July 15, 2015

ISDA has published FpML 5.8 Recommendation

Pleas read the ISDA Press Release ISDA has published the Recommendation for FpML Version 5.8 Changes compared to FpML 5.8 Trial Recommendation (build#6) published May 26, 2015
  • FX Derivatives:
    • New FX Accruals, Targets and Volatilities: Made improvements to the documentation.
    • Removed cutName from transparency view. The expiryTime element should be used in preference to cutName as the formal definition of FX option expiry time.
  • Equity Derivatives:
    • Within "CalculationFromObservation", an element "initialLevel" was incorrectly strengthened during 5-8 schema improvement work. The FpML RPTWG agreed to revert the changes. This model will be improved in FpML version 5-9.
  • Loan Servicing Notifications
    • Made miscellaneous enhancements and fixes to the model
      • All rate fields have been updated to the xsd:decimal type in view of the possibility of negative rates.
      • Created structures to support a subset of the ISDA Floating Rate Option scheme. See http://www.fpml.org/coding-scheme/floating-rate-index-loan
      • Prepayment and repayment can only occur on a single loan contract, per design. Fixed the cardinality so LoanContractDetails.model can only be specified once.
      • The prepayment and repayment with CA messages were combined into a single (more flexible) prepayment notification. This consolidation is more in-line with the way that the loan market processes these transactions.
    • Fleshed out the documentation.
  • Business Process and Regulatory Reporting
    • Schema Tightening / Data Quality
      • Tightened issuerId to require a non-empty value and corrected examples to remove empty issuerId.
      • Within reportingRegime, reverted 3 elements to their previous (loose) state in 5.7, as agreed by the Standards Committee and RPTWG 2015-06-01. Made reportingRole, reportingPurpose, manditorilyClearable optional.
      • The RPTWG and AWG earlier produced a technical paper outlining the complete list of changes. See
    • Support for ESMA Action Type
      • Within the Withdrawal structure, changed the partyTradeInformation block from 0..2 to 0..unbounded to support third party submissions where the TR might receive more than 2 partyTradeInformation blocks, because of an additional submitter block.
      • The changes to support ESMA action type were propagated retroactively to erratum to versions 5.5, 5.6, 5.7.
Incompatible changes compared to FpML 5.7 Recommendation#4 (build#9)
  • Business Process:
    • Implausible combinations of events within messages have been removed in 5.8 WD1; certain events that were previously available in messages have now been removed, effectively breaking forward compatibility. The BPWG does not foresee issues with removing these options as it is unlikely the removed combinations were used by implementations. The BPWG is seeking feedback from the industry in the unlikely event the changes affect existing implementations. Please submit feedback to bpwgchair@fpml.org.
    • Schema tightening - Certain structures were tightened in regulatory reporting views to make the schema less ambiguous and improve guidance for implementers. This results however in non-backward compatible changes that should be viewed as fixes of existing flaws. As such, changes should not invalidate any existing, meaningful document.
      • Some structures of interest include:
        • CDS - FeeLeg was refactored to require at least one type of fee (e.g., intialPayment or singlePayment)
        • CDS - entityName or entityId were made mandatory. restructuring entity Id / Name to allow either or both will slightly change the appearance of the confirmation view schema but shouldn’t affect instances.
      • Some key identifiers have been made non-empty. If they are supplied, they are not allowed to be empty anymore.
      • Refer to the following technical paper for a complete list of changes http://www.fpml.org/docs/FpML-5-8-schema-tightening.pdf
More information on the timing of version 5 and 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 . The FpML Team