## 5 CROSS-ASSET PRODUCT ARCHITECTURE

### 5.1 Cross-Asset Products Scope

FpML has several special products that cover multiple asset classes. This includes combinations of other products and trades of non-OTC securities. In addition, the Reporting Working Group defined several products for reporting views:

- strategy - combination of existing products.
- instrumentTradeDetails-A type to hold trades of multiply-traded instruments. Typically this will be used to represent the trade resulting from a physically-settled OTC product where the underlying is a security, for example the exercise of a physically-settled option.
- genericProduct-Generic products - for use in Transparency reporting to define a product that represents an OTC derivative transaction whose economics are not fully described using an FpML schema. In other views, generic products are present for convenience to support internal messaging and workflows that are cross-product. Generic products are not full trade representations as such they are not intended to be used for confirming trades.
- standardProduct-Standard products - for use in Transparency reporting to define a product that represents a standardized OTC derivative transaction whose economics do not need to be fully described using an FpML schema because they are implied by the product ID. In other views, standard products are present for convenience to support internal messaging and workflows that are cross-product. Standard products are not full trade representations as such they are not intended to be used for confirming trades.

### 5.2 Overall Architecture

There are several special, cross-asset products in FpML.

- strategy
- instrumentTradeDetails

### 5.3 The Strategy Component

This component defines a special kind of product that allows the structuring of trade by combining any number of products within a strategy. A trade can be of a strategy rather than of a base product; this strategy can then in turn contain other products, such as multiple options. For example, you could define a strategy consisting of an FX call and an FX put to create a straddle or strangle, and then create a trade of that strategy.

This component also defines the simple strategies of strike spread and calendar spread for Equity Options

The Strategy component makes use of a composition pattern since strategy itself is a product. This means that strategies can themselves contain strategies.

In a strategy, in addition to sub-products, there may be a "premiumProductReference" reference element. Thisreferences a product (for example a bullet payment) within the strategy that can be considered a premium for the whole strategy.

### 5.4 The InstrumentTrade Details Component

FpML is a standard that supports OTC derivative products. However, sometimes as a result of settling an OTC derivative, a trade in a non-derivative security must be performed. For example, in an OTC equity option that is physically settled, exercising the option results in a trade in the underlying equity security. For this reason, FpML has added limited coverage for representing trades in non-OTC assets. This coverage includes based information about the security that was traded, the amount that was traded, and the price at which it was traded. It does not provide full details of settlement calculations, such as fees, commissions, or taxes.

The instrumentTradeDetails component may be included in an FpML trade object in place of an OTC product. It may include several types of information.

- Information about the buyer and seller of the instrument (and optionally their accounts).
- The security that was traded.
- The amount that was traded.
- The price at which the instrument was traded, net and/or gross of fees and commissions
- The equivalent principal amount, net and/or gross of fees and commissions

The quantity of the trade indicates the number of securities that were traded, or the nominal (face value) amount.

The pricing of trade represents the gross price (price before fees and commissions) and/or the net price (pricing including fees and commissions).

The principal of trade represents the net and/or gross value that was traded, that is to say the quantity times the net and/or gross price.

### 5.5 genericProduct

The Generic product provides a placeholder representation with a few key identifying details to allow reporting of products that aren't otherwise able to be represented in FpML.

- genericProduct-Generic products - for use in Transparency reporting to define a product that represents an OTC derivative transaction whose economics are not fully described using an FpML schema. In other views, generic products are present for convenience to support internal messaging and workflows that are cross-product. Generic products are not full trade representations as such they are not intended to be used for confirming trades.

| genericProductspecifies the structure of the generic product. productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme. productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list. assetClass - asset class to which the product belongs, e.g. Credit. BuyerSeller.model - holds references to the buyer and seller of the product. effectiveDate - when the product starts accruing, or in the case of an option, its first exercise date. expirationDate - for an option, the final valid exercise date. terminationDate - the final accrual date of the product or of the underlying of a product. underlyer - one or more underlying assets upon which the product is based. notional - the size/quantity of the product. settlementPeriods - Specifies the delivery time periods loadtype - LoadType is a summary of the full description of the settlement periods with respect to the region. Used for describing Electricity delivery schedules. optionType - for options, whether it is a call or put. paymentFrequency - The frequency at which payments from one party to another occur. resetFrequency - The frequency at which reset dates occur. settlementCurrency - the currency in which the buyer settles.

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