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October 3, 2017
ISDA has published FpML 5.10 Second Working Draft
The International Swaps and Derivatives Association, Inc. (ISDA) has published the Second Working Draft for Financial products Markup Language (FpML) version 5.10.
Changes compared to the FpML 5.10 First Working Draft include:
In this working draft we include a preliminary design of a new, simplified regulatory reporting message that the working group is working on, for comment from a broader audience. The working group cautions that this message is work in progress, and may be changed extensively prior to publication, moved to a future version of FpML, or removed entirely.
ISDA invites the industry to review a first draft of the messages included in Recordkeeping view of FpML 5.10 WD#2. Stakeholders are encouraged to participate in the discussions taking place in the FpML Reporting Working Group.
Please return any comments on these new formats to rptwgchair@fpml.org.
Benefits of the simplified reporting messages include:
Simplified message/data representation
Simpler trade and event structure
Much closer to regulatory requirements
Clearer handling of reporting-regime specific information
Simpler, well-defined message flow for adding and removing jurisdictions to/from reporting
Improves data quality
The redesigned effort reduces complexity and results in a simpler message more aligned with what regulators are looking for. A more flexible reporting standard enables firms to become more agile and adapt to regulatory demands and changes. The new format benefits existing users of FpML.
Examples and documentation
See documentation section "3. Business Process Architecture Specification" subsection "3.3.1 Reporting Redesign"
See [Recordkeeping View]\reg-report-full-product - New reporting format with full product representation
See [Recordkeeping View]\reg-report-flat-product - New reporting format with flattened product economics
See [Recordkeeping View]\reg-report-events - New reporting format showing valuation reporting, withdrawal and acknowledgement
See [Recordkeeping View]\reg-report-samples - Source FpML examples used to generate new reporting format
See the examples in Recordkeeping view in folders "reg-reporting-full-product" (new message formats but containing the existing full FpML product representation) and "reg-report-flat-product" (new message formats with flattened product economics).
Note that a handful of Commodities examples are still being worked on and may not validate against the schema. This will be fixed in the next draft.
The FpML RPTWG has also developed demonstration XSLT scripts for converting from existing FpML formats (which are contained in folder "reg-report-samples") to the other formats, at least for the product types and variations in the sample set. These scripts can be accessed from the FpML SVN repository or via the FpML regulatory reporting working group. If the working group eventually publishes the new formats as part of the standard, it is expected that these scripts would also be published.
ESMA MiFID II Support
Reporting Regime - added regime-specific party roles
Provides support for RTS 22 Fields # 11-20 Buyer/Seller
This provides the ability to represent roles e.g. Buyer/Seller in a regime-specific way.
See [Recordkeeping View]\ex-170
Algorithm - updated representation leverages existing person as an algorithm (i.e. algorithm modeled as a pseudo-person)
Provides support for RTS 22 Fields # 57 “Investment decision within firm” and # 59 “Execution within firm”
deprecated: partyTradeInformation/algorithm - The algorithm element introduced in version 5.9 is currently marked as deprecated in WD2 (in favor of using a relatedPerson pointing to a party/person with a coding scheme that indicates it is an algorithm.)
In the next draft (LCWD), the algorithm element will reverted (i.e., set as not deprecated as there was no official decision from the group to deprecate). Guidance for developers on which representation to use is being developed.
See [Recordkeeping View]\ex-170
Trade Identification - cleaned up examples to specify combinations of UTI/USI, UTI only, and USI only scenarios (see ex-140, 140b, 142b)
Added support for Credit Index Factor and Seniority.
added indexReferenceInformation/seniority
added indexReferenceInformation/indexFactor
deprecated: productSummary/seniority
deprecated: productSummary/indexFactor
See [Recordkeeping View]\products\record-ex03-cds-emir-index-seniority-factor.xml
[Confirmation View] Added a Warrant underlyer to underlyingAsset
In the context of MIFID II and transaction reporting (and for internal messaging) there have been requests to cover warrant transactions in FpML.
See documentation under "5. Cross-Asset Product Architecture" subsection "5.5 Underlying Asset"
See [Confirmation View]\business-processes\execution-advice\msg-ex68-execution-advice-warrant.xml
Extended exchange traded future and option models
Added a proposal to extend the future and option underlying asset models in the recordkeeping view, to support reporting of reference data about exchange traded instruments as required under RTS 22 of the MiFID II/MiFIR regulation. The intention is to facilitate use of the instrumentTradeDetails product model in MiFIR reporting workflows. The principal use case is to support population of fields 42-56 under the RTS, where ISIN is not available or where the instrument is traded on a non-EEA venue.
See documentation under "5. Cross-Asset Product Architecture" subsection "5.4 Underlying Asset"
Syndicated Loan (Confirmation View)
Loan Trading Notifications
In FpML 5.10, comprehensive coverage of loan trading notifications is introduced. The core enhancements to messaging architecture include:
The ability to convey information in relation to all loan trade lifecycle events.
Addition of a tasks-based model (similar to the event-based model) which allows the communication of responsibilities in relation to tasks which are prerequisites to the loan trade settlement.
The working group believes that the basis for the loan trading notifications is designed flexibly, to anticipate future loan trading market needs.
Loan Bulk Servicing Notification
In FpML 5.10, the concept of a bulk servicing notification is introduced. This notification allows the combination of multiple servicing events into a single notification.
Loan Party Profile Notification
In FpML 5.10, the ability to convey loan party profile details, including contact information and settlement instructions, is introduced.
Incompatible changes compared to FpML 5.8 and 5.9 Recommendations
Syndicated Loan (Confirmation View)
paymentDetails has been renamed to eventPayment affecting the following messages:
rolloverNotification/rollover now wraps elements (maturityContracts, currentContracts, baseRateSet, borroing, commitmentAdjustment, interestCapitalization, interestPayment, repayment).
This also affects the rolloverNotificationRetracted which allows the inclusion of the same content found in the rolloverNotification (The loanwg may make corrections in 5.10 LCWD)
These changes break backward compatibility with the rolloverNotification introduced in FpML 5.8. Rationale: the changes better reflect market usage and provide increased design flexibility. There are no known implementations of the 5.8 or 5.9 loan messages. The loanwg believes the impact of making these changes is minimal.