In Confirmation, Reporting, Recordkeeping and Transparency Views - > fpml-generic.xsd-> "GenericProduct": Removed "dayCountFraction" element. Rationale: The "dayCountFraction" element was moved to the "underlyer" component (placed within "TradeUnderlyer2").Part 43 requires reporting on both the fixed as well as floating leg for the dayCountFraction element. Part 43 requires reporting on both the fixed as well as floating leg for the dayCountFraction element. The Standards committee approved the removal with the assumption that it would not break any critical implementation.
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)
Added several new fields, coding schemes, and examples to support ESMA regulatory reporting, including:
party/region field
partyTradeInformation/collateralPortfolio identifier field
partyTradeInformation/reportingRegime/exceedsClearingThreshold boolean field
European regulatory region coding scheme
enhanced the ReportingRole coding scheme
ESMA organization classification scheme
Refactored the Generic Product
It includes one incompatible change:
In fpml-generic.xsd-> "GenericProduct": Removed "dayCountFraction" element. Rationale: The "dayCountFraction" element was moved to the "underlyer" component (placed within "TradeUnderlyer2").Part 43 requires reporting on both the fixed as well as floating leg for the dayCountFraction element. Part 43 requires reporting on both the fixed as well as floating leg for the dayCountFraction element. The Standards committee approved the removal with the assumption that it would not break any critical implementation.
Added support for EMIR in generic product for Commodities, Equities, FX.
Refactored Fx Option Barrier and Fx Digital Option:
Within "FxBarrierFeature" and "FxTouch", added support the MT306 and the ISDA confirmation templates which require the specification of the "observationStartTime" and "observationEndTime for a barrier in terms of the business center and time, in addition to the observationStartDate" and "observationEndDate".
Within "FxBarrierFeature" and "FxTouch", added a choice between the above structure and a new element "observationPoint" of a new type "FxBusinessCenterDateTime", a collection of observationPoint elements, with individual observation times.
Within "FxOption" -> "FxOptionFeatures" -> "FxBarrierFeature", added a new field "direction" of a new type "FxBarrierDirectionEnum". This specifies whether the barrier direction is "Up" or "Down"; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american barrier, or at the times of observation of a discrete or european barrier. This change is to comply with Dodd-Frank reporting requirements.
Within "FxDigitalOption" -> "FxTouch", added a new field "direction" of type "TriggerConditionEnum". This specifies whether the trigger direction is "AtOrAbove" or "AtOrBelow; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american trigger, or at the times of observation of a discrete trigger. Note: within "TriggerConditionEnum", values "Above" and "Below" are deprecated. This change is to comply with Dodd-Frank reporting requirements.
Within exiting "TriggerConditionEnum" structure (used with FxDigitalOption-> "FxTrigger" and FxTouch), added new values "AtOrAbove" and "AtOrBelow", deprecated existing values "Above" and "Below".
Within existing "FxBarrierTypeEnum" structure (used with FxOption-> "FxBarrierFeature"), deprecated values "ReverseKnockin" and "ReverseKnockout".
Within "Trade" added support for "barrierDeterminationAgent" - the party referenced is specified in the related Confirmation as Barrier Determination Agent
Added support for NDF long-form confirmation properties to enable HKMA regulatory reporting.
Equity Derivatives:
Additions based on the trading firms' requirements:
Added support for value "Both" (Both parties with joined rights to be a calculation agent) to "CalculationAgentPartyEnum".
Refactored "CalculationFromObservation" complex type, to support Initial Level Source in Variance and Correlation Swaps.
Updated several coding schemes: localJurisdictionScheme, determinationMethodScheme, instrumentIdScheme
Some of the previously agreed on the Standards Committee none-backward compatible changes to FpML 5-3 in Equity Transparency and Recordkeeping view have been reverted by the Standards Committee on April 08, 2013.
Commodity Derivatives:
Added Support for Gold Interest Rate Swap (Official Name: Gold Forward Offered Rate) representation in FpML
Added support for ESMA regulatory reporting
Border (Gas and Electricity "deliveryConditions/interconnectionPoint").
Block Hours (Electricity loadType = BlackHours).
Recordkeeping View (Incompatible change) –> 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)
Interest Rate Derivatives:
Within "Fra": "fixedRate" element's type changed from "xsd:decimal" to "IdentifiedRate". Rationale: Fix.
Added support for FRA's fees and additional payments.
Listed Derivatives Reporting:
Added several new components and examples to support ESMA regulatory reporting, including:
Added "holding" structure to position/constituent for securities position reporting.
Added examples of reporting securities activity and position
Added examples of reporting securities market data
Added several new components and examples to support regulatory reporting for commodities, including:
Added a new Exchange Traded Option asset underlyer and added an example.
Updated the Future underlyer and added an example.
Business Process:
Added support for Equity Corporate Action and Basket Change events. Refactored Events.model
In Confirmation, Reporting, Recordkeeping, Transparency Views (Incompatible changes) - > fpml-msg.xsd - > within "CorrelationId": replaced the base class "xsd:normalizedString" with “Scheme” which restricts the "xsd:normalizedString" to maxLength value="255".
Increase and Termination events: Refactored TradeNotionalChange to correct two modeling issues. The refactoring provides a backward compatible path; a choice between the old structures (TradeNotionalChange.model) and enhanced structures (sizeChange). The sizeChange wrapper relates pairs of elements (e.g., notionalAmount/outstandingNotionalAmount). Using the new model:
The reporting of both change of units and change of notional amount is now possible (as required for dividend swaps, for example)
Linking notionals with product legs is now possible. An additional optional empty element (e.g., notionalReference) within the sizeChange wrapper links the pair of elements to a specific underlying leg reference using an @href attribute.
Within TradeNotionalChange, deprecated change in/outstanding notional, number of options, number of units in favor of a more flexible structure (sizeChange) that allows linking notionals with product legs as well the reporting of both change of units or change of notional amount as required for dividend swaps, for example.
LSOC Reporting: Enhanced the requestCollateralAllocation message with a requestedAction element which allows FCMs to specify how the allocations are to be processed (e.g., Update, Reset).
Added support for ESMA entity type classification (e.g. Financial, NonFinanacial)in the reportingRegime structure
Added 'tradingEvent' structure to supply information about a post-trade event when a “trade” is being reported as a snapshot.