5 CROSS-ASSET PRODUCT ARCHITECTURE

5.1 Overall Architecture

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

• genericProduct
• standardProduct

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.

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.

The approach is to keep a very lightweight generic product to represent the key economics of the complex and bespoke products, which would also include imbedded searchable/electronically readable term sheet in PDF format including any remaining terms. The generic product representation has been enhanced in FpML 5.5 to include all of the fields specifically listed in the CFTC part 43 and 45 regulations.

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.

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.

The Standard product provides a way to report on products that are fully represented by a standardized set of reference data, and therefore do not need a complete representation for activity or position reporting. For trades on standard products, typically only the size and price needs to be represented in addition to the product identifier.

standardProduct - specifies the structure of a standard product.

• productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
• productId - A product reference identifier typically allocated by a trading facility or reference data repository. For the Standard product, this will link to a precise product definition supported by FpML reference data.
• assetClass - asset class to which the product belongs, e.g. Credit.
• notional - quantity of the product that was traded.
• priceNotation - price at which the product was transacted.