generic product representation & final cftc reporting rules
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CFTC Part 43-45 & Generic Product Representation
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Generic Product Representation & Final CFTC Reporting Rules Final version –March 21st , 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 3rd 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.
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Part 43 – Real-Time Public Reporting of Swap Transaction Data
Field FpML Data Representation (XPath) Comment Cancellation publicExecutionReportRetracted Same as standardized trades.
Correction publicExecutionReport/ isCorrection Same as standardized trades. Execution timestamp publicExecutionReport/trade/tradeHeader/tradeInformation/executionDat
eTime Same as standardized trades.
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.
Same as standardized trades.
Indication of Collateralization
publicExecutionReport/trade/tradeHeader/tradeInformation/collateralizationType
Same as standardized trades.
Indication of end-user exception
publicExecutionReport/trade/tradeHeader/tradeInformation/endUserException
Same as standardized trades.
Indication of other price affecting term (indication for non-standardized (bespoke) swaps)
publicExecutionReport/trade/tradeHeader/tradeInformation/nonStandardTerms
This indicator will systematically be set to ‘True’ for bespoke and complex products.
Block trades and large notional off-facility swaps
publicExecutionReport/trade/tradeHeader/tradeInformation/largeSizeTrade
Same as standardized trades.
Execution venue publicExecutionReport/trade/tradeHeader/tradeInformation/executionVenueType
Same as standardized trades.
Effective or Start date publicExecutionReport/trade/genericProduct/effectiveDate/unadjustedDate
End Date publicExecutionReport/trade/genericProduct/terminationDate/unadjustedDate
Day count convention Not supported Reporting the day count convention would imply representing the trade payoff streams, which
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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., value date)
publicExecutionReport/trade/genericProduct/settlementCurrency
Asset class publicExecutionReport/trade/genericProduct/primaryAssetClass It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades. Sub-asset class for other
commodity publicExecutionReport/trade/genericProduct/productType
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 the underlyer types that have been specified as part of the FpML standard.
Underlying asset 2 publicExecutionReport/trade/genericProduct/underlyer/…
Price notation publicExecutionReport/quote
Additional price notation publicExecutionReport/quote
Unique product identifier Not supported 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
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principal amount 1
Notional currency 2 (i.e., counter currency)
publicExecutionReport/trade/genericProduct/notional/currency
Rounded notional or principal amount 2
publicExecutionReport/trade/genericProduct/notional/amount
Payment frequency I Not supported
Payment frequency 2 Not supported
Reset frequency I Not supported
Reset frequency 2 Not supported
Embedded Option on Swap Not supported
Option Strike Price Not supported
Option Type publicExecutionReport/trade/genericProduct/optionType
Option Family Not supported
Option currency publicExecutionReport/trade/genericProduct/premium/paymentAmount\Currency
Option premium publicExecutionReport/trade/genericProduct/premium
Option lockout period Not supported
Option expiration date publicExecutionReport/trade/genericProduct/expirationDate/unadjustedDate
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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.
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Credit Swaps & Equity swaps
Field FpML Data Representation (XPath) Comment
The Unique Swap Identifier for the swap nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/tradeId
Same as standardized trades.
The Legal Entity Identifier of the reporting counterparty
nonpublicExecutionReport/party/partyId Same as standardized trades.
An indication of whether the reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a U.S. person
Inferred by the SDR from the LEI Same as standardized trades.
An indication that the swap will be allocated
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent
nonpublicExecutionReport/ party/partyId Same as standardized trades.
An indication that the swap is a post-allocation swap
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap is a post-allocation swap, the unique swap identifier of the original transaction between the reporting counterparty and the agent
nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/blockTradeId/tradeId
Same as standardized trades.
The Legal Entity Identifier of the non-reporting party
nonpublicExecutionReport/party/partyId Same as standardized trades.
If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet
nonpublicExecutionReport/party/partyId Same as standardized trades.
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available, the internal identifier for the non-reporting counterparty used by the swap data repository
An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a U.S. person.
Inferred by the SDR from the LEI Same as standardized trades.
The Unique Product Identifier assigned to the swap
Not supported 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.
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
nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
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
To be determined by the respective SDRs In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy.
An indication that the swap is a multi-asset swap
Inferred from the presence of nonpublicExecutionReport//trade/Product/secondaryAssetClas
s
Same as standardized trades.
For a multi-asset class swap, an indication nonpublicExecutionReport//trade/Product/primaryAssetClass Same as standardized trades.
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of the primary asset class
For a multi-asset class swap, an indication of the secondary asset class(es)
nonpublicExecutionReport//trade/Product/secondaryAssetClas
s
Same as standardized trades.
An indication that the swap is a mixed swap nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/regulatorRegistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap
Same as standardized trades.
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported
TBD – Question raised to the FpML Reporting Working Group
Same as standardized trades.
An indication of the counterparty purchasing protection
nonpublicExecutionReport/trade/genericProduct/buyerPartyReference
An indication of the counterparty selling protection
nonpublicExecutionReport/trade/genericProduct/sellerPartyReference
Information identifying the reference entity nonpublicExecutionReport/trade/genericProduct/underlyer/referenceEntity/entityId
The building block used to represent the reference entity is the same than the one in place for standardized credit default swaps.
Contract type nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
Block trade indicator nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/largeSizeTrade
Same as standardized trades.
Execution timestamp nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionDateTime
Same as standardized trades.
Execution venue nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionVenueType
Same as standardized trades.
Start date nonpublicExecutionReport/trade/genericProduct/effectiveDate/unadjustedDate
Maturity, termination or end date nonpublicExecutionReport/trade/genericProduct/terminationDate/unadjustedDate
The price nonpublicExecutionReport/trade/quote
The notional amount, and the currency in which the notional amount is expressed
nonpublicExecutionReport/trade/genericProduct/notional/currency nonpublicExecutionReport/trade/genericProduct/notional/amount
The amount and currency (or currencies) of Not supported The current generic product representation only
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any up-front payment 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.
Payment frequency of the reporting counterparty
Not supported Reporting those data points would imply representing the trade payoff streams, which would significantly alter the scope and complexity of the generic product representation.
Payment frequency of the non-reporting counterparty
Not supported
Timestamp for submission to swap data repository
nonpublicExecutionReport/header/creationTimeStamp Same as standardized trades.
Clearing indicator 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.
Same as standardized trades.
Clearing venue nonpublicExecutionReport/party/partyId Same as standardized trades. If the swap will not be cleared, an indication of whether the clearing requirement exception in CEA § (2)(h)(7) was elected
nonpublicExecutionReport/trade/tradeHeader/tradeInformation/endUserException
Same as standardized trades.
The identity of the counterparty electing the clearing requirement exception in CEA § (2)(h)(7)
nonpublicExecutionReport/party/partyId Same as standardized trades.
Indication of collateralization nonpublicExecutionReport/trade/tradeHeader/tradeInformation/collateralizationType
Same as standardized trades.
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
Not supported The generic product representation doesn’t allow to represent in a standardized machine-readable format the payoff streams of the trade.
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Foreign Exchange Transactions
Field FpML Data Representation (XPath) Comment
The Unique Swap Identifier for the swap nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/tradeId
Same as standardized trades.
The Legal Entity Identifier of the reporting counterparty
nonpublicExecutionReport/party/partyId Same as standardized trades.
An indication of whether the reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a U.S. person
Inferred by the SDR from the LEI Same as standardized trades.
An indication that the swap will be allocated
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent
nonpublicExecutionReport/ party/partyId Same as standardized trades.
An indication that the swap is a post-allocation swap
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap is a post-allocation swap, the unique swap identifier of the original transaction between the reporting counterparty and the agent
nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/blockTradeId/tradeId
Same as standardized trades.
The Legal Entity Identifier of the non-reporting party
nonpublicExecutionReport/party/partyId Same as standardized trades.
If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet
nonpublicExecutionReport/party/partyId Same as standardized trades.
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available, the internal identifier for the non-reporting counterparty used by the swap data repository
An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a U.S. person.
Inferred by the SDR from the LEI Same as standardized trades.
The Unique Product Identifier assigned to the swap
Not supported 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.
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
nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
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
To be determined by the respective SDRs In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy.
An indication that the swap is a multi-asset swap
Inferred from the presence of nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
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For a multi-asset class swap, an indication of the primary asset class
nonpublicExecutionReport//trade/Product/primaryAssetClass
Same as standardized trades.
For a multi-asset class swap, an indication of the secondary asset class(es)
nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
An indication that the swap is a mixed swap nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/regulatorRegistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap
Same as standardized trades.
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported
TBD – Question raised to the FpML Reporting Working Group
Same as standardized trades.
Contract type nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
Block trade indicator nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/largeSizeTrade
Same as standardized trades.
Execution timestamp nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionDateTime
Same as standardized trades.
Execution venue nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionVenueType
Same as standardized trades.
Currency 1 nonpublicExecutionReport/trade/genericProduct/underlyer/quotedCurrencyPair/currency1 nonpublicExecutionReport/trade/genericProduct/notional/currency
Currency 2 nonpublicExecutionReport/trade/genericProduct/underlyer/quotedCurrencyPair/currency2 nonpublicExecutionReport/trade/genericProduct/notional/currency
Notional amount 1 nonpublicExecutionReport/trade/genericProduct/notional/amount
Notional amount 2 nonpublicExecutionReport/trade/genericProduct/notional/amount
Delivery type The indication of whether the delivery is “physical (deliverable) or cash (non-deliverable)” is not normalized as part of the generic product
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representation.
Settlement or expiration date nonpublicExecutionReport/trade/genericProduct/terminationDate/unadjustedDate
Timestamp for submission to swap data repository
nonpublicExecutionReport/header/creationTimeStamp Same as standardized trades.
Clearing indicator 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.
Same as standardized trades.
Clearing venue nonpublicExecutionReport/party/partyId Same as standardized trades. If the swap will not be cleared, an indication of whether the clearing requirement exception in CEA § (2)(h)(7) was elected
nonpublicExecutionReport/trade/tradeHeader/tradeInformation/endUserException
Same as standardized trades.
The identity of the counterparty electing the clearing requirement exception in CEA § (2)(h)(7)
nonpublicExecutionReport/party/partyId Same as standardized trades.
Indication of collateralization nonpublicExecutionReport/trade/tradeHeader/tradeInformation/collateralizationType
Same as standardized trades.
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
Not supported The generic product representation doesn’t allow to represent in a standardized machine-readable format the payoff streams of the trade.
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Interest Rate Swaps (Including Cross-Currency Swaps)
Field FpML Data Representation (XPath) Comment
The Unique Swap Identifier for the swap nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/tradeId
Same as standardized trades.
The Legal Entity Identifier of the reporting counterparty
nonpublicExecutionReport/party/partyId Same as standardized trades.
An indication of whether the reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a U.S. person
Inferred by the SDR from the LEI Same as standardized trades.
An indication that the swap will be allocated
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent
nonpublicExecutionReport/ party/partyId Same as standardized trades.
An indication that the swap is a post-allocation swap
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap is a post-allocation swap, the unique swap identifier of the original transaction between the reporting counterparty and the agent
nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/blockTradeId/tradeId
Same as standardized trades.
The Legal Entity Identifier of the non-reporting party
nonpublicExecutionReport/party/partyId Same as standardized trades.
If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet
nonpublicExecutionReport/party/partyId Same as standardized trades.
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available, the internal identifier for the non-reporting counterparty used by the swap data repository
An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a U.S. person.
Inferred by the SDR from the LEI Same as standardized trades.
The Unique Product Identifier assigned to the swap
Not supported 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.
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
nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
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
To be determined by the respective SDRs In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy.
An indication that the swap is a multi-asset swap
Inferred from the presence of nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
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For a multi-asset class swap, an indication of the primary asset class
nonpublicExecutionReport//trade/Product/primaryAssetClass
Same as standardized trades.
For a multi-asset class swap, an indication of the secondary asset class(es)
nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
An indication that the swap is a mixed swap nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/regulatorRegistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap
Same as standardized trades.
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported
TBD – Question raised to the FpML Reporting Working Group
Same as standardized trades.
Contract type nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
Block trade indicator nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/largeSizeTrade
Same as standardized trades.
Execution timestamp nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionDateTime
Same as standardized trades.
Execution venue nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionVenueType
Same as standardized trades.
Start date nonpublicExecutionReport/trade/genericProduct/terminationDate/effectiveDate
Maturity, termination or end date nonpublicExecutionReport/trade/genericProduct/terminationDate/unadjustedDate
Day count convention 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.
Notional amount (leg 1) nonpublicExecutionReport/trade/genericProduct/notional/currency
The generic product representation supports an array of notionals.
Notional currency (leg 1) nonpublicExecutionReport/trade/genericProduct/notional/amount
Notional amount (leg 2) nonpublicExecutionReport/trade/genericProduct/notional/currency
Notional currency (leg 1) nonpublicExecutionReport/trade/genericProduct/notional/
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amount
Payer (fixed rate) The generic product representation deliberately aims at not modeling the derivative payoff streams.
Payer (floating rate leg 1)
Payer (floating rate leg 2)
Direction
Option type nonpublicExecutionReport/trade/genericProduct/optionType
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.
Fixed rate nonpublicExecutionReport/trade/genericProduct/underlyer/fixedRate
Fixed rate day count fraction The generic product representation deliberately aims at not modeling the derivative payoff streams.
Floating rate payment frequency
Floating rate reset frequency
Floating rate index name/rate period nonpublicExecutionReport/trade/genericProduct/underlyer/floatingRate
Timestamp for submission to swap data repository
nonpublicExecutionReport/header/creationTimeStamp Same as standardized trades.
Clearing indicator 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.
Same as standardized trades.
Clearing venue nonpublicExecutionReport/party/partyId Same as standardized trades. If the swap will not be cleared, an indication of whether the clearing requirement exception in CEA § (2)(h)(7) was elected
nonpublicExecutionReport/trade/tradeHeader/tradeInformation/endUserException
Same as standardized trades.
The identity of the counterparty electing the clearing requirement exception in CEA § (2)(h)(7)
nonpublicExecutionReport/party/partyId Same as standardized trades.
Indication of collateralization nonpublicExecutionReport/trade/tradeHeader/tradeInfor Same as standardized trades.
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mation/collateralizationType
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
Not supported The generic product representation doesn’t allow to represent in a standardized machine-readable format the payoff streams of the trade.
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Other Commodity Swaps
Field FpML Data Representation (XPath) Comment
The Unique Swap Identifier for the swap nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/tradeId
Same as standardized trades.
The Legal Entity Identifier of the reporting counterparty
nonpublicExecutionReport/party/partyId Same as standardized trades.
An indication of whether the reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the reporting counterparty is a U.S. person
Inferred by the SDR from the LEI Same as standardized trades.
An indication that the swap will be allocated
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent
nonpublicExecutionReport/ party/partyId Same as standardized trades.
An indication that the swap is a post-allocation swap
nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/allocationStatus
Same as standardized trades.
If the swap is a post-allocation swap, the unique swap identifier of the original transaction between the reporting counterparty and the agent
nonpublicExecutionReport/trade/tradeHeader/partyTradeIdentifier/blockTradeId/tradeId
Same as standardized trades.
The Legal Entity Identifier of the non-reporting party
nonpublicExecutionReport/party/partyId Same as standardized trades.
If no CFTC-approved Legal Entity Identifier for the non-reporting counterparty is yet
nonpublicExecutionReport/party/partyId Same as standardized trades.
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available, the internal identifier for the non-reporting counterparty used by the swap data repository
An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a major swap participant with respect to the swap
Inferred by the SDR from the LEI Same as standardized trades.
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)
Inferred by the SDR from the LEI Same as standardized trades.
An indication of whether the non-reporting counterparty is a U.S. person.
Inferred by the SDR from the LEI Same as standardized trades.
The Unique Product Identifier assigned to the swap
Not supported 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.
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
nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
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
To be determined by the respective SDRs In the absence of a normalized representation of the trade/product, the SDR might not be able to go much beyond the product taxonomy.
An indication that the swap is a multi-asset swap
Inferred from the presence of nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
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For a multi-asset class swap, an indication of the primary asset class
nonpublicExecutionReport//trade/Product/primaryAssetClass
Same as standardized trades.
For a multi-asset class swap, an indication of the secondary asset class(es)
nonpublicExecutionReport//trade/Product/secondaryAssetClass
Same as standardized trades.
An indication that the swap is a mixed swap nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/regulatorRegistration/regulator, with both the CFTC and the SEC indicated in the case of a mixed swap
Same as standardized trades.
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other swap data repository (if any) to which the swap is or will be reported
TBD – Question raised to the FpML Reporting Working Group
Same as standardized trades.
Contract type nonpublicExecutionReport/trade/genericProduct/productType
It is expected that the ISDA product taxonomy will be provided, as in the case of standardized trades.
Block trade indicator nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/largeSizeTrade
Same as standardized trades.
Execution timestamp nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionDateTime
Same as standardized trades.
Execution venue nonpublicExecutionReport/trade/tradeHeader/partyTradeInformation/executionVenueType
Same as standardized trades.
Timestamp for submission to swap data repository
nonpublicExecutionReport/header/creationTimeStamp Same as standardized trades.
Start date nonpublicExecutionReport/trade/genericProduct/terminationDate/effectiveDate
Maturity, termination or end date nonpublicExecutionReport/trade/genericProduct/terminationDate/unadjustedDate
Buyer nonpublicExecutionReport/trade/genericProduct/buyerPartyReference
Seller nonpublicExecutionReport/trade/genericProduct/sellerPartyReference
Quantity unit nonpublicExecutionReport/trade/genericProduct/notional/units
Quantity Not supported The periodic quantity isn’t supported as part the generic product. Quantity frequency Not supported
Total quantity nonpublicExecutionReport/trade/genericProduct/notional/
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amount
Settlement method Not supported
Price nonpublicExecutionReport/quote/value
Price unit nonpublicExecutionReport/quote/value/quoteUnits
Price currency nonpublicExecutionReport/quote/value/currency
Buyer pay index nonpublicExecutionReport/genericProduct/underlyer/commodity/instrumentId
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.
Buyer pay averaging method Not supported
Seller pay index nonpublicExecutionReport/genericProduct/underlyer/commodity/instrumentId
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.
Seller pay averaging method Not supported
Grade nonpublicExecutionReport/genericProduct/underlyer/commodity/instrumentId
Option type nonpublicExecutionReport/trade/genericProduct/optionType
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.
Option style Not supported
Option premium nonpublicExecutionReport/trade/genericProduct/premium
Hours from through Not supported
Hours from through time zone Not supported
Days of week Not supported
Load type Not supported
Clearing indicator 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
Same as standardized trades.
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appropriate. This will have to be confirmed via industry specification.
Clearing venue nonpublicExecutionReport/party/partyId Same as standardized trades. If the swap will not be cleared, an indication of whether the clearing requirement exception in CEA § (2)(h)(7) was elected
nonpublicExecutionReport/trade/tradeHeader/tradeInformation/endUserException
Same as standardized trades.
The identity of the counterparty electing the clearing requirement exception in CEA § (2)(h)(7)
nonpublicExecutionReport/party/partyId Same as standardized trades.
Indication of collateralization nonpublicExecutionReport/trade/tradeHeader/tradeInformation/collateralizationType
Same as standardized trades.
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
Not supported The generic product representation doesn’t allow to represent in a standardized machine-readable format the payoff streams of the trade.
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