The recent developments in ISDA's Digital Regulatory Reporting (DRR) project, with an initial focus on the CFTC rewrite and EMIR regulations, have definitely spurred the development of new products and business events that were not covered by the CDM. The focus of this post is to provide an overview of recent additions to the standard in the context of regulatory reporting.
ISDA recently created a video explaining what DRR is about:
The need to have coverage in CDM for all products and business events in scope for CFTC and EMIR reporting has increased the pace of CDM development. The number of contributions from firms, including TradeHeader, have raised and as result new derivative products have been added in the second quarter of 2022, including:
Variance Swaps and Options - for equities and FX
Volatility Swaps - for equities and FX
Dividend Swaps and Options
Financial Commodity Products with customized schedules
Support for Generic Products
Not only the product scope has expanded but also the business events, recent work needed for CFTC reporting include:
These additions not only include the support for these products and business events in the CDM model but also:
The addition of corresponding CDM examples,
Functions to categorize the products (qualifying functions),
Mappings from FpML to CDM
The CDM pipeline is extensive and more products and events are expected for the remaining of the year, including physical commodities and structured products. In addition, architectural changes are being applied to CDM to better support all types of performance-based products such as return/dividend/var/vol/correlation swaps and the simplification of basic structures such as dates are also being defined.
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Marc Gratacos is a Managing Partner at TradeHeader. TradeHeader is a global consulting company focused on financial data standards such as FpML, CDM, FIX, and ISO 20022. It also provides software development and training services. Prior to founding TradeHeader, Mr. Gratacos was a Data Architect at the International Swaps and Derivatives Association, Inc. (ISDA). He helped develop FpML (Financial products Markup Language) providing support, analysis, and technical expertise to all FpML working groups. Mr. Gratacos received his Masters Degree in Information Management and Systems, with honors, from the University of California, Berkeley and his BA in economics from the Universitat Pompeu Fabra in Barcelona.