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Event Model

Introduction to the Event Model​

The CDM event model provides data structures to represent the lifecycle events of financial transactions. A lifecycle event occurs when a transaction goes through a state transition initiated either by one or both trading parties, by contractual terms, or by external factors. For example, the execution of a trade is the initial event which results in the state of an executed trade. Subsequently, one party might initiate an allocation, both parties might initiate an amendment to a contractual agreement, or a default by an underlying entity on a Credit Default Swap would trigger a settlement according to defined protection terms.

Examples of lifecycle events supported by the CDM Event Model include the following:

  • Trade execution and confirmation
  • Clearing
  • Allocation
  • Settlement (including any future contingent cashflow payment)
  • Exercise of options

The representation of lifecycle events in the CDM is based on the following design principles:

  • A lifecycle event describes a state transition. There must be different before/after trade states based on that lifecycle event.
  • State transitions are functional and composable. The CDM specifies the entire functional logic to transition from one state to another. The state transition logic of all in-scope events is obtained by composition from a small set of functional building blocks.
  • The history of the trade state can be reconstructed at any point in the trade lifecycle. The CDM implements a lineage between states as the trade goes through state transitions.
  • The product underlying the transaction remains immutable. Automated events, for instance resets or cashflow payments, do not alter the product definition. Lifecycle events negotiated between the parties that give rise to a change in the trade economics generate a new instance of the product or trade as part of that specific event.
  • The state is trade-specific, not product-specific (i.e. the CDM is not an asset-servicing model). The same product may be associated to infinitely many trades, each with its own specific state, between any two parties.

To represent a state transition, the event model is organised around four main components:

  • Trade state represents the state in the lifecycle that the trade is in, from execution to settlement and maturity.
  • Primitive operator is the functional building block that is used to compose business events. Each operator describes a fundamental change to the state of a trade going from a before state to an after state and is parameterised by a primitive instruction input.
  • Business event represents a lifecycle event affecting one or more trades as a composite of primitive instructions. A business event can comprise several instructions, each consisting of a set of primitive instructions applied to a single trade state (before). The resulting trade state (after) can be multiple.
  • Workflow represents a set of actions or steps that are required to trigger a business event.

The below diagram illustrates the relationship between these components. Each of them is described in the next four sections.

Trade Events​

Trade State​

A trade state is defined in CDM by the TradeState data type and represents the state of a trade at each stage in its lifecycle. With each trade creation or modification event, a new TradeState instance is created. Chaining together the sequence of TradeState instances then recreates the path each trade took within its lifecycle.

Definition: TradeState

Defines the fundamental financial information that can be changed by a Primitive Event and by extension any business or life-cycle event. Each TradeState specifies where a Trade is in its life-cycle. TradeState is a root type and as such, can be created independently to any other CDM data type, but can also be used as part of the CDM Event Model.

type TradeState:
  [metadata key]
  [rootType]
  trade Trade (1..1)
  state State (0..1)
  resetHistory Reset (0..*)
  transferHistory TransferState (0..*)

While many different types of events may occur through the trade lifecycle, the trade, state, resetHistory and transferHistory attributes are deemed sufficient to describe all of the possible (post-trade) states which may result from lifecycle events. The Trade data type contains the tradable product, which defines all of the economic terms of the transaction as agreed between the parties.

The Trade, State, Reset and Transfer data types that are utilised within TradeState are all detailed in the sections below.

Trade​

Definition: Trade

Defines the output of a financial transaction between parties - a Business Event. A Trade impacts the financial position (i.e. the balance sheet) of involved parties.

The Trade data type defines the outcome of a financial transaction between parties, where the terms are primarily reflected in the tradable product. Additionally, Trade includes attributes such as the trade date, transacting parties, and settlement terms. Some attributes, such as the parties, may already be defined in a workflow step or business event and can simply be referenced in Trade.

type Trade extends TradableProduct:
  [metadata key]
  tradeIdentifier TradeIdentifier (1..*)
  tradeDate date (1..1)
    [metadata id]
  tradeTime TimeZone (0..1)
    [metadata id]
  party Party (0..*)
  partyRole PartyRole (0..*)
  executionDetails ExecutionDetails (0..1)
  contractDetails ContractDetails (0..1)
  clearedDate date (0..1)
    [deprecated]
  collateral Collateral (0..1)
  account Account (0..*)
    [deprecated]

Note: Attributes within Trade and ContractDetails incorporate elements from FpML's trade confirmation view, whereas the TradableProduct data type corresponds to FpML's pre-trade view. The TradableProduct data type is further detailed in the tradable-product section of the documentation.

Additionally, Trade supports the representation of specific execution or contractual details via the executionDetails and contractDetails attributes.

ExecutionDetails​

The ExecutionDetails data type represents details applicable to trade executions and includes attributes that describe the execution venue and execution type. Not all trades will have been 'executed', such as those created from a Swaption Exercise event. In those cases, the executionDetails attributes on Trade is expected to be empty.

type ExecutionDetails:
  [metadata key]
  executionType ExecutionTypeEnum (1..1)
  executionVenue LegalEntity (0..1)
  packageReference IdentifiedList (0..1)

  condition ExecutionVenue:
    if executionType = ExecutionTypeEnum -> Electronic
    then executionVenue exists

ContractDetails​

ContractDetails are only applicable to trades on contractual products and are typically provided at or prior to trade confirmation.

type ContractDetails:
  [metadata key]
  documentation LegalAgreement (0..*)
  governingLaw GoverningLawEnum (0..1)
    [metadata scheme]

State​

The State data type defines the state of a trade at a point in the Trade's life cycle. Trades have many state dimensions, all of which are represented here. For example, states useful for position keeping are represented alongside those needed for regulatory reporting.

type State:
  closedState ClosedState (0..1)
  positionState PositionStatusEnum (0..1)

When a trade is closed, it is necessary to record that closure as part of the trade state.

For instance in a full novation scenario, the initial state is a single TradeState and the resulting state is two TradeState. The first resulting TradeState represents a new contract, which is the same as the original but where one of the parties has been changed, and the second resulting TradeState is the original contract, now marked as closed.

The ClosedState data type (enclosed within State) captures this closed state and defines the reason for closure.

enum ClosedStateEnum:
  Allocated
  Cancelled
  Exercised
  Expired
  Matured
  Novated
  Terminated

Reset​

In many cases, a trade relies on the value of an observable which will become known in the future: for instance, a floating rate observation at the beginning of each period in the case of a Interest Rate Swap, or the equity price at the end of each period in an Equity Swap. This reset information is captured by the Reset data type and associated to the trade state.

While the reset information is trade-specific, the observation itself is provided by the relevant market data provider independently of any specific trade. Such observation is captured by the Observation data type.

Both the observedValue (in Observation) and the resetValue (in Reset) attributes are specified as a Price type. In the trade, the resettable value must be associated to a variable price attribute. It typically represents a number that is directly used to compute transfer amounts like cashflows.

In addition to the observation value, a reset specifies the date from which the resettable value becomes applicable in the trade's context, which could be different from the observation date if some observation lag applies. Depending on the trade's economic properties, a reset may also depend on several observation values based on some aggregation method - e.g. a compounded interest rate based on daily fixings.

type Reset:
  [metadata key]
  resetValue Price (1..1)
  resetDate date (1..1)
  rateRecordDate date (0..1)
  observations Observation (1..*)
    [metadata reference]
  averagingMethodology AveragingCalculation (0..1)
type Observation:
  [rootType]
  [metadata key]
  observedValue Price (1..1)
  observationIdentifier ObservationIdentifier (1..1)

Transfer​

A transfer is a multi-purpose object that represents the transfer of any asset, including cash, from one party to another. The Transfer object is associated to an enumeration to qualify the status that the transfer is in, from instruction to settlement or rejection.

Definition: Transfer

Defines the movement of an Asset (eg cash, securities or commodities) between two parties on a date.

type TransferState:
  [metadata key]
  [rootType]
  transfer Transfer (1..1)
  transferStatus TransferStatusEnum (0..1)
type Transfer extends TransferBase:
  settlementOrigin Payout (0..1)
    [metadata reference]
  resetOrigin Reset (0..1)
  transferExpression TransferExpression (1..1)
type TransferBase:
    identifier Identifier (0..*)
        [metadata scheme]
    quantity NonNegativeQuantity (1..1)
    asset Asset (1..1)
    payerReceiver PartyReferencePayerReceiver (1..1)
    settlementDate AdjustableOrAdjustedOrRelativeDate (1..1)

    condition QuantityUnitExists:
        if asset -> Cash exists
        then quantity -> unit -> currency exists
        else if asset -> Commodity exists
        then quantity -> unit -> capacityUnit exists
        else if asset -> Instrument exists
        then quantity -> unit -> financialUnit exists

Primitive Events​

Primitive Operator​

Definition: Primitive operators

Primitive operators are functional building blocks used to compose business events. Each primitive operator describes a fundamental state transition that applies to a trade.

There are nine fundamental operations on trade state. Other than split and execution, they each impact separate attributes of a trade state and are therefore independent of each other.

  1. execution: instantiates a new trade.
  2. quantity change: changes the quantity (and/or price) of a trade
  3. terms change: changes the terms of the product of a trade
  4. party change: changes a party on a trade
  5. exercise: exercises an option embedded in a trade
  6. contract formation: associates a legal agreement to a trade
  7. reset: changes a trade's resettable value based on an observation
  8. transfer: transfers some asset (cash, security, commodity) from one party to another
  9. split: splits a trade into multiple identical trades

Primitive Function​

A primitive operator is represented by a primitive function that takes a before trade state as input and returns an after trade state as output, both of type TradeState. The only exceptions to this rule are:

  • execution, for which there is no before state since its purpose is to instantiate a new trade, and
  • split, which results in multiple trade states as copies of the original trade.

All primitive functions are prefixed by Create_ followed by the name of the primitive operator. The business logic of primitive functions is fully implemented. An example of primitive function, for the PartyChange primitive, is illustrated below.

func Create_PartyChange:
  inputs:
    counterparty Counterparty (1..1)
    ancillaryParty AncillaryParty (0..1)
    partyRole PartyRole (0..1)
    tradeId TradeIdentifier (1..*)
    originalTrade TradeState (1..1)
  output:
    newTrade TradeState (1..1)

Primitive Instruction​

Primitive functions take additional inputs alongside the before trade state to specify the parameters of the state transition. Each primitive operator is associated to a primitive instruction data type that contains the function's required parameters as attributes - illustrated below using the same PartyChange example.

type PartyChangeInstruction:
  counterparty Counterparty (1..1)
  ancillaryParty AncillaryParty (0..1)
  partyRole PartyRole (0..1)
  tradeId TradeIdentifier (1..*)

The PrimitiveInstruction data type allows to build composite primitive instructions and therefore compose primitive operators. This data type contains one instruction attribute for each of the possible nine primitive instruction types - aligned onto the nine fundamental primitive operators.

type PrimitiveInstruction:
  contractFormation ContractFormationInstruction (0..1)
  execution ExecutionInstruction (0..1)
  exercise ExerciseInstruction (0..1)
  partyChange PartyChangeInstruction (0..1)
  quantityChange QuantityChangeInstruction (0..1)
  reset ResetInstruction (0..1)
  split SplitInstruction (0..1)
  termsChange TermsChangeInstruction (0..1)
  transfer TransferInstruction (0..1)

Primitive Composition​

The separation between the before trade state and primitive instructions allows to compose primitive operators. Primitive operators can be chained by applying a composite primitive instruction to a single trade state, as represented in the diagram below.

Note: When a primitive instruction is composite, interim trade states will be created when executing each primitive operator. These interim trade states may not correspond to any actual business outcome (only the final after trade state does), so implementors will usually choose not to persist them.

The Create_TradeState function performs such composition of primitive operators. It takes a single trade state and a composite primitive instruction as inputs and returns a single trade state. The before trade state input is optional, in which case a new execution must be specified in the instructions.

This function applies each of the primitive operators (other than split) to the trade state in the order listed in the primitive operator section. Apart from execution which, when present, must always be applied first, the order does not affect the outcome because each primitive operator impacts a different part of the trade state.

func Create_TradeState:
  inputs:
    primitiveInstruction PrimitiveInstruction (0..1)
    before TradeState (0..1)
  output:
    after TradeState (1..1)

Special Case: Split​

Split is a special case of primitive operator. It is used in many lifecycle events that require a trade to be copied, such as in clearing or allocation scenarios.

  • In itself, it does not change the state of a trade - it just creates identical copies
  • Contrary to other operators, it outputs multiple trade states
  • Order matters: when present, a split must be executed before other operators can be applied to its multiple output

Like other primitive operators, split is associated to a split function and a split instruction. But unlike other operators, the split function cannot be executed in the Create_TradeState function because it returns a multiple output. Instead, a split instruction provides a breakdown of primitive instructions to apply to each post-split trade state.

For example, an allocation instruction would be specified as a split breakdown, each with a quantity change instructions to divide the initial block trade into smaller pieces, and then a party change instruction to assign each piece to a different legal entity related to the executing party.

The split function iterates on each element of the breakdown and applies the corresponding primitive instruction to each copy of the original trade using the Create_TradeState function. The size of that breakdown directs the size of the split.

type SplitInstruction:
  breakdown PrimitiveInstruction (1..*)
func Create_Split:
  inputs:
    breakdown PrimitiveInstruction (1..*)
    originalTrade TradeState (1..1)
  output:
    splitTrade TradeState (1..*)

  add splitTrade:
    breakdown
      extract Create_TradeState(item, originalTrade)

Examples of how primitive operators work are illustrated below.

Examples of Primitive Operators​

Execution Primitive​

The first step in instantiating a transaction between two parties in the CDM is an execution. In practice, this execution represents the conclusion of a pre-trade process, which may be a client order that gets filled or a quote that gets accepted by the client. However, the CDM event model only covers post-trade lifecycle events so assumes that a trade gets instantiated "from scratch" at execution.

Therefore, the execution function does not take any before state as input and all the trade details are contained in the execution instruction input.

func Create_Execution:
  inputs:
    instruction ExecutionInstruction (1..1)
  output:
    execution TradeState (1..1)
type ExecutionInstruction:
  product NonTransferableProduct (1..1)
  priceQuantity PriceQuantity (1..*)
  counterparty Counterparty (2..2)
  ancillaryParty AncillaryParty (0..*)
  parties Party (2..*)
  partyRoles PartyRole (0..*)
  executionDetails ExecutionDetails (1..1)
  tradeDate date (1..1)
      [metadata id]
  tradeTime TimeZone (0..1)
      [metadata id]
  tradeIdentifier TradeIdentifier (1..*)
  collateral Collateral (0..1)
  lotIdentifier Identifier (0..1)

Contract Formation Primitive​

Once an execution is confirmed, a legally binding contract is signed between the two executing parties and a contract formation associates a legal agreement to the transaction. The contract formation primitive function represents the transition of the trade state to a legally binding legal agreement after the trade is confirmed.

The function takes an existing trade state (typically, but not necessarily, an execution) as input and returns a trade state output containing the contract details. The ContractDetails object can reference some higher-order legal documentation governing the transaction - usually a master agreement. This legal documentation information is provided in the contract formation instruction input.

func Create_ContractFormation:
  inputs:
    instruction ContractFormationInstruction (1..1)
    execution TradeState (1..1)
  output:
    contractFormation TradeState (1..1)
type ContractFormationInstruction:
  legalAgreement LegalAgreement (0..*)

Because a transaction may change through some lifecycle events before getting confirmed, the contract formation primitive is separated from the execution primitive so that it can be invoked appropriately depending on the scenario. E.g. in an allocation, the trade would first get split into sub-accounts as designated by one of the executing parties, before a set of legally binding contracts is signed with each of those sub-accounts. A contract formation may not even follow an execution and could occur as part of later lifecycle events. E.g. in a novation scenario, a new contract will need to be instantiated with the step-in party and the right legal agreement associated to that trade.

In other cases, the execution and confirmation happen in one go and a contract is instantiated immediately. Such contract instantiation scenario can be represented using a compositive primitive instruction that comprises both an execution and a contract formation instruction and applies to a null trade state.

Reset Primitive​

The reset function associates a reset object to the trade state. The reset function creates an instances of the Reset data type and adds it to the resetHistory attribute of a given TradeState. The reset instruction specifies the payout that is subject to the reset, via a reference. A reset does not modify the underlying Trade object.

func Create_Reset:
  inputs:
    instruction ResetInstruction (1..1)
    tradeState TradeState (1..1)
  output:
    reset TradeState (1..1)
type ResetInstruction:
  payout Payout (1..*)
    [metadata reference]
  rateRecordDate date (0..1)
  resetDate date (1..1)

Transfer Primitive​

The transfer primitive function takes a TransferState object as transfer instruction input and adds it to the transferHistory attribute of the TradeState.

By design, the CDM treats the reset and the transfer primitive operators separately because there is no one-to-one relationship between reset and transfer.

  • Many transfer events are not tied to any reset: for instance, the currency settlement from an FX spot or forward transaction.
  • Conversely, not all reset events generate a cashflow: for instance, the single, final settlement that is based on all the past floating rate resets in the case of a compounding floating zero-coupon swap.
type TransferInstruction:
  transferState TransferState (0..*)

Business Event​

Definition: Business Event

A business event represents a life cycle event of a trade. The combination of the state changes results in a qualifiable life cycle event. An example of a Business Event is a PartialTermination which is a defined by a quantity change primitive event.

Business events are built according to the following principles:

  • A business event is specified functionally by composing primitive operators, each of which representing a fundamental change to the trade state and described by a primitive instruction.
  • Business event qualification is inferred from those primitive components and, in some relevant cases, from an additional intent qualifier associated with the business event. The inferred value is populated in the eventQualifier attribute.
type BusinessEvent extends EventInstruction:
  [metadata key]
  [rootType]

  eventQualifier string (0..1)
  after TradeState (0..*)
type Instruction:
  [rootType]
  primitiveInstruction PrimitiveInstruction (0..1)
  before TradeState (0..1)
    [metadata reference]

The only mandatory attributes of a business event are:

  • The event instruction. This is a list of Instruction objects, each representing a composite primitive instruction applied to a single (before) trade state. This attribute is of multiple cardinality, so a business event may impact multiple trades concurrently and result in multiple (after) trade states.
  • The event date. The time dimension has been purposely ommitted from the event's attributes. That is because, while a business event has a unique date, several time stamps may potentially be associated to that event depending on when it was submitted, accepted, rejected etc, all of which are workflow considerations.

Note: The primitives attribute corresponds to a previous implementation of the primitive operators, now deprecated but maintained for backward-compatibility purposes. Because some implementations rely on this former mechanism instead of the new primitive instruction mechanism, the lower bound of the instruction attribute's cardinality is 0 instead of 1. It will be updated to 1 once the former primitive mechanism is fully retired.

Event Composition​

An example composition of primitive instructions to represent a complete lifecycle event is shown below. The event represents the partial novation of a contract, which comprises the following:

  • a split primitive
  • a quantity change primitive applied to each post-split trade, where the total quantity should match the quantity of the original trade and none of the quantities is 0. A quantity of 0 for the remaining trade would result in a termination and represent a full novation.
  • a party change primitive applied to the post-split trade whose quantity corresponds to the novated quantity.
"primitiveInstruction" : {
     "split" : {
       "breakdown" : [ {
         "partyChange" : {
           "counterparty" : {
             "partyReference" : {
               "value" : {
                 "name" : {
                   "value" : "Bank Z"
                 },
                 "partyId" : [ {
                   "identifier" : {
                     "value" : "LEI3RPT0003"
                   },
                   "identifierType" : "LEI",
                 } ]
               }
             },
             "role" : "PARTY_1"
           },
           "tradeId" : [ {
             "assignedIdentifier" : [ {
               "identifier" : {
                 "value" : "LEI3RPT0003DDDD"
               },
               "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER"
             } ],
             "issuer" : {
               "value" : "LEI3RPT0003"
             },
           } ]
         },
         "quantityChange" : {
           "change" : [ {
             "quantity" : [ {
               "value" : {
                 "amount" : 5000,
                 "unitOfAmount" : {
                   "currency" : {
                     "value" : "USD"
                   }
                 }
               }
             } ]
           } ],
           "direction" : "REPLACE"
         }
       }, {
         "quantityChange" : {
           "change" : [ {
             "quantity" : [ {
               "value" : {
                 "amount" : 8000,
                 "unitOfAmount" : {
                   "currency" : {
                     "value" : "USD"
                   }
                 }
               }
             } ]
           } ],
           "direction" : "REPLACE"
         }
       } ]
     }
   }

A business event is atomic, i.e. its primitive components cannot happen independently. They either all happen together or not at all. In the above partial novation example, the existing trade between the original parties must be downsized at the same time as the trade with the new party is instantiated. Trade compression is another example, that involves multiple before trades being downsized or terminated and new trades being created between multiple parties, all of which must happen concurrently.

Event Qualification​

The CDM qualifies lifecycle events as a function of their primitive components rather than explicitly declaring the event type. The CDM uses the same approach for event qualification as for product qualification and is based on a set of Event Qualification functions. These functions are identified with a [qualification BusinessEvent] annotatation.

Event Qualification functions apply a taxonomy-specific business logic to identify if the state-transition attributes values, which are embedded in the primitive event components, match the specified criteria for the event named in that taxonomy. Like Product Qualification functions, the Event Qualification function name is prefixed with the word Qualify_ followed by the taxonomy name.

The CDM uses the ISDA taxonomy V2.0 leaf level to qualify the event. 23 lifecycle events have currently been qualified as part of the CDM.

One distinction with the product approach is that the intent qualification is also deemed necessary to complement the primitive event information in certain cases. To this effect, the Event Qualification function allows to specify that when present, the intent must have a specified value, as illustrated by the below example.

func Qualify_Termination:
  [qualification BusinessEvent]
  inputs:
    businessEvent BusinessEvent (1..1)
  output: is_event boolean (1..1)
  alias primitiveInstruction: businessEvent -> instruction -> primitiveInstruction only-element
  alias transfer: TransfersForDate( businessEvent -> after -> transferHistory -> transfer, businessEvent -> eventDate ) only-element

  set is_event:
    businessEvent -> intent is absent
      and (primitiveInstruction -> quantityChange only exists
          or (primitiveInstruction -> quantityChange, primitiveInstruction -> transfer) only exists)
      and (QuantityDecreasedToZero(businessEvent -> instruction -> before, businessEvent -> after) = True)
      and (businessEvent -> after -> state -> closedState -> state all = ClosedStateEnum -> Terminated)

If all the statements above are true, then the function evaluates to True. In this case, the event is determined to be qualified as the event type referenced by the function name.

The output of the qualification function is used to populate the eventQualifier attribute of the BusinessEvent object, similar to how product qualification works. An implementation of the CDM would call all of the Event Qualification functions following the creation of each event and then insert the appropriate value or provide an exception message.

Note: The type of the eventQualifier attribute in BusinessEvent, called eventType, is a meta-type that indicates that its value is meant to be populated using some functional logic. That functional logic must be represented by a qualification function annotated with [qualification BusinessEvent], as in the example above. This mechanism is further detailed in the Rosetta DSL documentation.

Intent​

The intent attribute is an enumeration value that represents the intent of a particular business event. It is used in the event qualifcation logic in cases where the primitive composition is not sufficient to uniquely infer a lifecycle event.

The description of each possible enumeration value provides an illustration of how this attribute is used.

enum EventIntentEnum:
   Allocation
   CashFlow
   Clearing
   Compression
   ContractFormation
   ContractTermsAmendment
   CorporateActionAdjustment
   CreditEvent
   Decrease
   EarlyTerminationProvision
   Increase
   IndexTransition
   NotionalReset
   NotionalStep
   Novation
   ObservationRecord
   OptionExercise
   OptionalExtension
   OptionalCancellation
   PortfolioRebalancing
   PrincipalExchange
   Reallocation
   Repurchase

Lineage​

The BusinessEvent data type implements lineage by tying each trade state to the trade state(s) that came before it in the lifecyle. The before attribute in each instruction is included as a reference using the [metadata reference] annotation. By definition the primitive instruction applies to a trade state that already exists.

By contrast, the after trade state in the business event provides a full definition of that object. That trade state is occurring for the first time and as triggered by the application of the primitive operators specified in the business event. The after trade state is optional because it may be latent while the business event is going through some acceptance workflow.

Other Misc. Information​

Other selected attributes of a business event are explained below.

  • The effective date is optional as it is not applicable to certain events (e.g. observations), or may be redundant with the event date.
  • The event qualifier attribute is derived from the event qualification features. This is further detailed in the event qualification section.

Workflow​

The CDM provides support for implementors to develop workflows to process transaction lifecycle events.

Definition: Workflow

A workflow represents a set of actions or steps that are required to trigger a business event, including the initial execution or contract formation. A workflow is organised into a sequence in which each step is represented by a workflow step. A workflow may involve multiple parties in addition to the parties to the transaction, and may include automated and manual steps. A workflow may involve only one step.

The CDM supports a workflow's audit trail by providing lineage from one step to another in that workflow.

type WorkflowStep:
  [metadata key]
  [rootType]
  businessEvent BusinessEvent (0..1)
  counterpartyPositionBusinessEvent CounterpartyPositionBusinessEvent (0..1)
  proposedEvent EventInstruction (0..1)
  rejected boolean (0..1)
  approval WorkflowStepApproval (0..*)
  previousWorkflowStep WorkflowStep (0..1)
    [metadata reference]
  nextEvent EventInstruction (0..1)
  messageInformation MessageInformation (0..1)
  timestamp EventTimestamp (1..*)
  eventIdentifier Identifier (1..*)
  action ActionEnum (0..1)
  party Party (0..*)
  account Account (0..*)
  lineage Lineage (0..1)
    [deprecated]
  creditLimitInformation CreditLimitInformation (0..1)
  workflowState WorkflowState (0..1)

The different attributes of a workflow step are detailed in the sections below.

Workflow Step Business Event​

This attribute specifies the business event that the workflow step is meant to generate. It is optional because the workflow may require a number of interim steps before the state-transition embedded within the business event becomes effective, therefore the business event does not exist yet in those steps. The business event attribute is typically associated with the final step in the workflow.

Proposed Event​

This attribute specifies the inputs required to perform the event's state transition and comprises a subset of the attributes of the business event itself. It is optional because it is only required for all pre-acceptance workflow steps. Once accepted, the business event is entirely represented, including its instructions, by the businessEvent attribute.

Validation components are in place to check that the businessEvent and proposedEvent attributes are mutually exclusive.

type EventInstruction:
  intent EventIntentEnum (0..1)
  corporateActionIntent CorporateActionTypeEnum (0..1)
  eventDate date (0..1)
  effectiveDate date (0..1)
  packageInformation IdentifiedList (0..1)
  instruction Instruction (0..*)

Next Event​

Parties sometimes pre-agree a follow-on event that is meant to be executed after the current event completes, but separately from it. A typical scenario is an execution that specifies that the trade is intended for clearing at a pre-specified clearing house. In this case, the parameters of the next event are known in advance need to be agreed between the parties as part of the current event.

The parameters of this next event are represented by an EventInstruction data type included in the workflow process.

Previous Workflow Step​

This attribute, which is provided as a reference, defines the lineage between steps in a workflow. The result is an audit trail for a business event, which can trace the various steps leading to the business event that was triggered.

Action​

The action enumeration qualification specifies whether the event is a new one or a correction or cancellation of a prior one, which are trade entry references and not reflective of negotiated changes to a contract.

Message Information​

The messageInformation attribute defines details for delivery of the message containing the workflow steps.

type MessageInformation:
  messageId string (1..1)
    [metadata scheme]
  sentBy string (0..1)
    [metadata scheme]
  sentTo string (0..*)
    [metadata scheme]
  copyTo string (0..*)
    [metadata scheme]

sentBy, sentTo and copyTo information is optional, as possibly not applicable in a all technology contexts (e.g. in case of a distributed architecture).

Note: MessageInformation corresponds to some of the components of the FpML MessageHeader.model.

Timestamp​

The CDM adopts a generic approach to represent timestamp information, consisting of a dateTime and a qualification attributes, with the latter specified through an enumeration value.

type EventTimestamp:
  dateTime zonedDateTime (1..1)
  qualification EventTimestampQualificationEnum (1..1)

The benefits of the CDM generic approach are twofold:

  • It allows for flexibility in a context where it would be challenging to mandate which points in the process should have associated timestamps.
  • Gathering all of those in one place in the model allows for evaluation and rationalisation down the road.

Below is an instance of a CDM representation (serialised into JSON) of this approach.

"timestamp": [
 {
    "dateTime": "2007-10-31T18:08:40.335-05:00",
    "qualification": "EVENT_SUBMITTED"
 },
 {
    "dateTime": "2007-10-31T18:08:40.335-05:00",
    "qualification": "EVENT_CREATED"
 }
]

Event Identifier​

The Event Identifier provides a unique id that can be used for reference by other workflow steps. The data type is a generic identifier component that is used throughout the product and event models. The event identifier information comprises the assignedIdentifier and an issuer, which may be provided as a reference or via a scheme.

type Identifier:
  [metadata key]
  issuerReference Party (0..1)
    [metadata reference]
  issuer string (0..1)
    [metadata scheme]
  assignedIdentifier AssignedIdentifier (1..*)

  condition IssuerChoice:
    required choice issuerReference, issuer

Note: FpML also uses an event identifier construct: the CorrelationId, but it is distinct from the identifier associated with the trade itself, which comes in different variations: PartyTradeIdentifier, with the TradeId and the VersionedTradeId as sub-components).

Other Misc. Attributes​

  • The party and account information are optional because not applicable to certain events.
  • The lineage attribute, now deprecated, was previously used to reference an unbounded set of contracts, events and/or payout components that an event may be associated to.

Note: The lineage attribute is superseded by the implementation in the CDM of: (i) trade state lineage, via the before reference in the primitive instructions, and (ii) workflow lineage, via the previousWorkflowStep attribute.