OTC derivative trade life cycle events

Last Updated: 2005-09-01 Phase Event Key info Closest Existing FpML Types IRS IR caps/floors Swaption FX fwd

Product Applicability FX opt Credit Derivs EQS Var Swap Bond Opt Debt TRS Eq Opt Commodity Swap Option

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

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Trading Events - Trade Execution and Immediate Post-Trade Execute trade trade details Confirm trade/dispute confirmation trade details Allocate trade allocation details Create standard identifier

RequestTradeConfirmation AllocationCreated

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Trading Events - Post-trade changes in trade characteristics Amendment trade details booked incorrectly vs agreed change Counterparty changes Assignment/Novation trade/party details Clear trade (through central counterparty) trade/party details Give-ups trade/party details Notional Increase notional change details Partial Termination / Decrease termination details Full (Early) Termination Normal termination option expiration trade matures Portfolio/Basket rebalancing/notional adjustment basket underlyer details, changes Spread change Option exercised exercise details elections, type of delivery Trigger event trigger event details credit event, notice of settlement CEN barrier(s) struck barrier details, linked observation Coporate Actions, etc. Split Merger Spin-off Buy-back Redemption of callable bond Extraordinary event extraordinary event details. insolvency delisting nationalization War? Force majeure? (e.g., for commodities) Servicing Events Rate/price observation/fixing rate/price obs details Rate/price calculation/resetting calculation, linked observations Calculation/Accrual period begin/end accrual calcs - day fracs, compounding Payment payment details, calculation cash flow settlement premium exchange of principal broker fee exercise fee collateral independent amount collateral variation amount (??) settlement of terminations/ triggered events trade business event (partial termination, amendment, etc.) Distribution events dividend/dividend announcement dividend details (Re) valuation NPV, date, quote chars

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Novation

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Increase Termination Termination OptionExpiry (in development)

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OptionExercise (in development)

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RateObservation FloatingRateDefinition CalculationPeriod PaymentCalculationPeriod Payment, FxOptionPremium,EquityPremium (otherParty)Payment, brokerageFee ExerciseFeeSchedule IndependentAmount

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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.