February 11, 2016

ISDA has published FpML 5.9 Third Working Draft

The International Swaps and Derivatives Association, Inc. (ISDA) has published the Third Working Draft for Financial products Markup Language (FpML) version 5.9. Changes compared to the FpML 5.9 Second Working Draft (build 2) include:
  • Regulatory Reporting:
    • ESMA MiFID II Technical Standards.
      • Added fields to support post-trade events – see PartyTradeInformation/TransactionClassification.model (see recordkeeping example events/ex-170 + products/ex-60)
      • Added support for algorithms (see recordkeeping example events/ex-170)
    • SEC SBSR Unique Identification Code (UIC) - refined the example to illustrate support for UIC (requirement for a SBSDR to obtain information from the non-reporting side of a SBS. See Recordkeeping example ex146.
    • CFTC Clearing ("Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps") – Added example (see recordkeeping ex-143)
    • Enhancement to ValuationReportRetracted - Added partyTradeInformation to valuationReportRetracted to support retraction of the trade in dual-sided reporting scenarios. Using the lightweight partyTradeInformation (added to Withdrawal in 5.5REC3 build 10) allows to clarify which party has the ESMA obligation. (see recordkeeping examples ex-130 + ex-131).
    • Redesign to regulatory reporting (for feedback)
      • Background: The FpML Regulatory Reporting Working Group has been studying lessons learned from 5 years of use of FpML for regulatory reporting. It has identified a number of issues that have been reported with FpML for this purpose, and is working on some proposals to address these issues. Please see the "FpML Regulatory Redesign" paper at http://www.fpml.org/documents/working-group-documents for more detail.
      • In this working draft we include a preliminary design of a new, simplified regulatory reporting message that the working group is working on, for comment from a broader audience. The working group cautions that this message is work in progress, and may be changed extensively prior to publication, moved to a future version of FpML, or removed entirely.
      • Please see the examples in Recordkeeping view in folders "reg-reporting-full-product" (new message formats but containing the existing full FpML product representation) and "flattened-reg-view" (new message formats with flattened product economics).
      • The FpML RPTWG has also developed demonstration XSLT scripts for converting from existing FpML formats (which are contained in folder "redesign-samples") to the other formats, at least for the product types and variations in the sample set. These scripts can be accessed from the FpML SVN repository or via the FpML regulatory reporting working group. If the working group eventually publishes the new formats as part of the standard, it is expected that these scripts would also be published.
      • Please return any comments on these new formats to rptwgchair@fpml.org.
    • Note: a handful of Commodities examples in Recordkeeping are still being worked on as part of the schema tightening work and may not validate against the schema. This will be fixed in the next draft.
      • Business Process:
        • Made events model back to optional in executionAdviceRetracted since it should not be required for the retracted messages.
      • Pre-trade Products:
        • Added support for Credit Derivative Indices by adding the feeLeg/initialPayment element to the pre-trade view.
        • Added pretrade models for FX Accrual Option, FX Accrual Digital Option, FX Swap, FX Accrual Forward, FX Range Accrual, FX Target Knockout Forward to support Credit Limit Check processes and other Pre-trade processes. (Note: the documentation for the new products in Pretrade view will be added in the next draft)
        • Fixed Validation errors caused by schema tightening in WD2.
      • Reinstated in WD3 the optionality for Receiver.model within PayerReceiver.model
      • To reinstate optionality of the floating rate within Stub structure, decoupled FloatingRate type that used within the FloatingRateCalculation and the Stub structures, specifying a distinct type for the StubValue - StubFloatingRate.
      • Incompatible change compared to FpML 5.8 Recommendation (Note: this only shows incompatible change since WD2, for all incompatible changes see section "CHANGES IN THIS VERSION" of the online documentation.)
  • Removed the deprecated nonSchemaProduct from the schema to avoid any confusion with the existing genericProduct. The removal was agreed by the FpML Standards Committee.
The draft is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-5-9-3-wd-3 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 The FpML Team