ISDA publishes FpML 5.13 Second Working Draft (build 2)

NEW YORK, July 31, 2023 - The International Swaps and Derivatives Association, Inc. (ISDA) published the Second Working Draft for Financial products Markup Language (FpML) version 5.13 and a new set of Coding Schemes version 2-14.

FpML 5.13 WD2 is available at https://www.fpml.org/spec/fpml-5-13-2-wd-2/ and includes the following changes compared to the previous version 5.13 WD1 published November 2022.

Changes compared to FpML 5.13 Working Draft - build #1

• Validation Rules:
  • Updated validation rule ird-1 to take into account the calculationParameters structure, solving the issue 1304.
• Regulatory Reporting:
  • 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.
  • Support for ESMA EMIR REFIT Regulation (2020), and related fields to support Digital Regulatory Reporting (DRR)
    • 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 PartyTradeInformation under EMIR reporting.
    • Added example of ISIN-identified Floating Rate Index. See Recordkeeping events/record-ex611-new-trade-fro-isin.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.
• 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.
• Cross Asset Class Product Work - Interest Rate Work Stream:
  • Added new examples for OIS interest rate swaps: ird-ex07b-ois-swap.xml and ird-ex07c-ois-swap.xml. See issue: 1278.

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 PartyTradeInformation 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.
    • 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).
    • Added examples
      • Added example of ISIN-identified Floating Rate Index. See Recordkeeping events/record-ex611-new-trade-fro-isin.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.