# FpML® Financial product Markup Language Last Call Working Draft 21 March 2012 (Reporting View)

## Version: 5.3

#### This version: http://www.fpml.org/spec/fpml-5-3-4-lcwd-1

#### Latest version: http://www.fpml.org/spec/fpml-5-3-4-lcwd-1

#### Previous version: http://www.fpml.org/spec/fpml-5-3-3-wd-3/

#### Errata for this version: http://www.fpml.org/spec/fpml-5-3-4-lcwd-1/html/reporting/fpml-5-3-errata.html

Build Number: 4; Document built: Thu 03/29/2012 9:41:31.24

Copyright (c) 1999 - 2012 by International Swaps and Derivatives Association, Inc.

Financial Products Markup Language is subject to the FpML® Public License.

FpML® is a registered trademark of the International Swaps and Derivatives Association, Inc.

A copy of this license is available at http://www.fpml.org/license/license.html

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.

## 1 INTRODUCTION AND OVERVIEW

### 1.1 STATUS OF THIS DOCUMENT

This is the FpML 5.3 Last Call 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/

There are also asset class-specific mailing lists; you can join them at the following link:

Join a Working Group at FpML

A list of current FpML Recommendations and other technical documents can be found at

http://www.fpml.org/spec

This document has been produced as part of the FpML 5.3 activity and is part of the Standards Approval Process.

### 1.2 ORGANIZATION OF THE DOCUMENTATION

The FpML documentation is organized into a number of subsections.

This section provides an overview of the specification.

####

1.2.1 Schema Reference

These are automatically generated reference documents detailing the contents of the various sections in the FpML schema.

- Core Definitions:
  - Main Components
  - Doc Components
  - Shared Components
  - Shared Enumeration definitions
  - Asset Components
- Products:
  - IRD
    - Interest Rate Components
  - FX
    - FX Components
  - CD
    - Credit Derivative Components
  - EQD
    - Equity Shared Components
    - Equity Derivative Options Components
    - Return Swaps Components
    - Variance Derivatives Swaps and Options Components
    - Correlation Derivatives Components
    - Dividend Derivatives Components
  - Bond Options
    - Bond Options Components
  - Options shared
    - Options Shared Components
  - Commodity
    - Commodity Derivative Components
  - Generic
    - Standard Product Components
    - Generic Product Components
- Business Processes
  - Messaging Components
  - Credit Event Notification Components
  - Business Event Notification Components
  - Cash Flow Matching and Portfolio Reconciliation Components
  - Collateral Messaging Components
  - Reporting Messaging Components
  - Pricing and Risk:
    - Valuation Result Sets and Related Components
    - Market Environment Data Components
    - Valuation and Sensitivity Results
- Reference:
  - Index and cross-reference of definitions
  - Schema and Example files - Provides zip file with FpML schemas and examples.

####

1.2.2 Other Documents in the Specification

- Examples - Provides sample FpML for each section.
- Scheme Definitions - Describes standard FpML schemes, and the values that they can take.

####

1.2.3 Diagram Notation

Most diagrams in this specification come from TIBCO's XML Turbo application which is used to batch generate the pictures in the documentation. The notation follows the pattern:

- No bubble indicates a mandatory element or attribute
- A '?' indicates an optional element or attribute
- A '*' indicates an occurrence of zero or many
- A '+' indicates an occurrence of one or many
- A '..' bubble with numbers above and below indicates specific range
- A '1' in a bubble indicates the presence of a nested sequence or choice group
- Diagonal lines indicate a choice group (< shape)
- Non-diagonal lines indicate a sequence ([ shape)
- A 'D' in a bubble indicates an attribute with a default value

### 1.3 WORKING GROUP MEMBERS AND ACKNOWLEDGEMENTS

This document was produced by the following working groups:

####

1.3.1 Architecture Working Group

- Andrew Jacobs (HandCoded Software), chair
- Anthony B. Coates (Miley Watts)
- Igor Dayen (Object Centric Solutions)
- Daniel Dui (University College London)
- Marc Gratacos (ISDA)
- Simon Heinrich (IONA Technologies)
- Lyteck Lynhiavu (ISDA)
- Andrew Parry (JP Morgan Chase Bank)
- Raj Patel (HSBC)
- Henri Pegeron (MarkitSERV)
- Matthew Rawlings (JP Morgan Chase Bank)
- John Weir (Goldman Sachs)
- Irina Yermakova (ISDA)

####

1.3.2 Business Process Working Group

- Brian Lynn (Global Electronic Markets), chair
- Andrew Jacobs (UBS)
- Andy Maynard (State Street)
- Chris Funck (Chatham Financial)
- Clare Gehrhardt (DTCC)
- Dibyendu Majumdar (LCH)
- Harry McAllister (BNPP)
- Lucio Iida (Blackrock)
- Martin Sexton (London Market Systems)
- Matt Simpson (CME)
- Neal Johnston-Ward (LCH)
- Niranjana Sharma (CME)
- Paul Chellingworth (RBC)
- Prabhu Rajagopalan (DB)
- Simone Milani-Foglia (LCH)
- Sreedhar Segu (DTCC)
- Stephen White (State Street)
- Sudipto Haldar (Morgan Stanley)
- Tom Brown (OMGEO)
- Irina Yermakova (ISDA)
- Lyteck Lynhiavu (ISDA)
- Marc Gratacos (ISDA)

####

1.3.3 Regulatory Reporting Working Group

- Brian Lynn (Global Electronic Markets), chair
- Andy Thatai (CFTC)
- Anup Menon (Barclays Capital)
- Bruno Beccaria (Citadel)
- Bryan McRoberts (Bank of America)
- Chandra Nagavelli (Ernst and Young)
- Chris Funck (Chatham)
- Christina Yeung (GS)
- Clare Gehrhardt (DTCC)
- David Wynter (Yambina Limited)
- George Dodwell (Barclays Capital)
- George Heming (GS)
- Gordon Peery (KLGates)
- Guy Gurden (MarkitSERV)
- Harry McAllister (BNPP)
- Hector Herrera (CS)
- Henri Pegeron (MarkitSERV)
- Henrietta Johnson (Bank of America)
- Irina Leonova (CFTC)
- Jonathan Thursby (CME)
- Kate Mitchel (CFTC)
- Leon Rozin (CME)
- Ludvig Henricksson (TriOptima)
- Mark Taratko (KPMG)
- Martin Gould (DB)
- Martin Sexton (London Market Systems)
- Matt Carruth (SEC)
- Matthew Reed (SEC)
- Matt Simpson (CME)
- Miriam Steinberg (Chatham)
- Mitch Rose (CME)
- Niranjana Sharma (CME)
- Peter Salerno (DB)
- Saikat Mukherjee (Birlasoft)
- Sanjeev Shah (Jefferies)
- Sean Finnin (Societe Generale)
- Sreedhar Segu (DTCC)
- Stephen White (State Street)
- Takeo Asakura (MarkitSERV)
- Tianwei Yao (GS)
- Tony Kao (GS)
- Vinod Jain (Headstrong)
- Karel Engelen (ISDA)
- Lyteck Lynhiavu (ISDA)
- Marc Gratacos (ISDA)
- Irina Yermakova (ISDA)

####

1.3.4 Validation Working Group

- Andrew Jacobs (HandCoded Software), co-chair
- Daniel Dui (Barclays Capital and UCL), co-chair
- Mark Addison (Component Knowledge)
- Jim Brous (Metro Solutions)
- Andrew Dingwall-Smith (Message Automation)
- Ivan Djurkin (BGI)
- Marc Gratacos (ISDA)
- Lyteck Lynhiavu (ISDA)
- Christian Nentwich (Message Automation)
- Matthew Rawlings (Standard Bank)
- Irina Yermakova (ISDA)

####

1.3.5 IRD Products Working Group

- Harry McAllister (BNP Paribas), chair
- John Aldridge (JP Morgan Chase Bank)
- Marc Gratacos (ISDA)
- Robert Green (DTCC)
- Guy Gurden (Swapswire)
- Pierre Lamy (Goldman Sachs)
- Philippe Negri (Sungard)
- Jamie Orme (Goldman Sachs)
- Andrew Parry (JP Morgan Chase Bank)
- Marty Ross-Trevor (Bank of Tokyo-Mitsubishi)
- Marc Teichman (T-Zero)
- Jeff Valentino (Bank of America)
- Irina Yermakova (ISDA)

####

1.3.6 Credit Derivatives Working Group

- Ben Lis (ICE), chair
- Kathy Andrews (Bank of America)
- Milla Bouklieva (Goldman Sachs)
- Karel Engelen (ISDA)
- Piers Evans (SwapsWire)
- Marc Gratacos (ISDA)
- Robert Green (DTCC)
- Guy Gurden (SwapsWire)
- Tony Kao (Goldman Sachs)
- Lyteck Lynhiavu (ISDA)
- Pierre Lamy (Goldman Sachs)
- Anna Lukasiak (Goldman Sachs)
- Andrew Parry (JPMorgan Chase Bank)
- Henri Pegeron (MarkitSERV)
- Mark Perry (Goldman Sachs)
- Marc Teichman (T-Zero)
- Irina Yermakova (ISDA)
- Shel Xu (Goldman Sachs)

####

1.3.7 FX Working Group

- Simone Milani-Foglia (LCH), co-chair
- Neal Johnston-Ward (LCH), co-chair
- Marc Gratacos (ISDA)
- Richard Haslock (Logicscope)
- Andrew Jacobs (UBS)
- Kaustubh Kunte (State Street)
- Brian Lynn (GEM)
- Lyteck Lynhiavu (ISDA)
- Harry McAllister (BNP Paribas)
- Rick Schumacher (Wall Street Systems)
- Digby Strong (JP Morgan Chase)
- Stephen Turner (JP Morgan Chase)
- Mohamed Yazid (La Banque Postale)
- Irina Yermakova (ISDA)
- Christina Yeung (Goldman Sachs)

####

1.3.8 Equity Derivatives Working Group

Voting Members

- Andrew Parry (JP Morgan Chase Bank), Chair
- Jasone Brasil (State Street)
- James Clark (MarkItSERV)
- Piers Evans (MarkIt)
- Robert Green (DTCC)
- Guy Gurden (MarkIt)
- Shabbir Irfani (Goldman Sachs)
- Rajan Khorana (Citadel Group)
- Robert Masri (DTCC)
- Coner Mongey
- Bin Shen (Goldman Sachs)
- Marc Teichman (T-Zero)

Non-Voting Members

- Takeo Asakura (MarkItSERV)
- Oluwasegun Bewaji (University of Essex)
- Jim Bonner (ML)
- Tom Brown (Omgeo)
- Jim Brous (Metro Solutions)
- Prashant Choudhary (Cognizant)
- Karel Engelen (ISDA)
- Philip Franz (Bank of America)
- Steve Goswell (Barclays Global)
- Marc Gratacos (ISDA)
- Vinod Jain (Headstrong)
- Lucio Iida (Barclays Global)
- Selma Laidoudi (MarkIt)
- Philip Leach (DTCC)
- Jianan Li (Citadel Group)
- Gaurav Makhija (Citadel Group)
- Mark Parris (UBS)
- Dharmender Rai
- Matthew Rawlings
- Sreedhar Segu (DTCC)
- Alicia Szybillo (DTCC)
- Sam Twum (Blue Tawny)
- Chise Yamamoto (DTCC)
- Irina Yermakova (ISDA)

####

1.3.9 Commodity Derivatives Working Group

- Owen King (MarkitSERV), chair
- Fatima Bentoumi (Barclays Capital)
- Hugh Brunswick (EFET Net)
- Piers Evans (Markit)
- Luis Fierro (Deutsche Bank)
- Jared Getz (Glencore)
- Marc Gratacos (ISDA)
- Anupam Gupta (JP Morgan)
- Raphael Iyageh (Goldman Sachs)
- Kiran Kodali (Citi)
- Lyteck Lynhiavu (ISDA)
- Jeffrey Magnuson (Goldman Sachs)
- Peter Stockman (DTCC)
- Digby Strong (JP Morgan)
- Irina Yermakova (ISDA)

####

1.3.10 Pricing and Risk Working Group

- Brian Lynn (Global Electronic Markets), chair
- Michael Di Stefano (Integrasoft)
- Amod Dixit (Standard Chartered Bank)
- Marc Gratacos (ISDA)
- Mahmood Hanif (Bank of America)
- Pierre Lamy (Goldman Sachs)
- Philippe Negri (Sungard)
- Henrik Nilsson (TriOptima)
- Robert Stowsky (Progress)
- Vlad Efroimson (Bank of America)
- Irina Yermakova (ISDA)

####

1.3.11 Collateral Working Group

- Richard Barton (Algorithmics), Chair
- Caroline Foran (HSBC)
- Anil Panchal (GlobeOp)
- Kaizad Bhathena (GlobeOp)
- Sammy Lee (GlobeOp)
- Harry McAllister (BNP Paribas)
- Jesse Nolan (UBS)
- Vivian Wu (Goldman Sachs)
- Simone Milani-Foglia (LCH Clearnet)
- Nicole Jolliffe (SWIFT)
- Evelyne Piron (SWIFT)
- Chip Miller (JPMorgan)
- John Straley (DTCC)
- Joe Novellino (DB)
- Lucio Iida (Blackrock)
- Tom Brown (Omgeo)
- Benjamin Riley (Deloitte and Touche)
- Marc Gratacos (ISDA)
- Irina Yermakova (ISDA)
- Lyteck Lynhiavu (ISDA)

### 1.4 FpML INTRODUCTION

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.

### 1.5 REQUESTED FEEDBACK

####

1.5.1 New Regulatory Reporting Views

The FpML Reporting Working Group has defined two new views, "Transparency" and "Recordkeeping", to support parties and execution facilities reporting trading activity into Swaps Data Repositories (SDRs), as required by the Commodities Futures Trading Commission's 17 CFR 43 and 45, and similar requirements from the Securities and Exchange Commission in 17 CFR 240. The FpML Standards Committee invites comments on the proposed materials including schemas, examples, and documentation.

In WD#2, a number of new products have been added to Transparency view. The changes versus Confirmation view have been modeled on other products in WD#1, but the product representations have not yet been reviewed in detail in the working group. The FpML Reporting Working Group invites feedback on the detailed contents in Transparency view of any product.

####

1.5.2 Message Framework/Correlation ID

The FpML Business Process Working Group has adjusted the multiplicity of the correlation IDs and is seeking feedback on this change. In particular, is there a need for multiple correlation IDs if the correlation ID on original requests is made optional?

####

1.5.3 Providing Feedback

Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues.

### 1.6 CHANGES IN THIS VERSION

####

1.6.1 Changes compared to FpML 5.3 WD #3

- All Views
  - Added support for the "issuer" field (alongside partyReference) in the tradeIdentifier/partyTradeIdentifier block, to better support "Unique Swaps Identifiers" (USIs). Also, all Recordkeeping and Transparency examples have been updated to reflect this usage.
  - Added the "withdrawal" event to allow for removal of a trade from a service such as a TR.
  - Type change in notional amount to non-negative, to ensure that terminations will use a positive value.
  - Changed "toBeCleared" and "toBeAllocated" to "intentToClear" etc. Now the intent to clear/allocate and the status of the clearing/allocation are separate fields going forward.
  - Added support for multiple regulatory reporting jurisdictions via the reportingRegime structure, , in addition changed the regulatorRegistration to supervisorRegistration.
  - Added a number of new coding schemes for new SDR-related fields [http://www.fpml.org/coding-scheme/set-of-schemes-1-9.xml]
  - Adjusted the party-role scheme to include new values, in addition names were updated and obsolete names deleted.
  - Updated examples where necessary to comply withe the new party role coding scheme values.
  - Added support for providing identifiers for post-trade events.
  - Allowed business events to include prior trade ID
  - Added originating trade identifier
- Commodity Derivatives:
  - To fully support Commodity products the fallowing additional values have been added to the existing enumerated lists.
    - DeliveryDatesEnum: FourthNearby through EleventhNearby, ThirteenthNearby, FourteenthNearby, 1stNearbyWeek through 52ndtNearbyWeek
    - DisruptionFallbacksEnum: AsSpecifiedInConfirmation
    - MarketDisruptionEventsEnum: AsSpecifiedInConfirmation
    - SpecifiedPriceEnum: Midpoint, WeightedAverage
  - Added support for "spreadConversionFactor" and "spreadUnit" in the "spread" and "spreadStep" of the "floatingLeg". It is used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different
  - Added support for Commodity Option Strip in the "CommodityFinancialOption.model->CommodityExercise".
    - The change is breaking backward compatibility by adding a new container “exercisePeriod" to group "commencementDate" and "expirationDate" within "CommodityAmericanExercise".
  - Refactored out commodityOption on commoditySwap into a separate product commoditySwaption.
    - Deprecated commoditySwap structure within "CommodityOption-> CommodityPhysicalOption.model.
    - A new commoditySwaption product has been created. The difference of the commoditySwaption with the original representation would be only in the product name (commoditySwaption vs. commodityOption), everything should be the same
    - Rationale: The new model would be able to support cash settled commodities which the original model could not.
- In Generic product has been updated in all but the Confirmation view in the following way:
  - Changed optionType to use a coding scheme rather than an enumeration
- Message Framework:
  - Adjusted "serviceNotification" message to add a processing "step" and an update time.
- In Reporting view:
  - Corrected the type of several "fromDateTime" and "toDateTime" fields in reports to xsd:dateTime.
- The following issues have been resolved:
  - http://www.fpml.org/issues/view.php?id=1099

View PDF for details on schema changes

View PDF for details on validation rules changes

View SCHEME DEFINITIONS for details on coding schemes changes

####

1.6.2 Changes compared to FpML 5.2 Recommendation

- Interest Rate Derivatives:
  - (Excluding Transparency view) Implemented IRD WG proposal to incorporate the new Supplement to the 2006 ISDA Definitions relating to physical settlement of swaptions.
- Commodities Derivatives:
  - The commodities leg choice groups used in the original Commodity Swaps and Options models have been replaced with substitution groups.
  - To fully support Commodity products the fallowing additional values have been added to the existing enumerated lists.
    - DeliveryDatesEnum: FourthNearby through EleventhNearby, ThirteenthNearby, FourteenthNearby, 1stNearbyWeek through 52ndtNearbyWeek
    - DisruptionFallbacksEnum: AsSpecifiedInConfirmation
    - MarketDisruptionEventsEnum: AsSpecifiedInConfirmation
    - SpecifiedPriceEnum: Midpoint, WeightedAverage
  - Added support for "spreadConversionFactor" and "spreadUnit" in the "spread" and "spreadStep" of the "floatingLeg". It is used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different
  - Added support for Commodity Option Strip in the "CommodityFinancialOption.model->CommodityExercise".
    - The change is breaking backward compatibility by adding a new container “exercisePeriod" to group "commencementDate" and "expirationDate" within "CommodityAmericanExercise".
  - Refactored out commodityOption on commoditySwap into a separate product commoditySwaption.
    - Deprecated commoditySwap structure within "CommodityOption-> CommodityPhysicalOption.model.
    - A new commoditySwaption product has been created. The difference of the commoditySwaption with the original representation would be only in the product name (commoditySwaption vs. commodityOption), everything should be the same
    - Rationale: The new model would be able to support cash settled commodities which the original model could not.
- In Generic product has been updated in all but the Confirmation view in the following way:
  - Added "premium"
  - Removed "quote" - it can be represented elsewhere, in the execution report messages.
  - Allow up to 2 counterparties to be provided in place of buyer and seller party references.
  - Changed optionType to use a coding scheme rather than an enumeration.
- All Views
  - Added a choice between multiple "assetClass" elements, or a primaryAssetClass and optional multiple secondaryAssetClass elements.
  - In PartyTradeInformation:
    - In PartyTradeInformation, added information about the end user exception declaration, and relocated the isAccountingHedge and boardOfDirectorsApproval elements.
    - Added the "toBeAllocated" flag
    - Added a "collaterizationType" element.
    - Added a regulatorRegistration element to indicate which regulator(s) this trade is subject to, and other information related to the regulator, such as whether the trade is mandatorily clearable.
    - Removed the "counterpartyTypes" element (replaced with party/type)
  - In "Party":
    - Added the ability to report the party type (e.g. SwapDealer, MSP), as part of PartyInformation.
    - Adjusted naming of person/personId and businessUnit/businessUnitId.
  - Added support for the "issuer" field (alongside partyReference) in the tradeIdentifier/partyTradeIdentifier block, to better support "Unique Swaps Identifiers" (USIs). Also, all Recordkeeping and Transparency examples have been updated to reflect this usage.
  - Added the "withdrawal" event to allow for removal of a trade from a service such as a TR.
  - Type change in notional amount to non-negative, to ensure that terminations will use a positive value.
  - Changed "toBeCleared" and "toBeAllocated" to "intentToClear" etc. Now the intent to clear/allocate and the status of the clearing/allocation are separate fields going forward.
  - Added support for multiple regulatory reporting jurisdictions via the reportingRegime structure, , in addition changed the regulatorRegistration to supervisorRegistration.
  - Added a number of new coding schemes for new SDR-related fields [http://www.fpml.org/coding-scheme/set-of-schemes-1-9.xml]
  - Adjusted the party-role scheme to include new values, in addition names were updated and obsolete names deleted.
  - Updated examples where necessary to comply withe the new party role coding scheme values.
  - Added support for providing identifiers for post-trade events.
  - Allowed business events to include prior trade ID
  - Added originating trade identifier
- Message Framework:
  - Added a requestRetransmission message to allow a part of a portfolio or a report to be requested again.
  - Made the upper bound on the "onBehalfOf" field be 4, to support reporting on behalf of all parties in a novation event.
  - Added an optional "parentCorrelationId" to allow the parent process of a nested process to be recorded.
  - Enhanced the requestEventStatus message to support additional event identifiers, and to allow the business process to be specified.
  - Added support for modeling people (such as employees) and business units within parties, and added detail to the partyTradeInformation block to allow their role within a transaction to be recorded. (This is still in progress and may be adjusted in a future draft.)
  - Added several fields to the partyTradeInformation to support SDR reporting (these are mostly needed for recordkeeping view, but are available in other views as well. Fields include "collateralized" indicator, a "boardOfDirectorsApproval", field, and a verificationPurpose field. Also renamed confirmationType to confirmationPurpose. (This is still in progress and may be adjusted in a future draft.)
  - Adjusted the "attachment" element in "documentation" to support multiple attachments per trade.
  - Added a way to report the version of the implementation specification that the message is developed for.
  - Added a "serviceNotification" message, to notify users of a service about the status of the service and of processing within the service, or other advisories.
  - Added a way to report the version of the implementation specification that the message is developed for.
  - Added a "serviceNotification" message, to notify users of a service about the status of the service and of processing within the service, or other advisories.
  - Adjusted "serviceNotification" message to add a processing "step" and an update time.
- Reporting:
  - Added support for attached documents that can hold, for example, confirmation documents.
  - Updated the exposure report to allow a priceReferenceMonth instead of a futuresEquivalent month
  - Adjusted the org-type-category scheme to better sync with CFTC requirements, and to merge it with the account-type-category scheme (which is now removed).
  - Updated the exposure type coding scheme to correspond to the CFTC's Oct. 28 guidebook.
  - Added support for credit event notification messages.
  - Corrected the type of several "fromDateTime" and "toDateTime" fields in reports to xsd:dateTime.

####

1.6.3 Incompatible changes compared to FpML 5.2

- Commodity:
  - Within CommodityFinancialOption.model->CommodityExercise->CommodityAmericanExercise complex type, added a new container “exercisePeriod" to group "commencementDate" and "expirationDate". Rationale: to support for Commodity Option Strip

### 1.7 SCOPE

The scope of FpML 5.3 includes broadened BusinessProcess/Messaging coverage and additional product support, specifically:

####

1.7.1 Architecture Framework

The various Working Groups have developed FpML 5.3 within the FpML Architecture 3.0 Specification defined by the Architecture Working Group. This document defines that standards and principles on which the FpML grammatical definitions are based.

The FpML Architecture 3.0 builds upon the earlier FpML Architecture specifications 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.

####

1.7.2 Business Process Scope

The FpML Messaging Task Force group was formed to define a new messaging framework that insures consistent processes across trades and post-trade events, observable completion, consistent message correlation, consistent error reporting, consistent correction and retraction.

Most of the FpML 5 business processes are “generic” processes that can apply to new trades and/or any post-trade events. This means that the message name indicates the business process (e.g. confirmation, execution notification, etc.) but not the type of event (e.g. trade, amendment, etc.). The payload of the message indicates the type of the event.

The business processes currently supported include:

##### 1.7.2.1 Generic processes:

##### 1.7.2.1.1 Reporting

- Portfolio reconciliation
- Cash flow matching
- Valuation
- Position and activity reporting
- Reset reporting
- Credit event notice
- Collateral margin call, collateral substitution, interest (new for version 5)

To support these business processes, a number of messages have been defined. Please see the "Business Process Architecture" section for more information.

####

1.7.3 Validation Scope

The Validation Working Group provides semantic, or business-level validation rules for FpML 5.3. These validation rules, which are aimed at normalizing the use of elements within FpML, are issued as part of the FpML Specification in the validation section of this document.

The validation working group publishes with its releases:

- A set of rules described in English
- Positive and negative test case documents for each rule
- Non-normative reference implementations

The current specification includes a set of rules for Interest Rate Derivatives, Equity Derivatives, Credit Derivatives, Loans, FX, and for shared components. The rules for the different asset classes will be further enhanced in future versions.

####

1.7.4 IRD Scope

In FpML 5.3 Last Call Working Draft the following Interest Rate Derivative products are covered:

- Single and Cross-Currency Interest Rate Swap
- Forward Rate Agreement
- Interest Rate Cap
- Interest Rate Floor
- Interest Rate Swaption (European, Bermuda and American Styles; Cash and Physical Settlement)
- Extendible and Cancelable Interest Rate Swap Provisions
- Mandatory and Optional Early Termination Provisions for Interest Rate Swaps
- FX Resetable Cross-Currency Swap

####

1.7.5 Credit Derivatives Scope

In FpML 5.3 Last Call Working Draft the following Credit Derivative products are covered:

- Credit Default Swap
- Standard Coupon Credit Default Swap
- Credit Default Swap Index
- Tranche on Credit Default Swap Index
- Credit Default Swap Basket
- Credit Default Swap on a Mortgage
- Credit Default Swap on a Loan
- Option on Credit Default Swap
- Credit Event Notice

####

1.7.6 FX Scope

The Scope of FpML 5.3 Last Call Working Draft includes redesigned FX product model developed by the Modeling Task Force (MTF) and FX Working Group to make it more consistent with other FpML product representations and to facilitate its further development. As a result of this work many of an original 4.x model’s issues were addressed:

- A number of sets of reusable components that facilitates product development were defined, so that the existing and future FX products will leverage these building blocks to ensure the FX model is coherent and easy to maintain, as per FpML best practices
- Extended the existing coverage to include Dual Currency Deposits.
- Rationalized the models' constraints:
  - Made use of grammar to bring related data together.
  - Made better use of XML schema to simplify the validation rules.

In FpML 5.3 Last Call Working Draft the following FX products are covered:

- Basic FX Products
  - FX Spot and FX Forward (including non-deliverable settlements, or NDFs)
  - FX Swap
- Simple FX Option Products (including, features, cash and physical settlement)
  - FX options
    - European and American
    - Averaging
    - Barriers
  - Digital Options
- Option Strategies (multiple simple options)

In addition, support for the following money market instrument is also provided:

- Term Deposits (including features)
  - Money Market Deposits
  - Dual Currency

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1.7.7 Equity Derivative Options and Forwards Scope

The EQD Products Working Group has extended the FpML standard to cover the following Equity Derivative products

- Broker Equity Options;
- Long Form Equity Forwards;
- Long Form Equity Options;
- Short Form Equity Options represented as Transaction Supplements under ISDA Master Confirmation Agreements.

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1.7.8 Return Swaps Scope

FpML provides generic Return Swaps support including "long form" Equity Swap representations, as well as Total Return 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. 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:

- Single stock swaps as well as basket swaps (i.e. swaps with multiple underlyers);
- Swaps that have a different types of underlying assets (equity, index, mutual funds, exchange-traded funds, convertible bond, futures), or a combination of these;
- 2-legged swaps with a combination of an equity leg and a funding leg, as well as swaps that either have only one leg (e.g. fully funded or zero-strike swap) or multiple equity legs (e.g. outperformance swaps);
- Total Return Swaps, a type of swap in which one party (total return payer) transfers the total economic performance of a reference obligation to the other party (total return receiver).
- Swaps that have specific adjustment conditions, such as execution swaps or portfolio rebalancing swaps;
- Swaps that involve the exchange of principal cashflows;
- Swaps that have inital and final stubs;
- Swaps which can be represented as Transaction Supplements under ISDA Master Agreements;

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.

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1.7.9 Correlation Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

- Correlation Swaps

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1.7.10 Variance Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

- Variance Swaps, a type of volatility swap where the payout is linear to variance rather than volatility, therefore the payout will rise at a higher rate than volatility;
- Short Form Variance Options represented also as Transaction Supplements under ISDA Master Confirmation Agreements.

####

1.7.11 Dividend Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

- Dividend Swap Transaction Supplement

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1.7.12 Commodity Derivative Product Scope

The Commodities Working Group will extend the FpML standard to include trade types and products for the OTC commodities markets, following the structure and coverage of the 2005 ISDA Commodity Definitions. The following are included in version 5-3:

- Support for financially settled swaps, options and spreads
- Support for physically-settled swaps/forwards, options
- Natural Gas, Oil, Electricity, Coal as the underlying Commodity product

Business Process is including Confirmations, Valuations, Reporting

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1.7.13 Pricing and Risk Scope

The Pricing and Risk scope for FpML 5.3 Last Call Working Draft is:

Valuation and basic risk on the following products:

- Vanilla IR Swaps (single and dual currency fix/float swaps, non-CMS/CMT)
  - Valuation reporting (trades only)
  - Market Data (Yield Curves, FX spot rates)
  - Market risk reporting (Delta Risk vs. Curve Inputs, FX exposures) for trades
- Credit Default Swaps
  - Valuation reporting for trades
  - Market Data (ir curves, credit spread, recovery rate, probability of default)
  - Market risk reporting (risk with respect to. the above variables) for trades
- IR Caps/Floors/ EuropeanSwaptions, and corresponding risk types
  - Valuation reporting for trades
  - Market data (volatility surfaces)
  - Market risk reporting
    - Volatility/Vega Risk
    - Convexity/Gamma Risk (applies to all products)
    - Time Decay/Theta (applies to all products)
- Portfolio level valuation and risk
  - Valuation
  - Risk reporting

The Pricing and Risk Working Group has also provided some definitions that might be useful for other types of valuation and risk reporting.

### 1.8 CHARACTER ENCODING AND CHARACTER REPERTOIRE

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1.8.1 Character Encoding

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

http://www.w3.org/TR/REC-xml#charencoding

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1.8.2 Character Repertoire

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:

http://www.w3.org/TR/xmlschema-2/

### 1.9 TOOLS AND VALIDATION

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1.9.1 Schema and Example Validation

The schema files and examples in this document have been validated with XercesJ (v.2.2.1 and v.2.6.2) and HandCoded's Toolkit for FpML Processing (version Java 1.1 Alpha 2).

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