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1
Swap Futures Trade Details Specification
February
2017
© 2017 Eris Exchange. All rights reserved.
© 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
© 2017 Eris Exchange. All rights reserved.
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
© 2017 Eris Exchange. All rights reserved.
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
© 2017 Eris Exchange. All rights reserved.
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.
© 2017 Eris Exchange. All rights reserved.
6
FIXML Name
Data Type Description Supported Values
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.
© 2017 Eris Exchange. All rights reserved.
7
FIXML Name
Data Type Description Supported Values
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
© 2017 Eris Exchange. All rights reserved.
8
FpML Element Name
Data Type
Description Supported Values
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.
© 2017 Eris Exchange. All rights reserved.
9
FpML Element Name
Data Type
Description Supported Values
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
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
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
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
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-
© 2017 Eris Exchange. All rights reserved.
10
FpML Element Name
Data Type
Description Supported Values
payRelativeTo String Specifies what the payment pays relative to. CalculationPerio dEndDate
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDates/paymentFrequency
periodMultiplier Integer Time period multiplier.
period String Time period.
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDatesAdjustments
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
businessCentersReference String References the actual calendar specification. -EMPTY-
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
initialValue Decim al
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.
© 2017 Eris Exchange. All rights reserved.
11
FpML Element Name
Data Type
Description Supported Values
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
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
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
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
© 2017 Eris Exchange. All rights reserved.
12
FpML Element Name
Data Type
Description Supported Values
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
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-
payRelativeTo String Specifies what the payment pays relative to. CalculationPerio dEndDate
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDates/paymentFrequency
periodMultiplier Integer Time period multiplier.
period String Time period.
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/paymentDates/payme ntDatesAdjustments
businessDayConvention String The business day convention of the leg. MODFOLLOWIN G
businessCentersReference String References the actual calendar specification. -EMPTY-
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates
calculationPeriodDatesReferenc e
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
periodMultiplier Integer Time period multiplier.
© 2017 Eris Exchange. All rights reserved.
13
FpML Element Name
Data Type
Description Supported Values
period String The time period.
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
periodMultiplier Integer Time period multiplier.
period String The time period.
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/resetDates/resetDateAdjustments
businessDayConvention String The business day convention of the leg. PRECEDING
businessCentersReference String References the actual calendar specification. -EMPTY-
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/floatingRateCalculation
floatingRateIndex string Index used for calculations. USD_LIBOR_BB A
TradeCaptRpt/Instrmt/SecXML/FpML/trade/swap/swapStream/calculationPeriodDates/calculationPeriodAmou nt/calculation/floatingRateCalculation\indexTenor
periodMultiplier Integer Time period multiplier.
© 2017 Eris Exchange. All rights reserved.
14
FpML Element Name
Data Type
Description Supported Values
period String The time period.
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.
© 2017 Eris Exchange. All rights reserved.
15
FpML Element Name
Data Type
Description Supported Values
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
© 2017 Eris Exchange. All rights reserved.
16
A.1.c Embedded FpML/Header
A.1.d Embedded FpML/Trade
© 2017 Eris Exchange. All rights reserved.
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
© 2017 Eris Exchange. All rights reserved.
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 _!]
© 2017 Eris Exchange. All rights reserved.
19
A.l.g Embedded FpML/trade/swap/swapStream/ca leu lationPeriod Dates
.........- .._ger:;.:-w...- ' ..::.. _...e.. n·• ... J
© 2017 Eris Exchange. All rights reserved.
20
A.1.h Embedded FpML/trade/swap/swapStream/paymentDates
A.1.i Embedded FpML/trade/swap/swapStream/resetDates
© 2017 Eris Exchange. All rights reserved.
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
© 2017 Eris Exchange. All rights reserved.
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>
© 2017 Eris Exchange. All rights reserved.
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>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<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>
© 2017 Eris Exchange. All rights reserved.
24
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<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>
<adjustedPaymentDate>20111107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110509</adjustedStartDate> <adjustedEndDate>20111107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120507</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20111107</adjustedStartDate> <adjustedEndDate>20120507</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20121107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120507</adjustedStartDate> <adjustedEndDate>20121107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
© 2017 Eris Exchange. All rights reserved.
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</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130507</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20121107</adjustedStartDate> <adjustedEndDate>20130507</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20131107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130507</adjustedStartDate> <adjustedEndDate>20131107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod>
</cashflows> </swapStream> <swapStream id="floatLeg">
<payerPartyReference href="clearing_service"/> <receiverAccountReference href="account1"/> <receiverPartyReference href="firm"/> <calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate> <unadjustedDate>20101105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
</dateAdjustments> </effectiveDate> <terminationDate>
<unadjustedDate>20201105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="floatPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>
</businessCenters> </dateAdjustments>
</terminationDate> <calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/>
</calculationPeriodDatesAdjustments> <calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>3</rollConvention>
</calculationPeriodFrequency> </calculationPeriodDates> <paymentDates>
<calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
<paymentCalculationPeriod> <adjustedPaymentDate>20110216</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20101105</adjustedStartDate>
© 2017 Eris Exchange. All rights reserved.
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<paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period>
</paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo> <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>
<periodMultiplier>3</periodMultiplier> <period>M</period>
</resetFrequency>
<resetDatesAdjustments> <businessDayConvention>PRECEDING</businessDayConvention> <businessCentersReference href="floatPrimaryBusinessCenters"/>
</resetDatesAdjustments> </resetDates> <calculationPeriodAmount>
<calculation> <notionalSchedule>
<notionalStepSchedule> <initialValue>3000000</initialValue> <currency>USD</currency>
</notionalStepSchedule> </notionalSchedule> <floatingRateCalculation>
<floatingRateIndex>USD_LIBOR_BBA</floatingRateIndex> <indexTenor>
<periodMultiplier>3</periodMultiplier> <period>M</period>
</indexTenor> </floatingRateCalculation> <dayCountFraction>30/360</dayCountFraction>
</calculation> </calculationPeriodAmount> <cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters>
<adjustedEndDate>20110216</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20101105</adjustedFixingDate>
<adjustedEndDate>20111116</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110816</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120216</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20111116</adjustedStartDate>
© 2017 Eris Exchange. All rights reserved.
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<observedRate>0.00289528</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20110516</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110216</adjustedStartDate> <adjustedEndDate>20110516</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110216</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20110816</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110516</adjustedStartDate> <adjustedEndDate>20110816</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110516</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20111116</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110816</adjustedStartDate>
<adjustedEndDate>20120216</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20111116</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120516</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120216</adjustedStartDate>
<adjustedEndDate>20121116</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120816</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130218</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20121116</adjustedStartDate>
© 2017 Eris Exchange. All rights reserved.
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<adjustedEndDate>20120516</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120216</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120816</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120516</adjustedStartDate> <adjustedEndDate>20120816</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120516</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20121116</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120816</adjustedStartDate>
<adjustedEndDate>20130218</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20121116</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130521</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130218</adjustedStartDate>
© 2017 Eris Exchange. All rights reserved.
29
<adjustedEndDate>20130521</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20130218</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130821</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130521</adjustedStartDate> <adjustedEndDate>20130821</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20130521</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20131121</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130821</adjustedStartDate> <adjustedEndDate>20131121</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20130821</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod>
</cashflows> </swapStream>
</swap> </trade>
© 2017 Eris Exchange. All rights reserved.
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<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>
© 2017 Eris Exchange. All rights reserved.
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">
<effectiveDate> <unadjustedDate>20101105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
</dateAdjustments> </effectiveDate> <terminationDate>
<unadjustedDate>20201105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<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>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference
href="fixedPrimaryBusinessCenters"/> </paymentDatesAdjustments>
</paymentDates> <calculationPeriodAmount>
<calculation>
© 2017 Eris Exchange. All rights reserved.
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>
<cashflowsMatchParameters>true</cashflowsMatchParameters> <paymentCalculationPeriod>
<adjustedPaymentDate>20110509</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20101105</adjustedStartDate> <adjustedEndDate>20110509</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20111107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110509</adjustedStartDate> <adjustedEndDate>20111107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120507</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20111107</adjustedStartDate> <adjustedEndDate>20120507</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20121107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120507</adjustedStartDate> <adjustedEndDate>20121107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130507</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20121107</adjustedStartDate> <adjustedEndDate>20130507</adjustedEndDate>
© 2017 Eris Exchange. All rights reserved.
33
<notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20131107</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130507</adjustedStartDate> <adjustedEndDate>20131107</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <fixedRate>1.234</fixedRate>
</calculationPeriod> </paymentCalculationPeriod>
</cashflows> </swapStream> <swapStream id="floatLeg">
<payerPartyReference href="clearing_service"/> <receiverAccountReference href="account1"/> <receiverPartyReference href="firm"/> <calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate> <unadjustedDate>20101105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
</dateAdjustments> </effectiveDate>
<terminationDate> <unadjustedDate>20201105</unadjustedDate> <dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="floatPrimaryBusinessCenters"> <businessCenter>Chicago</businessCenter>
</businessCenters> </dateAdjustments>
</terminationDate> <calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="floatPrimaryBusinessCenters"/>
</calculationPeriodDatesAdjustments> <calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>3</rollConvention>
</calculationPeriodFrequency> </calculationPeriodDates> <paymentDates>
<calculationPeriodDatesReference href="floatingCalcPeriodDates"/> <paymentFrequency>
<periodMultiplier>3</periodMultiplier> <period>M</period>
</paymentFrequency> <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
© 2017 Eris Exchange. All rights reserved.
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>
<periodMultiplier>3</periodMultiplier> <period>M</period>
</resetFrequency> <resetDatesAdjustments>
<businessDayConvention>PRECEDING</businessDayConvention>
<businessCentersReference
href="floatPrimaryBusinessCenters"/> </resetDatesAdjustments>
</resetDates> <calculationPeriodAmount>
<calculation> <notionalSchedule>
<notionalStepSchedule> <initialValue>3000000</initialValue> <currency>USD</currency>
</notionalStepSchedule> </notionalSchedule> <floatingRateCalculation>
<floatingRateIndex>USD_LIBOR_BBA</floatingRateIndex> <indexTenor>
<periodMultiplier>3</periodMultiplier> <period>M</period>
</indexTenor> </floatingRateCalculation> <dayCountFraction>30/360</dayCountFraction>
</calculation> </calculationPeriodAmount> <cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters> <paymentCalculationPeriod>
<adjustedPaymentDate>20110216</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20101105</adjustedStartDate>
© 2017 Eris Exchange. All rights reserved.
35
<adjustedEndDate>20110216</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>20101105</adjustedFixingDate>
<observedRate>0.00289528</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20110516</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110216</adjustedStartDate> <adjustedEndDate>20110516</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110216</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20110816</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110516</adjustedStartDate> <adjustedEndDate>20110816</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110516</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20111116</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20110816</adjustedStartDate> <adjustedEndDate>20111116</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20110816</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod>
© 2017 Eris Exchange. All rights reserved.
36
<paymentCalculationPeriod> <adjustedPaymentDate>20120216</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20111116</adjustedStartDate> <adjustedEndDate>20120216</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20111116</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120516</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120216</adjustedStartDate> <adjustedEndDate>20120516</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120216</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20120816</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120516</adjustedStartDate> <adjustedEndDate>20120816</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120516</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20121116</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20120816</adjustedStartDate> <adjustedEndDate>20121116</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20120816</adjustedFixingDate>
<observedRate>0</observedRate>
© 2017 Eris Exchange. All rights reserved.
37
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130218</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20121116</adjustedStartDate> <adjustedEndDate>20130218</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20121116</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130521</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130218</adjustedStartDate> <adjustedEndDate>20130521</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation>
<adjustedFixingDate>20130218</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20130821</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130521</adjustedStartDate> <adjustedEndDate>20130821</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
<rateObservation> <adjustedFixingDate>20130521</adjustedFixingDate>
<observedRate>0</observedRate> </rateObservation>
</floatingRateDefinition> </calculationPeriod>
</paymentCalculationPeriod> <paymentCalculationPeriod>
<adjustedPaymentDate>20131121</adjustedPaymentDate> <calculationPeriod>
<adjustedStartDate>20130821</adjustedStartDate> <adjustedEndDate>20131121</adjustedEndDate> <notionalAmount>3000000</notionalAmount> <floatingRateDefinition>
© 2017 Eris Exchange. All rights reserved.
38
<rateObservation>
<adjustedFixingDate>20130821</adjustedFixingDate> <observedRate>0</observedRate>
</rateObservation> </floatingRateDefinition>
</calculationPeriod> </paymentCalculationPeriod>
</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>
© 2017 Eris Exchange. All rights reserved.
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.
© 2017 Eris Exchange. All rights reserved.