FpML Issues Tracker

Summary

DTCC has told us that we should direct this inquiry to “ISDA / FpML” .

The issue is with reporting PPD messages to the DTCC for rates trades that have an amortization schedule.

With the latest UPI implementation , DTCC will be adding additional validation rules on PPD messages that the FpML scheme for “transparency” <publicExecutionReport> does NOT support.

For Part 43 messages (PPD) , DTCC requires us to use the FpML “transparency” schema (<publicExecutionReport>) . When a trade is amortizing, the amortization schedule must be included in the element : ../../notionalSchedule/notionalStepSchedule/step[N]

The “transparency” schema does not allow for this element. However, the “recordkeeping” <nonpublicExecutionReport> schema does allow for this element.

When talking to the DTCC regarding this issue and asking if they could accept the <nonpublicExecutionReport> for PPD … They said “NO” this change can NOT be done. We should either either : 1. use something other than FpML 2. contact ISDA / FpML to add this element to the transparency schema.

So we are in a bind here… We are being forced to rework our messaging (switch from FpML to DTCC “harmonized” CSV or XML) in a very short time frame. Unless we can have the FpML schema modified to allow for the notionalStepSchedule/Step.

FYI… This is NOT a problem just for PNC. ALL firms who uses FpML for submissions to the DTCC will also face this issue.