February 12, 2018

ISDA has published FpML 5.10 Recommendation

The International Swaps and Derivatives Association, Inc. (ISDA) has published the Recommendation for Financial products Markup Language (FpML) version 5.10.

 

Version 5.10 includes expanded support for MiFID II reporting under ESMA; additional product coverage in Interest Rate Derivatives; comprehensive coverage of syndicated loan processes and notifications, and various improvements to the schema and examples in order to improve data quality and the process of regulatory reporting. 

 

Changes in the 5.10 Recommendation compared to the previous draft (5.10 TR published January 3)

Only minor changes have been made in the Recommendation compared to the Trial Recommendation. Changes include:

  • Regulatory Reporting:

    • Changed the type of the “multiplier” element within the Future and ExchangeTradedContract complex types (both extending ExchangeTraded) from xsd:positiveInteger to PositiveDecimal (FpML native type).

      • The element was previously defined in both contexts with type xsd:positiveInteger – the proposal is to change this to PositiveDecimal (FpML native type). As this is a relaxation of the existing type constraint, the change is backward-compatible with existing documents. The expectation is that the multiplier would continue to be presented as a positive integer in existing usages.

      • The rationale for this change is to support exchange-traded futures and options on Commodity underlyers, where there is an implied conversion ratio between the contract unit size and the price quotation units. For example, the CME Gold Kilo Futures contract specifies the Contract Unit as One kilogram (32.15 troy ounces), whereas the Price Quotation is in terms of U.S. Dollars and Cents per troy ounce.

      • In this case, the equivalent FpML future representation would require 32.15 as the value of future/multiplier (e.g. within the instrumentTradeDetails model), however this is not permitted in the FpML schema as multiplier is currently defined as xsd:positiveInteger. This has implications for parties using FpML to support internal workflows for regulatory reporting e.g. under MiFID II/MiFIR. Further, the equivalent property in the ISO 20022 MiFIR message set is defined using ISO 20022 native type NonNegativeDecimalNumber. It makes sense for the FpML type to be (at least) as permissive as the ISO type within the context of an integrated workflow (we can debate whether a price multiplier of zero is permissible …).

      • The change was unanimously supported by the Reporting Working Group for inclusion in 5.10 Recommendation as it is the result of live implementation feedback, and consistent with FpML change guidelines. 

  • Syndicated Loan (Confirmation View)

    • Made “FacilityLoanContractDetails.model” structure (inside the LoanAllocationSettlementNotification message) required and unbounded (1..n) for consistency with related messages.

    • In addition, annotations were fleshed out or added where missing. 

  • Validation Rules:

    • Updated rules ird-2 and ird-5 by adding a precondition so the rules get triggered only when periods are M (month) or Y (year).

    • Removed rule ird-12 since there are too many indices in the market (e.g. CNY) for which the rule doesn’t apply

  

See the “Changes in this version” section of the online documentation for a detailed list of additions and enhancements compared to version 5.9.

 

The Recommendation is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-5-10-5-rec-1 

More information on the coverage and timing of future versions can be found in the FpML roadmap: http://www.fpml.org/roadmap.pdf

Please send us any comments by filling in the form at http://www.fpml.org/issues