Generic Product Representation & Final CFTC Reporting Rules Final version March 21 st, 2012

Transcription

1 Generic Product Representation & Final CFTC Reporting Rules Final version March 21 st, 2012 Introduction & Purpose of the Document This document is a supplemental analysis to the recommendations developed to the CFTC Technology Advisory Committee for the algorithmic representation of complex and bespoke products. Those recommendations can be found here. As such, it is important that the readers have a good understanding of those recommendations beforehand. Furthermore, it is recommended that they also be familiar with the conclusion of the joint SEC/CFTC Study on the Feasibility of Mandating Algorithmic Descriptions for Derivatives, which has been one of the origination points of those recommendations. This supplemental analysis aims at evaluating the coverage provided by the FpML Generic Product Representation with respect to the final CFTC Part 43 and Part 45 rules. The documents is organized through tables, which list the respective fields that are required as part of the final CFTC rule, and identify whether and how such information can be provided as part of the current FpML Generic Data representation. The 3 rd column aims at providing a feasibility assessment in the case where such data is not supported. To facilitate the analysis, the fields which coverage is deemed problematic have been highlighted in yellow. While those points were already made as part of the recommendation paper, it is worth pointing out again that the philosophy underlying the generic product representation is to represent trade-level attributes that allow to size the derivative trade (notional), state its start and end dates, identify the set of underlyers involved and monitor the associated exposure (valuation). The goal has consistently been to stay away from modeling the payoff streams, as this is where complexity commences, with time-to-market implications. In that respect, the below tables show that the limitations associated with this generic product representation are most often associated with that dimension. 1 P a g e

2 Part 43 Real-Time Public Reporting of Swap Transaction Data Field FpML Data Representation (XPath) Comment Cancellation publicexecutionreportretracted Correction publicexecutionreport/ iscorrection Execution timestamp publicexecutionreport/trade/tradeheader/tradeinformation/executiondat etime Cleared or uncleared FpML provide two possible ways to reporting the clearing indicator: publicexecutionreport/trade/tradeheader/tradeinformation/intentto Clear publicexecutionreport/trade/tradeheader/tradeinformation/clearing Status As it relates to real-time reporting at execution time, the former might be more appropriate. This will have to be confirmed via industry specification. Indication of Collateralization publicexecutionreport/trade/tradeheader/tradeinformation/collateralizati ontype Indication of end-user exception Indication of other price affecting term (indication for non-standardized (bespoke) swaps) Block trades and large notional off-facility swaps Execution venue publicexecutionreport/trade/tradeheader/tradeinformation/enduserexce ption publicexecutionreport/trade/tradeheader/tradeinformation/nonstandard Terms This indicator will systematically be set to True for bespoke and complex products. publicexecutionreport/trade/tradeheader/tradeinformation/largesizetrad e publicexecutionreport/trade/tradeheader/tradeinformation/executionven uetype Effective or Start date publicexecutionreport/trade/genericproduct/effectivedate/unadjusteddat e End Date publicexecutionreport/trade/genericproduct/terminationdate/unadjusted Date Day count convention Reporting the day count convention would imply representing the trade payoff streams, which 2 P a g e

3 would significantly alter the scope and complexity of the generic product representation. The implied benefit in terms of price transparency are deemed limited, considering that a number of other terms of the trade would not be provided anyway (bespoke flag will be set to True). Settlement currency (i.e., publicexecutionreport/trade/genericproduct/settlementcurrency value date) Asset class publicexecutionreport/trade/genericproduct/primaryassetclass It is expected that the ISDA product taxonomy will Sub-asset class for other publicexecutionreport/trade/genericproduct/producttype be provided, as in the case of standardized trades. commodity Contract type publicexecutionreport/trade/genericproduct/producttype Contract sub-type publicexecutionreport/trade/genericproduct/producttype Price-forming continuation data publicexecutionreport/originatingevent While the FpML schema supports lifecycle events, it is expected that only rudimentary information will be provided in some cases. This could take the form a simple post-execution event' indicator. The reason for this is that developing a complete lifecycle event model is an extremely involved effort, which is not compatible with the early stages of the innovation lifecycle. (See the cost-benefit analysis in the TAC recommendation paper, p. 14.) Underlying asset I publicexecutionreport/trade/genericproduct/underlyer/ The Generic Product schema accommodates all Underlying asset 2 publicexecutionreport/trade/genericproduct/underlyer/ the underlyer types that have been specified as part of the FpML standard. Price notation publicexecutionreport/quote Additional price notation publicexecutionreport/quote Unique product identifier The ISDA UPI working group concluded that the UPI would not be applicable to products that do not have a full algorithmic representation, the reason being that it has to be inferred from a normalized algorithmic representation of the trade/product. Notional currency 1 (i.e." base publicexecutionreport/trade/genericproduct/notional/currency The generic product representation supports an array of notionals. Rounded notional or publicexecutionreport/trade/genericproduct/notional/amount 3 P a g e

4 principal amount 1 Notional currency 2 (i.e., counter currency) Rounded notional or principal amount 2 Payment frequency I Payment frequency 2 Reset frequency I Reset frequency 2 Embedded Option on Swap Option Strike Price Option Type Option Family Option currency Option premium Option lockout period Option expiration date publicexecutionreport/trade/genericproduct/notional/currency publicexecutionreport/trade/genericproduct/notional/amount publicexecutionreport/trade/genericproduct/optiontype publicexecutionreport/trade/genericproduct/premium/paymentamount\c urrency publicexecutionreport/trade/genericproduct/premium publicexecutionreport/trade/genericproduct/expirationdate/unadjustedda te 4 P a g e

5 Part 45 Swap Data Recordkeeping & Reporting Requirements Two set of provisions stipulated in the CFTC Part 45 rules are problematic as it relates to bespoke and complex derivatives: 45.3, which states that, for off-facility swaps not subjected to mandatory clearing, Beginning 180 days after the compliance date, the reporting counterparty must report all confirmation data to the swap data repository electronically. Discussion with CFTC staff members indicated that the proposed approach consisting in sending the trade confirmation in a PDF-type format would not meet the spirit of the rule, which is rather aiming for a normalized algorithmic representation of the data. Some of the data requirements listed as part of the Appendix 1. Similarly to what has been presented above for Part 43, the following tables, list the respective fields that are required as part of the final CFTC rule, and identify whether and how such information can be provided as part of the current FpML Generic Data representation. 5 P a g e

6 Credit Swaps & Equity swaps Field FpML Data Representation (XPath) Comment nonpublicexecutionreport/trade/tradeheader/partytradei The Unique Swap Identifier for the swap dentifier/tradeid The Legal Entity Identifier of the reporting nonpublicexecutionreport/party/partyid counterparty An indication of whether the reporting counterparty is a swap dealer with respect to the swap An indication of whether the reporting counterparty is a major swap participant with respect to the swap If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) An indication of whether the reporting counterparty is a U.S. person An indication that the swap will be nonpublicexecutionreport/trade/tradeheader/partytradei allocated nformation/allocationstatus If the swap will be allocated, or is a postallocation nonpublicexecutionreport/ party/partyid swap, the Legal Entity Identifier of the agent An indication that the swap is a postallocation nonpublicexecutionreport/trade/tradeheader/partytradei swap nformation/allocationstatus If the swap is a post-allocation swap, the nonpublicexecutionreport/trade/tradeheader/partytradei unique swap identifier of the original transaction between the reporting counterparty and the agent dentifier/blocktradeid/tradeid The Legal Entity Identifier of the nonreporting nonpublicexecutionreport/party/partyid party If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet nonpublicexecutionreport/party/partyid 6 P a g e

7 available, the internal identifier for the nonreporting counterparty used by the swap data repository counterparty is a swap dealer with respect to the swap counterparty is a major swap participant with respect to the swap If the non-reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the non-reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) counterparty is a U.S. person. The Unique Product Identifier assigned to the swap If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository An indication that the swap is a multi-asset swap 7 P a g e nonpublicexecutionreport/trade/genericproduct/productt ype To be determined by the respective SDRs Inferred from the presence of The ISDA UPI working group concluded that the UPI would not be applicable to products that do not have a full algorithmic representation, the reason being that it has to be inferred from a normalized algorithmic representation of the trade/product. It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy. nonpublicexecutionreport//trade/product/secondaryassetclas s For a multi-asset class swap, an indication nonpublicexecutionreport//trade/product/primaryassetclass

8 of the primary asset class For a multi-asset class swap, an indication of the secondary asset class(es) nonpublicexecutionreport//trade/product/secondaryassetclas s An indication that the swap is a mixed swap For a mixed swap reported to two nondually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported An indication of the counterparty purchasing protection An indication of the counterparty selling protection Information identifying the reference entity nonpublicexecutionreport/trade/tradeheader/partytradei nformation/regulatorregistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap TBD Question raised to the FpML Reporting Working Group nonpublicexecutionreport/trade/genericproduct/buyerpar tyreference nonpublicexecutionreport/trade/genericproduct/sellerpar tyreference nonpublicexecutionreport/trade/genericproduct/underlye r/referenceentity/entityid The building block used to represent the reference entity is the same than the one in place for standardized credit default swaps. It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. Contract type nonpublicexecutionreport/trade/genericproduct/productt ype Block trade indicator nonpublicexecutionreport/trade/tradeheader/partytradei nformation/largesizetrade Execution timestamp nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executiondatetime Execution venue nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executionvenuetype Start date nonpublicexecutionreport/trade/genericproduct/effective Date/unadjustedDate Maturity, termination or end date nonpublicexecutionreport/trade/genericproduct/terminati ondate/unadjusteddate The price nonpublicexecutionreport/trade/quote The notional amount, and the currency in nonpublicexecutionreport/trade/genericproduct/notional/ which the notional amount is expressed currency nonpublicexecutionreport/trade/genericproduct/notional/ amount The amount and currency (or currencies) of The current generic product representation only 8 P a g e

9 any up-front payment Payment frequency of the reporting counterparty Payment frequency of the non-reporting counterparty Timestamp for submission to swap data repository Clearing indicator nonpublicexecutionreport/header/creationtimestamp FpML provide two possible ways to reporting the clearing indicator: publicexecutionreport/trade/tradeheader/tradeinfor mation/intenttoclear publicexecutionreport/trade/tradeheader/tradeinfor mation/clearingstatus As it relates to PET reporting, the latter might be more appropriate. This will have to be confirmed via industry specification. supports the representation of a premium. That being said, if deemed important, extending the generic product representation to support an array of scheduled payments could be considered, as it would be as invasive as trying to model the payoff streams. Reporting those data points would imply representing the trade payoff streams, which would significantly alter the scope and complexity of the generic product representation. Clearing venue nonpublicexecutionreport/party/partyid If the swap will not be cleared, an nonpublicexecutionreport/trade/tradeheader/tradeinfor indication of whether the clearing requirement exception in CEA (2)(h)(7) was elected mation/enduserexception The identity of the counterparty electing nonpublicexecutionreport/party/partyid the clearing requirement exception in CEA (2)(h)(7) Indication of collateralization nonpublicexecutionreport/trade/tradeheader/tradeinfor mation/collateralizationtype Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap The generic product representation doesn t allow to represent in a standardized machine-readable format the payoff streams of the trade. 9 P a g e

10 Foreign Exchange Transactions Field FpML Data Representation (XPath) Comment nonpublicexecutionreport/trade/tradeheader/partytradei The Unique Swap Identifier for the swap dentifier/tradeid The Legal Entity Identifier of the reporting nonpublicexecutionreport/party/partyid counterparty An indication of whether the reporting counterparty is a swap dealer with respect to the swap An indication of whether the reporting counterparty is a major swap participant with respect to the swap If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) An indication of whether the reporting counterparty is a U.S. person An indication that the swap will be nonpublicexecutionreport/trade/tradeheader/partytradei allocated nformation/allocationstatus If the swap will be allocated, or is a postallocation nonpublicexecutionreport/ party/partyid swap, the Legal Entity Identifier of the agent An indication that the swap is a postallocation nonpublicexecutionreport/trade/tradeheader/partytradei swap nformation/allocationstatus If the swap is a post-allocation swap, the nonpublicexecutionreport/trade/tradeheader/partytradei unique swap identifier of the original transaction between the reporting counterparty and the agent dentifier/blocktradeid/tradeid The Legal Entity Identifier of the nonreporting nonpublicexecutionreport/party/partyid party If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet nonpublicexecutionreport/party/partyid 10 P a g e

11 available, the internal identifier for the nonreporting counterparty used by the swap data repository counterparty is a swap dealer with respect to the swap counterparty is a major swap participant with respect to the swap If the non-reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the non-reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) counterparty is a U.S. person. The Unique Product Identifier assigned to the swap If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository An indication that the swap is a multi-asset swap nonpublicexecutionreport/trade/genericproduct/productt ype To be determined by the respective SDRs Inferred from the presence of nonpublicexecutionreport//trade/product/secondaryasset Class The ISDA UPI working group concluded that the UPI would not be applicable to products that do not have a full algorithmic representation, the reason being that it has to be inferred from a normalized algorithmic representation of the trade/product. It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy. 11 P a g e

12 For a multi-asset class swap, an indication of the primary asset class For a multi-asset class swap, an indication of the secondary asset class(es) An indication that the swap is a mixed swap For a mixed swap reported to two nondually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported Contract type Block trade indicator Execution timestamp Execution venue Currency 1 Currency 2 Notional amount 1 Notional amount 2 Delivery type nonpublicexecutionreport//trade/product/primaryassetcl ass nonpublicexecutionreport//trade/product/secondaryasset Class nonpublicexecutionreport/trade/tradeheader/partytradei nformation/regulatorregistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap TBD Question raised to the FpML Reporting Working Group nonpublicexecutionreport/trade/genericproduct/productt ype nonpublicexecutionreport/trade/tradeheader/partytradei nformation/largesizetrade nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executiondatetime nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executionvenuetype nonpublicexecutionreport/trade/genericproduct/underlye r/quotedcurrencypair/currency1 nonpublicexecutionreport/trade/genericproduct/notional/ currency nonpublicexecutionreport/trade/genericproduct/underlye r/quotedcurrencypair/currency2 nonpublicexecutionreport/trade/genericproduct/notional/ currency nonpublicexecutionreport/trade/genericproduct/notional/ amount nonpublicexecutionreport/trade/genericproduct/notional/ amount It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. The indication of whether the delivery is physical (deliverable) or cash (non-deliverable) is not normalized as part of the generic product 12 P a g e

13 Settlement or expiration date Timestamp for submission to swap data repository Clearing indicator nonpublicexecutionreport/trade/genericproduct/terminati ondate/unadjusteddate nonpublicexecutionreport/header/creationtimestamp FpML provide two possible ways to reporting the clearing indicator: publicexecutionreport/trade/tradeheader/tradeinfor mation/intenttoclear publicexecutionreport/trade/tradeheader/tradeinfor mation/clearingstatus As it relates to PET reporting, the latter might be more appropriate. This will have to be confirmed via industry specification. representation. Clearing venue nonpublicexecutionreport/party/partyid If the swap will not be cleared, an nonpublicexecutionreport/trade/tradeheader/tradeinfor indication of whether the clearing requirement exception in CEA (2)(h)(7) was elected mation/enduserexception The identity of the counterparty electing nonpublicexecutionreport/party/partyid the clearing requirement exception in CEA (2)(h)(7) Indication of collateralization nonpublicexecutionreport/trade/tradeheader/tradeinfor mation/collateralizationtype Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap The generic product representation doesn t allow to represent in a standardized machine-readable format the payoff streams of the trade. 13 P a g e

14 Interest Rate Swaps (Including Cross-Currency Swaps) Field FpML Data Representation (XPath) Comment nonpublicexecutionreport/trade/tradeheader/partytradei The Unique Swap Identifier for the swap dentifier/tradeid The Legal Entity Identifier of the reporting nonpublicexecutionreport/party/partyid counterparty An indication of whether the reporting counterparty is a swap dealer with respect to the swap An indication of whether the reporting counterparty is a major swap participant with respect to the swap If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) An indication of whether the reporting counterparty is a U.S. person An indication that the swap will be nonpublicexecutionreport/trade/tradeheader/partytradei allocated nformation/allocationstatus If the swap will be allocated, or is a postallocation nonpublicexecutionreport/ party/partyid swap, the Legal Entity Identifier of the agent An indication that the swap is a postallocation nonpublicexecutionreport/trade/tradeheader/partytradei swap nformation/allocationstatus If the swap is a post-allocation swap, the nonpublicexecutionreport/trade/tradeheader/partytradei unique swap identifier of the original transaction between the reporting counterparty and the agent dentifier/blocktradeid/tradeid The Legal Entity Identifier of the nonreporting nonpublicexecutionreport/party/partyid party If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet nonpublicexecutionreport/party/partyid 14 P a g e

15 available, the internal identifier for the nonreporting counterparty used by the swap data repository counterparty is a swap dealer with respect to the swap counterparty is a major swap participant with respect to the swap If the non-reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the non-reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) counterparty is a U.S. person. The Unique Product Identifier assigned to the swap If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository An indication that the swap is a multi-asset swap nonpublicexecutionreport/trade/genericproduct/productt ype To be determined by the respective SDRs Inferred from the presence of nonpublicexecutionreport//trade/product/secondaryasset Class The ISDA UPI working group concluded that the UPI would not be applicable to products that do not have a full algorithmic representation, the reason being that it has to be inferred from a normalized algorithmic representation of the trade/product. It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy. 15 P a g e

16 For a multi-asset class swap, an indication of the primary asset class For a multi-asset class swap, an indication of the secondary asset class(es) An indication that the swap is a mixed swap For a mixed swap reported to two nondually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported Contract type Block trade indicator Execution timestamp Execution venue Start date Maturity, termination or end date Day count convention Notional amount (leg 1) Notional currency (leg 1) Notional amount (leg 2) Notional currency (leg 1) nonpublicexecutionreport//trade/product/primaryassetcl ass nonpublicexecutionreport//trade/product/secondaryasset Class nonpublicexecutionreport/trade/tradeheader/partytradei nformation/regulatorregistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap TBD Question raised to the FpML Reporting Working Group nonpublicexecutionreport/trade/genericproduct/productt ype nonpublicexecutionreport/trade/tradeheader/partytradei nformation/largesizetrade nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executiondatetime nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executionvenuetype nonpublicexecutionreport/trade/genericproduct/terminati ondate/effectivedate nonpublicexecutionreport/trade/genericproduct/terminati ondate/unadjusteddate nonpublicexecutionreport/trade/genericproduct/notional/ currency nonpublicexecutionreport/trade/genericproduct/notional/ amount nonpublicexecutionreport/trade/genericproduct/notional/ currency nonpublicexecutionreport/trade/genericproduct/notional/ It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. Reporting the day count convention would imply representing the trade payoff streams, which would significantly alter the scope and complexity of the generic product representation. The generic product representation supports an array of notionals. 16 P a g e

17 Payer (fixed rate) Payer (floating rate leg 1) Payer (floating rate leg 2) Direction Option type Fixed rate Fixed rate day count fraction Floating rate payment frequency Floating rate reset frequency Floating rate index name/rate period Timestamp for submission to swap data repository Clearing indicator amount nonpublicexecutionreport/trade/genericproduct/optionty pe nonpublicexecutionreport/trade/genericproduct/underlye r/fixedrate nonpublicexecutionreport/trade/genericproduct/underlye r/floatingrate nonpublicexecutionreport/header/creationtimestamp FpML provide two possible ways to reporting the clearing indicator: publicexecutionreport/trade/tradeheader/tradeinfor mation/intenttoclear publicexecutionreport/trade/tradeheader/tradeinfor mation/clearingstatus As it relates to PET reporting, the latter might be more appropriate. This will have to be confirmed via industry specification. The generic product representation deliberately aims at not modeling the derivative payoff streams. This field is intended to give basic information about the option clause. Its limitation relates to the fact that there is only one value at the trade level, hence it is inapplicable in the case where the trade combines several option clauses. The generic product representation deliberately aims at not modeling the derivative payoff streams. Clearing venue nonpublicexecutionreport/party/partyid If the swap will not be cleared, an nonpublicexecutionreport/trade/tradeheader/tradeinfor indication of whether the clearing requirement exception in CEA (2)(h)(7) was elected mation/enduserexception The identity of the counterparty electing nonpublicexecutionreport/party/partyid the clearing requirement exception in CEA (2)(h)(7) Indication of collateralization nonpublicexecutionreport/trade/tradeheader/tradeinfor 17 P a g e

18 Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap mation/collateralizationtype The generic product representation doesn t allow to represent in a standardized machine-readable format the payoff streams of the trade. 18 P a g e

19 Other Commodity Swaps Field FpML Data Representation (XPath) Comment nonpublicexecutionreport/trade/tradeheader/partytradei The Unique Swap Identifier for the swap dentifier/tradeid The Legal Entity Identifier of the reporting nonpublicexecutionreport/party/partyid counterparty An indication of whether the reporting counterparty is a swap dealer with respect to the swap An indication of whether the reporting counterparty is a major swap participant with respect to the swap If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) An indication of whether the reporting counterparty is a U.S. person An indication that the swap will be nonpublicexecutionreport/trade/tradeheader/partytradei allocated nformation/allocationstatus If the swap will be allocated, or is a postallocation nonpublicexecutionreport/ party/partyid swap, the Legal Entity Identifier of the agent An indication that the swap is a postallocation nonpublicexecutionreport/trade/tradeheader/partytradei swap nformation/allocationstatus If the swap is a post-allocation swap, the nonpublicexecutionreport/trade/tradeheader/partytradei unique swap identifier of the original transaction between the reporting counterparty and the agent dentifier/blocktradeid/tradeid The Legal Entity Identifier of the nonreporting nonpublicexecutionreport/party/partyid party If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet nonpublicexecutionreport/party/partyid 19 P a g e

20 available, the internal identifier for the nonreporting counterparty used by the swap data repository counterparty is a swap dealer with respect to the swap counterparty is a major swap participant with respect to the swap If the non-reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the non-reporting counterparty is a financial entity as defined in CEA 2(h)(7)(C) counterparty is a U.S. person. The Unique Product Identifier assigned to the swap If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository An indication that the swap is a multi-asset swap nonpublicexecutionreport/trade/genericproduct/productt ype To be determined by the respective SDRs Inferred from the presence of nonpublicexecutionreport//trade/product/secondaryasset Class The ISDA UPI working group concluded that the UPI would not be applicable to products that do not have a full algorithmic representation, the reason being that it has to be inferred from a normalized algorithmic representation of the trade/product. It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy. 20 P a g e

21 For a multi-asset class swap, an indication of the primary asset class For a multi-asset class swap, an indication of the secondary asset class(es) nonpublicexecutionreport//trade/product/primaryassetcl ass nonpublicexecutionreport//trade/product/secondaryasset Class An indication that the swap is a mixed swap For a mixed swap reported to two nondually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported Contract type nonpublicexecutionreport/trade/tradeheader/partytradei nformation/regulatorregistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap TBD Question raised to the FpML Reporting Working Group nonpublicexecutionreport/trade/genericproduct/productt ype It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. Block trade indicator nonpublicexecutionreport/trade/tradeheader/partytradei nformation/largesizetrade Execution timestamp nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executiondatetime Execution venue nonpublicexecutionreport/trade/tradeheader/partytradei nformation/executionvenuetype Timestamp for submission to swap data nonpublicexecutionreport/header/creationtimestamp repository Start date nonpublicexecutionreport/trade/genericproduct/terminati ondate/effectivedate Maturity, termination or end date nonpublicexecutionreport/trade/genericproduct/terminati ondate/unadjusteddate Buyer nonpublicexecutionreport/trade/genericproduct/buyerpar tyreference Seller nonpublicexecutionreport/trade/genericproduct/sellerpar tyreference Quantity unit nonpublicexecutionreport/trade/genericproduct/notional/ units Quantity The periodic quantity isn t supported as part the Quantity frequency generic product. Total quantity nonpublicexecutionreport/trade/genericproduct/notional/ 21 P a g e

22 Settlement method Price Price unit Price currency Buyer pay index Buyer pay averaging method Seller pay index Seller pay averaging method Grade Option type Option style Option premium Hours from through Hours from through time zone Days of week Load type Clearing indicator amount nonpublicexecutionreport/quote/value nonpublicexecutionreport/quote/value/quoteunits nonpublicexecutionreport/quote/value/currency nonpublicexecutionreport/genericproduct/underlyer/com modity/instrumentid nonpublicexecutionreport/genericproduct/underlyer/com modity/instrumentid nonpublicexecutionreport/genericproduct/underlyer/com modity/instrumentid nonpublicexecutionreport/trade/genericproduct/optionty pe nonpublicexecutionreport/trade/genericproduct/premium FpML provide two possible ways to reporting the clearing indicator: publicexecutionreport/trade/tradeheader/tradeinfor mation/intenttoclear publicexecutionreport/trade/tradeheader/tradeinfor mation/clearingstatus As it relates to PET reporting, the latter might be more The generic product supports the representation of the commodity underlyer. The payer/receiver direction can however be inferred only in the case where there is only one underlyer, as the payoff streams are not modeled. The generic product supports the representation of the commodity underlyer. The payer/receiver direction can however be inferred only in the case where there is only one underlyer, as the payoff streams are not modeled. This field is intended to give basic information about the option clause. Its limitation relates to the fact that there is only one value at the trade level, hence it is inapplicable in the case where the trade combines several option clauses. 22 P a g e

23 appropriate. This will have to be confirmed via industry specification. Clearing venue nonpublicexecutionreport/party/partyid If the swap will not be cleared, an indication of whether the clearing requirement exception in CEA (2)(h)(7) was elected The identity of the counterparty electing the clearing requirement exception in CEA (2)(h)(7) Indication of collateralization Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap nonpublicexecutionreport/trade/tradeheader/tradeinfor mation/enduserexception nonpublicexecutionreport/party/partyid nonpublicexecutionreport/trade/tradeheader/tradeinfor mation/collateralizationtype The generic product representation doesn t allow to represent in a standardized machine-readable format the payoff streams of the trade. 23 P a g e