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FpML-RPTWG Reporting: aggregate notional by tenor and by counterparty type

Please see attached a couple of examples: one for aggregate notional reporting by tenor and another one by counterparty type. This is based on the requirements from the ISDA Rates Repository group (I don't have permission to distribute them yet). I am not sure we have enough information about it but this is a first try to model them.

  

Thanks and Regards,

Marc


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<?xml version="1.0" encoding="UTF-8"?>
<aggregateNotionalByPartyReport xmlns="http://www.fpml.org/FpML-5/reporting"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/reporting ../fpml-main-5-0.xsd">
    <header>
        <messageId messageIdScheme="http://www.abc.com/mid";>XXX00123</messageId>
        <sentBy>ABCDUS33</sentBy>
        <sendTo>HEDGUS33</sendTo>
        <creationTimestamp>2004-08-02T15:38:00Z</creationTimestamp>
    </header>
    <asOfDate>2004-06-02Z</asOfDate>
    <dataSetName>Aggregate Notional by Tenor</dataSetName>
    <reportingRoles>
        <baseParty href="party1" /> 
        <positionProvider href="party1" /> 
    </reportingRoles>
    <maturityProfile>
        <startPeriod>
            <periodMultiplier>0</periodMultiplier>
            <period>Y</period>
        </startPeriod>
        <endPeriod>
            <periodMultiplier>2</periodMultiplier>
            <period>Y</period>
        </endPeriod>
        <notionalByTenor>
            <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
                <periodMultiplier>3</periodMultiplier>
                <period>M</period>
            </indexTenor>
            <totalNotional>
                <currency>USD</currency>
                <amount>100</amount>
            </totalNotional>
        </notionalByTenor>
        <notionalByTenor>
            <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
                <periodMultiplier>6</periodMultiplier>
                <period>M</period>
            </indexTenor>
            <totalNotional>
                <currency>USD</currency>
                <amount>200</amount>
            </totalNotional>
        </notionalByTenor>
        <notionalByTenor>
            <floatingRateIndex>AUD-BBR-BBSW</floatingRateIndex>
            <indexTenor>
                <periodMultiplier>3</periodMultiplier>
                <period>M</period>
            </indexTenor>
            <totalNotional>
                <currency>USD</currency>
                <amount>300</amount>
            </totalNotional>
        </notionalByTenor>
    </maturityProfile>
    <maturityProfile>
        <startPeriod>
            <periodMultiplier>2</periodMultiplier>
            <period>Y</period>
        </startPeriod>
        <endPeriod>
            <periodMultiplier>5</periodMultiplier>
            <period>Y</period>
        </endPeriod>
        <notionalByTenor>
            <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
                <periodMultiplier>3</periodMultiplier>
                <period>M</period>
            </indexTenor>
            <totalNotional>
                <currency>USD</currency>
                <amount>200</amount>
            </totalNotional>
        </notionalByTenor>
    </maturityProfile>
    <party id="party1">
        <partyId>1234</partyId>
    </party>
</aggregateNotionalByPartyReport>

<?xml version="1.0" encoding="UTF-8"?>
<aggregateNotionalByPartyReport xmlns="http://www.fpml.org/FpML-5/reporting"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/reporting ../fpml-main-5-0.xsd">
    <header>
        <messageId messageIdScheme="http://www.abc.com/mid";>XXX00123</messageId>
        <sentBy>ABCDUS33</sentBy>
        <sendTo>HEDGUS33</sendTo>
        <creationTimestamp>2004-08-02T15:38:00Z</creationTimestamp>
    </header>
    <asOfDate>2004-06-02Z</asOfDate>
    <dataSetName>Aggregate Notional by Tenor</dataSetName>
    <reportingRoles>
        <baseParty href="party1"/>
        <positionProvider href="party1"/>
    </reportingRoles>
    <notionalByCounterparty>
        <counterpartyType>G15</counterpartyType>
        <totalNotional>
            <currency>USD</currency>
            <amount>100</amount>
        </totalNotional>
    </notionalByCounterparty>
    <notionalByCounterparty>
        <counterpartyType>Other</counterpartyType>
        <totalNotional>
            <currency>USD</currency>
            <amount>200</amount>
        </totalNotional>
    </notionalByCounterparty>
    <notionalByCounterparty>
        <counterpartyType>CCP</counterpartyType>
        <totalNotional>
            <currency>USD</currency>
            <amount>100</amount>
        </totalNotional>
    </notionalByCounterparty>
    <party id="party1">
        <partyId>1234</partyId>
    </party>
</aggregateNotionalByPartyReport>