OTC derivative trade life cycle events Product Applicability

Last Updated: 2005-09-01 Commodity

PhasEvent Key info Closest Existing FpML Types IRS IR caps/floors Swaption FX fwd FX opt Credit Derivs EQS Var Swap Bond Opt Debt TRS Eq Opt Swap Option

Trading Events - Pre-trade

Setting up master agreement/master confirmation x x x x x x x x x x x x x
Know Your Client (KYC) x x x x x x x x x x x x x
Define product characteristics product details Product x x x x x x x x x x x x x
Pretrade negotiation - Present term sheets to clients/ preliminary agreement
Request/provide documentation / governing law x x x x x x x x x x x x x
Indication of interest product details
Provide indicative price/rate/value price/rate/value x x x x x x x x x x x x x
request/define criteria for executing trade (conditionalities, credit support, bank policies) x x x x x x x x x x x x x
RFQ product details RequestQuote x x x x x x x x x x x x x
Provide quote price/rate/value RequestQuoteResponse x x x x x x x x x x x x x
Check credit client, product details x x x x x x x x x x x x x
Request trade pricing inputs pricing input values (vols,etc.) PRWG - under development x x x x x x x x x x x x x

Trading Events - Trade Execution and Immediate Post-Trade

Execute trade trade details x x x x x x x x x x x x x
Confirm trade/dispute confirmation trade details RequestTradeConfirmation x x x x x x x x x x x x x
Allocate trade allocation details AllocationCreated x x x x x x x x x x x x x
Create standard identifier

Trading Events - Post-trade changes in trade characteristics

Amendment trade details Amendment x x x x x x x x x x x x x
booked incorrectly vs agreed change
Counterparty changes
Assignment/Novation trade/party details Novation x x x x x x x x x x x x x
Clear trade (through central countertrade/party details x x x x x x x x x x x x x
Give-ups trade/party details
Notional Increase notional change details Increase x x x x x x x x x x x x x
Partial Termination / Decrease termination details Termination x x x x x x x x x x x x x
Full (Early) Termination Termination x
Normal termination
option expiration OptionExpiry (in development) x x x x x
trade matures x x x x x x x x
Portfolio/Basket rebalancing/notional adju basket underlyer details, changes x x x x
Spread change x x x
Option exercised exercise details OptionExercise (in development) x x x x x
elections, type of delivery x
Trigger event trigger event details x
credit event, notice of settlement CEN CreditEventNoticeDocument x
barrier(s) struck barrier details, linked observation ?? x x ?
Coporate Actions, etc. ? x x x x x
Split
Merger
Spin-off
Buy-back
Redemption of callable bond

Extraordinary event extraordinary event details. x x x x

insolvency
delisting
nationalization
War? Force majeure? (e.g., for commodities) ? ?

Servicing Events
Rate/price observation/fixing rate/price obs details RateObservation x x x x x x x x x x x x x
Rate/price calculation/resetting calculation, linked observations FloatingRateDefinition x x x x x x x x x x x x x
Calculation/Accrual period begin/end accrual calcs - day fracs, compounding CalculationPeriod x x x x x x x x
Payment payment details, calculation
cash flow settlement PaymentCalculationPeriod x x x x x x x x
premium Payment, FxOptionPremium,EquityPremium x x x x x
exchange of principal
broker fee (otherParty)Payment, brokerageFee x x x x x x x x x x x x
exercise fee ExerciseFeeSchedule x x x x x
collateral independent amount IndependentAmount x x x x x x x x x x x x x
collateral variation amount (??) x x x x x x x x x x x x x
settlement of terminations/ triggered events x
trade business event (partial termination, amendment, etc.) x
Distribution events
dividend/dividend announcement dividend details x x x
(Re) valuation NPV, date, quote chars x x x x x x x x x x x x x

Notes:
For each event type, there may be a lifecycle (create, modify, accept/cancel); each stage of this lifecycle might need to be tracked.
For each type of data, a mechanism for requesting the information and responding to the request is required.
"Trading Events" refer to events that affect the contractual representation of the trade, e.g. create or modify the trade contract.
"Servicing Events" refer to events that do not affect the contractual representation of the trade, but rather carry out the terms of the contract.

Trading events vs. servicing events

servicing events don't affect the contract

trading events affect the contract.