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December 1, 2011

World’s first FpML UPI tool on-line

One of the confusing things about derivatives is that they don’t ‘look and feel’ like a bond or equity – they don’t have any physical expression as a security, as they are fundamentally bilateral contracts between two professional parties.

As part of the Dodd Frank Act there is a desire to generate an equivalent to a CUSIP or ISIN for an OTC product, something which the people at FpML have been working on. Having a UPI would mean newspapers can print the closing prices for a “standard” IRS, and hopefully see the BBC add OTC products to their end of bulletin update along with the Dow Jones and FTSE 100. ;-)

Mr Jacobs at www.handcoded.com has put on-line an early example of a tool which takes an FpML 5.x confirmation document, and expresses the UPI for that trade.  Here’s an example output:

Version:5-3
Namespace URI:http://www.fpml.org/FpML-5/confirmation
Trade
Product(s):
InterestRateSwap
Dodd-Frank
The results below are based on draft versions of the taxonomy proposals developed by the ISDA working groups and will be refined as new details are published.
Asset Class:InterestRate
Product Type:IR Swap:Fixed-Float
UPI:5Y [EUR]/[EUR]EUR-LIBOR-BBA[6M] 6M/6M
(SHA-256):6108d095f98a0b6dde2d704de6e71e5b
0e3096307b1221c007ba2cc76a51125e

If you want to try this for yourself, follow these steps:

  1. Download this word file: XML Confirmation
  2. Select the text within, and save it in a plain text file using TextEdit or equivalent, in “confirm.xml”
  3. Go to this web page, scroll to the bottom and click “Choose file”, then select the file from step 2
  4. Click “Classify”
  5. Boom!, revolutionary and magical as Steve Jobs would say

If you feel adventurous, edit the XML file and modify the trade, and see if you can get a different UPI.


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