FpML Quarterly Update – Q1 2018

ISDA has launched a beta version of the FpML to ISIN JSON generator

This version covers interest rate and credit derivatives. The generator takes FpML trades as input, extracts values from relevant FpML data fields and generates the ANNA DSB-compliant JSON format which can be used to create or inquire about ISIN through the ANNA DSB.

Read the announcement at http://www.fpml.org/latest_news/isda-has-launched-a-beta-version-of-the-fpml-to-isin-json-generator/

FpML Survey

ISDA released the results of the 2017 FpML Survey. The survey was jointly conducted by ISDA and Ernst & Young.

The survey reports a large increase in FpML use, measured by daily message volume driven by the increased use for regulator reporting.

Read the announcement and download the survey from http://www.fpml.org/latest_news/isda-has-published-the-results-of-the-2017-fpml-survey/

Formation of a Cross-Asset Class Product Working Group:

FpML is forming a new Product Working Group to discuss asset class-related issues or requests for enhancements.

Product experts interested in joining the group please contact ISDA (info@fpml.org)

Versions Update:

The first quarter of 2018, ISDA and the FpML community completed the work on FpML version 5.10 and are now planning the next version.

Version 5.10 – ISDA published February 12 the Recommendation of version 5.10. FpML 5.10 includes the following enhancements compared to version 5.9.  

• Expanded support for ESMA MiFID II reporting

• Additional product coverage in Interest Rate Derivatives

• Comprehensive coverage of syndicated loan processes and notifications

• Various improvements to the schema and examples to improve data quality and reporting.

Read the full announcement: http://www.fpml.org/latest_n-fpml-5-10-recommendation/

Next Version of FpML (5.11) – The Standards Committee is currently discussing the timing and coverage of the next version of FpML.  

• The version so far will include a redesigned reporting process that will provide the following benefits:

  • Simplify the submission and updating process for reporting parties, and reduce implementation effort

  • Simplify internal processes for trade repositories (such as mapping and validation)

  • Align the reporting framework more closely with requirements from regulators, reducing errors and uncertainties in reporting to regulators, and

  • Improve reporting data quality.

• Loan coverage: revise older structures, develop additional trade messages, and further extend the documentation.

• Additional coverage and timeline to be determined.

Coding Schemes Update

We published two sets of coding schemes on April 17 and 23. The schemes that have been added or updated are:

• floatingRateIndexScheme (to reflect the April 23, 2018 – ISDA Supplement 55 to the 2006 ISDA Definitions publication for the GBP-SONIA-COMPOUND floating rate option)

• settlementRateOptionScheme (reflect the April 01, 2018 – ISDA/EMTA/FXC amendments to Annex A - Philippine Peso Rate Source Definition)

• Removal of the "working-draft" status for the coding schemes that were developed for 5.10.

• Section 6 of the FpML coding schemes documentation on External Scheme Definitions, has been corrected.

Visit the Reference Data page for more information on the scheme publications at http://www.fpml.org/reference-data/ or http://www.fpml.org/spec/coding-scheme/.

Regulatory Reporting

Beyond the reporting redesign work, The FpML Regulatory Reporting Working Group will review and assess the potential impact of the recently issued CPMI-IOSCO technical guidance on "Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)" (Read the Press Release April 9).

FRTB

Ongoing work with the FRTB Data Standardization Working Group to develop the FRTB data dictionary. We are looking to leverage the existing FpML standardization work, providing a mapping to the key FpML data attributes and values.

Upcoming Events:

FpML training courses in London are planned June 19-21.