DOCSLIB.ORG

Fpml Version 2.0 Trial Recommendation 14 January 2002

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Fpml Version 2.0 Trial Recommendation 14 January 2002 FpML Version 2.0 Trial Recommendation 14 January 2002 This version: http://www.fpml.org/spec/2002/tr-fpml-2-0-2002-01-14 Latest version: http://www.fpml.org/spec/fpml-2-0 Previous version: http://www.fpml.org/spec/2001/lcwd-fpml-2-0-2001-11-02 Copyright © 1999, 2000, 2001, 2002. All rights reserved. Financial Products Markup Language is subject to the FpML Public License Version 1.0. A copy of this license is available at http://www.fpml.org/documents/license. FpML 2.0 Trial Recommendation Status of this Document: This is the Trial Recommendation of the FpML Version 2.0 specification. This specification is considered stable by the Interest Rate Derivative Product Working Group and has been reviewed by the FpML Standards Committee which has agreed to its publication as a Trial Recommendation. It is available for review during the Trial Recommendation period. The standard is not expected to move to a Recommendation until implementation feedback has been received. The period for comments will last until the end of April 2002 at which point the Standards Committee will decide whether the period for comments should be extended further. The FpML Consortium invites implementation feedback during this period. Comments on this document should be sent via e-mail to [email protected]. An archive of the comments is available at http://groups.yahoo.com/group/fpml-issues/messages. Public discussion of FpML takes place on the FpML Discussion List at http://groups.yahoo.com/group/fpml-discuss. A list of current FpML Recommendations and other technical documents can be found at http://www.fpml.org/spec. While implementation experience reports are welcomed, the FpML Consortium will not allow early implementation to constrain its ability to make changes to this specification prior to final release. This document has been produced as part of the FpML Version 2.0 activity and is part of the Standards Approval Process. This Activity was initiated by the FpML Board of Directors in October 2000 to extend the FpML Version 1.0 product definitions, which covered interest rate swaps and FRAs, to include further interest rate derivatives products and features. Working Group Members and Acknowledgements: This document was produced in the IRD Products Working Group, which comprises of the following members: • Steven Lord (UBS Warburg), chair • Guy Gurden (SwapsWire), previous chair • Andrew Addison (Merrill Lynch) • Ariane Athalie (BNP Paribas) • Owen Bugge (Blackbird) • Marisol Collazo (Mizuho Capital Markets) • Marie-Paule Dumont (S.W.I.F.T.) • Alexander Ernst (RiskTrak Financial) • Tom Fahy (Goldman Sachs) • Doug Gallager (Reval.com) • Mark Golding (JPMorgan) • David Gorans (BNP Paribas) • Paul Hoskins (Barclays Capital) • Saleem Huda (Algorithmics) • Vlad Iordanov (FinTrack Systems) • Keri Jackson (Cygnifi) - 3 - FpML 2.0 Trial Recommendation • Sathy Kovvali (Citigroup) • Philippe Negri (SunGard Trading & Risk Systems) • Michael North (Reuters) • Henry Teng (UBS Warburg) • Ian Thomas (Credit Suisse First Boston) • Patrick Treanor (Wall Street Systems) • Olga Urrutia (S.W.I.F.T.) • James Williams (Deutsche Bank) • Barry Witkow (Treasury Connect) • Chuck Witter (Bank of America) Working Group Guests • Nicholas Davies (Cygnifi) Editor • Steven Lord (UBS Warburg) - 4 - FpML 2.0 Trial Recommendation TABLE OF CONTENTS 1 INTRODUCTION ..............................................................................................................................................8 2 SCOPE.................................................................................................................................................................9 2.1 Scope ................................................................................................................................................................9 2.2 Architecture Framework...................................................................................................................................9 2.3 DTD Structure ................................................................................................................................................10 3 PRODUCT ARCHITECTURE OVERVIEW................................................................................................11 3.1 Introduction ....................................................................................................................................................11 3.2 Component Framework .................................................................................................................................11 3.3 Overview of Core Trade Components............................................................................................................12 3.3.1 The Trade Component ...........................................................................................................................12 3.3.2 The Product Component ........................................................................................................................13 3.4 Coding Schemes .............................................................................................................................................14 4 INTEREST RATE DERIVATIVE PRODUCT ARCHITECTURE............................................................15 4.1 Interest Rate Swap..........................................................................................................................................15 4.1.1 Swap Stream Diagrams .........................................................................................................................19 4.2 Forward Rate Agreement................................................................................................................................28 4.3 Option Components........................................................................................................................................30 4.3.1 European Exercise.................................................................................................................................30 4.3.2 American Exercise.................................................................................................................................32 4.3.3 Bermudan Exercise................................................................................................................................33 4.3.4 Early Termination Provision .................................................................................................................33 4.3.5 Cancelable Provision.............................................................................................................................34 4.3.6 Extendible Provision..............................................................................................................................35 4.3.7 Swaption ................................................................................................................................................36 4.3.8 Cap / Floor ............................................................................................................................................38 4.4 Cash Settlement..............................................................................................................................................38 5 COMPONENT DEFINITIONS.......................................................................................................................40 5.1 Interpreting the Diagrams...............................................................................................................................40 5.2 Root Element Definition.................................................................................................................................41 5.3 Entity Definitions ...........................................................................................................................................42 6 DOCUMENT TYPE DEFINITION (DTD)..................................................................................................177 6.1 fpml-dtd-2-0 .................................................................................................................................................177 7 DATA DICTIONARY....................................................................................................................................194 7.1 Element Definitions......................................................................................................................................194 8 CHARACTER ENCODING AND CHARACTER REPERTOIRE ..........................................................247 8.1 Character Encoding ......................................................................................................................................247 8.2 Character Repertoire.....................................................................................................................................247 9 DATATYPES AND CODING SCHEMES...................................................................................................248 9.1 Datatypes......................................................................................................................................................248 9.1.1 date ......................................................................................................................................................248 9.1.2 time ......................................................................................................................................................248
Load more

Recommended publications
  • New Developments in Clearing and Settlement Arrangements for OTC Derivatives
    Committee on Payment and Settlement Systems New developments in clearing and settlement arrangements for OTC derivatives March 2007 Copies of publications are available from: Bank for International Settlements Press & Communications CH-4002 Basel, Switzerland E-mail: [email protected] Fax: +41 61 280 9100 and +41 61 280 8100 This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2007. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited. ISBN 92-9131-738-1 (print) ISBN 92-9197-738-1 (online) Foreword Since the publication by the BIS in 1998 of a report on OTC derivatives: settlement procedures and counterparty risk management, the markets for OTC derivatives have continued to expand and develop rapidly, while risk management practices have evolved and significant changes in market infrastructures have occurred. In early 2006, the CPSS set up a Working Group, comprising representatives of its member central banks and prudential supervisors of major derivatives dealers, to analyse existing arrangements and risk management practices in the broader OTC derivatives market and evaluate the potential for risks to be mitigated by greater use of, and enhancements to, market infrastructure. This project complemented an earlier supervisory initiative that at the time was focused primarily on confirmation backlogs in the credit derivatives markets. The Working Group conducted interviews with some 35 major dealers in OTC derivatives in the G10 countries and Hong Kong SAR. It also met with industry groups and providers of post-trade processing services. Finally, upon completion of the report, it discussed its findings in a roundtable with these entities.
    [Show full text]
  • ISDA Fpml Survey January 2011
    ISDA FpML Survey January 2011 ISDA® INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION ISDA, which represents participants in the privately negotiated derivatives industry, is among the world’s largest global financial trade associations as measured by number of member firms. ISDA was chartered in 1985, and today has over 800 member institutions from 54 countries on six continents. These members include most of the world’s major institutions that deal in privately negotiated derivatives, as well as many of the businesses, governmental entities and other end users that rely on over-the-counter derivatives to manage efficiently the financial market risks inherent in their core economic activities. Since its inception, ISDA has pioneered efforts to identify and reduce the sources of risk in the derivatives and risk management business. Among its most notable accomplishments are: developing the ISDA Master Agreement; publishing a wide range of related documentation materials and instruments covering a variety of transaction types; producing legal opinions on the enforceability of netting and collateral arrangements (available only to ISDA members); securing recognition of the risk-reducing effects of netting in determining capital requirements; promoting sound risk management practices, and advancing the understanding and treatment of derivatives and risk management from public policy and regulatory capital perspectives. About FpML FpML (Financial products Markup Language) is the freely licensed business information exchange standard for electronic dealing and processing of privately negotiated derivatives and structured products. It establishes the industry protocol for sharing information on, and dealing in, financial derivatives and structured products over the Internet. FpML is based on XML (Extensible Markup Language), the standard meta-language for describing data shared between applications.
    [Show full text]
  • The Limits of Private Ordering Within Modern Financial Markets Dan Awrey
    2014-2015 LIMITS OF PRIVATE ORDERING 183 THE LIMITS OF PRIVATE ORDERING WITHIN MODERN FINANCIAL MARKETS DAN AWREY Abstract From standardized contracts for loans, repurchase agreements, and derivatives, to stock exchanges and alternative trading platforms, to benchmark interest and foreign exchange rates, private market structures play a number of important roles within modern financial markets. These market structures hold out a number of significant benefits. Specifically, by harnessing the powerful incentives of market participants, these market structures can help lower information, agency, coordination, and other transaction costs, enhance the process of price discovery, and promote greater market liquidity. Simultaneously, however, successful market structures are the source of significant and often overlooked market distortions. These distortions—or limits of private ordering—stem from positive network externalities, path dependency, and power imbalances between market participants at the core of these market structures and those at the periphery. Somewhat paradoxically, these limits can erect substantial barriers to entry, insulate incumbents from vigorous competition, and undermine the emergence of new and potentially more desirable substitutes, thus entrenching less efficient market structures. Using the London Interbank Offered Rate (“Libor”) and the International Swaps and Derivatives Association determination committee (“DC”) mechanism as case studies, this Article seeks to better understand the limits of private ordering. It also explores how relatively modest changes to the public regulatory regimes governing these market structures could, in some cases, yield significant improvements. Associate Professor of Law and Finance, Oxford University. 184 REVIEW OF BANKING & FINANCIAL LAW Vol. 34 Table of Contents I. Introduction ....................................................................... 184 II. The Logic and Limits of Private Ordering .......................
    [Show full text]
  • GFMA Submits Comments on the Consultation Paper P010-2014
    Global Foreign Exchange Division St Michael’s House 1 George Yard London EC3V 9DH By Email TO: Macroeconomic Surveillance Department Monetary Authority of Singapore 10 Shenton Way MAS Building Singapore 079119 7 August 2014 Re: Consultation Paper P010-2014 (Consultation Paper on Draft Regulations for Reporting of Foreign Exchange Derivative Contracts) The Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association (GFMA) welcomes the opportunity to comment on behalf of its members on the Consultation Paper issued by the Monetary Authority of Singapore (MAS) on 9 July 2014. The GFXD was formed in cooperation with the Association for Financial Markets in Europe (AFME), the Securities Industry and Financial Markets Association (SIFMA) and the Asia Securities Industry and Financial Markets Association (ASIFMA). Its members comprise 23 global Foreign Exchange (FX) market participants,1 collectively representing more than 90% of the FX inter-dealer market.2 Both the GFXD and its members are committed to ensuring a robust, open and fair marketplace and welcome the opportunity for continued dialogue with global regulators. ************** Introduction The FX market is the world’s largest financial market. Effective and efficient exchange of currencies underpins the world’s entire financial system. Many of the current legislative and regulatory reforms have had, and will continue to have, a significant impact upon the operation of the global FX market, and the GFXD wishes to emphasise the desire of our members for globally co-ordinated regulation which we believe will be of benefit to both regulators and market participants alike. The global FX market presents some unique challenges for trade reporting when compared with other asset classes.
    [Show full text]
  • Part 45 - Swap Data Recordkeeping and Reporting Requirements
    Part 45 - Swap Data Recordkeeping and Reporting Requirements SDR Regulatory Summary SDR Regulation Description Definitions and Swap Recordkeeping Definitions and Swap Recordkeeping Swap data reporting: creation data Swap data reporting: creation data Swap data reporting: continuation data Swap data reporting: continuation data USIs Unique Swap Identifiers LEIs Legal Entity Identifiers UPIs Unique Product Identifiers Determination of reporting party Determination of which counterparty must report Third-party data reporting Third-Party facilitation of data reporting Unacceptable Swaps Data reporting for swaps in a swap asset class not accepted by any SDR Voluntary Supp. Reporting Voluntary supplemental reporting Required data standards Required data standards Errors and Omissions Reporting of errors and omissions in previously reported data Compliance Dates Compliance Dates Definitions and Swap Recordkeeping Rule Ref. Definitions and Swap Recordkeeping §45.2 Definitions. Swap Recordkeeping - Recordkeeping by SEFs, DCMs, DCOs, SD & MSPs - these entities must keep full, complete and systematic records, §45.2(a) together with all pertinent data and memoranda, of all activities relating to the business of such entity or person with respect to swaps. Recordkeeping by Non-SDs and Non-MSPs - must keep full, complete and systematic records, together with all pertinent data and memoranda, §45.2(b) with respect to each swap in which they are a counterparty (note: this is more limited than for the entities listed in §45.2(a). Record Retention and Retention Form - all records kept pursuant to this section must be kept throughout the life of the swap and for a period of at least 5 years following the final termination of the swap.
    [Show full text]
  • Financial Stability Report 2015
    OFFICE OF FINANCIAL RESEARCH Financial Stability Report 2015 Table of Contents 1 Executive Summary ..................................................................... 1 2 Assessing and Monitoring Threats to Financial Stability ............. 7 2.1 Assessment of Threats to U.S. Financial Stability ........................................................7 2.2 Focus on Selected Risks ..............................................................................................10 The Potential Role of ETFs in Generating and Propagating Liquidity Stress .............17 Data Deficiencies in Assessing Cyber Threats to Financial Stability ......................... 30 2.3 Financial Stability Monitoring: Progress and Challenges ...........................................32 Leverage, Borrowing, and Derivatives Activities of the 50 Largest Hedge Funds .....37 3 Evaluating Financial Stability Policies ........................................ 41 3.1 Micro- and Macroprudential Policy ............................................................................41 Possible Bank Responses to Binding Regulatory Ratios ............................................ 44 3.2 Addressing Risks in Systemically Important Financial Institutions..............................47 Categories of Systemic Importance for Banks ............................................................47 Rating Agencies Consider Expectation of Extraordinary Support in Rating Some Large Banks .......................................................................................................49
    [Show full text]
  • Fpml Version 1.0 Trial Recommendation 25 September 2000
    FpML Version 1.0 Trial Recommendation 25 September 2000 This version: http://www.fpml.org/spec/2000/tr-fpml-1-0-2000-09-25 Latest version: http://www.fpml.org/spec/fpml-1-0 Previous version: http://www.fpml.org/spec/2000/wd-fpml-1-0-2000-06-01 Copyright © 1999, 2000. All rights reserved. Financial Products Markup Language is subject to the Mozilla Public License Version 1.0. A copy of this license is available at http://www.fpml.org/documents/license. FpML 1.0 Trial Recommendation - 25 September, 2000 Status of this Document: This is the Trial Recommendation of the FpML Version 1.0 specification. This specification is considered stable by the Products Working Group and has been reviewed by the FpML Standards Committee which has agreed to its publication as a Trial Recommendation. It is available for public review during the Trial Recommendation stage ending 8 December, 2000. The FpML Consortium invites implementation feedback during this period. Comments on this document should be sent via e-mail to [email protected]. Please report each issue in a separate e-mail. An archive of the comments is available together with an issues list. While implementation experience reports are welcomed, the FpML Consortium will not allow early implementation to constrain its ability to make changes to this specification prior to final release. This document has been produced by the Products Working Group, with contributions from the Architecture Working Group, as part of the FpML 1.0 Activity and is part of the FpML Standards Approval process. The FpML Board of Directors initiated this Activity in November 1999 to produce a limited scope standard covering trade content definitions for interest rate derivatives, and a more general architecture for FpML.
    [Show full text]
  • ISDA: Safe Efficient Markets
    ISDA Clearing Connectivity Standard (CCS) Q4 2014 ©2014 International Swaps and Derivatives Association, Inc. ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. ISDA CCS: The Clearing Connectivity Standard • Beginning in 2011, Custodian Service Providers led by State Street, Northern Trust, BNY Mellon and JP Morgan approached Sapient to gather information on data formats and reach a consensus that would become the ISDA CCS industry standard. • Derivatives customers, notably large asset managers, are requesting that their Clearing Firms comply with ISDA CCS. • Clearing Firms are cooperating with the Standard both because of client interest and to streamline their operations. • Eight major clearing brokers and Eight major custodians are currently either producing or testing the CCS Summary report. • The Standard currently covers cleared IRS, CDS and NDF trade, position, margin, and collateral data for LCH, CME and ICE products. • The Steering Committee is investigating the addition of swaptions, futures, and listed options to the Standard. • Eurex has also agreed to support the standard, and engagement with TSE, SGX and ASX is ongoing. • The account level Summary report, Position & Trade report, Daily Activity report, Collateral Holdings report, Upcoming Cash Flows report, and Cash Settlement report have been finalized and are being tested between reporting parties. • The next reports being targeted integrate F&O products to facilitate cross product netting and margining. 2 ISDA Governance • On October 24th, 2012 ISDA announced its support of the standard • The ISDA CCS Steering Committee governs the direction of the standard, reviews requested format changes, governs committee membership, and encourages rapid implementation • On June 10th, 2013, the largest 4 Clearing Brokers and Custodians announced or confirmed their support of the standard • The ISDA FpML Standards Committee has pledged to support the transition of CCS to FpML format.
    [Show full text]
  • Scrittura Overview Brochure: Interwoven's Capital Markets
    Scrittura Overview Brochure Interwoven’s Capital Markets Solutions Innovative Solutions for This volatility is exacerbated by the efficient pre- and post-trade activity, Regulatory Compliance and disparate transaction processing through instant document generation, Securities Operations environments that exist in the majority integrated document management, of financial organizations. An industry- automated workflow routing, full audit Interwoven’s Scrittura is recognized wide vulnerability of poor back office trails, and real-time reporting capabilities— as the market leader in automation of infrastructure has resulted in severe bringing certainty to trade processes and documentation, processes and counterparty trade backlogs, transactional errors, and helping financial institutions stay ahead of messaging for middle- and back-office manual processes for trade negotiation, the regulatory curve. operations in the financial securities confirmation and settlement. Given and capital markets. Scrittura’s suite of the recent regulatory attention these The Scrittura Solution Suite is comprised of innovative solutions enables financial issues have prompted, it is clear that the the following solutions that can be installed institutions to adapt to the increasingly automation of trade documentation is independently or operate seamlessly complex workflow needs of middle- and critical—if the financial services industry is together: back-office processing of non-exchange- to mitigate the significant operational risk Scrittura SellSide Solution based trades. Built to automate and manage created by this vulnerability and successfully the full lifecycle of trade documentation reach the industry’s goal of moving towards Scrittura SellSide automates, validates and operations, Scrittura solutions enable T+0 straight through processing (STP). and simplifies the confirmation and capital markets operations professionals documentation processes for OTC to easily manage increasing volumes of Solutions for compliance, audit and derivatives and structured products.
    [Show full text]
  • (ESMA) on 10 November 2014
    Global Foreign Exchange Division St Michael’s House 1 George Yard London EC3V 9DH TO: European Securities and Markets Authority 103, rue de Grenelle 75007 Paris France 13 February 2015 Re: Consultation Paper on the Review of the technical standards on reporting under Article 9 of EMIR The Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association (GFMA) welcomes the opportunity to comment on behalf of its members on the Consultation Paper issued by the European Securities and Markets Authority (ESMA) on 10 November 2014. The GFXD was formed in cooperation with the Association for Financial Markets in Europe (AFME), the Securities Industry and Financial Markets Association (SIFMA) and the Asia Securities Industry and Financial Markets Association (ASIFMA). Its members comprise 24 global Foreign Exchange (FX) market participants,1 collectively representing more than 90% of the FX inter-dealer market.2 Both the GFXD and its members are committed to ensuring a robust, open and fair marketplace and welcome the opportunity for continued dialogue with global regulators. ************** Introduction The FX market is the world’s largest financial market. Effective and efficient exchange of currencies underpins the world’s entire financial system. Many of the current legislative and regulatory reforms have had, and will continue to have, a significant impact upon the operation of the global FX market, and the GFXD wishes to emphasise the desire of our members for globally co-ordinated regulation which we believe will be of benefit to both regulators and market participants alike. The global FX market presents some unique challenges for trade reporting when compared with other asset classes.
    [Show full text]
  • Credit and Equity Derivatives Markets
    March 27, 2008 Mr. Timothy Geithner President Federal Reserve Bank of New York 33 Liberty Street, 10F New York, NY 10045 Dear Mr. Geithner: We are pleased to update you on our continued improvement of the credit and equity derivatives markets. A senior industry leadership group, the Operations Management Group, has succeeded the previous work of the Senior Oversight Group, with the purpose of leading fundamental change in front-to-back processes across OTC derivative products. The Operations Management Group comprises both buy and sell-side representation including the signatories below (the “Major Dealers”), individual buy-side clients1, the International Swaps and Derivatives Association, Inc. (ISDA), Managed Funds Association (MFA), and the Asset Management Group of the Securities Industry and Financial Markets Association (SIFMA). Credit Derivatives Market As outlined below, our major 2008 operational goals for the industry include: • Consistent use of electronic confirmation platforms for electronically eligible trades; • By May 2008: ISDA, MFA, SIFMA to deliver a market implementation plan on relevant goals in this letter and ISDA to review a Credit Event management timetable with Market Supervisors; • By July 2008: Submission, matching and accuracy targets to be met by Major Dealers and buy- side institutions in the Operations Management Group; • By September 2008: Most Major Dealers to be live with each other for Central Settlement; • During 2008: Novation requests to be submitted via electronic platforms rather than via email. ISDA, MFA and SIFMA will work with their members and other market participants to educate the marketplace on the goals in this letter and by May 2008 will deliver an implementation plan to help enable participants to operate consistently with such goals, specifically i) the submission, accuracy and matching expectations, ii) electronic novation consents, and iii) the industry’s commitment to a strategic novation and allocation workflow.
    [Show full text]
  • OBS Draft Copy 2
    ISDA 2005 Operations Benchmarking Survey and FpML Use Survey ISDA® INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION ISDA is the global trade association representing leading participants in the privately negotiated derivatives industry. ISDA was chartered in 1985, and today has more than 625 member institutions from 47 countries on six continents. These members include most of the world’s major institutions that deal in privately negotiated derivatives, as well as many of the businesses, governmental entities and other end users that rely on over-the-counter derivatives to manage efficiently the financial market risks inherent in their core economic activities. Information about ISDA and its activities is available on the Association’s web site www.isda.org. Copyright © 2005 by International Swaps and Derivatives Association, Inc. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. INTRODUCTION The ISDA Operations Benchmarking Survey, initiated in 2000, identifies and tracks operations processing trends in privately-negotiated derivatives, more commonly known as over-the-counter (OTC) derivatives. The results provide individual firms with a benchmark against which to measure the promptness and accuracy of their trade data capture, confirmation procedures, and settlement. A total of 67 institutions responded to the 2005 Survey (Appendix 1), with regional mixes as shown in Table 1. The Survey classifies responding firms as large, medium, or small according to weekly derivatives volume. Of the 67 that responded, 50 are repeat participants from last year. Each firm that completes the Survey will receive an individual feedback report that compares the firm’s results with the results for respondents of similar size and with the results for the entire respondent population.
    [Show full text]