FpML

The name FpML appears as a data format when firms report trade information on over-the-counter derivatives to authorities or pass it between trading systems.

What FpML is and what it is for

FpML (Financial products Markup Language) is an open-source XML standard created for electronic commerce in over-the-counter (OTC) derivatives. The International Swaps and Derivatives Association (ISDA) sponsored its development. FpML establishes conventions for sharing and processing information on derivatives, including structured products, electronically¹.

XML is a format that writes data with named items (tags)².

Relationship to other standards

FpML is one of the financial messaging standards. It can be integrated with ISO 20022 and is also a target of CDM mappings. ISO 20022 is an international standard for financial communication messages, designed to be linked with FpML and with FIX, a messaging protocol for securities trading. If the ISO 20022 side adopts an XML schema (a definition of the shape of a message) shared with FpML, messages can be written more briefly than in conventional FpML³.

Because ISO 20022 carries detailed data, mapping it to XML-based protocols such as FpML is also easy⁴.

The ISDA CDM (Common Domain Model) has a different role from FpML. The CDM is not a message or storage format but a logical model that represents the relationships among data. Its content can be expressed in XML or JSON, and also in standard forms such as FpML, FIX, and ISO 20022, for exchange and storage. FpML does not define a standard for lifecycle events or process flows, while the CDM defines validation rules that represent them.

FINOS, which provides the CDM repository, explains that the two coexist⁵. The contents of the CDM are covered in The ISDA Common Domain Model (CDM).

The CDM maps both messages based on standards and messages in proprietary formats so that they can be translated into the CDM easily⁶.

How it appears in reporting, matching, and clearing

In reporting trade information on OTC derivatives in Japan, the rule for the value of each reportable item is fixed. For one of those items, the day count convention, a table is used that maps the ISO 20022 name, the FIX symbol name, and the FpML code. For example, Brazilian real swaps use a method that divides the actual number of business days by 252. How that method is written in each standard is shown below⁷.

Some schemas used for matching and clearing (definitions of the shape of messages) also import FpML schemas. In the CDM 6.0.0 documentation, two examples are the following⁸.

As of the same documentation, the FIXML schema for Bloomberg used for submission to clearing also imports FpML 4.6, and the CDM itself maps to version 5.10 of the FpML standard. The CDM is also mapped to standards other than FpML, such as FIX and ISO 20022, so FpML is not the only shape a trade message takes.

MarkitWire, an electronic confirmation service, represents trades in FpML (as of July 2022). OSTTRA's announcement that month describes a connection that links that FpML representation to data in triResolve⁹. The services as a whole are covered in Post-Trade Confirmation and Matching Services.

How versions work

The CDM 6.0.0 documentation lists FpML versions 4.6, 4.9, 5.0, and 5.10. The version imported differs by organization.

When a version changes, the name of a code with the same meaning can change. When FpML moved from the version 2.0 Recommendation to the version 3.0 Trial Recommendation, the day count code "ACT/365.ISDA" was changed to "ACT/ACT.ISDA". The Financial Services Agency's guidelines note this renaming in a note to the day count convention table¹⁰.

What this page does not cover

The details of the specification (the names of items and elements, or the differences between versions) and how individual financial institutions use FpML are not covered on this page.

Notes

1. TC68 国内委員会事務局 (secretariat of the Japanese national committee for ISO/TC 68, Institute for Monetary and Economic Studies, Bank of Japan), "ISO 20022 の概要" (Overview of ISO 20022) (March 2015), page 6, footnote 13 (in Japanese). It states that ISDA sponsored the development of FpML, that FpML is an XML standard created as open source for electronic commerce in OTC derivatives, and that it establishes conventions for sharing and processing trade information electronically. ↩

2. TC68 国内委員会事務局, "ISO 20022 の概要" (March 2015), page 1, footnote 2 (in Japanese). It describes XML as a language that describes data using tags. ↩

3. TC68 国内委員会事務局, "ISO 20022 の概要" (March 2015), page 1 (the description of ISO 20022 as an international standard) and page 6 with footnote 14 (integration with FpML and FIX, the ability to build shorter messages, and the description of FIX) (in Japanese). ↩

4. TC68 国内委員会事務局, "ISO 20022 の概要" (March 2015), page 8 (in Japanese). It explains that the richness of the data makes mapping to other XML-based protocols (such as FpML) easier. ↩

5. FINOS, "Common Domain Model- An Overview" (October 2023), page 4, "CDM vs. FpML" (the "Mapping" row on page 3 also refers to mapping to FIX, FpML, and ISO 20022). Page 8 states that FINOS provides the CDM repository. ↩

6. FINOS, "Mapping (Synonym)" (CDM 6.0.0 documentation), the opening. It says that mappings are used so that existing messages, whether based on open standards or proprietary, can be translated into the CDM easily. ↩

7. Financial Services Agency, "店頭デリバティブ取引等の規制に関する内閣府令第４条第１項で定める作成・保存・報告事項 ガイドライン" (Guidelines on the items to be prepared, retained, and reported under Article 4, paragraph 1 of the Cabinet Office Order on the regulation of OTC derivatives transactions, our translation) (December 2022), reporting item 27 and Appended Table 1, page 42 of the PDF (in Japanese). Referred to below as "the guidelines." ↩

8. FINOS, "Mapping (Synonym)" (CDM 6.0.0 documentation as of that version), the list of standards used for CDM mappings. The DTCC OTC_Matching_11-0 schema imports FpML 4.9, the CME cme-conf-ext-1-17 schema imports 5.0, and the FIXML schema for Bloomberg imports 4.6. The FpML standard itself is mapped to 5.10. ↩

9. OSTTRA, "OSTTRA Streamlines Trade Reconciliation with Connectivity Between MarkitWire and triResolve" (July 6, 2022), the paragraph on linking the MarkitWire FpML trade representation to triResolve data through the MarkitWire trade ID. ↩

10. The guidelines (December 2022), Appended Table 1, page 41 of the PDF, the note on the "ACT/ACT.ISDA" row (in Japanese). ↩