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Project to support the implementation a of smart derivative contract.
Abstract base type for all events.
Abstract base type for an extension/substitution point to customize FpML
and add additional events.
A type defining a nominal amount with a reference.
A structure indicating that the basket underlyer of the trade has changed
due to client trading activity
A type defining an event identifier issued by the indicated party.
A pointer style reference to a party identifier and optionally an
account identifier defined elsewhere in the document. The party referenced has allocated the
trade identifier.
Abstract base type for non-negotiated trade change descriptions
A component of a clearing status report. This provides the clearing status
for a single trade.
Identifier(s) for the trade which is the subject of the
clearing request to which this status relates.
Identifying information for the trade which is the subject of
the clearing request to which this status relates.
Complete economics of the trade
The status of the clearing process for the identified trade. For
example, Received, Pending (Approval), Registered (i.e. cleared), Rejected, etc.
When the clearing status changed to the current value. This is
mostly useful if the clearing status messages could be delayed from when the status actually
changes; this could be important if the status date is used as the basis of any settlement
calculations.
Supporting information which may be produced to explain the
clearing process status. This may be a business reason e.g. failed eligibility criteria for a
trade in Rejected status.
Reference to parties currently in this status, e.g. parties for
which we are awaiting approval. For example, if a trade is in "Pending" status, this would
identify which parties' approval the trade was pending.
A type that shows how multiple trades have been combined into a result.
This option is deprecated in favour of the first choice.
A type that identifies the type of trade amalgamation, for example netting
or portfolio compression.
A structure indicating that a trade has changed due to a corporate action
A type that describes what type of corporate action occurred.
A structure describing a basic credit limit.
The maximum allowed tenor for a trade under this limit. When this
structure is used as part of a suspendCredit message, this tenor imposes a temporary tenor limit
on allowed trade types.
A structure describing a credit limit with applicability constraints.
Credit limit utilization attributable to executed trades.
Credit limit utilization attributable to pending unexecuted
orders.
Credit limit utilization attributable to short positions.
Credit limit utilization attributable to long positions.
Global credit limit utilization amount, agnostic of long/short
position direction.
Global credit limit utilization amount, agnostic of long/short
position direction.
A structure describing a declear event. The deClear event allows a firm to
request that a trade be removed from clearing, or a clearing service to request consent for this, or to
report that is has been done.
A type that describes why a trade was removed from clearing.
A post-trade event reference identifier allocated by a party. FpML does not
define the domain values associated with this element. Note that the domain values for this element are
not strictly an enumerated list.
A structure that describes a proposed match between trades or post-trade
event reports.
A structure describing the effect of a change to an index.
Describes an observation that caused a barrier knock out to trigger
Any rebate payable as a result of the knock out
A type defining a currency amount with a reference.
A pointer style reference to the associated notional
schedule defined elsewhere in the document.
The rate value (level) which was attained/breached, in order to
trigger the barrier event.
Defines the currency pair and quote basis for an FX rate.
The minimum value observed during the condition period.
The price value (level) which was attained/breached, in order
to trigger the barrier event.
The minimum value observed during the condition period
Cloned from exercise but looks like some bits are extraneous
like payment
If the touch or no touch event hasn't generated an exercise,
then we specify whether the option is exercisable or not.
The rate value (level) which was attained/breached, in order to trigger the
barrier event.
Defines the currency pair and quote basis for an FX rate.
The maximum value observed during the condition period
The price value (level) which was attained/breached, in order to trigger the
barrier event.
The maximum value observed during the condition period
Standard code to indicate which type of credit line is being
referred to - i.e. IM, DV01, PV01, CS01, Notional, Clip Size, Notional, maximumOrderQuantity
Credit limit utilization breakdown by executed trades and
pending orders.
The observed rate value which triggered the barrier event.
The date when the rate was observed.
The time when the rate ws observed.
The source of the observation.
The observed rate value which triggered the barrier event.
The date when the rate was observed.
The time when the rate ws observed.
The source of the observation.
Fully describes the original trade (prior to the
exercise).
Identified the trade to which the option event
applies.
A structure describing a barrier knock in event
A structure describing a barrier knock out event
A structure describing a touch event
A structure describing the outcome of an option having
no touch events
A structure describing an option exercise. The OptionExercise type supports
partial exercise (specify the number of options or amount to exercise), full exercise (use fullExercise
flag), as well as the option to request options not to be exercised.
Fully describes the original trade (prior to the
exercise).
Specifies the fixed amount by which the option should be
exercised expressed as notional amount.
Specifies the Notional amount after the Change
Specifies the amount by which the option should be exercised
expressed as notional schedule.
Specifies the Notional schedule after the Change
Specifies the fixed amount by which the option should be
exercised expressed as number of options.
Specifies the Number of Options after the Change.
Specifies the fixed amount by which the option should be
exercised express as number of units.
Specifies the Number of Units
A structure describing an option expiring (i.e. passing its last exercise
time and becoming worthless.)
Fully describes the original trade (prior to the
exercise).
A structure describing an option expiring.
Identifying information for a tradePackage (a bundle of trades).
Classification of the package. FpML has defined a list of coding
scheme values. Different organizations might have different naming schemes for the packages so
the multiplicity of unbounded is meant to support synonyms but it does not mean that a trade has
multiple package types.
This may be used to describe why a package was created. This can be
used to provide context for a newly created package that is not part of a post-trade event. For
example, it can report that the package was created as a result of netting activity, or due to a
transfer, an allocation process, etc.
A structure that describes how an option settles into a physical trade.
The ID of the trade that resulted from the physical settlement.
The trade that resulted from the physical settlement.
A type that provides identification for reporting regimes.
Identifies the reporting regime under which this data is
reported. For example, Dodd-Frank, MiFID, HongKongOTCDRepository, ODRF
Identifies the specific regulator or other supervisory body
for which this data is produced. For example, CFTC, SEC, UKFSA, ODRF, SFC, ESMA.
Identifies the specific regulator or other supervisory body for
which this data is produced. For example, CFTC, SEC, UKFSA, ODRF, SFC, ESMA.
Identifies the role of this party in reporting this trade for this
regulator; roles could include ReportingParty and Voluntary reporting.
Reports a regulator-specific code for the action associated with
this submission. Used, for example, to report the ESMA action type.
A type that describes whether a trade is to be cleared.
A type that describes what the requester would like to see done to
implement the withdrawal, e.g. ExpungeRecords, RetainRecords.
A type that describes why a trade terminated.
A structure describing a negotiated amendment.
A full description of the amended trade (i.e. the trade
after the amendment).
A structure describing a trade change.
A structure describing a non-negotiated trade resulting from a market
event.
The original qualified trade identifier.
The original trade details.
A full description of the amended trade.
The date on which the change become effective
Substitution point for types of change
Describes a payment made in settlement of the change.
A structure describing a change to the size of a single leg or stream of a
trade.
Identification of the underlying asset, using public and/or
private identifiers.
A structure describing a change to the size of a single leg or stream of a
trade.
A structure describing a trade maturing.
A structure describing a change to the size of a trade.
A structure describing a novation.
Choice between identification and representation of the
old contract.
The roles of the participants in the novation
The dates and times associated with the novation event.
The amounts novated and remaining. These are optional in
some reporting views because when reporting standalone fee trades this information would
be duplicated.
Documentation and other terms relating to the novation.
Describes a payment made in settlement of the novation.
A bundle of trades collected together into a single unit for reporting.
A container for approval states in the workflow.
Defines a type that allows trade identifiers and/or trade information to be
represented for a trade.
This may be used to describe why a trade was created. This can
be used to provide context for a newly created trade that is not part of a post-trade event.
For example, it can report that the trade was created as a result of netting activity, or
due to a transfer, an allocation process, etc. Omitting this implies that the trade record
was created as a result of a negotiated new trade.
This may be used to describe why a trade was terminated.
This allows the acknowledging party to supply additional trade
identifiers for a trade underlying a request relating to a business event.
This allows the acknowledging party to supply additional trade
information about a trade underlying a request relating to a business event.
Cloned from exercise but looks like some bits are
extraneous like payment
If the touch or no touch event hasn't generated an
exercise, then we specify whether the option is exercisable or not.
The date on which the rate observation occurred, in order to
trigger the barrier event.observationDate
The time at which the observation occurred.
The rate value (level) which was attained/breached, in
order to trigger the barrier event.
Defines the currency pair and quote basis for an FX rate.
The observed rate value which triggered the barrier
event.
The price value (level) which was attained/breached, in
order to trigger the barrier event.
The observed price value which triggered the barrier
event.
The side of the trigger rate/price (level) on which a rate
observation occurred, in order to trigger the barrier event.
A structure describing the removal of a trade from a service, such as a
reporting service.
Identifiers of the trade that is being withdrawn.
Holds party-specific information about the trade that is
being withdrawn from.
The full trade representation that is being withdrawn.
DEPRECATED. The supervisor/regulator to which this withdrawal
applies
A type defining party-specific additional information that may be recorded
against a trade, for withdrawal purposes.
Identifies that party that has ownership of this information. For
shared trade information, this will reference the originator of the date (for example, an
execution facility or clearinghouse).
This may be used to identify one or more parties that perform a
role within the transaction. If this is within a partyTradeInformation block, the related party
performs the role with respect to the party identifie by the "partyReference" in the
partyTradeInformation block.
Allows the organization to specify which if any relevant regulators
or other supervisory bodies this is relevant for, and what reporting rules apply.
A type that describes why a trade was withdrawn.
The additionalEvent element is an extension/substitution point to customize
FpML and add additional events.
Describes a change due to change in composition of basket underlyer
Abstract substitutable place holder for specific change details.
Describes a change due to a corporate action
Describes a change due to an index component being adjusted.
A model group defining agreement and effective dates.
The date on which the change was agreed.
The date and time at which the negotiated change to the terms of
the original contract was agreed, such as via telephone or electronic trading system (i.e.,
agreement date/time).
The date on which the change become effective.
Choice between change-related events.
A model group holding information about compressions affecting this
trade/event.
Compression information for the trade.
Choice between options related events.
A structure describing an option exercise event. The optionExercise
event supports partial exercise (specify the number of options or amount to exercise), full
exercise (use fullExercise flag), as well as the option to request options not to be exercised.
A structure describing an option expiring event (i.e. passing its
last exercise time and becoming worthless.)
A structure describing knock in, knock out, touch and no touch
events.
Choice between amendment, increase, termination, and novation events.
This may be used to describe why a trade was terminated.
Choice between a trading, a post-trade event, and the extension point
additional event
Information about a trading event that represent a new trading activity (on
a newly-created trade), or in some cases the a representation of the trade's current state. Also allows
the "additionEvent" extension point.
Information about a trading event that represents a new trading activity
(on a newly-created trade or package of trades), or in some cases the a representation of the trade's
current state..
A model group holding valuation information for an event.
Pricing information for the trade.
Indicates a reference to the implied trade (the "fee trade") that
the associated novation fee based on. This is equivalent to the new trade that is created by the
novation (between the transferee and the remaining party), but is between the transferor and the
transferee.
Indicates the original trade between the transferor and the
remaining party.
Choice between identification and representation of the new contract.
Indicates a reference to the new trade between the transferee and
the remaining party.
Indicates the new trade between the transferee and the remaining
party.
Choice for expressing the novated amount as either a money amount,
number of options, or number of units, according the the financial product which is being novated.
The amount which represents the portion of the Old Contract
being novated.
The amount which represents the portion of the Old Contract not
being novated.
The number of options which represent the portion of the Old
Contract being novated.
The number of options which represent the portion of the Old
Contract not being novated.
The number of options which represent the portion of the Old
Contract being novated.
The number of options which represent the portion of the Old
Contract not being novated.
Specifies the date that one party's legal obligations with regard
to a trade are transferred to another party. It corresponds to the Novation Date section of the
2004 ISDA Novation Definitions, section 1.16.
The date and time at which the change was agreed.
Specifies the date the parties agree to assign or novate a
Contract. If this element is not specified, the novationContractDate will be deemed to be the
novationDate. It corresponds to the Novation Trade Date section of the 2004 ISDA Novation
Definitions, section 1.17.
The roles of the parties involved in the novation.
A pointer style reference to a party identifier defined elsewhere
in the document. In a three-way novation the party referenced is the Transferor (outgoing party)
in the novation. The Transferor means a party which transfers by novation to a Transferee all of
its rights, liabilities, duties and obligations with respect to a Remaining Party. In a four-way
novation the party referenced is Transferor 1 which transfers by novation to Transferee 1 all of
its rights, liabilities, duties and obligations with respect to Transferor 2. ISDA 2004 Novation
Term: Transferor (three-way novation) or Transferor 1 (four-way novation).
A pointer style reference to a party identifier defined elsewhere
in the document. In a three-way novation the party referenced is the Transferee (incoming party)
in the novation. Transferee means a party which accepts by way of novation all rights,
liabilities, duties and obligations of a Transferor with respect to a Remaining Party. In a
four-way novation the party referenced is Transferee 1 which accepts by way of novation the
rights, liabilities, duties and obligations of Transferor 1. ISDA 2004 Novation Term: Transferee
(three-way novation) or Transferee 1 (four-way novation).
A pointer style reference to a party identifier defined elsewhere
in the document. In a five-way novation the party referenced is the Transferee's legal entity
that is involved in the settlement of the fee leg of the novation transaction (this might be a
different legal entity than the one that assumes the novation trade). NB: this element has been
added pending confirmation of the business need/context in which it would be used, and might not
appear in a subsequent draft of this schema.
A pointer style reference to a party identifier defined elsewhere
in the document. In a three-way novation the party referenced is the Remaining Party in the
novation. Remaining Party means a party which consents to a Transferor's transfer by novation
and the acceptance thereof by the Transferee of all of the Transferor's rights, liabilities,
duties and obligations with respect to such Remaining Party under and with respect of the
Novated Amount of a transaction. In a four-way novation the party referenced is Transferor 2 per
the ISDA definition and acts in the role of a Transferor. Transferor 2 transfers by novation to
Transferee 2 all of its rights, liabilities, duties and obligations with respect to Transferor
1. ISDA 2004 Novation Term: Remaining Party (three-way novation) or Transferor 2 (four-way
novation).
A pointer style reference to a party identifier defined elsewhere
in the document. This element is not applicable in a three-way novation and should be omitted.
In a four-way novation the party referenced is Transferee 2. Transferee 2 means a party which
accepts by way of novation the rights, liabilities, duties and obligations of Transferor 2. ISDA
2004 Novation Term: Transferee 2 (four-way novation).
Documentation and other terms (such as date terms) specific to this
novation event.
This element corresponds to the applicability of the Full First
Calculation Period as defined in the 2004 ISDA Novation Definitions, section 1.20.
Element that is used to be able to make sense of the “new
transaction” without requiring reference back to the “old transaction”. In the case of interest
rate products there are potentially 2 “first period start dates” to reference – one with respect
to each party to the new transaction. For Credit Default Swaps there is just the one with
respect to the party that is the fixed rate payer.
This element corresponds to the non-Reliance section in the 2004
ISDA Novation Definitions, section 2.1 (c) (i). The element appears in the instance document
when non-Reliance is applicable.
This element should be specified if one or more of either a Credit
Event Notice, Notice of Publicly Available Information, Notice of Physical Settlement or Notice
of Intended Physical Settlement, as applicable, has been delivered by or to the Transferor or
the Remaining Party. The type of notice or notices that have been delivered should be indicated
by setting the relevant boolean element value(s) to true. The absence of the element means that
no Credit Event Notice, Notice of Publicly Available Information, Notice of Physical Settlement
or Notice of Intended Physical Settlement, as applicable, has been delivered by or to the
Transferor or the Remaining Party.
The definitions (such as those published by ISDA) that will define
the terms of the novation transaction.
A contractual supplement (such as those published by ISDA) that
will apply to the trade.
Indicates a reference to the original trade between the transferor
and the remaining party.
Indicates the original trade between the transferor and the
remaining party.
Specifies the fixed amount by which the option should be
exercised expressed as notional amount.
Specifies the Notional amount after the Change
Specifies the fixed amount by which the option should be
exercised expressed as number of options.
Specifies the Number of Options after the Change.
Specifies the fixed amount by which the option should be
exercised express as number of units.
Specifies the Number of Units
Specifies the Number of Units
A structure that describes a potential match for a trade or event, together
with descriptors of that match (quality, etc.).
A unique identifier assigned by the matching service to each set of
matched positions.
A type used to record the details of a difference between two sides
of a business event.
Numeric score to represent the quality of the match.
Indication as to whether the transaction is an increase or decrease of notional
of a derivative contract. Only applies when there is change in notional for a derivative
contract
The change in notional amount for a prior report as a result of
this event. The current notional will be reported in the trade itself. This corresponds to
MiFIR Nominal or Monetary amount values; these can be distinguished by the esmaNotionalType
indicator.
The change in nominal amount from a prior report as a result of
this event. The current number of options will be reported in the trade itself. This
corresponds to the MiFIR "units" value.
The change in quantity(s) from a prior report as a result of
this event. The current quantity will be reported in the trade itself. This corresponds to
the MiFIR "units" value.
A model group defining a payment structure.
Describes a payment made in settlement of the change. Normally
there will be a single fee, but there could be additional payments such as principal exchanges
resulting from the termination.
DEPRECATED. A structure describing a change to the trade notional.
Specifies the fixed amount by which the Notional Amount
changes. The direction of the change (increase or decrease) is specified by the event type
(Termination => reduction, Increase => greater.)
Specifies the Notional amount after the Change
Specifies the fixed amount by which the Number of Options
changes
Specifies the Number of Options after the Change.
Specifies the fixed amount by which the Number of Units
changes
Specifies the Number of Units
Defines a model group that allows either details of an event or information
about a trade to be provided. Typically this will be used in a response to a request.
This may be used to describe why a trade was created. This can
be used to provide context for a newly created trade that is not part of a post-trade event.
For example, it can report that the trade was created as a result of netting activity, or
due to a transfer, an allocation process, etc. Omitting this implies that the trade record
was created as a result of a negotiated new trade.
Defines a model group that allows information about a trade to be
represented.
Information about a trade.
A type defining a quantity and unit with a reference.
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