0. September 2010
Reporting of Complex & Bespoke Derivatives Progress Update and Forward Perspectives February 12, 2013

1. Meeting Agenda
The implementation approach to comply with CFTC Part 43 and Part 45 for bespoke and complex products by June 30, 2013
The path forward to further standardize the data representation for OTC derivatives

2. Complying with CFTC Part 43 and Part 45
FpML released in January the initial draft of the 5.5 version which, among others, will provide the ability for reporting participants to fully comply with the CFTC reporting rules.
Required Data
Implementation Approach
Part 43 - Specified fields that were missing from the FpML generic product representation
The FpML generic product representation has been expanded to add the 6 missing attributes as part of the 5.5 version of the standard. (See appendix for details.)
Part 45 - Specified fields that were missing from the FpML generic product representation
The FpML generic product representation has been expanded to add the missing attributes as part of the 5.5 version of the standard: 2 attributes for credit and equity swaps, 1 attribute for FX, 8 attributes for interest rate swaps, 13 attributes for commodity swaps. (See appendix for details.)
Part 45 - Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
Insert the termsheet required by §23.431(a) as part of the disclosure of material information for non-SD/MSP counterparties, as a searchable document.
In the case of SDs and MSPs counterparties, insert the trade confirmation as a searchable document.
Part 45 – Confirmation terms
Insert the trade confirmation as a searchable document.
Unique Product Identifier
FpML already supports the ability to associate a product identifier to a trade. The product taxonomy will continue to be used as a proxy for the UPI until such time that we define an alternative workable solution jointly with prudential regulators. 1

3. Standardization – The Path Forward
Bespoke & Complex Products currently represent a limited part of the derivatives landscape
In August 2012, bespoke and complex products were estimated to represent, on average across asset classes, less than 5% of outstanding notional
Credit: 4.96% (TIW data)
Rates: 1.79% (Q ISDA standardization data)
FX: ~2% (based upon information collected from 2 dealers)
Equities: 19.46%, with 9.39% for the G14 dealer population (Q ISDA standardization data)
The enactment of Dodd-Frank provisions introduces several standardization drivers
The requirement to execute trade confirmations within strict timelines will lead to a further development of electronic confirmations, which will in turn imply standardization of the legal terms and data representation
The CFTC has a role to play to further facilitate this standardization process
The industry infrastructure is in place to support such evolution (ISDA product groups, Global FX Division Market Architecture Group, FpML working groups, …).
The CFTC also can play a role by engaging market participants and industry organizations if, as a result of the data derived from the reporting mandate, they see volume increasing for certain bespoke swaps and they wish to see terms reported as part of the encoded term sheet or confirmation documents standardized.
Bespoke & complex product definition for the purpose of the DMO time-limited no-action relief:
not listed for trading on a designated contract market;
not available to be traded on a swap execution facility;
not eligible to be cleared by a derivatives clearing organization;
not eligible to be confirmed through an electronic matching confirmation system; and
not represented in Financial products Markup Language (“FpML”)   

4. Appendix – FpML Generic Product Extensions
Part 43 Public Price Transparency Fields
FpML XPath
Day count convention
publicExecutionRecord/trade/genericProduct/dayCountFraction
Payment frequency
publicExecutionRecord/trade/genericProduct/paymentFrequency
Reset frequency
publicExecutionRecord/trade/genericProduct/resetFrequency
Option Strike Price
publicExecutionRecord/trade/genericProduct/strike
Option Family
publicExecutionRecord/trade/genericProduct/exerciseStyle
Option lockout period
publicExecutionRecord/trade/genericProduct/commencementDate

5. Appendix – FpML Generic Product Extensions
Part 45 PET Fields for Credit & Equity Swaps
FpML XPath
Payment frequency of the reporting counterparty
nonpublicExecutionRecord/trade/genericProduct/paymentFrequency/payerPartyReference
Payment frequency of the non-reporting counterparty
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
nonpublicExecutionRecord/trade/documentation/attachment
with <resourceType>TermSheet</resourceType>
with <resourceType>Confirmation</resourceType>
Part 45 PET Fields for FX
FpML XPath
Delivery type
nonpublicExecutionRecord/trade/genericProduct/settlementType
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
nonpublicExecutionRecord/trade/documentation/attachment
with <resourceType>TermSheet</resourceType>
with <resourceType>Confirmation</resourceType>

6. Appendix – FpML Generic Product Extensions
Part 45 PET Fields for Interest Rate Swaps
FpML XPath
Day count convention
nonpublicExecutionRecord/trade/genericProduct/dayCountFraction
Payer (fixed rate)
nonpublicExecutionRecord/trade/genericProduct/underlyer/fixedRate
nonpublicExecutionRecord/trade/genericProduct/underlyer/payerPartyReference
Payer (floating rate leg 1)
nonpublicExecutionRecord/trade/genericProduct/underlyer/floatingRate
Payer (floating rate leg 2)
Direction
Swaps: implied by the above
Options:
nonpublicExecutionRecord/trade/genericProduct/buyerPartyReference
nonpublicExecutionRecord/trade/genericProduct/sellerPartyReference
Fixed rate day count fraction
nonpublicExecutionRecord/trade/genericProduct/dayCountConvention/underlyerReference/underlyer/dayCountFraction
Floating rate payment frequency
nonpublicExecutionRecord/trade/genericProduct/paymentFrequency/periodMultiplier
nonpublicExecutionRecord/trade/genericProduct/paymentFrequency/period
nonpublicExecutionRecord/trade/genericProduct/paymentFrequency/underlyerReference  underlyer/floatingRate
Floating rate reset frequency
nonpublicExecutionRecord/trade/genericProduct/resetFrequency/periodMultiplier
nonpublicExecutionRecord/trade/genericProduct/resetFrequency/period
nonpublicExecutionRecord/trade/genericProduct/resetFrequency/underlyerReference  underlyer/floatingRate
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
nonpublicExecutionRecord/trade/documentation/attachment
with <resourceType>TermSheet</resourceType>
with <resourceType>Confirmation</resourceType>

7. Appendix – FpML Generic Product Extensions
Part 45 PET Fields for Commodity Swaps
FpML XPath
Quantity
nonpublicExecutionRecord/trade/genericProduct/quantity
Quantity frequency
nonpublicExecutionRecord/trade/genericProduct/quantityFrequency
Total quantity
nonpublicExecutionRecord/trade/genericProduct/notional/units
nonpublicExecutionRecord/trade/genericProduct/notional/amount
Settlement method
nonpublicExecutionRecord/trade/genericProduct/settlementType
Buyer pay index
nonpublicExecutionRecord/trade/genericProduct/underlyer/commodity/instrumentId
nonpublicExecutionRecord/trade/genericProduct/underlyer/receiverPartyReference, or nonpublicExecutionRecord/trade/genericProduct/underlyer/buyerPartyReference
Buyer pay averaging method
nonpublicExecutionRecord/trade/genericProduct/underlyer/averagingMethod
Seller pay index
nonpublicExecutionRecord/trade/genericProduct/underlyer/payerPartyReference, or nonpublicExecutionRecord/trade/genericProduct/underlyer/sellerPartyReference
Seller pay averaging method
Option style
nonpublicExecutionRecord/trade/genericProduct/exerciseStyle
Hours from through
nonpublicExecutionRecord/trade/genericProduct/settlementPeriod/startTime/time/hourMinuteTime
nonpublicExecutionRecord/trade/genericProduct/settlementPeriod/endTime/time/hourMinuteTime
Hours from through time zone
nonpublicExecutionRecord/trade/genericProduct/settlementPeriod/startTime/time/location
nonpublicExecutionRecord/trade/genericProduct/settlementPeriod/endTime/time/location
Days of week
nonpublicExecutionRecord/trade/genericProduct/settlementPeriod/applicableDay
Load type
nonpublicExecutionRecord/trade/genericProduct/grade
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap
nonpublicExecutionRecord/trade/documentation/attachment
with <resourceType>TermSheet</resourceType>
with <resourceType>Confirmation</resourceType>