1. FpML Standards Committee
FpML 5.5 REC – items added to REC
FpML 5.6 – Planned Coverage
FpML Standards Committee
Outcome of May 13, 2013 meeting

2. FpML 5.5 items added (1/1)
These items were agreed at the May 13 Standards Committee meeting for addition to the 5.5 REC
(RPTWG) DTCC requirement to provide trading history when snapshots are provided
Requirement to add the ability to track the agreement dates for post-trade events when the trade is reported using a series of snapshots.
Proposal to add history/tradingEvent to the Events.model (See RPTWG threads:
Implementation
Background / requirement (4/29 minutes)
Housekeeping Tasks
Miscellaneous issue fixes
Additional documentation
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May 13, 2013

3. FpML 5.6 coverage (1/6) Additional Jurisdictions Loan Commodities
Australia (ASIC) – RPTWG gap analysis completed
Singapore (MAS) – MAS consultation is expected in coming weeks
Loan
Initial review by the Coordination Committee
Additional review by the BPWG (business event identification, integration work)
Commodities
The Commodities WG has a long compilation of input received from swap dealers on product and feature coverage they would like to see in the DTCC Global Trade Repository (GTR).  Some items are covered by FpML and need only be supported by the GTR message specification.  Others do not appear to be covered in commodity FpML. The Group is working on prioritizing them (there are items on the list). So far, the group identified the following items from that list.
Basket Options (wip)
Kent: Pricing re-model (in discussion)
Binary Options (proposal is expected)
Trades with knock-in and knock out features (proposal is expected)
Accumulator
Equity – The EQDWG plans to work on new equity definitions
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May 13, 2013

4. FpML 5.6 coverage (2/6)
(Pierre Lamy / GS) Proposed candidates for full product representation
Interest Rates
Interest Rates - Product Type
Description
Priority
Inflation Option
One party’s payment is based on observed inflation index relative to cap or floor strike. 1
Spread Option (aka, CMS One-look / CMS Multi-look)
Settlement is based on one or more observed CMS rates relative to a strike; observations can occur on a specified Determination Date (one-look) or various Determination Dates throughout the life of the trade (multi-look). 2
Treasury Rate Lock
One party’s settlement is based on observed U.S. Treasury rate relative to one strike. 3
Binary Option
Settlement is based on comparing one or more observed rates to one or more strikes; yielded value is either 1 or 0 (digital option – i.e., binary cap, binary floor). 4
Vol Forward Swaption
Fixed Rate of underlying swap is determined on a date subsequent to the effective date of the swaption; swaption expiry date then occurs subsequent to fixed rate determination date. 5
Range Accrual
One party’s payment accrues based upon the number of days in calculation period when an observed rate falls within defined range of values 6
Knock-out / Knock-in
Trade terminates or becomes effective based on observed rate. 7
Accumulator
Coupon rates for each calculation period are summed during the life of the trade and used to calculate a single payment at termination. 8
Equity
Equity - Product Type
Description
Volatility Swaps
Forward contract on the future realised volatility of a given underlying asset
Accumulators
Barrier Options with predetermined strike which settle periodically
Vix options
Volatility Options
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May 13, 2013

5. FpML 5.6 coverage (3/6) Commodities
Commodities - Product Type
Description
Priority
Raised already in Commod WG as
Strip Options
Strip of options with shaped strikes, option types, FX settlement on the common underlyer 1
Return Swap 2
Swap on a basket of products formula based payout
Swap on a custom index (basket of products) with a formula based payout 3
Structured Product
Structure Trades with Complex Settlement Features
Structured trade with multiple products and features, i.e. forward, option, swap, and a complex settlement feature 4
Swap on a custom index (basket of products) with a formula based payout with FX 5
Quantos Basket Option
Basket Options with difference between settlement & pricing currency and a formula based payout 6
Basket Option
Variance Swap
Swap on the implied and realized volatility 7
Basket Options - Physical
Option on a basket which delivers physicals 8
Strip Basket Options
Strip of options on a basket of assets with shaped strikes, option types, FX settlement on the common underlyer 9
Volatility Option
Strike and Float is based on the volatility of the underlyer 10
Emissions fwd starting qty
Swap of emission allowance where the quantity is estimated at execution time and trued up at predetermined future time 11
Structured Barrier Options
Multiple barrier options for the same period 12
European Barrier Option, but needs support for other styles
Storage Contract
Withdrawal or Injection of a location. Fee charged for volume moved. 13
Strip of Forwards
Periodic delivery of metal with shaped quantity and prices 14
Barrier Option 15
Basket Barrier Option
Barrier Option on a basket of products 16
CFD with CMD underlyer
Contract for difference 17
Wrapper that monitors day/day MTM payouts 18
Renewable Energy Certificate Swaps
Swap involving REC
Metal Lease
Lessee receives physial metal, lessor receives interest. Can be modeled as a commoditySwap & IRSwap 19
Digital Option
Fixed payment after breaking a threshold 20
Digital Options
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May 13, 2013

6. FpML 5.6 coverage (4/6) (BPWG) Predetermined Clearing (related to # 7)
Enhancing the exerciseProcedure with the ability to specify a predetermined clearing organization (for swaps originating from a swaption)
Due to the regulatory (CFTC) and industry initiative for Mandatory Clearing of derivatives transactions, industry participants have suggested that the selection of the CCP for the resulting swap created as part of an exercise of a swaption, would be agreed at the time of execution of the original swaption. Essentially, industry participants wish to enhance the Credit swaption confirmation template to include a field indicating the pre-determined CCP for the resulting swap created due from swaption exercise.
On March 11th, 2013, the CFTC mandate for mandatory clearing came into effect for credit swaps.  CD Index trades resulting from an exercise of an Index Option are subject to this mandate. As CDX clears at multiple clearing houses, the election of a CCP must be confirmed at the time of execution of the Index Option.  This is a price forming, materially economic term that is legally binding.
As designated in “Exhibit A- Minimum Primary Economic Terms Data for Credit Swaps and Equity Swaps” of the part 45 rule, we are required to report “Any other term(s) of the swap matched or affirmed by the counterparties verifying the swap” and must use as many fields as required to report each such term.  As a result, we must include this field in both our PET and confirm reporting messages that are sent to the Swaps Data Repository.  Reporting participants are currently unable to do so as this information is not currently supported in FpML.
(BPWG) Swaption Execution and Clearing (related to # 6)
Received feedback from a dealer about non-cleared swaptions that may subsequently need to be cleared.  It may be necessary to update the exerciseProcedure to describe, for example whether the resulting swap must be cleared or may be cleared at the discretion of the option owner.  In addition, the actual exercise of the swaption resulting in a swap which may  be cleared and then potentially allocated should be described using examples to show how the various transactions are recorded (e.g. using originatingEvent and orginatingTradeId).  Another twist is that the exercise might result in a partial termination rather than a new trade, for example in a cancellation option, so it would be necessary to show this in the reporting flow. 
The BPWG will need to define the business requirements and produce examples showing how they would be represented.  The treatment of option exercise events should be consistent with other post trade events; might need similar example flows for other post trade events.
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May 13, 2013

7. FpML 5.6 coverage (5/6) (BPWG) Product Definition Messages
The BPWG has been working on the capability for a clearing house or potentially an execution facility to provide a set of definitions of the products that are supported on the platform.
The consumers would be clearing house members or anyone interfacing with a clearing house. Sample application: a new trade to be cleared, is created using a populated GUI based on the parameters that are clearable (e.g., if you pick a certain currency, the system could tell you the maximum tenor, or which business centers are required or optional)
At the April Standards Committee meeting, the BPWG requested guidance from members.
We did not have time to discuss feedback at the May meeting. Deferred to June.
(BPWG) LCH Requests
Collateral and Liabilities request/response and notification
Clearing Quote request/response
(Pierre Lamy / GS) Clearing enhancements to comply with CFTC rule 50.50(b)
Missing the extension to comply with the reporting requirement associated with the clearing exemption.  CFTC rule 50.50(b) below lists the various reporting implications of this clearing exemption, which comes into compliance in early September 2013.  Some of those attributes are not yet present in the current FpML.
Pierre Lamy and Peter Garratt will reach out internally.
® FpML is a registered trademark of the International Swaps & Derivatives Association, Inc.
May 13, 2013

8. FpML 5.6 coverage (6/6) (RPTWG/BPWG) Listed Derivatives
The Standards Committee agreed to form a Task Force / New Working Group to address these related issues:
(RPTWG/BPWG) Listed Derivatives
Subsequent to the joint Standards/Coordination Committees review session (Jan 31) of the listed derivatives support in FpML, LCH provided additional input/reports (needed for start of EMIR reporting)
Preliminary gap analysis / FpML mapping being finalized, to be reviewed by working group(s) (TBD)
(Peter Garratt / DTCC) Bond Forwards
Bond Forwards are not included in 5.5 but are a product reportable under EMIR and Russian regulations
(Coordination Committee) Using Instrument Trade Details for listed derivatives or cash securities reporting
Coordination Committee members are divided on using the instrument trade details for this purpose.
Citco and GEM proposed an extension (2005) to FpML that allowed Citco to support all of its product  mix (equities, warrants, bonds, convertible bonds, mutual funds, etc., etc.] with a solution that has been very successfully in production with them since then.   
Some propose leveraging the original bondContract proposed by JPMorgan (published as an extension). Two major dealers have been using this.
FpML structure: instrumentTradeDetails
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May 13, 2013