## 16 CHANGES IN THIS VERSION

### 16.1 Changes compared to FpML 5.5 Trial Recommendation 2 - build#6

- Business Process:
- 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

### 16.2 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)

### 16.3 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
- 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).
  - Clean-up work: Removed orphan types. Corrected external URIs.
- Interest Rate Derivatives:
  - In Transparency View - > foml-ird.xsd -> "SettlementProvision": added element "settlementCurrency" ofType "Currency" as a mandatory field. Rationale: Requires for regulatory reporting of Non Deliverable Currencies. The Standards committee approved the addition of the "settlementCurrency" on March 11, 2013.
  - 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

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