June 13, 2016

ISDA has published FpML 5.9 Trial Recommendation

The International Swaps and Derivatives Association, Inc. (ISDA) has published the Trial Recommendation for Financial products Markup Language (FpML) version 5.9. Regulatory reporting is a major focus in version 5.9. The version includes coverage for SEC SBSR, ESMA MiFID II/MIFIR and EMIR reporting revisions, and CFTC amendments for cleared swaps. Changes compared to the FpML 5.9 Last Call Working Draft (build 4) include: Regulatory Reporting:
  • ESMA EMIR RTS Clearing obligation: changed the mandatorilyClearable field to an FpML-defined Boolean type based on a coding scheme including “true”, “false” and “X”. ESMA recently updated their Q&A and have specified a specific example where ‘X’ should be submitted to report NA (Not Available) for the field Clearing Obligation.
  • 3 new fields have been added to address gaps identified from the ESMA EMIR RTS. (See Recordkeeping example ex-140):
    • Reporting level - ESMA requires an indication whether the report is done at trade or position level. A new field was added in tradeSummary/reportingLevel.
    • Index factor - ESMA requires the factor to apply to the Notional to adjust it to all the previous credit events in that Index series. A new field was added in tradeSummary/indexFactor to be used for Credit Derivatives.
    • Commodity time duration. a new field was added in SettlementPeriods/timeDuration to represent load delivery intervals. The field is provisionally added in the Trial Recommendation. The usage will be clarified in the final Recommendation.
    • In addition, the DayOfWeekEnum enumeration was expanded to add two new values (for weekends and weekdays).
  • An extensive cleanup of examples and coding schemes has been completed to improve data quality and better reflect actual usage at trade repositories. Additional cleanup may be applied in the final Recommendation.
  • Enhancement to tradingEvent to handle non-currency notionals (See Recordkeeping examples ex-60, ex-145 and ex-170). The structure was also added to the amendment event.
The Trial Recommendation is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-5-9-5-tr-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 The FpML Team