NEW YORK, November 30, 2022 - The International Swaps and Derivatives Association, Inc. (ISDA) published the First Working Draft for Financial products Markup Language (FpML) version 5.13 and a new set of Coding Schemes version 2-11.
FpML 5.13 WD1 is available at https://www.fpml.org/spec/fpml-5-13-1-wd-1/ and includes the following changes compared to the previous version 5.12 REC published September 2021.
- Cross Asset Class Product Work - Interest Rate Work Stream:
- Added new examples for inflation swaps in Brazil and Chile, and a total return swaps with calculation parameters.
- Documentation - Equity Products:
- Added CFD and Portfolio Swap in the scope definition.
- Documentation - Business Process:
- Added Change Events section in Business Process Architecture.
- Architecture Business Process Work
- New support for Credit Events:
- Added complex type CreditChangeEventBase.
- Added Added complex type CreditChangeEvent.
- Cardinality of element payment in complex type TradeChangeComponent set to unbounded.
- Added element creditChangeEvent.
- Added complex type CreditEventType.
- Added simple type CashOrPhysicalSettlementEnum.
- Added complex type CreditEventIndexReferenceInformation.
- Regulatory Reporting: support for CFTC Rules Rewrite
- 5.13 WD1 is the version that regulatory reporting implementations can use, as far as complete CFTC Rewrite support is concerned.
- Schema changes:
- Added element postPricedIndicator into ReportingRegime complex type (transparency view).
- Added group EndUserException.model, containing previous choice structure.
- Cardinality for endUserExceptionReason in EndUserException.model changed to unbounded.
- Choice structures containing endUserException, endUserExceptionReason and endUserExceptionDeclaration replaced by EndUserException.model.
- Added EndUserException.model to ReportingRegime complex type to make it jurisdiction specific.
- Deprecated EndUserException.model from type PartyTradeInformation.
- Updated the description of the element submittedForClearing in type TradeProcessingTimestamps.
- Additional CFTC fields supported with this version (in addition to all the fields previously available in FpML 5.12)
- Support for CFTC fields 23/24 - Counterparty federal entity indicator (recommend using party/organizationType).
- Support for CFTC fields 16/17 - Counterparty financial entity indicator (recommend using reportingRegime/partyEntityClassification).
- Support for CFTC field 68 - Post-priced swap indicator (existing partyTradeInformation field made available in Transparency view).
- Support for CFTC fields 11/12 - Clearing exceptions and exemptions counterparty (copied endUserExceptionReason structure inside reportingRegime, made endUserExceptionReason unbounded, deprecated the choice group in partyTradeInformation, in favor of the new structure in reportingRegime).
- Support for CFTC field 47 - Package price (recommend using quote structure).
- Support for CFTC field 10 - Clearing receipt timestamp (recommend using partyTradeInformation/timestamps/submittedForClearing).
- Support for TR field to support CFTC - SD / MSP indicator (recommend using party/organizationType).
- Set of examples:
- See Recordkeeping view examples/products/record-ex654 through record-ex659.
- See Transparency view examples/products/trans_ex43_cftc_rewrite_post_priced_indicator.xml
New Coding Schemes Catalog 2-11
ISDA has also published a new basic and enhanced coding-scheme catalog versions 2-11.
FpML is the industry standard for derivatives and complex products. A recommendation is the final step in the development process of a version. The latest version of the open-source standard is available on the FpML website: www.fpml.org.