1.1 STATUS OF THIS DOCUMENT
This is the FpML 5.5 Recommendation 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:
A list of current FpML Recommendations and other technical documents can be found at
This document has been produced as part of the FpML 5.5 activity and is part of the Standards Approval Process.
The FpML documentation is organized into a number of subsections.
This section provides an overview of the specification.
These are automatically generated reference documents detailing the contents of the various sections in the FpML schema.
- Core Definitions:
- Products:
- Business Processes
- Reference:
- Index and cross-reference of definitions
- Schema and Example files - Provides zip file with FpML schemas and examples.
- Examples - Provides sample FpML for each section.
- Scheme Definitions - Describes standard FpML schemes, and the values that they can take.
- FpML Products Framework (PDF) - Gives an overview of the financial products covered in FpML and their interrelationships.
- FpML Messaging Framework (PDF) - Gives an overview of the FpML Messaging Framework.
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
This document was produced by the following working groups:
- 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)
- Brian Lynn (Global Electronic Markets), chair
- Aleix Revilla (TradeHeader)
- Andrew Jacobs (HSBC)
- Andy Maynard (State Street)
- Clare Gehrhardt (DTCC)
- Devansh Rastogi (DTCC)
- Dibyendu Majumdar (LCH)
- Harry McAllister (BNPP)
- Henri Pegeron (Sapient)
- Joseph Hlava (DTCC)
- John Booth (MarkitSERV)
- Liz Scott (DTCC)
- Mike Anthony (Bank New York Mellon)
- Niranjana Sharma (CME)
- Shawn Kelly (ARK EDI Solutions)
- Simone Milani-Foglia (LCH)
- Sivagami Gomathinayagam (DTCC)
- Sreedhar Segu (Credit Suisse)
- Sudipto Haldar (Morgan Stanley)
- Venkat Krishnasamy (Tullett Prebon)
- Irina Yermakova (ISDA)
- Lyteck Lynhiavu (ISDA)
- Maithili Koli (ISDA)
- Marc Gratacos (ISDA)
- Brian Lynn (Global Electronic Markets), chair
- Harry McAllister (BNP Paribas)
- Sreedhar Segu (Credit Suisse)
- Justin Roy (Deutsche Bank)
- Clare Gehrhardt (DTCC)
- Liz Scott (DTCC)
- Joe Hlava (DTCC)
- Devansh Rastogi (DTCC)
- John Booth (MarkitSERV)
- Niranjana Sharma (CME)
- Simone Milani Foglia (LCH Clearnet)
- George Heming (GS)
- Pierre Lamy (GS)
- John Booth (MarkitSERV)
- Jonathan Elliot (MarkitSERV)
- Henri Peregon (Sapient)
- Bryan McRoberts (Bank of America Merrill Lynch)
- Chris Funck (Chatham Financials)
- Steve Turner (J.P. Morgan)
- Ian Salter (J.P. Morgan)
- James Beattie (Message Automation)
- Venkat Krishnan (J.P. Morgan)
- David Kempster (Morgan Stanley)
- Shawn Kelly (ARK EDI Solutions)
- Karel Engelen (ISDA)
- Lyteck Lynhiavu (ISDA)
- Marc Gratacos (ISDA)
- Irina Yermakova (ISDA)
- Maithili Koli(ISDA)
- Andrew Jacobs (HSBC, HandCoded Software), co-chair
- Daniel Dui (Barclays Capital and UCL), co-chair
- Tony Coates (UBS)
- Andrew Dingwall-Smith (Message Automation)
- Marc Gratacos (ISDA)
- Lyteck Lynhiavu (ISDA)
- Irina Yermakova (ISDA)
- Maithili Koli(ISDA)
- 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)
- 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)
- Simone Milani-Foglia (LCH), co-chair
- Marc Gratacos (ISDA)
- Andrew Gregory (HSBC)
- Richard Haslock (Logicscope)
- Andrew Jacobs (HSBC)
- Brian Lynn (GEM)
- Lyteck Lynhiavu (ISDA)
- Harry McAllister (BNP Paribas)
- Michael McKay (DTCC)
- Rick Schumacher (Wall Street Systems)
- Digby Strong (JP Morgan Chase)
- Stephen Turner (JP Morgan Chase)
- Irina Yermakova (ISDA)
- Christina Yeung (Goldman Sachs)
- Vijay Addanky (State Street)
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)
- Andrew Jacobs (HSBC), co-chair
- Peter Stockman (DTCC), co-chair
- Andrew Solomon (Morgan Stanley)
- Brian Lynn (GEM)
- Chris Emmett (HSBC)
- Divya Dhakar (Goldman Sachs)
- Fred Litjens (Murex)
- Helen Mahon (Credit Suisse)
- Irina Yermakova (ISDA)
- Jyoti Sahrawat (CME Group)
- Kent Tung(Goldman Sachs)
- Lyteck Lynhiavu (ISDA)
- Marc Gratacos (ISDA)
- Nandini Ravi(Goldman Sachs)
- Nathaniel Jones (DB)
- Ronan Hughes (HSBC)
- Sabrina Ovadya (Goldman Sachs)
- Simon Toop (BNP Paribas)
- Timothy Capuano (Goldman Sachs)
- Timothy Kimber (Barclays Capital)
- 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)
- 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)
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 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.
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?
Comments on this document should be sent by filling in the form at the following link: http://www.fpml.org/issues.
- Business Process:
- The following issues have been resolved:
View PDF for details on schema changes
View SCHEME DEFINITIONS for details on coding schemes changes
- CorrelationId:
- In Confirmation, Reporting, Recordkeeping and Transparency Views - > fpml-msg.xsd - > within "CorrelationId": replaced the base class "xsd:normalizedString" with “Scheme” which restricts the "xsd:normalizedString" to maxLength value="255".
- Commodity Derivatives:
- Recordkeeping View –> fpml-com-xsd -> within "SettlementPeriods" complex type: the "startDate" element's status changed from "optional" to "mandatory". Rational:Fix - to prevent the submission of the "endDate" without the "startDate". The change was agreed by the Commodity WG and approved by the Standards Committee (March-11-2013)
- Addition of a New Pre-trade View:
- Business Process:
- Added a set of Credit Limit Check messages to support Clearing Certainty work flows.
- Added support for IRS and CDS products in pretrade. Expanded coverage of IRS product scope for pre-trade Credit Limit Check work flows, including Non deliverable settlement, cross currency swaps, asset swaps, averaging, stubs and discounting structures.
- Business Process:
The scope of FpML 5.5 includes broadened BusinessProcess/Messaging coverage and additional product support, specifically:
The various Working Groups have developed FpML 5.5 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.
The FpML Messaging Task Force group was formed to define a new messaging framework in 5.x 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 in this view include:
1.7.2.1 Generic processes:
1.7.2.1.1 Pre-trade
- Credit Limit Checking (clearing certainty)
1.7.2.2 Generic (Multi-Event) Flows
All the processes described in this section are applied to the following events:
- trade
- novation
- increase
- termination
- amendment
- option exercise / option expiry
- deClear
- basketChange
- corporateAction
- indexChange
To support these business processes, a number of messages have been defined. Please see the "Business Process Architecture" section for more information.
The Validation Working Group provides semantic, or business-level validation rules for FpML 5.5. 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.
In FpML 5.5 Recommendation 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
In FpML 5.5 Recommendation 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
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: