/trade/swap/swapStream/calculationPeriodDates ------------------- 19

A.1.h Embedded FpML/trade/swap/swapStream/paymentDates -------------------------------- 20

A.1.i Embedded FpML/trade/swap/swapStream/resetDates -------------------------------------- 20

A.1.j Embedded FpML/trade/swap/swapStream/calculationPeriodAmount -------------------- 21

A.1.k Embedded FpML/trade/swap/ swapStream/cashFlows ------------------------------------- 21

A.1.l Embedded FpML/party----------------------------------------------------------------------------- 21

A.1.m Embedded FpML/account------------------------------------------------------------------------ 21

Appendix B: Message Samples ----------------------------------------------------------------------------- 22


3

B.1 Trade Capture Report -------------------------------------------------------------------------------- 22

B.1.a One Sided FIXML ------------------------------------------------------------------------------ 22

B.1.b Embedded FpML Swap Definition ----------------------------------------------------------- 22

B.1.c Combined ---------------------------------------------------------------------------------------- 30


4

Introduction 1.0 Prerequisites

This document serves as the specification for Eris Exchange Trade Reporting Message.

Described are supported messages, workflows and data included in the message to allow

authorized users to receive trade information for Eris Interest Rate Swap Futures. This

specification is intended for use by any exchange participant wishing to receive this data.

The specification is defined in FIXML with embedded FpML that includes product information.

Refer to the “Message Specification” section for details. FIXML is based on the FIX-5.0

specification: http://fixprotocol.org/documents/4487/FIX-5.0_SP2_VOL-5.pdf

FpML is based on version 5.0, found here: http://www.fpml.org/spec/fpml-5-0-9-rec-

1/html/confirmation/index.html.

1.1 Delivery Methodology

Eris Exchange will create FIXML files and post them to an sFTP directory.

The Trade Report files will follow a naming convention of

“Eris_Trade_Confirm.{data}_{erisTradeID}_{Firm/PartyID}.xml

Every trading day, the files generated will be placed in your sFTP root directory.

1.2 Eris Exchange Contact Information For more information regarding receiving this information, please contact Eris Exchange Control

Center at 888-587-2699 x 1

http://fixprotocol.org/documents/4487/FIX-5.0_SP2_VOL-5.pdf

http://www.fpml.org/spec/fpml-5-0-9-rec-1/html/confirmation/index.html



5

Message Definition

2.0 Trade Capture Report

The Trade Capture Report (TCR) is used to report trade activity on Eris Exchange. The TCR’s

purpose is to provide the end user with the details of their trade, as well as instrument

definition information.

2.0.1 One Sided FIXML

Eris Exchange will provide a One-Sided Trade Capture Report (OSTCR) that defines the standard

futures data associated with the trade. Below are the fields that are included in the OSTCR.

FIXML Name

Data Type Description Supported Values

TrdCaptRpt

RptID String Identifies the trade being reported.

RptRefID String Reference for canceled or replaced trades.

LastPx Decimal The price at which the trade cleared.

PxTyp Integer The price type for the execution. 1=Price (NPV) 20=Fixed Interest Rate

ExecID String Execution ID unique to the trade.

LastQty Decimal The notional amount associated with the trade.

TrdDt Date The date assigned to the trade.

MLegRptTyp String Indicates what is represented. 1=Outright 2=Leg 3=Combo

TxnTm UTC Timestamp

Transaction Time of Trade.


6

FIXML Name


TransType String Indicates the action being taken on the trade. 0=New 1=Cancel 2=Replace 3=Release 4=Reverse 5=Cancel

TrdType String Specifies the type of trade being reported. 0=Regular Trade 1=Block Trade 22=Privately Negotiated Trade

RptTyp String Indicates the purpose of the trade. 0=Submit

TradeCaptRpt/Hdr

SID String SenderCompID. Identifies who is sending the message.

TID String TargetCompID, identifies who is receiving the message.

TradeCaptRpt/Instrmt

ID String Identifies the product code.

Src String Identifies the source of the security ID. H=Clearing House

Exch String The exchange in which the instrument is listed. CME

SecType String Indicates the type of instrument. FUT=Future

MMY String Expiration period of the product.

TradeCaptRpt/Instrmt/SecXML (See FpML section)

TradeCaptRpt/RptSide

ClOrdID String Client assigned order ID.

Side String Indicates the side of the trade. 1=Buy 2=Sell

MLegRptTyp String Indicates what is represented. 1=Outright 2=Leg 3=Combo

InptSrc String Identifies where the trade originated.


7

FIXML Name


SesSub String Indicates the session sub id of the market. E=Electronic

CustCpcty String The CTI for this trade. 1=Member for Own Account 2=Proprietary Firm Trading 3=Member for Another Member 4=All Others

AgrsrInd String Indicates the aggressor in a trade.

TradeCaptRpt/RptSide/Pty

R Integer Party Role. 1= Executing Firm 21 =Clearing Organization 22 =Exchange 24 =Customer Account 36 =Trader at Trading Firm 44 =Order Entry Operator ID

TradeCaptRpt/RptSide/TrdRegTS

Typ String Type of Time being specified. 1=Execution Time

TS String Time Stamp.

2.0.2 Embedded Swap Definition

Included in the One-Sided Trade Capture Report is the swap instrument definition. The

definition will take the same form as a standard FpML Swap-Instrument. The FpML specification

used can be found at http://www.fpml.org/spec/fpml-5-0-9-rec-

1/html/confirmation/index.html.

The FpML will be embedded in the TradeCaptRpt/Instrmt section, within a SecXML tag. Below

are the supported fields.

FpML Element Name

Data Type

Description Supported Values

TradeCaptRpt/Instrmt/SecXML/FpML/header




8

FpML Element Name

Data Type


messageId String eris_message_id, will be the tradeReportID.

sendTo String Firm who is being referenced.

creationTimeStamp DateTi me

Transaction time of trade.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/tradeHeader

tradeDate Date Date in which the trade took place.

clearedDate Date Date in which the trade cleared.

cme:originatingEvent String Event the triggered the trade. NEW_TRADE

cme:status String Status of trade at CME. CLEARED

TradeCaptRpt/Instrmt/SecXML/FpML/trade/tradeHeader/partyTradeIdentifier

partyReference String Party reference of the trading platform. eris

tradeID string The tradeIdScheme will describe the eris_trade_id, the client_trade_id, and the platform_trade_id.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/tradeHeader/partyTradeInformation

partyReference String Which party is being described. firm

accountReference String AccountID for firm receiving trade report.

category string Origin of the account at CME. CUSTOMER

TradeCaptRpt/Instrmt/SecXML/FpML/trade/tradeHeader/partyTradeInformation/relatedParty

partyReference String Who is being traded with. eris

role String What their role was in the trade. InputSource

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap

productId String Z-Code for trading product.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream id=”fixedLeg”

payerPartyReference String References the party paying the coupons. clearing_service

payerAccountReference or receiverAccountReference

String References the account of the party paying or receiving the coupons.


9

FpML Element Name

Data Type


receiverPartyReference String References the party receiving the coupons.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/effectiveDate

unadjustedDate Date Unadjusted effective date of the leg.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/effectiveDate/dateAdju stments

businessDayConvention String The business day convention of the leg. MODFOLLOWIN G

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate

unadjustedDate Date Unadjusted termination date of the leg.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate/dateA djustments


TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate/dateA djustments/businessCenters

businessCenter String Actual calendar specification. Chicago

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodDates Adjustments


businessCentersReference String References the actual calendar specification. -EMPTY-

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodFrequ ency

periodMultiplier Integer Time period multiplier.

period String The time period.

rollConvention Integer Used to help signify the start and end date of calculation period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates

calculationPeriodDatesReferenc e

Date Reference to the legs calculation period dates. -EMPTY-


10

FpML Element Name

Data Type


payRelativeTo String Specifies what the payment pays relative to. CalculationPerio dEndDate

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDates/paymentFrequency


period String Time period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDatesAdjustments



TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation

dayCountFraction String Date count convention to find the period between dates.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/notionalSchedule/notionalStepSchedule

initialValue Decim al

Notional Amount.

currency String Currency of the trade.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule


Fixed rate, represented as a percentage.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/cashFlows

cashflowsMatchParameters string Specifies if cash flows can be generated from the included data.

TRUE

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule/paymentCalculationPeriod -- This section will repeat, to define all cash flows.

adjustedPaymentDate Date Calculated payment date.


11

FpML Element Name

Data Type


TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule/paymentCalculationPeriod/calculationPeriod

adjustedStartDate Date Adjusted start date of payment period.

adjustedEndDate Date Adjusted end date of payment period.

notionalAmount Integer Notional amount of payment period.

fixedRate Decim al

Rate of payment period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream id=”floatLeg”

payerPartyReference String References the party paying the coupons. clearing_service

receiverAccountReference or payerAccountReference

String References the account of the party paying or receiving the coupons.

receiverPartyReference String References the party receiving the coupons.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/effectiveDate

unadjustedDate Date Unadjusted effective date of the leg.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/effectiveDate/dateAdju stments


TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate

unadjustedDate Date Unadjusted termination date of the leg.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate/dateA djustments


TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/terminationDate/dateA djustments/businessCenters

businessCenter String Actual calendar specification. Chicago

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodDates Adjustments


12

FpML Element Name

Data Type




TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodFrequ ency



rollConvention Integer Used to help signify the start and end date of calculation period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates


Date Reference to the legs calculation period dates. -EMPTY-

payRelativeTo String Specifies what the payment pays relative to. CalculationPerio dEndDate

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDates/paymentFrequency


period String Time period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDatesAdjustments



TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates


String References the calculation period dates. -EMPTY-

resetRelativeTo String Specifies what the reset dates are relative to. CalculationPerio dStartDate

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates/fixingDates



13

FpML Element Name

Data Type



dayType String Specifies the fixing date offset. BusinessDayCon vention

businessDayConvention String The business day convention of the leg. PRECEDING

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates/fixingDates/businessCenters

businessCenter String Actual calendar specification. CHICAGO

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates/resetFrequency



TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates/resetDateAdjustments

businessDayConvention String The business day convention of the leg. PRECEDING


TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation

dayCountFraction String Date count convention to find the period between dates.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/notionalSchedule/notionalStepSchedule


Notional Amount.

currency String Currency of the trade.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/floatingRateCalculation

floatingRateIndex string Index used for calculations. USD_LIBOR_BB A

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/floatingRateCalculation\indexTenor



14

FpML Element Name

Data Type



TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/cashFlows

cashflowsMatchParameters string Specifies if cash flows can be generated from the included data.

TRUE

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule/paymentCalculationPeriod -- This section will repeat, to define all cash flows.

adjustedPaymentDate Date Calculated payment date.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule/paymentCalculationPeriod/calculationPeriod

adjustedStartDate Date Adjusted start date of payment period.

adjustedEndDate Date Adjusted end date of payment period.

notionalAmount Integer Notional amount of payment period.

TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/fixedRateSchedule/paymentCalculationPeriod/calculationPeriod/floatingRateDefinition/rateObs ervation

adjustedFixingDate Date Adjusted fixing date for payment period.

observedRate Decim al

Observed rate for payment period.

TradeCaptRpt/Instrmt/SecXML/FpML/party id=”firm”

partyId String TraderID.

TradeCaptRpt/Instrmt/SecXML/FpML/party id=”clearing_service”

partyId String Clearing service. CME

TradeCaptRpt/Instrmt/SecXML/FpML/party id=”eris”

partyId String What is being reported by Eris. CME_TRADE_RE PORT

TradeCaptRpt/Instrmt/SecXML/FpML/account

accountId String AccountID for firm receiving trade report.


15

FpML Element Name

Data Type


servicingParty String Party servicing the trade. -EMPTY-

Appendix A: Data Schemas

A.1 One-Sided Trade Capture Report

This section provides graphical representations of the schemas used to define the One-Sided

Trade Capture Report.

A.1.a One Sided FIXML

A.1.b Embedded FpML


16

A.1.c Embedded FpML/Header

A.1.d Embedded FpML/Trade


17

A.l.e Embedded FpML/trade/tradeHeader

tM ,,.de.._., 0 . .[J

lnl.o.tr1deld Q

1..-

1111 rerence G- [B at.\'otll.<'es

1ne accoun1Re11111nc. Cj" E) lr!rwtl::s

t"a<f)llrtyReterence 0-< ::J 11;.-itlv!GS

,cme.ottginattngevtnl


18

A.l.f Embedded FpML/trade/swap

IMpayerPfityRe1'ererl!Ce G-{E1srtri.l:rtt

- IMr:ecelver.AcrcounitReff!li'f!nCJe R a s

ll"'lp: ill)'crP.cooull'lfllgfcrc111Co Q- ill<l'frr.'wW5 ]

ll"'lr:oc-c:lvcurPartyRcftl!l'Clnc.G ;t" [] st/llb.uies

lnscaleillafJonP·eriOdllat!fs §

- lnsp: aymentllllles rtJ

llllnmJti}<J (l$

IMe: olou'ltltlonPcriodAm00111

lns: aIOWS _!]


19

A.l.g Embedded FpML/trade/swap/swapStream/ca leu lationPeriod Dates

.........- .._ger:;.:-w...- ' ..::.. _...e.. n·• ... J


20

A.1.h Embedded FpML/trade/swap/swapStream/paymentDates

A.1.i Embedded FpML/trade/swap/swapStream/resetDates


21

A.1.j Embedded FpML/trade/swap/swapStream/calculationPeriodAmount

A.1.k Embedded FpML/trade/swap/ swapStream/cashFlows

A.1.l Embedded FpML/party

A.1.m Embedded FpML/account


22

Appendix B: Message Samples B.1 Trade Capture Report

Below is sample a sample message for a One-Sided Trade Capture Report in its entirety.

B.1.a One Sided FIXML <FIXML>

<TrdCaptRpt RptID="RPTID" RptRefID="RPTID" LastPx="100.029" PxTyp=” 1” ExecID="TRADEID_1" LastQty="1.0" TrdDt="2010-11-03" MLegRptTyp="1" TxnTm="2010-11- 03T12:35:32-00:00" TransTyp="0" TrdTyp="22" RptTyp="0">

<Hdr SID="ERIS" TID="CME"/> <Instrmt ID="Z00006" Src="H" Exch="CME" SecTyp="FUT" MMY="20121018">

<EMBEDDED_FMPL/> </Instrmt> <RptSide ClOrdID="CLORDER_ID1" Side="1" MLegRptTyp="1" InptSrc="ERIS" SesSub="X"

CustCpcty="4" AgrsrInd="N"> <Pty R="21" ID="CME"/> <Pty R="22" ID="CME"/> <Pty R="24" ID="ACCOUNT_BUY"/>

<Pty R="1" ID="FIRM_BUY"/> <Pty R="36" ID="TRADER_BUY"/> <Pty R="44" ID="OPERATOR_BUY"/> <TrdRegTS Typ="1" TS="2009-08-06T12:35:32-00:00"/>

</RptSide> </TrdCaptRpt>

</FIXML>

B.1.b Embedded FpML Swap Definition

<SecXML>

<FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:cme="http://www.cmegroup.com/otc- clearing/confirmation" xmlns:fpml="http://www.fpml.org/FpML-5/confirmation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/confirmation">

<header> <messageId messageIdScheme="eris_message_id">RPTID</messageId> <sendTo messageAddressScheme="firm_id">FIRM_BUY</sendTo> <creationTimestamp>2010-11-03T12:35:32.000Z</creationTimestamp>

</header> <trade>

<tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:type="cme:CMETradeHeader">

<partyTradeIdentifier> <partyReference href="eris"/> <tradeId tradeIdScheme="eris_trade_id">TRADEID_1</tradeId> <tradeId tradeIdScheme="client_trade_id">CLORDER_ID1</tradeId> <tradeId tradeIdScheme="platform_trade_id">TRADEID_1</tradeId>

http://www.fpml.org/FpML-5/confirmation

http://www.cmegroup.com/otc-clearing/confirmation




http://www.w3.org/2001/XMLSchema-instance




23

</partyTradeIdentifier> <partyTradeInformation>

<partyReference href="firm"/> <accountReference href="account1"/> <relatedParty>

<partyReference href="eris"/> <role>InputSource</role>

</relatedParty> <category categoryScheme="cme_origin_code">HOUSE</category>

</partyTradeInformation> <tradeDate>20101103</tradeDate> <clearedDate>20101105</clearedDate> <cme:originatingEvent>NEW_TRADE</cme:originatingEvent> <cme:status>CLEARED</cme:status>

</tradeHeader> <swap>

<productId productIdScheme="eris_security_id">Z0000620210120</productId> <swapStream id="fixedLeg">

<payerPartyReference href="firm"/> <payerAccountReference href="account1"/> <receiverPartyReference href="clearing_service"/> <calculationPeriodDates id="fixedCalcPeriodDates">

<effectiveDate> <unadjustedDate>20101105</unadjustedDate> <dateAdjustments>

<businessDayConvention>MODFOLLOWING</businessDayConvention>

</dateAdjustments> </effectiveDate> <terminationDate>

<unadjustedDate>20201105</unadjustedDate> <dateAdjustments>


<businessCenters id="fixedPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>

</businessCenters> </dateAdjustments>

</terminationDate> <calculationPeriodDatesAdjustments>

<businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="fixedPrimaryBusinessCenters"/>

</calculationPeriodDatesAdjustments> <calculationPeriodFrequency>

<periodMultiplier>6</periodMultiplier> <period>M</period> <rollConvention>6</rollConvention>

</calculationPeriodFrequency> <paymentDates>

<calculationPeriodDatesReference href="fixedCalcPeriodDates"/> <paymentFrequency>

<periodMultiplier>6</periodMultiplier> <period>M</period>

</paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <paymentDatesAdjustments>


24


<businessCentersReference href="fixedPrimaryBusinessCenters"/> </paymentDatesAdjustments>

</paymentDates> <calculationPeriodAmount>

<calculation> <notionalSchedule>

<notionalStepSchedule> <initialValue>3000000</initialValue> <currency>USD</currency>

</notionalStepSchedule> </notionalSchedule> <fixedRateSchedule>

<initialValue>1.234</initialValue> </fixedRateSchedule> <dayCountFraction>ACT/360</dayCountFraction>

</calculation> </calculationPeriodAmount>

</calculationPeriodDates> <cashflows>

<cashflowsMatchParameters>true</cashflowsMatchParameters> <paymentCalculationPeriod>

<adjustedPaymentDate>20110509</adjustedPaymentDate> <calculationPeriod>

<adjustedStartDate>20101105</adjustedStartDate> <adjustedEndDate>20110509</adjustedEndDate>

<notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>

</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>


<adjustedStartDate>20110509</adjustedStartDate> <adjustedEndDate>20111107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>








25







</calculationPeriod> </paymentCalculationPeriod>

</cashflows> </swapStream> <swapStream id="floatLeg">

<payerPartyReference href="clearing_service"/> <receiverAccountReference href="account1"/> <receiverPartyReference href="firm"/> <calculationPeriodDates id="floatingCalcPeriodDates">






<businessCenters id="floatPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>



<businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/>



</calculationPeriodFrequency> </calculationPeriodDates> <paymentDates>

<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>

<paymentCalculationPeriod> <adjustedPaymentDate>20110216</adjustedPaymentDate> <calculationPeriod>

<adjustedStartDate>20101105</adjustedStartDate>


26

<paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period>


<businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/>

</paymentDatesAdjustments> </paymentDates> <resetDates id="floatingLegResetDates">

<calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo> <fixingDates>

<periodMultiplier>-2</periodMultiplier> <period>D</period> <dayType>Business</dayType> <businessDayConvention>PRECEDING</businessDayConvention> <businessCenters id="resetPrimaryBusinessCenters">

<businessCenter>Chicago</businessCenter> </businessCenters> <dateRelativeTo href="floatingLegResetDates"/>

</fixingDates> <resetFrequency>


</resetFrequency>

<resetDatesAdjustments> <businessDayConvention>PRECEDING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/>

</resetDatesAdjustments> </resetDates> <calculationPeriodAmount>



</notionalStepSchedule> </notionalSchedule> <floatingRateCalculation>

<floatingRateIndex>USD_LIBOR_BBA</floatingRateIndex> <indexTenor>


</indexTenor> </floatingRateCalculation> <dayCountFraction>30/360</dayCountFraction>

</calculation> </calculationPeriodAmount> <cashflows>

<cashflowsMatchParameters>true</cashflowsMatchParameters>














28



















29















</cashflows> </swapStream>

</swap> </trade>


30

<party id="firm"> <partyId partyIdScheme="firms">FRED</partyId>

</party> <party id="clearing_service">

<partyId>CME</partyId> </party> <party id="eris">

<partyId>CME_TRADE_REPORT</partyId> </party> <account id="account1">

<accountId accountIdScheme="firm_accounts">ACCOUNT_BUY</accountId> <servicingParty href="firm"/>

</account> </FpML>

</SecXML>

B.1.c Combined

<FIXML>

<TrdCaptRpt RptID="RPTID" RptRefID="RPTID" LastPx="100.029" PxTyp="1” ExecID="TRADEID_1" LastQty="1.0" TrdDt="2010-11-03" MLegRptTyp="1" TxnTm="2010-11- 03T12:35:32-00:00" TransTyp="0" TrdTyp="22" RptTyp="0">

<Hdr SID="ERIS" TID="CME"/> <Instrmt ID="Z00006" Src="H" Exch="CME" SecTyp="FUT" MMY="20121018">

<SecXML>

<FpML xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:cme="http://www.cmegroup.com/otc-clearing/confirmation" xmlns:fpml="http://www.fpml.org/FpML- 5/confirmation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/confirmation">

<header> <messageId messageIdScheme="eris_message_id">RPTID</messageId> <sendTo messageAddressScheme="firm_id">FIRM_BUY</sendTo> <creationTimestamp>2010-11-03T12:35:32.000Z</creationTimestamp>

</header> <trade>

<tradeHeader xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:type="cme:CMETradeHeader">

<partyTradeIdentifier>

<partyReference href="eris"/> <tradeId tradeIdScheme="eris_trade_id">TRADEID_1</tradeId> <tradeId tradeIdScheme="client_trade_id">CLORDER_ID1</tradeId> <tradeId tradeIdScheme="platform_trade_id">TRADEID_1</tradeId>

</partyTradeIdentifier> <partyTradeInformation>

<partyReference href="firm"/> <accountReference href="account1"/> <relatedParty>

<partyReference href="eris"/> <role>InputSource</role>

</relatedParty> <category categoryScheme="cme_origin_code">HOUSE</category>

</partyTradeInformation> <tradeDate>20101103</tradeDate> <clearedDate>20101105</clearedDate>









31

<cme:originatingEvent>NEW_TRADE</cme:originatingEvent> <cme:status>CLEARED</cme:status>

</tradeHeader> <swap>

<productId productIdScheme="eris_security_id">Z0000620210120</productId>

<swapStream id="fixedLeg"> <payerPartyReference href="firm"/> <payerAccountReference href="account1"/> <receiverPartyReference href="clearing_service"/> <calculationPeriodDates id="fixedCalcPeriodDates">






<businessCenters id="fixedPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>




<businessCentersReference href="fixedPrimaryBusinessCenters"/>



</calculationPeriodFrequency> <paymentDates>

<calculationPeriodDatesReference href="fixedCalcPeriodDates"/>

<paymentFrequency> <periodMultiplier>6</periodMultiplier> <period>M</period>



<businessCentersReference

href="fixedPrimaryBusinessCenters"/> </paymentDatesAdjustments>

</paymentDates> <calculationPeriodAmount>

<calculation>


32

<notionalSchedule> <notionalStepSchedule>

<initialValue>3000000</initialValue> <currency>USD</currency>

</notionalStepSchedule> </notionalSchedule> <fixedRateSchedule>

<initialValue>1.234</initialValue> </fixedRateSchedule> <dayCountFraction>ACT/360</dayCountFraction>

</calculation> </calculationPeriodAmount>

</calculationPeriodDates> <cashflows>















<adjustedStartDate>20121107</adjustedStartDate> <adjustedEndDate>20130507</adjustedEndDate>


33

<notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>





</cashflows> </swapStream> <swapStream id="floatLeg">

<payerPartyReference href="clearing_service"/> <receiverAccountReference href="account1"/> <receiverPartyReference href="firm"/> <calculationPeriodDates id="floatingCalcPeriodDates">



</dateAdjustments> </effectiveDate>

<terminationDate> <unadjustedDate>20201105</unadjustedDate> <dateAdjustments>


<businessCenters id="floatPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>




<businessCentersReference href="floatPrimaryBusinessCenters"/>



</calculationPeriodFrequency> </calculationPeriodDates> <paymentDates>

<calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <paymentFrequency>


</paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>


34

<paymentDatesAdjustments>

<businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference

href="floatPrimaryBusinessCenters"/> </paymentDatesAdjustments>

</paymentDates> <resetDates id="floatingLegResetDates">

<calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo> <fixingDates>

<periodMultiplier>-2</periodMultiplier> <period>D</period> <dayType>Business</dayType>

<businessDayConvention>PRECEDING</businessDayConvention>

<businessCenters id="resetPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>

</businessCenters> <dateRelativeTo href="floatingLegResetDates"/>

</fixingDates> <resetFrequency>


</resetFrequency> <resetDatesAdjustments>

<businessDayConvention>PRECEDING</businessDayConvention>

<businessCentersReference

href="floatPrimaryBusinessCenters"/> </resetDatesAdjustments>

</resetDates> <calculationPeriodAmount>



</notionalStepSchedule> </notionalSchedule> <floatingRateCalculation>

<floatingRateIndex>USD_LIBOR_BBA</floatingRateIndex> <indexTenor>


</indexTenor> </floatingRateCalculation> <dayCountFraction>30/360</dayCountFraction>

</calculation> </calculationPeriodAmount> <cashflows>





35


<rateObservation>

<adjustedFixingDate>20101105</adjustedFixingDate>

<observedRate>0.00289528</observedRate> </rateObservation>






<observedRate>0</observedRate> </rateObservation>














</paymentCalculationPeriod>


36

<paymentCalculationPeriod> <adjustedPaymentDate>20120216</adjustedPaymentDate> <calculationPeriod>





















<observedRate>0</observedRate>


37











<rateObservation>

<adjustedFixingDate>20130218</adjustedFixingDate>













38

<rateObservation>

<adjustedFixingDate>20130821</adjustedFixingDate> <observedRate>0</observedRate>



</cashflows> </swapStream>

</swap> </trade> <party id="firm">

<partyId partyIdScheme="firms">FRED</partyId> </party> <party id="clearing_service">

<partyId>CME</partyId> </party> <party id="eris">

<partyId>CME_TRADE_REPORT</partyId> </party> <account id="account1">

<accountId accountIdScheme="firm_accounts">ACCOUNT_BUY</accountId> <servicingParty href="firm"/>

</account> </FpML>

</SecXML>

</Instrmt> <RptSide ClOrdID="CLORDER_ID1" Side="1" MLegRptTyp="1" InptSrc="ERIS" SesSub="X"

CustCpcty="4" AgrsrInd="N"> <Pty R="21" ID="CME"/> <Pty R="22" ID="CME"/> <Pty R="24" ID="ACCOUNT_BUY"/> <Pty R="1" ID="FIRM_BUY"/> <Pty R="36" ID="TRADER_BUY"/> <Pty R="44" ID="OPERATOR_BUY"/> <TrdRegTS Typ="1" TS="2009-08-06T12:35:32-00:00"/>

</RptSide> </TrdCaptRpt>

</FIXML>


39

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are leveraged

instruments, and because only a percentage of a contract’s value is required to trade, it is possible to lose

more than the amount of money deposited for a futures position.

All references to options refer to options on futures.

The information within this document has been compiled by Eris Exchange for general purposes only. Eris

Exchange assumes no responsibility for any errors or omissions. Although every attempt has been made

to ensure the accuracy of the information within this document, Eris Exchange assumes no responsibility

for any errors or omissions. Additionally, all examples in this document are hypothetical situations, used

for explanation purposes only, and should not be considered investment advice or the results of actual

market experience. The information contained in this document does not constitute legal or investment

advice.

All matters pertaining to rules and specifications herein are made subject to and are superseded by

official Eris Exchange LLC rules. Current rules should be consulted in all cases concerning contract

specifications.

Trademarks

Eris Exchange is the trademark of Eris Exchange LLC. The trademarks, logos, and service marks

(collectively the "Trademarks") displayed in this document are owned by Eris Exchange, LLC.

Copyright

Except as otherwise noted, the content of this document, including but not limited to text, graphics and

icons, are copyrighted materials of Eris Exchange and contain trademarks, service marks and trade

names of the Eris Exchange and/or its affiliates and licensors. You may use the content to learn about,

evaluate or acquire services or products of the Eris Exchange. You may not copy or display for

redistribution to third parties for commercial purposes any portion of the content without the prior written

permission of the Eris Exchange.


swap futures trade details specification

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