# FpML® Financial product Markup Language Recommendation 28 May 2013 (Pretrade View)

## Version: 5.5

#### This version: http://www.fpml.org/spec/fpml-5-5-7-rec-1

#### Latest version: http://www.fpml.org/spec/fpml-5-5-7-rec-1

#### Previous version: http://www.fpml.org/spec/fpml-5-5-6-tr-2/

#### Errata for this version: http://www.fpml.org/spec/fpml-5-5-7-rec-1/html/pretrade/fpml-5-5-errata.html

Build Number: 7; Document built: Thu 05/16/2013 15:31:09.49

Copyright (c) 1999 - 2013 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.

## Table Of Contents

## 1

### 1.1 Introduction

This section contains examples of FpML product and messages for Pretrade.

The sample xml document are available for download from the fpml.org website.

### 1.2 Interest Rate Derivative Examples

This section contains examples of FpML Interest Rate Derivative product examples for Pretrade. Each example illustrates how different product features are modeled in FpML.

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1.2.1 Interest Rate Swaps

##### 1.2.1.1 Example 1 - Fixed/Floating Single Currency Interest Rate Swap

File: pretrade-ex-01-irs-fixed-float-single-ccy.xml

IRS USD 5Y vs 3M LIBOR

##### 1.2.1.2 Example 2 - Fixed/Floating Cross Currency Interest Rate Swap

File: pretrade-ex-02-irs-fixed-float-cross-ccy.xml

IRS GBP 5Y vs 3M LIBOR USD

##### 1.2.1.3 Example 3 - Fixed/Floating Overnight Interest Rate Swap (OIS)

File: pretrade-ex-03-irs-ois.xml

OIS USD 1M vs Fed Funds Effective

##### 1.2.1.4 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Compounding

File: pretrade-ex-04-irs-compounding.xml

IRS USD 5Y vs 3M LIBOR

##### 1.2.1.5 Example 5 - Fixed/Floating OIS USD 15M vs Fed Funds Effective Interest Rate Swap

File: pretrade-ex-05-irs-15m-ois.xml

OIS USD 15M vs Fed Funds Effective

##### 1.2.1.6 Example 6 - Fixed/Floating Interest Rate Swap with Modified Termination Date

File: pretrade-ex-06-irs-modified-termination-date.xml

IRS USD 5Y+ OFF BMK vs 3M LIBOR

##### 1.2.1.7 Example 7 - Fixed/Floating Interest Rate Swap with Modified Termination Date

File: pretrade-ex-07-irs-modified-termination-date-10d.xml

IRS USD 3Y+ OFF BMK vs 3M LIBOR

##### 1.2.1.8 Example 8 - Fixed/Floating Interest Rate Swap with Modified Effective Date

File: pretrade-ex-08-irs-modified-effective-date-10d.xml

IRS USD 3Y+ OFF BMK vs 3M LIBOR

##### 1.2.1.9 Example 9 - Fixed/Floating Interest Rate Swap with Different Fixed Calculation Pay Dates Adjustment

File: pretrade-ex-09-irs-different-fixed-calculation-pay-dates-adjustment.xml

IRS USD 10Y OFF BMK vs 3M LIBOR

### 1.3 Credit Derivative Examples

This section contains examples of FpML Credit Derivative product examples for Pretrade. Each example illustrates how different product features are modeled in FpML.

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1.3.1 Credit Default Swap

##### 1.3.1.1 Example 1 - Single Name Credit Default Swap, Long Form

File: pretrade-ex-01-cdsn-long-form.xml

##### 1.3.1.2 Example 2 - Single Name Credit Default Swap, Short Form

File: pretrade-ex-02-cdsn-short-form.xml

##### 1.3.1.3 Example 3 - Single Name Credit Default Swap, USD AIG, Short Form

File: pretrade-ex-03-cdsn-usd-aig-short-form.xml

##### 1.3.1.4 Example 4 - Single Name Credit Default Swap, EURO ADECCO, Short Form

File: pretrade-ex-04-cdsn-euro-adecco-short-form.xml

##### 1.3.1.5 Example 5 - Single Name Credit Default Swap, Non Standard IBM, Short Form

File: pretrade-ex-05-cdsn-non-standard-ibm-short-form.xml

####

1.3.2 Credit Default Swap Index

##### 1.3.2.1 Example 6 - CDX HVOL Example

File: pretrade-ex-06-cdx-hvol.xml

##### 1.3.2.2 Example 6 - CDX, Short Form

File: pretrade-ex-06-cdx-short-form.xml

##### 1.3.2.3 Example 7 - CDX HY Example

File: pretrade-ex-07-cdx-hy.xml

##### 1.3.2.4 Example 8 - CDX IG Example

File: pretrade-ex-08-cdx-ig.xml

##### 1.3.2.5 Example 9 - iTraxx Eeurope Example

File: pretrade-ex-09-itraxx-europe.xml

### 1.4 Message Examples

This section contains examples of FpML messages for Pretrade. Each example illustrates a different part of the process.

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1.4.1 Example 1 - Request Credit Limit Check

File: limit-ex-01-request-limit-check.xml

A message requesting a credit limit check.

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1.4.2 Example 3 - Limit Check Approved (Full Aproval)

File: limit-ex-03-limit-check-approved-full.xml

A response message indicating the credit limit has been approved.

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1.4.3 Example 4 - Limit Check Approved (Partial Aproval)

File: limit-ex-04-limit-check-approved-partial.xml

A response message indicating the credit limit has been partially approved.

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1.4.4 Example 5 - Limit Check Approved (Partial Aproval, as Options)

File: limit-ex-05-limit-check-approved-partial-as-options.xml

A response message indicating the credit limit has been partially approved (shown as options).

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1.4.5 Example 6 - Limit Check Refused

File: limit-ex-06-limit-check-refused.xml

A response message indicating the credit limit has been refused.

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1.4.6 Example 7 - Credit Limit Report (Fuel gauge)

File: limit-ex-07-credit-limit-report-(fuel-gauge).xml

A fuel gauge message.

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1.4.7 Example 8 - Set Credit Limit

File: limit-ex-08-set-credit-limit.xml

A request message to set the credit limit.

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1.4.8 Example 9 - Credit Limit Response

File: limit-ex-09-credit-limit-response-(credit-limit-set).xml

A response message to the set credit limit request.

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1.4.9 Example 10 - Suspend Credit (Kill Switch)

File: limit-ex-10-suspendCredit-(kill-switch).xml

A kill switch message to suspend the credit of a party.

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1.4.10 Example 11 - Credit Limit Response (Limit Suspended)

File: limit-ex-11-credit-limit-response-(limit-suspended).xml

A response message indicating the limit was suspended.

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1.4.11 Example 12 - Restore Credit (Unkill)

File: limit-ex-12-restore-credit-(unkill).xml

An unkill message that carries an instruction to enable an account OR provide additional limit parameters.

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1.4.12 Example 13 - Credit Limit Exception

File: limit-ex-13-credit-limit-exception.xml

An exception message.

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1.4.13 Example 14 - Ortder Status Notification

File: limit-ex-14-order-status.xml

A notification message showing the status of the order.

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1.4.14 Example 15 - Service Notification

File: limit-ex-15-service-notification.xml

A notification message indicating the status of the service.