Build Number: 3; Document built: Tue 09/25/2012 9:21:20.94
Copyright (c) 1999 - 2012 by International Swaps and Derivatives Association, Inc.
Financial Products Markup Language is subject to the FpML® Public License.
FpML® is a registered trademark of the International Swaps and Derivatives Association, Inc.
A copy of this license is available at http://www.fpml.org/license/license.html
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
This is the FpML 5.4 Last Call Working Draft for review by the public and by FpML members and working groups.
The FpML Working Groups encourage reviewing organizations to provide feedback as early as possible. Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues. An archive of the comments is available at http://www.fpml.org/issues/
There are also asset class-specific mailing lists; you can join them at the following link:
A list of current FpML Recommendations and other technical documents can be found at
This document has been produced as part of the FpML 5.4 activity and is part of the Standards Approval Process.
The FpML documentation is organized into a number of subsections.
This section provides an overview of the specification.
These are automatically generated reference documents detailing the contents of the various sections in the FpML schema.
Most diagrams in this specification come from TIBCO's XML Turbo application which is used to batch generate the pictures in the documentation. The notation follows the pattern:
This document was produced by the following working groups:
Voting Members
Non-Voting Members
The Financial Products Markup Language (FpML) is the industry standard enabling e-business activities in the field of financial derivatives and structured products. The development of the standard, controlled by ISDA (the International Swaps and Derivatives Association), will ultimately allow the electronic integration of a range of services, from electronic trading and confirmations to portfolio specification for risk analysis. All types of over-the-counter (OTC) derivatives will, over time, be incorporated into the standard.
FpML is an application of XML, an internet standard language for describing data shared between computer applications.
The FpML Reporting Working Group has defined two new views, "Transparency" and "Recordkeeping", to support parties and execution facilities reporting trading activity into Swaps Data Repositories (SDRs), as required by the Commodities Futures Trading Commission's 17 CFR 43 and 45, and similar requirements from the Securities and Exchange Commission in 17 CFR 240. The FpML Standards Committee invites comments on the proposed materials including schemas, examples, and documentation.
In WD#2, a number of new products have been added to Transparency view. The changes versus Confirmation view have been modeled on other products in WD#1, but the product representations have not yet been reviewed in detail in the working group. The FpML Reporting Working Group invites feedback on the detailed contents in Transparency view of any product.
The FpML Business Process Working Group has adjusted the multiplicity of the correlation IDs and is seeking feedback on this change. In particular, is there a need for multiple correlation IDs if the correlation ID on original requests is made optional?
Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues.
View PDF for details on schema changes
View PDF for details on validation rules changes
View SCHEME DEFINITIONS for details on coding schemes changes
The scope of FpML 5.4 includes broadened BusinessProcess/Messaging coverage and additional product support, specifically:
The various Working Groups have developed FpML 5.4 within the FpML Architecture 3.0 Specification defined by the Architecture Working Group. This document defines that standards and principles on which the FpML grammatical definitions are based.
The FpML Architecture 3.0 builds upon the earlier FpML Architecture specifications and the conventions of FpML 1.02b before that. The refinement of the FpML architecture is an evolutionary process bought about by changes in the XML technology upon which it is based and the requirements of the standard as its scope expands.
The FpML Messaging Task Force group was formed to define a new messaging framework that insures consistent processes across trades and post-trade events, observable completion, consistent message correlation, consistent error reporting, consistent correction and retraction.
Most of the FpML 5 business processes are “generic” processes that can apply to new trades and/or any post-trade events. This means that the message name indicates the business process (e.g. confirmation, execution notification, etc.) but not the type of event (e.g. trade, amendment, etc.). The payload of the message indicates the type of the event.
The business processes currently supported include:
To support these business processes, a number of messages have been defined. Please see the "Business Process Architecture" section for more information.
The Validation Working Group provides semantic, or business-level validation rules for FpML 5.4. These validation rules, which are aimed at normalizing the use of elements within FpML, are issued as part of the FpML Specification in the validation section of this document.
The validation working group publishes with its releases:
The current specification includes a set of rules for Interest Rate Derivatives, Equity Derivatives, Credit Derivatives, Loans, FX, and for shared components. The rules for the different asset classes will be further enhanced in future versions.
In FpML 5.4 Last Call Working Draft the following Interest Rate Derivative products are covered:
In FpML 5.4 Last Call Working Draft the following Credit Derivative products are covered:
The Scope of FpML 5.4 Last Call Working Draft includes redesigned FX product model developed by the Modeling Task Force (MTF) and FX Working Group to make it more consistent with other FpML product representations and to facilitate its further development. As a result of this work many of an original 4.x model’s issues were addressed:
In FpML 5.4 Last Call Working Draft the following FX products are covered:
In addition, support for the following money market instrument is also provided:
The EQD Products Working Group has extended the FpML standard to cover the following Equity Derivative products
FpML provides generic Return Swaps support including "long form" Equity Swap representations, as well as Total Return Swaps. A separate product element called equitySwapTransactionSupplement supports "short form" Equity Swap Transaction Supplement.
Return-type Swaps have 1-to-many Legs, all of which must be derived from the ReturnSwapLeg type. Instances of Legs are returnLeg, interestLeg. Other Leg types may be derived from ReturnSwapLeg at will, to allow for private extensions to support whatever type of Generic Return Swap is desired.
The scope of this FpML representation for return swaps is to capture the following types of swaps that have equity-related underlyers:
Extraordinary Events terms have been incorporated, to take into consideration the release of the 2002 ISDA Definitions for Equity Derivatives.
Trigger swaps, in which equity risk morphs into a fixed income risk once a certain market level is reached, may be supported in a subsequent release.
The Equity Derivative Working Group extended FpML to cover:
The Equity Derivative Working Group extended FpML to cover:
The Equity Derivative Working Group extended FpML to cover:
The Commodities Working Group will extend the FpML standard to include trade types and products for the OTC commodities markets, following the structure and coverage of the 2005 ISDA Commodity Definitions. The following are included in version 5-4:
Business Process is including Confirmations, Valuations, Reporting
The Pricing and Risk scope for FpML 5.4 Last Call Working Draft is:
Valuation and basic risk on the following products:
The Pricing and Risk Working Group has also provided some definitions that might be useful for other types of valuation and risk reporting.
Producers of FpML documents intended for interchange with other parties must encode such documents using either UTF-8 or UTF-16. Consumers of FpML documents must be able to process documents encoded using UTF-8, as well as documents encoded using UTF-16. For more information, see
Unrestricted FpML elements may use any valid XML characters. For more information, see
http://www.w3.org/TR/REC-xml#charsets
Certain elements and attributes (such as scheme URIs) are defined with more restrictive types, such as xsd:normalizedString, xsd:token, or xsd:anyURI. For these types, please see the relevant data type definition in the XML Schema datatypes specification:
Top of Section | Next |
---|