Document built: Wed 10/19/2005 10:37:42.01
Copyright (c) 1999 - 2005 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML Public License.
A copy of this license is available at http://www.fpml.org/documents/license
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
This is the FpML 4.2 Working Draft for review by the public and by FpML members and working groups.
The FpML Working Groups encourage reviewing organizations to provide feedback as early as possible. Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues. An archive of the comments is available at http://www.fpml.org/issues/
Public feedback on FpML takes place on the FpML Issues List: issues@fpml.org which you can join at the following link:
There are also asset class-specific mailing lists; you can join them at the following link:
A list of current FpML Recommendations and other technical documents can be found at
This document has been produced as part of the FpML 4.2 activity and is part of the Standards Approval Process.
The FpML documentation is organized into a number of subsections.
This document, "FpML-4-2-intro", provides overviews of the specification.
These are automatically generated reference documents detailing the contents of the various sections in the FpML schema.
This document was produced by the following working groups:
Additional Contributors
Voting Members
Non-Voting Members
Active Members
Contributors
The Financial Products Markup Language (FpML) is the industry standard enabling e-business activities in the field of financial derivatives and structured products. The development of the standard, controlled by ISDA (the International Swaps and Derivatives Association), will ultimately allow the electronic integration of a range of services, from electronic trading and confirmations to portfolio specification for risk analysis. All types of over-the-counter (OTC) derivatives will, over time, be incorporated into the standard.
FpML is an application of XML, an internet standard language for describing data shared between computer applications.
The FpML Coordination committee has been considering some proposed extensions to the FpML trade header. These proposals include items such as trader and source system identification, status reporting, textual descriptions, etc. Some of these extensions were incorporated in the FpML 4.0 Recommendation as optional elements. The FpML Standards Committee invites comments on what extensions if any to the trade header should be supported by FpML for future versions.
The Credit Derivatives Working Group has started to define some generic types for supporting structured products. The first type is called ReferencePoolItem for supporting credit default swap baskets. The FpML Standards Committee invites comments on this implementation approach.
As requested by some hedge funds, the new AllocationAmended message includes information about the original trade (allocation) that has been amended. This is not consistent with the existing TradeAmended message which only includes details of the amended trade. The FpML Standards Committe invites comments on this implementation approach.
The "short-form" representation of allocations requires independent amount information. This required information may be an issue for listed instruments. The FpML Standards Committe invites comments on this implementation approach.
Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues .
In previous versions of FpML one of the most frequent uses of the 'equitySwap' element was for representing multiple types of Total Return Swaps, which could not be described as equities. The EquitySwap product type coped admirably with these but was misnamed. This was very confusing for implementers so the FpML Standards Committee decided that the EquitySwap types should be renamed ReturnSwap and that the equitySwap element should be deprecated and substituted by a new returnSwap element.
The equitySwap element will be removed in the next major FpML version. It will still be represented in the 4.x versions for backward compatibility reasons.
The scope of FpML 4.2 includes all of the FpML 4.1 scope plus broadened Messaging coverage. FpML 4.2 includes support for Allocations, Accounts, and Roles representation.
The various Working Groups have developed FpML 4.2 within the FpML Architecture 2.0 Recommendation defined by the Architecture Working Group. This document defines that standards and principles on which the FpML grammatical definitions are based.
The FpML Architecture 2.0 builds upon the earlier FpML Architecture 1.0 specification and the conventions of FpML 1.02b before that. The refinement of the FpML architecture is an evolutionary process bought about by changes in the XML technology upon which it is based and the requirements of the standard as its scope expands.
The FpML Messaging Working Group has extended the FpML 4.1 standard to cover Allocations, Accounts, and Roles
The FpML Messaging working group was formed to define a messaging framework and sample messages for selected business processes. Business processes currently supported include:
To support these business processes, a number of messages have been defined. Please see the "Message Architecture" section for more information.
The Validation Working Group provides semantic, or business-level validation rules for FpML 4.2. These validation rules, which are aimed at normalizing the use of elements within FpML, are issued separately from the main working draft document at a URL defined in the validation section of this document.
The validation working group publishes with its releases:
The current specification includes a set of rules for Interest Rate Derivatives, Equity Derivatives, Credit Derivatives and for shared components. The rules for the different asset classes will be further enhanced in future versions.
In FpML 4.2 Working Draft the following Interest Rate Derivative products are covered:
In FpML 4.2 Working Draft the following Credit Derivative products are covered:
In FpML 4.2 Working Draft the following FX products are covered:
In addition, support for the following money market instrument is also provided:
The EQD Products Working Group has extended the FpML 4.0 standard to cover the following Equity Derivative products
Support for long form Equity Forwards has been introduced
FpML provides generic Return Swaps support including "long form" Equity Swap representations, as well as Total Return Swaps, and Variance Swaps. A separate product element called equitySwapTransactionSupplement supports "short form" Equity Swap Transaction Supplement.
Return-type Swaps have 1-to-many Legs, all of which must be derived from the ReturnSwapLeg type. Instances of Legs are returnLeg, interestLeg, and varianceLeg. Other Leg types may be derived from ReturnSwapLeg at will, to allow for private extensions to support whatever type of Generic Return Swap is desired.
The scope of this FpML representation for return swaps is to capture the following types of swaps that have equity-related underlyers:
Extraordinary Events terms have been incorporated, to take into consideration the release of the 2002 ISDA Definitions for Equity Derivatives.
Trigger swaps, in which equity risk morphs into a fixed income risk once a certain market level is reached, may be supported in a subsequent release.
The Pricing and Risk scope for FpML 4.2 Working Draft is:
Valuation and basic risk on the following products:
The Pricing and Risk Working Group has also provided some definitions that might be useful for other types of valuation and risk reporting.
Producers of FpML documents intended for interchange with other parties must encode such documents using either UTF-8 or UTF-16. Consumers of FpML documents must be able to process documents encoded using UTF-8, as well as documents encoded using UTF-16. For more information, see
Unrestricted FpML elements may use any valid XML characters. For more information, see
http://www.w3.org/TR/REC-xml#charsets
Certain elements and attributes (such as scheme URIs) are defined with more restrictive types, such as xsd:normalizedString, xsd:token, or xsd:anyURI. For these types, please see the relevant data type definition in the XML Schema datatypes specification:
The schema files and examples in this document have been validated with XercesJ v.2.2.1 and v.2.6.2
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