18 CHANGES IN THIS VERSION

18.1 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

• 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.

• 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