# FpML® Financial product Markup Language Recommendation 28 May 2013 (Reporting 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/reporting/fpml-5-5-errata.html

Build Number: 7; Document built: Thu 05/16/2013 14:18:54.77

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.

## 1 INTRODUCTION AND OVERVIEW

### 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:

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 5.5 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
  - Cross-Asset Class Products
    - Strategy Product (strategy-A strategy product.
      )
    - InstrumentTradeDetails Product (instrumentTradeDetails-A type to hold trades of multiply-traded instruments. Typically this will be used to represent the trade resulting from a physically-settled OTC product where the underlying is a security, for example the exercise of a physically-settled option.
      )
    - Standard Product Components. (standardProduct-Standard products - for use in Transparency reporting to define a product that represents a standardized OTC derivative transaction whose economics do not need to be fully described using an FpML schema because they are implied by the product ID. In other views, standard products are present for convenience to support internal messaging and workflows that are cross-product. Standard products are not full trade representations as such they are not intended to be used for confirming trades.
      )
    - Generic Product Components (genericProduct-Generic products - for use in Transparency reporting to define a product that represents an OTC derivative transaction whose economics are not fully described using an FpML schema. In other views, generic products are present for convenience to support internal messaging and workflows that are cross-product. Generic products are not full trade representations as such they are not intended to be used for confirming trades.
      )
- 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.
- 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.

####

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
- 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)

####

1.3.3 Regulatory Reporting Working Group

- 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)

####

1.3.4 Validation Working Group

- 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)

####

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
- 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)

####

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

- 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)

####

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 5.5 Trial Recommendation 2 - build#6

- The following issues have been resolved:
  - http://www.fpml.org/issues/view.php?id=1080

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 Incompatible changes compared to FpML 5.4 - build#5
- - Generic Product:
    - 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)

####

1.6.3 Changes compared to FpML 5.4 Recommendation

- All Views (except: Pretrade View):
  - Regulatory Reporting:
    - 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.
  - Clean-up work: Removed orphan types. External URIs corrected.

- FX:
  - Added support for a new fxFlexibleForward product
  - 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
- 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).
- 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

### 1.7 SCOPE

The scope of FpML 5.5 includes broadened BusinessProcess/Messaging coverage and additional product support, specifically:

####

1.7.1 Architecture Framework

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.

####

1.7.2 Business Process Scope

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 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 5.5. 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.

####

1.7.4 IRD Scope

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

####

1.7.5 Credit Derivatives Scope

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

####

1.7.6 FX Scope

The Scope of FpML 5.5 Recommendation 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 and FX Flexible Forward.
- 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 5.5 Recommendation the following FX products are covered:

- Basic FX Products
  - FX Spot, FX Forward (including non-deliverable settlements, or NDFs) and FX Flexible Forward.
  - 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

####

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.

####

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.

####

1.7.9 Correlation Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

- Correlation Swaps

####

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

####

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 5-5:

- Support for financially settled swaps, options and spreads
- Support for physically-settled swaps/forwards, options
- Natural Gas, Oil, Electricity, Coal, Metal, Environmental as the underlying Commodity product
- Gold Interest Rate Swap (Official Name: Gold Forward Offered Rate)

Business Process is including Confirmations, Valuations, Reporting

####

1.7.13 Pricing and Risk Scope

The Pricing and Risk scope for FpML 5.5 Recommendation 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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