May 12, 2025

ISDA publishes the Recommendation for FpML version 5.13

NEW YORK, May 12, 2025 - The International Swaps and Derivatives Association, Inc. (ISDA) published the Recommendation for Financial products Markup Language (FpML) version 5.13.

The FpML 5.13 Recommendation is available on the FpML website in the Specifications section at: www.fpml.org/spec/fpml-5-13-7-rec-1

   

Highlights:

  • additional product coverage: Interest Rate TRS. Accumulator/Decumulator
  • expanded regulatory reporting coverage: CFTC Rewrite (2020), EMIR REFIT (2020), closer alignment with DRR
  • cleanup of schemas and examples per architectural guidelines
  • improvements to examples, fixes to issues

Changes compared to FpML 5.12 Recommendation - build #4

  • [Added product support: Interest Rates Total Return Swap]
    • See examples in \confirmation\products\interest-rate-derivatives\ird-ex60, ird-ex61, ird-ex62
  • [Added product support: Accumulator / Decumulator]
    • See Confirmation/fpml-accumulator.xsd.
  • [Recordkeeping/Transparency/Reporting/Pretrade][Added business process support: Credit Events]
    • Expanded the credit event business event model to support CFTC Rewrite reporting. The updated credit event model was developed consistently with CDM and allowed firms to generate test samples for ISDA Digital Regulatory Reporting (DRR).
      • Added complex type CreditChangeEventBase.
      • 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.
      • [Pretrade] "fpml-business-events.xsd" file now includes "fpml-cd.xsd" file for pretrade view to account for dependencies resulting from the expansion of the Credit Events model in FpML 5.13 Working Draft 1.
    • Documentation - Added Change Events section in Business Process Architecture. See new section 3.3.5.10.4 Credit Events.
  • [Examples added]
    • 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.
    • Added Basis Swap Examples
      • Including Cross Currency and Fixed Fixed Basis Swaps
      • See examples in \confirmation\products\interest-rate-derivatives\ird-ex70 to ird-ex75
    • Added examples for Interest Rates Total Return Swaps
      • See examples in \confirmation\products\interest-rate-derivatives\ird-ex60, ird-ex61, ird-ex62
    • Ongoing Review of Examples
      • Interest Rates examples added: \confirmation\products\interest-rate-derivatives\ ird-ex51a-rfr, ird-ex52a-rfr
      • Equity Derivatives example added: \confirmation\products\equity-swaps\ trs-ex01a
  • [Regulatory Reporting]
    • Summary:
      • Support for CFTC Rewrite (2020).
      • Support for ESMA EMIR REFIT Regulation (2020).
      • Deprecated "regulatoryDisclosure" structure.
    • Schema changes:
      • Support for CFTC Rewrite (2020)
        • Support for CFTC field 93 Block Trade Election Indicator. Added a choice in type "TradeInformation" between the "largeSizeTrade" element and a new "blockTradeIndicator" element. Distinction relevant for CFTC reporting purposes.
        • 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). Updated the description of the element submittedForClearing in type TradeProcessingTimestamps.
        • Support for TR field to support CFTC - SD / MSP indicator (recommend using party/organizationType).
      • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR).
        • Updated the description of submittedForClearing to clarify its use for EMIR reporting.
        • Support for EMIR Refit field 1.20. Added a new element "directlyLinkedActivity" in ReportingRegime for EMIR reporting.
        • 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.
        • Element "step" in type "NonNegativeSchedule" made available for transparency view.
        • Added support for n-layer commodity classification for both physical and financial products. Commodity physical legs have been reorganized, with physical legs now inheriting from a common type.
          • Added type "CommodityClassification"
          • Added type "CommodityClassificationLayer"
          • Added choice in "CommodityReferencePriceFramework.model" between "commodityBase" + "commodityDetails" and "commodityClassification".
          • Extension base changed from "CommoditySwapLeg" to "CommodityLeg" for types "AveragePriceLeg", "FinancialSwapLeg", "NonPeriodicFixedPriceLeg".
          • Extension base changed from "CommoditySwapLeg" to "PhysicalLegBase" for "PhysicalSwapLeg".
          • Extension base changed from "CommodityForwardLeg" to "PhysicalLegBase" for "PhysicalForwardLeg".
          • Element "commodityForwardLeg" renamed "physicalCommodityForwardLeg".
          • Removed type "CommodityForwardLeg".
          • Removed type "CommoditySwapLeg".
          • Added type "CommodityLeg".
          • Added type "PhysicalLegBase".
          • Element "commodityForwardLeg" of type "CommodityForwardLeg" replaced by element "physicalCommodityForwardLeg" of type "PhysicalLegBase".
          • Substitution group changed from "commodityForwardLeg" to "physicalCommodityForwardLeg" for "bullionPhysicalLeg", "metalPhysicalLeg".
          • Substitution group changed from "commoditySwapLeg" to "physicalLeg" for "coalPhysicalLeg", "electricityPhysicalLeg", "environmentalPhysicalLeg", "gasPhysicalLeg", "oilPhysicalLeg".
          • Added element "commodityPhysicalLeg" of type "PhysicalLegBase".
          • Added element "physicalLeg" of type "PhysicalLegBase".
          • Added element "physicalLeg" of type "PhysicalLegBase".
          • Changed type of element "commoditySwapLeg" from "CommoditySwapLeg" to "CommodityLeg".
      • [Recordkeeping] Deprecated regulatoryDisclosure structure, including all types and elements that were used exclusively in regulatoryDisclosure.
    • Coding schemes changes:
      • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR)
        • Support for Corporate sector of the counterparty (EMIR REFIT Annex I Table 1 fields 6 and 12). Added a new "esma-emir-refit-regulatory-corporate-sector-1-0" coding scheme. reporting.
        • Support for Crypto indicator (EMIR REFIT Annex I Table 2 field 12). Added a new "esma-emir-refit-crypto-asset-indicator" coding scheme.
        • Support for Action type (EMIR REFIT Annex I Table 2 field 151). Added a new "esma-emir-refit-action-type-1-0" coding scheme.
        • Support for Event type (EMIR REFIT Annex I Table 2 field 152). Added codes "Inception:Netting", "Clear:Netting" and "Modification:Netting" to "eventTypeScheme".
        • Updated values of the asset measure scheme capacity units to support the distinction between US and GB units. Added a new "LastAvailableSpotPrice" value to the scheme to support the total amount calculation in CFTC reporting (CFTC field 43).
        • Support for Contract Type (EMIR REFIT Annex I Table 2 field 10). Added a new "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" coding scheme.
        • Support for Unique Product Identifier (UPI). Added a new "http://www.fpml.org/coding-scheme/external/iso4914" external coding scheme.
        • Support for Post Trade Risk Reduction (EMIR REFIT Annex I Table 2 fields 5, 38 and 39).
          • Added a new "http://www.fpml.org/coding-scheme/external/compression-link-identifier" external coding scheme.
          • Added new code "PortfolioRebalancing" to "terminatingEventScheme".
          • Added new code "PortfolioRebalancing" to "originatingEventScheme".
          • Added new codes "CompressionProvider" and "RebalancingProvider" to "partyRoleScheme".
        • Support for Commodity Classification (EMIR REFIT Annex I Table 2 fields 116, 117 and 118). Added the following coding schemes for "commodityClassificationScheme":
          • http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification-1-0
    • Examples:
      • [Recorkeeping] Deprecated samples using regulatoryDisclosure structure.
      • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR)
        • [Confirmation View] \confirmation\business-processes\execution-advice\
          • msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.xml
          • msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.xml
        • [Recordkeeping View] \recordkeeping\events\
          • record-ex212-new-trade-esma-emir-refit-commodity-swap.xml
        • [Transparency View] \transparency\products\
          • trans_ex44_ird_swap_cftc_notional_step_schedule.xml
      • Support for CFTC Rewrite (2020)
        • Addition of new samples used for the ISDA Digital Regulatory Reporting (DRR) testing process. These test pack samples are contributed by the firms participating in the ISDA DRR project.
        • Added examples for CFTC clearing exceptions.
        • Added examples for CFTC federal entity.
        • Added examples for CFTC financial entity.
        • Added examples for CFTC package price.
        • Added examples for CFTC package spread.
        • Added examples for CFTC post priced indicator.
        • Added examples for CFTC post priced indicator.
        • See Recordkeeping examples/products/record-ex654 through record-ex659.
        • See Transparency view examples/products/trans_ex43_cftc_rewrite_post_priced_indicator.xml
  • [Schema Checker]
    • Cleanup of schema and examples per architectural guidelines using the Schema Checker. The schema checker is a new tool which has been developed during 5.13 to improve the quality of the schema.
      • Summary of error codes:
        • ERR-001 All elements should use lowerCamelCase
        • ERR-002 All attributes should use lowerCamelCase
        • ERR-003 All complexTypes should use UpperCamelCase
        • ERR-004 All simpleTypes should use UpperCamelCase
        • ERR-005 All attributeGroups should use UpperCamelCase and end with the ".atts" suffix
        • ERR-006 All model groups should use UpperCamelCase and end with the ".model" suffix
        • ERR-007 All enumerations should use UpperCamelCase and end with the "Enum" suffix
        • ERR-008 All internal references must end with the suffix "Reference"
        • ERR-009 Whenever a structure is deprecated with the fpml-annotation:deprecated="true", there must be a deprecated reason present as well in the form of an fpml:annotation:deprecatedReason.
        • ERR-010 Whenever there are default URIs for schemes, these URIs must be either internal: "http://www.fpml.org/coding-scheme/AAAA" or external: "http://www.fpml.org/coding-scheme/external/AAAA"
        • ERR-011 All elements must be qualified
        • ERR-012 All attributes must be unqualified
        • ERR-013 All elements must be associated with a globally defined type
        • ERR-014 Elements must not be empty
        • ERR-015 Elements that are part of substitution groups must be abstract and global
        • ERR-017 All attributes must be simple types or XML schema built in types
        • ERR-018 All attributes must be local and contained within an element, a complexType, or an attribute group
        • ERR-019 All types that contain an xsd:extension base="Scheme" must contain an attribute which has a name with the suffix "Scheme"
        • ERR-020 All global types must have a definition in the form of an xsd:annotation
        • ERR-022 Floating documentation (or comments) of the type are not allowed
        • ERR-023 All documentation must be in english
        • ERR-024 Inheritance by restriction (xsd:restriction) is not recommended
        • ERR-025 All abstract types must have another type extending them via xsd:extension, except for abstract types that are labeled as extension points
        • ERR-026 The target element in an intra-document reference must always have an attribute named 'id' with a type 'xsd:ID'. Alternitavely, “Complex types with an attribute=”id” must have the type of the attribute be “xsd:ID”.
        • ERR-027 The referencing element in an intra-document reference must have an attribute named 'href' with a type 'xsd:IDREF'
        • ERR-028 Each component XML Schema must have an associated version number
      • Fixes to schemas and/or examples:
        • Updated the architecture document as follows:
          • The language of each schema must be present at the root of each schema document exclusively has been added to section 2.3.12 Annotation.
          • The exception pertaining to abstract types that are extension points not needing to be extended has been added to section 2.4.3 Abstract Types.
        • Schema checker ERR-007: All enumerations should use UpperCamelCase and end with the “Enum” suffix. The SupervisoryBody.EMIR enumeration has been changed to "EMIRSupervisoryBodyEnum" and its definition has been added.
        • Schema Checker ERR-008:
          • Deprecated the xsd:attribute within the Payment complexType, and instead added an element within Payment called PricingStructureReference of type PricingStructureReference
          • Deprecated the xsd:attribute within the PaymentCalculationPeriod
        • Schema Checker ERR-013: The element inflationRate has been associated to a new "InflationRate" complex type – copied current nameless complexType inside the element inflationRate outside and named it “InflationRate”.
        • Schema Checker ERR-022:
          • Fixed the copyright message in the fpml-accumulator.xsd file. Previously as part of an xsd:annotation, has now been removed and added as a floating comment on top of the schema, following the same format as the rest of the files in the master view.
          • Integrated the "Do not delete this orphan..." floating comment into the documentation of the PercentageRule complex type in the master schema, and deleted the original floating comment.
          • All comment serving as a grouping mechanism to separate different sections of the schema have been modified to use a single common format across all schemas
          • Remaining floating comments in fpml-collateral-processes and fpml-recordkeeping-processes have been removed, as they were deemed unnecessary and outdated. Regarding the "requested action? ..." comment, FpML Issue 1363 has been raised.
        • Schema Checker ERR-025:
          • The boolean fpml-annotation:extensionPoint has been added to AdditionalEvent (fpml-business-events.xsd) to be able to distinguish abstract types that are exceptions to this one rule ("All abstract types must have another type extending them via xsd:extension").
          • Deprecated "PaymentRule" element (fpml-shared.xsd) after decision made in AWG 12/12/24. To bring the removal of PaymentRule from the view altogether to the Standards Committee in the next meeting.
        • Schema checker ERR-028: The fpml-legal.xsd file has been modified to include a 'version="$ Revision: XXXXX $”' attribute in its root.
        • Schema Checker ERR-023: All documentation must be in english. Removed all instances of xml:lang="en" within xsd:documentation for all schemas and added the xml:lang="en" attribute to the root of all schema documents.
        • Added "InflationRate" type to the "inflationRate" element in the fpml-ird.xsd file, and deleted all the previous contents within "inflationRate" since they are already defined in the global type "InflationRate" outside. This change fixes the ERR-013 schema checker error.
  • [Validation]
    • Validation Rules:
      • Updated validation rule ird-1 to take into account the calculationParameters structure, solving the issue 1304.
    • Examples Review:
      • Updated IR confirmation samples with validation errors:
        • Removed the masterAgreementType attribute pointing to the scheme URI pointing at http://www.swapswire.com/spec/2001/master-agreement-type-1-0.
        • Removed superfluous comments and blank otherAgreementType element.
        • Removed dayType where periodMultiplier is 0 or period is not "D".
        • Taxonomy changed to scheme-accepted values: "InterestRate:IRSwap:FixedFloat:OIS" changed to "InterestRate:IRSwap:OIS" + "InterestRate::VanillaSwap" changed to "InterestRate:IRSwap:FixedFloat" for RFR samples.
        • Fixed reporting regimes and supervisory bodies with non-standard values or spelling.
        • External URIs removed whenever the same value exist in the FpML default coding scheme.
        • Non-standard party role "ClearingBroker" replaced with standard "ClearingFirm".
      • Update to Rates example ird-ex33-BRL-CDI-swap.xml: resetFrequency updated from 1T to 1D to reflect market practice
      • Sample business rules validation fix (scheme-10 rule):
        • Added coding scheme override for inflation samples incorrectly using FRO scheme.
        • Replaced versioned coding scheme URI for canonical URI in TRS samples.
        • Updated samples:
          • inflation-asset-swap-ex01-ratio-zc-floored.xml
          • inflation-asset-swap-ex02-ratio-zc-floored.xml
          • inflation-asset-swap-ex03-par-par.xml
          • inflation-asset-swap-ex04-proceeds.xml
          • inflation-swap-ex01-yoy.xml
          • inflation-swap-ex02-yoy-bond-reference.xml
          • inflation-swap-ex03-yoy-initial-level.xml
          • inflation-swap-ex04-yoy-interp.xml
          • inflation-swap-ex05-zc.xml
          • inflation-swap-ex06-zc.xml
          • inflation-swap-ex10-float-v-float-BRL.xml
          • ird-ex60-trs-basket.xml
          • ird-ex61-trs-single-underlyer.xml
          • ird-ex62-trs-single-underlyer-short.xml
      • Removed spreadSchedule element from samples which only contain an initial value of 0 (business rule ird-25).
        • Updated samples:
          • ird-ex04a-arrears-stepup-fee-swap.xml
          • ird-ex06a-xccy-swap.xml
          • ird-ex07a-ois-swap.xml
          • ird-ex09a-euro-swaption-explicit.xml
      • Removed businessCenters from Interest Rate and Commodity samples where businessDayConvention is NONE/NotApplicable and added to those where it is takes any other value:
        • See updated Interest Rate examples in \confirmation\products\interest-rate-derivatives\
          • ird-ex04a-arrears-stepup-fee-swap.xml
          • ird-ex06a-xccy-swap.xml
          • ird-ex07a-ois-swap.xml
          • ird-ex09a-euro-swaption-explicit.xml
          • ird-ex38-rfr-avg-swap-pmt-delay.xml
          • ird-ex39-rfr-avg-swap-rate-cutoff.xml
          • ird-ex40-rfr-avg-swap-obs-period-shift.xml
          • ird-ex41-rfr-avg-swap-lookback.xml
          • ird-ex42-rfr-compound-swap-pmt-delay.xml
          • ird-ex43-rfr-compound-swap-rate-cutoff.xml
          • ird-ex44-rfr-compound-swap-obs-period-shift.xml
          • ird-ex45-rfr-compound-swap-lookback.xml
          • ird-ex46-rfr-compound-swap-lookback-oet-mmviq.xml
          • ird-ex47-rfr-compound-swap-lookback-oet-rvfq.xml
          • ird-ex48-rfr-compound-swap-lookback-oet-ccp.xml
          • ird-ex52-xccy-swap-fallback.xml
          • ird-ex53-xccy-swap-OIS.xml
          • ird-ex57-compound-index-obs-period-shift.xml
          • ird-ex58-xccy-swap-lookback_compound.xml
          • ird-ex60-trs-basket.xml
          • ird-ex61-trs-single-underlyer.xml
          • ird-ex62-trs-single-underlyer-short.xml
        • See updated examples Commodity examples in \confirmation\products\commodity-derivatives\
          • com-ex25-physical-bullion-forward-average-price.xml
          • com-ex26-physical-metal-forward.xml
          • com-ex40-gas-digital-option-storage-volume-trigger.xml
          • com-ex32-CPD-weather-index-option.xml
          • com-ex34-gas-put-option-european-floating-strike.xml
          • com-ex42-index-return-swap-reinvestment-feature.xml
  • [Miscellaneous]
      • clearingStatus message: Added quote to clearingStatus/clearingStatusItem, to be able to specify e.g. trade-level NPV, variation margin, PAI
        • NOTE: The addition has been made in republished version 5.7 REC 5 (to accommodate a clearing firm still using that version) and in version 5.13. That said, the addition has not been made to the versions in between (e.g. 5.8, … 5.12). Please let us know if you need that field in any of these versions, email ISDA at info@fpml.org.
      • ClearingResults.model in ClearingConfirmed complex type replaced by choice between ClearingResults.model and TradeChangeContent.
    • Updated the basketId annotation within BasketIdentifier.model, removing the CDS term since the basket element is not specific to credit.
    • [Transparency] Fix to the pricingStructureReference element in fpml-shared.xsd: skipped the transparency view given that its type is also skipped for this view.
    • Documentation - Equity Products:
      • Added CFD and Portfolio Swap in the scope definition.
    • ISSUE 1373: Enumerations RollConventionEnum and WeeklyRollConventionEnum values referencing obsolete external sites/pages. References to broken links updated:
      • http://www.publicdebt.treas.gov replaced by https://treasurydirect.gov/auctions/when-auctions-happen/
      • http://www.sfe.com.au replaced by https://www.asx.com.au/
    • ISSUE 1289: Deprecated Valuation/@definitionRef since the Valuation type already has an element valuationScenarioReference which is performing the same function.
    • ISSUE 1288: RateReference is now based on the Reference type.
    • ISSUE 1287: Updated example 58 - Cross Currency Swap with Lookback Compound computed floating rate, removing the resetDates.
    • ISSUE 1286: Changed the type to NonEmptyURI for the following attributes: contractTypeScheme, creditSeniorityScheme, deliveryTypeScheme, initialMarginInterestRateTermsScheme, linkTypeScheme.
    • ISSUE 1286:Changed the type of UnderlyerReference/@href to follow the pattern of other hrefs.
    • ISSUE 1286: Made fpmlVersion's local anonymous type into a global type.
    • ISSUE 1284:The following elements had locally defined types: RegulatoryWithdrawal/withdrawalReason, DayCount/currencySpecificDayCount, Rollover/currentContracts, Rollover/newContracts, AdditionalData/originalMessage. The types are now being defined globally.

Archive

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May 12, 2025

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