November 20, 2023

ISDA publishes FpML 5.13 Third Working Draft (build 3)

NEW YORK, November 20, 2023 - The International Swaps and Derivatives Association, Inc. (ISDA) published the Second Working Draft for Financial products Markup Language (FpML) version 5.13.

The FpML 5.13 draft is available on the FpML website in the Specifications section at:  https://www.fpml.org/spec/fpml-5-13-3-wd-3/

 

Changes compared to FpML 5.13 Second Working Draft (build #2) published July 31, 2023:

  • Regulatory Reporting:
    • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR):
      • Moved element 'directlyLinkedActivity' under 'reportingRegime' to allow it to be regime-specific.
      • [Transparency View] Element step (of type NonNegativeSchedule) made available in notionalSchedule/notionalStepSchedule/
        • “step” was already available in Recordkeeping but is also needed for Public Price Dissemination (CFTC Part 43).See https://www.fpml.org/ticket/1335/
        • See example \transparency\products\trans_ex44_ird_swap_cftc_notional_step_schedule.xml
      • Added support for n-layer commodity classification for both physical and financial products. Commodity physical legs have been reorganized, with physical legs now inheriting from a common type.
        • Added type "CommodityClassification"
        • Added type "CommodityClassificationLayer"
        • Added choice in "CommodityReferencePriceFramework.model" between "commodityBase" + "commodityDetails" and "commodityClassification".
        • Extension base changed from "CommoditySwapLeg" to "CommodityLeg" for types "AveragePriceLeg", "FinancialSwapLeg", "NonPeriodicFixedPriceLeg".
        • Extension base changed from "CommoditySwapLeg" to "PhysicalLegBase" for "PhysicalSwapLeg".
        • Extension base changed from "CommodityForwardLeg" to "PhysicalLegBase" for "PhysicalForwardLeg".
        • Element "commodityForwardLeg" renamed "physicalCommodityForwardLeg".
        • Removed type "CommodityForwardLeg".
        • Removed type "CommoditySwapLeg".
        • Added type "CommodityLeg".
        • Added type "PhysicalLegBase".
        • Element "commodityForwardLeg" of type "CommodityForwardLeg" replaced by element "physicalCommodityForwardLeg" of type "PhysicalLegBase".
        • Substitution group changed from "commodityForwardLeg" to "physicalCommodityForwardLeg" for "bullionPhysicalLeg", "metalPhysicalLeg".
        • Substitution group changed from "commoditySwapLeg" to "physicalLeg" for "coalPhysicalLeg", "electricityPhysicalLeg", "environmentalPhysicalLeg", "gasPhysicalLeg", "oilPhysicalLeg".
        • Added element "commodityPhysicalLeg" of type "PhysicalLegBase".
        • Added element "physicalLeg" of type "PhysicalLegBase".
        • Added element "physicalLeg" of type "PhysicalLegBase".
        • Changed type of element "commoditySwapLeg" from "CommoditySwapLeg" to "CommodityLeg".
      • Coding Scheme changes required for ESMA EMIR Refit regulatory reporting (introduced to support the schema):
        • Support for Contract Type (EMIR REFIT Annex I Table 2 field 10). Added a new "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" coding scheme.
        • Support for Unique Product Identifier (UPI). Added a new "http://www.fpml.org/coding-scheme/external/iso4914" external coding scheme.
        • Support for Post Trade Risk Reduction (EMIR REFIT Annex I Table 2 fields 5, 38 and 39).
          • Added a new "http://www.fpml.org/coding-scheme/external/compression-link-identifier" external coding scheme.
          • Added new code "PortfolioRebalancing" to "terminatingEventScheme".
          • Added new code "PortfolioRebalancing" to "originatingEventScheme".
          • Added new codes "CompressionProvider" and "RebalancingProvider" to "partyRoleScheme".
        • Support for Commodity Classification (EMIR REFIT Annex I Table 2 fields 116, 117 and 118). Added the following coding schemes for "commodityClassificationScheme":
          • http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification-1-0
          • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification-1-0
      • Added samples incorporating the aforementioned features:
        • [Confirmation View] \confirmation\business-processes\execution-advice\
          • msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.xml
          • msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.xml
        • [Recordkeeping View] \recordkeeping\events\
          • record-ex212-new-trade-esma-emir-refit-commodity-swap.xml
        • [Transparency View] \transparency\products\
          • trans_ex44_ird_swap_cftc_notional_step_schedule.xml

Changes compared to FpML 5.12 Recommendation - build #4

    • Validation Rules:
      • Updated validation rule ird-1 to take into account the calculationParameters structure, solving the issue 1304.
    • Cross Asset Class Product Work - Interest Rate Work Stream:
      • Added new examples for inflation swaps in Brazil and Chile, and a total return swaps with calculation parameters.
    • Confirmation Processes - Clearing:
      • ClearingResults.model in ClearingConfirmed complex type replaced by choice between ClearingResults.model and TradeChangeContent.
    • Documentation - Equity Products:
      • Added CFD and Portfolio Swap in the scope definition.
    • Documentation - Business Process:
      • Added Change Events section in Business Process Architecture.
    • Architecture Work - Fixes to Schema and Examples:
      • Deprecated Valuation/@definitionRef since the Valuation type already has an element valuationScenarioReference which is performing the same function. This solves issue 1289.
      • RateReference is now based on the Reference type, solving issue 1288.
      • Updated example 58 - Cross Currency Swap with Lookback Compound computed floating rate, removing the resetDates. This solves issue 1287.
      • Changed the type to NonEmptyURI for the following attributes: contractTypeScheme, creditSeniorityScheme, deliveryTypeScheme, initialMarginInterestRateTermsScheme, linkTypeScheme. See issue: 1286.
      • Changed the type of UnderlyerReference/@href to follow the pattern of other hrefs. See issue: 1286.
      • Made fpmlVersion's local anonymous type into a global type. See issue: 1286.
      • The following elements had locally defined types: RegulatoryWithdrawal/withdrawalReason, DayCount/currencySpecificDayCount, Rollover/currentContracts, Rollover/newContracts, AdditionalData/originalMessage. The types are now being defined globally. See issue: 1284.
      • Added complex type CreditChangeEventBase.
      • Added complex type CreditChangeEvent.
      • Cardinality of element payment in complex type TradeChangeComponent set to unbounded.
      • Added element creditChangeEvent.
      • Added complex type CreditEventType.
      • Added simple type CashOrPhysicalSettlementEnum.
      • Added complex type CreditEventIndexReferenceInformation.
      • Added examples for credit events.
    • Regulatory Reporting:
      • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR)
        • Schema Changes
          • Updated the description of submittedForClearing to clarify its use for EMIR reporting.
          • Support for EMIR Refit field 1.20. Added a new element "directlyLinkedActivity" in ReportingRegime for EMIR reporting.
          • Added group EndUserException.model, containing previous choice structure.
          • Cardinality for endUserExceptionReason in EndUserException.model changed to unbounded.
          • Choice structures containing endUserException, endUserExceptionReason and endUserExceptionDeclaration replaced by EndUserException.model.
          • Added EndUserException.model to ReportingRegime complex type to make it jurisdiction specific.
          • Deprecated EndUserException.model from type PartyTradeInformation.
          • Element "step" in type "NonNegativeSchedule" made available for transparency view.
          • Added support for n-layer commodity classification for both physical and financial products. Commodity physical legs have been reorganized, with physical legs now inheriting from a common type.
            • Added type "CommodityClassification"
            • Added type "CommodityClassificationLayer"
            • Added choice in "CommodityReferencePriceFramework.model" between "commodityBase" + "commodityDetails" and "commodityClassification".
            • Extension base changed from "CommoditySwapLeg" to "CommodityLeg" for types "AveragePriceLeg", "FinancialSwapLeg", "NonPeriodicFixedPriceLeg".
            • Extension base changed from "CommoditySwapLeg" to "PhysicalLegBase" for "PhysicalSwapLeg".
            • Extension base changed from "CommodityForwardLeg" to "PhysicalLegBase" for "PhysicalForwardLeg".
            • Element "commodityForwardLeg" renamed "physicalCommodityForwardLeg".
            • Removed type "CommodityForwardLeg".
            • Removed type "CommoditySwapLeg".
            • Added type "CommodityLeg".
            • Added type "PhysicalLegBase".
            • Element "commodityForwardLeg" of type "CommodityForwardLeg" replaced by element "physicalCommodityForwardLeg" of type "PhysicalLegBase".
            • Substitution group changed from "commodityForwardLeg" to "physicalCommodityForwardLeg" for "bullionPhysicalLeg", "metalPhysicalLeg".
            • Substitution group changed from "commoditySwapLeg" to "physicalLeg" for "coalPhysicalLeg", "electricityPhysicalLeg", "environmentalPhysicalLeg", "gasPhysicalLeg", "oilPhysicalLeg".
            • Added element "commodityPhysicalLeg" of type "PhysicalLegBase".
            • Added element "physicalLeg" of type "PhysicalLegBase".
            • Added element "physicalLeg" of type "PhysicalLegBase".
            • Changed type of element "commoditySwapLeg" from "CommoditySwapLeg" to "CommodityLeg".
        • Coding Schemes Changes
          • Support for Corporate sector of the counterparty (EMIR REFIT Annex I Table 1 fields 6 and 12). Added a new "esma-emir-refit-regulatory-corporate-sector-1-0" coding scheme. reporting.
          • Support for Crypto indicator (EMIR REFIT Annex I Table 2 field 12). Added a new "esma-emir-refit-crypto-asset-indicator" coding scheme.
          • Support for Action type (EMIR REFIT Annex I Table 2 field 151). Added a new "esma-emir-refit-action-type-1-0" coding scheme.
          • Support for Event type (EMIR REFIT Annex I Table 2 field 152). Added codes "Inception:Netting", "Clear:Netting" and "Modification:Netting" to "eventTypeScheme".
          • Updated values of the asset measure scheme capacity units to support the distinction between US and GB units. Added a new "LastAvailableSpotPrice" value to the scheme to support the total amount calculation in CFTC reporting (CFTC field 43).
          • Support for Contract Type (EMIR REFIT Annex I Table 2 field 10). Added a new "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" coding scheme.
          • Support for Unique Product Identifier (UPI). Added a new "http://www.fpml.org/coding-scheme/external/iso4914" external coding scheme.
          • Support for Post Trade Risk Reduction (EMIR REFIT Annex I Table 2 fields 5, 38 and 39).
            • Added a new "http://www.fpml.org/coding-scheme/external/compression-link-identifier" external coding scheme.
            • Added new code "PortfolioRebalancing" to "terminatingEventScheme".
            • Added new code "PortfolioRebalancing" to "originatingEventScheme".
            • Added new codes "CompressionProvider" and "RebalancingProvider" to "partyRoleScheme".
          • Support for Commodity Classification (EMIR REFIT Annex I Table 2 fields 116, 117 and 118). Added the following coding schemes for "commodityClassificationScheme":
            • http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification-1-0
            • http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification-1-0
            • http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification-1-0
            • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification-1-0
            • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification-1-0
            • http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification-1-0
        • Added samples incorporating the aforementioned features:
          • [Confirmation View] \confirmation\business-processes\execution-advice\
            • msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.xml
            • msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.xml
          • [Recordkeeping View] \recordkeeping\events\
            • record-ex212-new-trade-esma-emir-refit-commodity-swap.xml
          • [Transparency View] \transparency\products\
            • trans_ex44_ird_swap_cftc_notional_step_schedule.xml
      • Support for CFTC Rewrite (2020)
        • Support for CFTC field 93 Block Trade Election Indicator. Added a choice in type "TradeInformation" between the "largeSizeTrade" element and a new "blockTradeIndicator" element. Distinction relevant for CFTC reporting purposes.
        • Support for CFTC fields 23/24 - Counterparty federal entity indicator (recommend using party/organizationType).
        • Support for CFTC fields 16/17 - Counterparty financial entity indicator (recommend using reportingRegime/partyEntityClassification).
        • Support for CFTC field 68 - Post-priced swap indicator (existing partyTradeInformation field made available in Transparency view).
        • Support for CFTC fields 11/12 - Clearing exceptions and exemptions counterparty (copied endUserExceptionReason structure inside reportingRegime, made endUserExceptionReason unbounded, deprecated the choice group in partyTradeInformation, in favor of the new structure in reportingRegime).
        • Support for CFTC field 47 - Package price (recommend using quote structure).
        • Support for CFTC field 10 - Clearing receipt timestamp (recommend using partyTradeInformation/timestamps/submittedForClearing). Updated the description of the element submittedForClearing in type TradeProcessingTimestamps.
        • Support for TR field to support CFTC - SD / MSP indicator (recommend using party/organizationType).
        • Added examples
          • Addition of new samples used for the ISDA Digital Regulatory Reporting (DRR) testing process. These test pack samples are contributed by the firms participating in the ISDA DRR project.
          • Added examples for CFTC clearing exceptions.
          • Added examples for CFTC federal entity.
          • Added examples for CFTC financial entity.
          • Added examples for CFTC package price.
          • Added examples for CFTC package spread.
          • Added examples for CFTC post priced indicator.
          • Added examples for CFTC post priced indicator.
          • See Recordkeeping examples/products/record-ex654 through record-ex659.
          • See Transparency view examples/products/trans_ex43_cftc_rewrite_post_priced_indicator.xml

View PDF for details on schema changes

View PDF for details on validation rules changes

View SCHEME DEFINITIONS for details on coding schemes changes

 

Incompatible changes compared to FpML 5.12 Recommendation

  • None.

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