Quarterly Update – Q3 2018
An update on the work from Q3 2018.
Versions Updates
FpML version 5.11 First Working Draft has been published. The draft is available on the FpML website in the Specifications section at:
www.fpml.org/spec/fpml-5-11-1-wd-1
The final Recommendation is planned mid-2019. The schedule is in large part driven by regulatory requirements in the US and Europe. See the roadmap at
http://www.fpml.org/docs/roadmap.pdf.
5.11 WD1 Highlights:
FpML 5.11 includes the following enhancements compared to version 5.10.
- Regulatory Reporting Redesign (Recordkeeping View)
- Refactoring of syndicated loan processes and notifications (Confirmation View).
Changes in version 5.11 WD1 compared to FpML 5.10 Recommendation (published February 12 2018):
Redesigned Regulatory Reporting Framework (Recordkeeping View)
- FpML is introducing a new reporting format, more aligned with what regulators are looking for. Some of the benefits include:
- Closer alignment with requirements from regulators, reducing errors and uncertainties in reporting to regulators;
- The new format will improve data quality overall, and reduce systemic risk in the market;
- The new format can be leveraged by existing users of FpML as well as users new to FpML.
- A new set of reporting messages is introduced:
- regulatoryDisclosure - new message used to report record keeping information to trade repositories (TRs)
- regulatoryReportingAcknowledgement - response message acknowledging the request and providing a status on the submission
- regulatoryReportingException - message used to report exceptions
- regulatoryWithdrawal - message used to request withdrawal from reporting to one or multiple regulators
- requestRegulatoryReportingStatus - message used to request the reporting status of a trade earlier submitted
- regulatoryReportingStatus - response message indicating the status of a trade with respect to relevant regulators.
- Important structures -shared across views- that have been refactored:
- In the trade header, refactored trade identification to clarify and simplify usage
- Within trade/tradeHeader/partyTradeIdentifier, consolidated the different trade identification structures (i.e. originatingTradeId, versionedTradeId, linkId, allocationTradeId, resultingTradeId, blockTradeId) into a single linkedTrade structure
- In addition to party trade identifiers, the USI and UTI were surfaced and are now specified using dedicated structures.
Syndicated Loan (Confirmation View)
The First Working Draft includes significant, major design approach changes for the loan schema. These changes are based on extensive conversations with working group members, and have been made to support uniformity and consistency of design, extensibility, and simplification (e.g. reducing the number of different message element "wrappers" in favor of utilizing "substitution groups" more consistently). These changes include:
- Removal of the event differentiation between "trade" and "transfer"
- Redesign of existing substitution groups to make them more consistent
- Addition of abstract types to support better organization within substitution groups
- Addition of events to make the design more consistent across the Loan FpML schema
- Changed approach for the treatment of embedded events
- Streamlined message wrappers and naming changes.
The Loan framework includes non-backward compatible changes in version 5.11 compared to 5.10 Recommendation
More details can be found in the
Loan changes introduced in version 5.11 compared to FpML 5.10 Recommendation (pdf)
A more detailed overview of the changes in version 5.11 can be found in Section 18 of the
online documentation.
Coding Schemes Update
We published several sets of coding schemes on July 30, August 31 and September 4. The schemes that have been added or updated are:
- masterAgreementTypeScheme
- Added new value: "ISDAFIA-CDEA" - ISDA-FIA Cleared Derivatives Execution Agreement.
- commodityReferencePriceScheme
- Deprecated value: "NATURAL GAS-TEX/OKL MAINLINE (PEPL)-INSIDE FERC" – Rationale: replaced by "NATURAL GAS-PEPL (TEXOK MAINLINE)-INSIDE FERC" - see below.
- Added new value: "NATURAL GAS-PEPL (TEXOK MAINLINE)-INSIDE FERC" - "Per Final Pre-publication Draft as of November 25, 2016 of the revised 2005 ISDA Commodity Definitions, Sub-Annex A, Section 7.1 Commodity Reference Prices, as amended and supplemented through the date on which parties enter into the relevant transaction.
- CFTC commodityCodeScheme
- CFTC commodityReferencePriceScheme
- Added new values:
- "NATURAL GAS-PEPL (TEXOK MAINLINE)-INSIDE FERC" - A code for the NYMEX Panhandle Basis Swap commodity.
- "NATURAL GAS-W. TEXAS (WAHA)-INSIDE FERC" - A code for the NYMEX Waha Basis Swap commodity.
- commodityReferencePriceScheme
- Added new value:
- "LOW SULPHUR GAS OIL-ICE" - "Per Final Pre-publication Draft as of November 25, 2016 of the revised 2005 ISDA Commodity Definitions, Sub-Annex A, Section 7.1 Commodity Reference Prices, as amended and supplemented through the date on which parties enter into the relevant transaction.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/.
FpML to ISIN JSON Generator 1.0 Released
ISDA released version 1.0 of the FpML to ISIN JSON Generator for 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.
Version 1.0 of the generator replaces the beta version. In addition, the version allows for an automatic generation of the ISDA taxonomy values based on the trade details.
The generator is available in the following ways:
The logic underlying the conversion is available to ISDA members at
http://www.fpml.org/tools/fpml-to-isin-json-generator-logic.
Feedback on the generator would be greatly appreciated. Questions or comments can be submitted to
tools@fpml.org or the
FpML Forum.
ISDA Publishes FpML Paper on FpML to JSON Conversion
Recently, the FpML community has seen an increased use of JavaScript Object Notation (JSON) encoding based on FpML models. Today ISDA published an FpML paper with guidelines on FpML to JSON conversion. The purpose of this paper is to provide mapping guidelines for the conversion of FpML messages to JSON.
The paper discusses different aspects of such a conversion, including the use of JSON versus JSON schema, the practicality of a round trip conversion and the pros and cons of conversion at the schema level versus at the level of the instance document. In the second part a set of guidelines are provided on how to implement such a conversion. The paper is available at:
Paper on FpML to JSON Conversion (pdf)
As a next step, the FpML Architecture Working Group (AWG) is developing an actual JSON reference implementation based on these guidelines. The AWG encourages continued feedback on the paper and the principles laid out. Comments can be sent to:
awgchair@fpml.org
FpML Training Courses
FpML Training Courses are scheduled over the coming weeks. Register now!
- London
- Group Pricing Available
- Groups of three or more attendees from the same firm can receive a 20% discount on event registrations. To register your group, please email conferences@isda.org
