[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

FpML-RPTWG FpML Reporting Minutes - Thursday February 9th

Please find the minutes for the Thursday, February 9th meeting.

  Attendees

 

1.       Brian Lynn                                              Global Electronic Markets (Chair)             

2.       Andy Thatai                                           CFTC

3.       Steve Surina                                          CFTC

4.       Robert Stowsky                                    CFTC

5.       Ian Salter                                                JP Morgan

6.       Iman Poernomo                                   JP Morgan

7.       John Booth                                            MarkitSERV     

8.       Jonathan Elliot                                     MarkitSERV

9.       Sreedhar Segu                                      Credit Suisse  

10.   Clare Gehrhardt                                   DTCC    

11.   Steve Sandberg                                    DTCC

12.   Bryan McRoberts                                 Bank of America

13.   Craig Pflumm                                        Chatham Financial

14.   Shawn Kelly                                           ARK EDI Solutions    

15.   Mark Taratko                                        KPMG

16.   Martin Sexton                                      London Market Systems

17.   Justin Roy                                              DB

18.   Harry McAllister                                   BNP Paribas

19.   George Heming                                    GS

20.   Saiket Mukherjee                                 Birlasoft

21.   James Beattie                                       Message Automation

22.   Lyteck Lynhiavu                                    ISDA     

23.   Maithili Koli                                            ISDA     

 

Apologies

1        Thomas Campbell                           CFTC

2.       David Wynter                                   Yambina

        3.       Mike Bennet                                    EDM Council

4.       Aditya Krishnan                               JP Morgan

 

     

 

Summary

 

1.           Changes/Feedback from DTCC addressed:

 a.       Changes to  reportingRole element(Action Item #1)

                                reportingRole

>> Changes have been made in the current Working draft for reportingRole to indicate - Reporting party/ voluntary party

Suppress Price Dissemination

Requirement- Indicate that the price should not be real time disseminated to some regulators.

>>Resolution-  

In order to achieve Price Dissemination for a variety of use cases ,currently FpML supports two types of message:

1. Public execution report- when transaction is publicly reportable (currently present in FpML)- in Transparency View

2. Non-public execution report- In order to support SDR reporting this message will contains a  ‘reporting purpose’ field (values: primary economic term reporting/real time reporting/confirmation reporting)- in recordkeeping view

         - if this field not present then it is assumed that this report will not be used for any public reporting

 

>>Sreedhar raised the point that there was no clarity regarding real time reporting for other regulators and commenting if adding this change was necessary.

                                                                                >> Brian reported that per Monday’s meeting, he had updated the regulator registration element to include a flag indicating whether the data was publicly reportable for the given regulator

 

2.                 Review Changes/ Action items from last Meeting - Minutes

 

b.      Changes to regulatorRegistration and collateral

regulatorRegistration

>>Added an optional multi-field element ‘regulatorRegistration’ to PartyTradeInformation-

(NOTE: further discussions Item #5 – will indicate that this element name will now be changed to ‘reportingRegime’)

>> (Ian Slater) pointed out  that the regulator element should be made mandatory. This error will be corrected in the last call working draft.(Action Item #1) –

(Note: further discussion Item #5 –This has now been changed to ‘supervisoryBody’ for the next draft, ie. the LCWD)

>> A coding scheme of list regulators has been generated.(see number 4)

 

                                                                collateralizationType

>> Collateral in PartyTradeInformation has been changed from a Boolean element to a coding scheme with an element collateralizationType.

>>For Recordkeeping View-The group commented that the annotation needed to be changed to indicate whether each party is posting collateral or not. (Action Item #2).

                >> currently the field indicates the collateral that is posted by this firm's counterparty (not by this firm itself)

c.       executionDateTime change the Annotation but retain the same element name(Action Item #3)

                                                  >>Annotation has been updated  in the working Draft.

 

3.                  Difference between the data points found in the Rates Data Field Working Group and the current FpML specification for PartyTradeIdentifier- Email

a.       Is a Unique Namespace field required for event / trade identification.

                                          >> Identification of Swaps  :

>>FpML coordination committee came up with the following:

                                                                          >>PartyTradeIdentifier- trade ID –USI generated is assigned per trade, and agreed by both parties, was composed of LEI of issuing organization and a issuing number

                                                                          >>This has been published in the Working Draft >> Brian showed examples of how the Coordination Committee agreed to represent USIs

  <partyTradeIdentifier>

        <partyReference href="party1" />

        <tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier">VTOUP9FCHUXIINML478712345678901234567890123456789012</tradeId>

        <blockTradeId>

          <partyReference href="party1" />

          <tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier">VTOUP9FCHUXIINML478712345678901234567890123456789011</tradeId>

        </blockTradeId>

</partyTradeIdentifier>

>> Firms are encouraged to review this and ensure that it will meet their needs.

      4.                  Event ids for identifying post trades & identification of Swaps

 

>>identification of Post trade events:

                                                               

                >> (open question)  DTCC has a requirement to identify post-trade events from the perspective of each party and has suggested increasing the cardinality of the correlation ID to 2 or perhaps 4 for novation

>> Brian suggested that it was important to understand the flows and uses so that any change would properly meet the needs, and requested some short examples from DTCC.  Another possible solution is to create a separate event ID.     

>>(John Booth-MarkitSERV ) Will provide some business examples.

              

 

5.          Review of the Regulator and Collateral Type coding schemes

               >>Draft coding scheme has been generated with some regulators

               > Some of the regulators which were proposed to be included were

o   Monetary Authority of Singapore (MAS)

o   Financial Services Agency  (Japan)

o   OTC Derivatives Regulators' Forum (ODRF)

                  >>The group was reluctant to accept the  name regulatorRegistration since some of the supervisory/reporting organizations will not be per se regulators, but rather groups of regulators.

           >>Harry pointed out that we need to have change the name regulatorRegistration. ‘regulatoryRegime’ or ‘reportingRegime’ was proposed to support the trade being reported potentially a body of regulators as opposed to just one regulator.

>> regulator element has been changed to supervisoryBody (Action Item #3 )

 

6.           Update on the product taxonomy/coding scheme.

               >> List has been updated. Attached for review.

 

    7.   Cleared Indicator-PartyTradeInformation (Marc Gratacos)

>>Issue: If trade has not been cleared – in a RealTime Messages, the element name “cleared” is confusing  

>>Proposal: The group motioned to provide a choice and create 2 elements(Action Item #4)

a.       ‘toBeCleared’ - to indicate that we intend to initate a clearing process

b.      ‘cleared’-  providing a status with Boolean value.

>>There was an alternative proposal about creating a Clearing state elements which contains  enumeration- with values tobeCleared/cleared/not cleared.  The group will review the alternatives at its next meeting and decide on which approach to use.

 

8. In Recordkeeping – reporting purpose scheme(Harry McAllister)s

>> Harry proposed moving reportingPurpose into reporting regime to allow different types of reporting purposes to be supported for a single message that is used to report for multiple regulators to multiple SDRs.  (Action Item # 5 )

 

Summary of Action items:

·         regulatorRegistration- this has been changed to ‘reportingRegime’ –the ‘regulator’ element will be made mandatory in future drafts .(Action Item #1)

·         collateralizationType element – In Recordkeeping View- the annotation needed to be changed to indicate whether each party is posting collateral or not. (Action Item #2).

·         Add supervisoryBody element to regulatoryRegime (Action Item #3 )

·         Cleared Indicator - to provide a choice and create 2 elements (tobeCleared/Cleared) and show what it would look like with an enumeration for allocation status and clearing status (e.g. ToBeAllocated, Unallocated, Allocated) (Action Item #4) 

·         reportingPurpose element will be available in into  ‘reportingRegime’ (Action Item # 5 )

 



The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.

Attachment: Copy of ISDA OTC Derivatives Taxonomies.xlsx
Description: Copy of ISDA OTC Derivatives Taxonomies.xlsx

<?xml version="1.0" encoding="utf-8"?>
<!--View is recordkeeping-->
<!--Version is 5-3-->
<!--NS is http://www.fpml.org/FpML-5/recordkeeping-->
<!--
  == Copyright (c) 2002-2012. All rights reserved.
  == Financial Products Markup Language is subject to the FpML public license.
  == A copy of this license is available at http://www.fpml.org/license/license.html
  -->
<!-- This represents the non-public recordkeeping and reporting requirements published in draft form by the CFTC in 17 CFR 45 -->
<!-- The comments indicate the reportable field name as described in the tables on
pp. 76606-76607 of the Federal Register -->
<!-- This example shows an initial report of a new trade -->
<!-- The data values are taken from "Example 1" in Appendix A, on page 76156 of the Federal Register -->
<nonpublicExecutionReport xmlns="http://www.fpml.org/FpML-5/recordkeeping"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-3" xsi:schemaLocation="http://www.fpml.org/FpML-5/recordkeeping ../fpml-main-5-3.xsd http://www.w3.org/2000/09/xmldsig# ../xmldsig-core-schema.xsd">
  <header>
    <messageId messageIdScheme="http://www.bankx.com/msg_id";>SEF001</messageId>
    <sentBy>BANKX</sentBy>
    <sendTo>SDR01</sendTo>
    <creationTimestamp>2011-02-04T16:42:16Z</creationTimestamp>
<!-- Date stamp -->
  </header>
  <isCorrection>false</isCorrection>
<!-- Correction indicator -->
  <correlationId correlationIdScheme="http://fpml.org/submitter_trade_id";>TW19235</correlationId>
  <sequenceNumber>1</sequenceNumber>
  <onBehalfOf>
    <partyReference href="party1" />
<!-- explicit reference to which party is the primary reporting party -->
  </onBehalfOf>
  <reportingPurpose>PrimaryEconomicTerms</reportingPurpose>
  <reportingPurpose>RealTimePublic</reportingPurpose>
  <originatingEvent>NewTrade</originatingEvent>
  <trade>
    <tradeHeader>
      <partyTradeIdentifier>
        <partyReference href="party1" />
        <tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier";>VTOUP9FCHUXIINML478712345678901234567890123456789012</tradeId>
<!-- Unique swap ID, format TBD -->
      </partyTradeIdentifier>
      <partyTradeInformation>
        <partyReference href="party1" />
        <relatedParty>
          <partyReference href="clearing-svc" />
          <role>ClearingService</role>
        </relatedParty>
        <relatedParty>
          <partyReference href="broker1" />
          <role>Arranger</role>
<!-- arranging broker -->
        </relatedParty>
        <relatedParty>
          <partyReference href="party2" />
          <role>AllocationAgent</role>
<!-- firm defining the allocations -->
        </relatedParty>
        <relatedBusinessUnit>
          <businessUnitReference href="desk1" />
          <role>Trader</role>
        </relatedBusinessUnit>
        <relatedPerson>
          <personReference href="desk1" />
          <role>Trader</role>
        </relatedPerson>
        <executionDateTime>2011-02-04T16:20:47Z</executionDateTime>
<!-- Execution timestamp -->
        <toBeAllocated>false</toBeAllocated>
        <toBeCleared>true</toBeCleared>
<!-- NEW: cleared or uncleared = "C" in CFTC doc -->
        <collateralizationType>Full</collateralizationType>
        <reportingRegime>
          <supervisoryBody>CFTC</supervisoryBody>
          <reportingRole>ReportingParty</reportingRole>
          <publiclyReportable>true</publiclyReportable>
          <mandatorilyClearable>false</mandatorilyClearable>
        </reportingRegime>
        <reportingRegime>
          <supervisoryBody>SEC</supervisoryBody>
          <reportingRole>Voluntary</reportingRole>
          <mandatorilyClearable>false</mandatorilyClearable>
        </reportingRegime>
        <nonStandardTerms>false</nonStandardTerms>
<!-- NEW: indication of other price-affecting term -->
        <offMarketPrice>false</offMarketPrice>
<!-- NEW -->
        <largeSizeTrade>false</largeSizeTrade>
<!-- NEW: block trades and large notional swaps -->
        <executionType>Electronic</executionType>
<!-- NEW -->
        <executionVenueType>SEF</executionVenueType>
<!-- NEW: execution venue = "SWM" in CFTC doc; do we need a more specific refeence? -->
        <confirmationMethod>Facility</confirmationMethod>
<!-- NEW -->
      </partyTradeInformation>
      <tradeDate>2011-02-12</tradeDate>
    </tradeHeader>
    <swap>
<!-- Party A pays the floating rate every 3 months, based on 3M USD-LIBOR-BBA,
            on an ACT/360 basis -->
      <primaryAssetClass>InterestRates</primaryAssetClass>
      <productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type";>InterestRate:Irswap:Fixed-Float</productType>
<!-- contract type  = "S-" in CFTC doc -->
<!-- <productSubType>FixedFloatSwap</productSubType> -->
<!-- NEW: contract sub-type   -->
      <productId>SWI-ST-USD-IRS</productId>
<!-- swap instrument (NEW: coding scheme TBD, this example from CFTC rules) -->
<!-- asset class -->
<!-- <subAssetClass>N/A</subAssetClass> -->
<!-- NEW: sub-asset class not applicable for IR -->
      <swapStream>
        <payerPartyReference href="party1" />
        <receiverPartyReference href="party2" />
        <calculationPeriodDates id="floatingCalcPeriodDates">
          <effectiveDate>
            <unadjustedDate>2011-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2016-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters id="primaryBusinessCenters">
                <businessCenter>USNY</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </calculationPeriodDatesAdjustments>
          <calculationPeriodFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
            <rollConvention>8</rollConvention>
          </calculationPeriodFrequency>
        </calculationPeriodDates>
        <paymentDates>
          <calculationPeriodDatesReference href="floatingCalcPeriodDates" />
          <paymentFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </paymentDatesAdjustments>
        </paymentDates>
        <resetDates id="resetDates">
          <calculationPeriodDatesReference href="floatingCalcPeriodDates" />
          <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
          <fixingDates>
            <periodMultiplier>-2</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
            <dateRelativeTo href="resetDates" />
          </fixingDates>
          <resetFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
          </resetFrequency>
          <resetDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </resetDatesAdjustments>
        </resetDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>10000000.00</initialValue>
                <currency currencyScheme="http://www.fpml.org/ext/iso4217";>USD</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <floatingRateCalculation>
              <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
              <indexTenor>
                <periodMultiplier>3</periodMultiplier>
                <period>M</period>
              </indexTenor>
            </floatingRateCalculation>
            <dayCountFraction>ACT/360</dayCountFraction>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
<!-- Barclays pays the 6% fixed rate every year on a 30E/360 basis -->
      <swapStream>
        <payerPartyReference href="party2" />
        <receiverPartyReference href="party1" />
        <calculationPeriodDates id="fixedCalcPeriodDates">
          <effectiveDate>
            <unadjustedDate>2011-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2016-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </calculationPeriodDatesAdjustments>
          <calculationPeriodFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
            <rollConvention>8</rollConvention>
          </calculationPeriodFrequency>
        </calculationPeriodDates>
        <paymentDates>
          <calculationPeriodDatesReference href="fixedCalcPeriodDates" />
          <paymentFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </paymentDatesAdjustments>
        </paymentDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>10000000.00</initialValue>
                <currency currencyScheme="http://www.fpml.org/ext/iso4217";>USD</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <fixedRateSchedule>
              <initialValue>0.0253</initialValue>
            </fixedRateSchedule>
            <dayCountFraction>30E/360</dayCountFraction>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
    </swap>
  </trade>
  <quote>
    <value>1235</value>
    <measureType>NPV</measureType>
    <currency>USD</currency>
  </quote>
  <party id="party1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>VTOUP9FCHUXIINML4787</partyId>
<!-- unique counterparty identifier of reporting party -->
    <partyName>Bank X</partyName>
    <organizationType>SwapDealer</organizationType>
    <businessUnit id="desk1">
      <name>NY Swaps Desk</name>
    </businessUnit>
    <person>
      <personId>jjones</personId>
    </person>
  </party>
  <party id="party2">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>NO32JKYWYYFCHBKBPG50</partyId>
<!-- unique counterparty identifier of other party -->
    <partyName>Bank Y</partyName>
    <organizationType>SwapDealer</organizationType>
  </party>
  <party id="broker1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>IXIUMORN15YYX7ERWP88</partyId>
<!-- unique counterparty identifier of arranging broker -->
    <partyName>Up&amp;Atem</partyName>
  </party>
  <party id="clearing-svc">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>2NEZ4DLQSXZQH9D3RU96</partyId>
<!-- unique counterparty identifier of clearing service -->
    <partyName>ClearItAll</partyName>
  </party>
</nonpublicExecutionReport>


<?xml version="1.0" encoding="utf-8"?>
<!--View is recordkeeping-->
<!--Version is 5-3-->
<!--NS is http://www.fpml.org/FpML-5/recordkeeping-->
<!--
  == Copyright (c) 2002-2011. All rights reserved.
  == Financial Products Markup Language is subject to the FpML public license.
  == A copy of this license is available at http://www.fpml.org/license/license.html
  -->
<!-- This represents the non-public recordkeeping and reporting requirements published in draft form by the CFTC in 17 CFR 45 -->
<!-- The comments indicate the reportable field name as described in the tables on
pp. 76606-76607 of the Federal Register -->
<!-- This example shows a correction to a report of a new trade -->
<!-- The data values are taken from "Example 1" in Appendix A, on page 76156 of the Federal Register -->
<nonpublicExecutionReport xmlns="http://www.fpml.org/FpML-5/recordkeeping"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-3" xsi:schemaLocation="http://www.fpml.org/FpML-5/recordkeeping ../fpml-main-5-3.xsd http://www.w3.org/2000/09/xmldsig# ../xmldsig-core-schema.xsd">
  <header>
    <messageId messageIdScheme="http://www.bankx.com/msg_id";>SEF002</messageId>
    <sentBy>BANKX</sentBy>
    <sendTo>SDR01</sendTo>
    <creationTimestamp>2011-02-04T16:54:07</creationTimestamp>
<!-- Date stamp -->
  </header>
  <isCorrection>true</isCorrection>
<!-- Correction indicator -->
  <correlationId correlationIdScheme="http://fpml.org/submitter_trade_id";>TW19235</correlationId>
  <sequenceNumber>2</sequenceNumber>
  <onBehalfOf>
    <partyReference href="party1" />
<!-- explicit reference to which party is the primary reporting party -->
  </onBehalfOf>
  <originatingEvent>NewTrade</originatingEvent>
  <trade>
    <tradeHeader>
      <partyTradeIdentifier>
        <partyReference href="party1" />
        <tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier";>VTOUP9FCHUXIINML478712345678901234567890123456789012</tradeId>
<!-- Unique swap ID, format TBD -->
      </partyTradeIdentifier>
      <partyTradeInformation>
        <partyReference href="party1" />
        <relatedParty>
          <partyReference href="clearing-svc" />
          <role>ClearingService</role>
        </relatedParty>
        <relatedParty>
          <partyReference href="broker1" />
          <role>Arranger</role>
<!-- arranging broker -->
        </relatedParty>
        <relatedBusinessUnit>
          <businessUnitReference href="desk1" />
          <role>Trader</role>
        </relatedBusinessUnit>
        <relatedPerson>
          <personReference href="desk1" />
          <role>Trader</role>
        </relatedPerson>
        <executionDateTime>2011-02-04T16:20:47Z</executionDateTime>
<!-- Execution timestamp -->
        <allocationStatus>ToBeAllocated</allocationStatus>
        <clearingStatus>ToBeCleared</clearingStatus>
<!-- NEW: cleared or uncleared = "C" in CFTC doc -->
        <nonStandardTerms>false</nonStandardTerms>
<!-- NEW: indication of other price-affecting term -->
        <offMarketPrice>false</offMarketPrice>
<!-- NEW -->
        <largeSizeTrade>false</largeSizeTrade>
<!-- NEW: block trades and large notional swaps -->
        <executionType>Electronic</executionType>
<!-- NEW -->
        <executionVenueType>SEF</executionVenueType>
<!-- NEW: execution venue = "SWM" in CFTC doc; do we need a more specific refeence? -->
        <confirmationMethod>Facility</confirmationMethod>
<!-- NEW -->
      </partyTradeInformation>
      <tradeDate>2011-02-12</tradeDate>
    </tradeHeader>
    <swap>
<!-- Party A pays the floating rate every 3 months, based on 3M USD-LIBOR-BBA,
            on an ACT/360 basis -->
      <primaryAssetClass>InterestRates</primaryAssetClass>
      <productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type";>InterestRate:Irswap:Fixed-Float</productType>
<!-- contract type  = "S-" in CFTC doc -->
<!-- <productSubType>FixedFloatSwap</productSubType> -->
<!-- NEW: contract sub-type   -->
      <productId>SWI-ST-USD-IRS</productId>
<!-- swap instrument (NEW: coding scheme TBD, this example from CFTC rules) -->
<!-- asset class -->
<!-- <subAssetClass>N/A</subAssetClass> -->
<!-- NEW: sub-asset class not applicable for IR -->
      <swapStream>
        <payerPartyReference href="party1" />
        <receiverPartyReference href="party2" />
        <calculationPeriodDates id="floatingCalcPeriodDates">
          <effectiveDate>
            <unadjustedDate>2011-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2016-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters id="primaryBusinessCenters">
                <businessCenter>USNY</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </calculationPeriodDatesAdjustments>
          <calculationPeriodFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
            <rollConvention>8</rollConvention>
          </calculationPeriodFrequency>
        </calculationPeriodDates>
        <paymentDates>
          <calculationPeriodDatesReference href="floatingCalcPeriodDates" />
          <paymentFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </paymentDatesAdjustments>
        </paymentDates>
        <resetDates id="resetDates">
          <calculationPeriodDatesReference href="floatingCalcPeriodDates" />
          <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
          <fixingDates>
            <periodMultiplier>-2</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
            <dateRelativeTo href="resetDates" />
          </fixingDates>
          <resetFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
          </resetFrequency>
          <resetDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </resetDatesAdjustments>
        </resetDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>10000000.00</initialValue>
                <currency currencyScheme="http://www.fpml.org/ext/iso4217";>USD</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <floatingRateCalculation>
              <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
              <indexTenor>
                <periodMultiplier>3</periodMultiplier>
                <period>M</period>
              </indexTenor>
            </floatingRateCalculation>
            <dayCountFraction>ACT/360</dayCountFraction>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
<!-- Barclays pays the 6% fixed rate every year on a 30E/360 basis -->
      <swapStream>
        <payerPartyReference href="party2" />
        <receiverPartyReference href="party1" />
        <calculationPeriodDates id="fixedCalcPeriodDates">
          <effectiveDate>
            <unadjustedDate>2011-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2016-02-08</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCentersReference href="primaryBusinessCenters" />
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </calculationPeriodDatesAdjustments>
          <calculationPeriodFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
            <rollConvention>8</rollConvention>
          </calculationPeriodFrequency>
        </calculationPeriodDates>
        <paymentDates>
          <calculationPeriodDatesReference href="fixedCalcPeriodDates" />
          <paymentFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="primaryBusinessCenters" />
          </paymentDatesAdjustments>
        </paymentDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>10000000.00</initialValue>
                <currency currencyScheme="http://www.fpml.org/ext/iso4217";>USD</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <fixedRateSchedule>
              <initialValue>0.0254</initialValue>
<!-- updated value -->
            </fixedRateSchedule>
            <dayCountFraction>30E/360</dayCountFraction>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
    </swap>
  </trade>
  <party id="party1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>VTOUP9FCHUXIINML4787</partyId>
<!-- unique counterparty identifier of reporting party -->
    <partyName>Bank X</partyName>
    <organizationType>SwapDealer</organizationType>
    <businessUnit id="desk1">
      <name>NY Swaps Desk</name>
    </businessUnit>
    <person>
      <personId>jjones</personId>
    </person>
  </party>
  <party id="party2">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>NO32JKYWYYFCHBKBPG50</partyId>
<!-- unique counterparty identifier of other party -->
    <partyName>Bank Y</partyName>
    <organizationType>SwapDealer</organizationType>
  </party>
  <party id="broker1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>IXIUMORN15YYX7ERWP88</partyId>
<!-- unique counterparty identifier of arranging broker -->
    <partyName>Up&amp;Atem</partyName>
  </party>
  <party id="clearing-svc">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442";>2NEZ4DLQSXZQH9D3RU96</partyId>
<!-- unique counterparty identifier of clearing service -->
    <partyName>ClearItAll</partyName>
  </party>
</nonpublicExecutionReport>

Attachment: PartyTradeInfo.png
Description: PartyTradeInfo.png