FpML Message Specification

This page and all the related pages define the Fpml message specifications of all the messages supported by clearing. The message maps from the field name/meaning to the specific location in the XML instance document. Mappings are shown using XPath notation. Also included is a brief description of the element, possible enumeration/values and if the element is custom.

1 FpML Messages
2 FpML Product Specifications
- 2.1 Swap Element
- 2.2 Swap Element Specification
- 2.3 FRA Element
- 2.4 Fra Element Specification

Related Content

Related Content

FpML Messages

Message	Description

Message	Description
clearingConfirmed message
requestConsent message
consentGranted message
consentRefused message
consentException message
clearingRefused message

FpML Product Specifications

Swap Element

The Swap component, which is comprised of SwapStreams, is used to define the product economic fields between the principal parties involved in the Swap. The SwapStream component can be used to specify the payment streams associated with the swap. These can be fixed or float payment streams. This component is also used to specify the elements needed to specify calculations associated with each stream.

FRA Element

The Fra component is also used to specify the elements needed to specify calculations associated with the payment and maturity of the fra contract.

Fra Element Specification

Field Name	Description	XPath	Enumeration / Coding Scheme

Field Name	Description	XPath	Enumeration / Coding Scheme
Effective Date (Adjusted)	The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date	fra/ adjustedEffectiveDate
Termination Date	he end date of the calculation period. This date should already be adjusted for any applicable business day convention	fra/ adjustedTerminationDate
Calculation Period and Amount Details
Notional Amount	The notional amount associated with the calculation period for the stream	fra/notiona/amount
Notional Amount Currency	The currency associated with the notional amount of the notional amount schedule.	fra/notiona/currency
Day count Fraction	Day count basis convention to use to find the period between two dates	fra/dayCountFraction
Fixed Rate	The fixed rate.	fra/fixedRate
Floating Rate Index	The index used for calculating the floating leg.	fra/floatingRateIndex	Please refer to the Product Scope for the supported indices.
Floating Rate Index Tenor	The tenor or the designated maturity of the floating rate index. Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1	fra/indexTenor/periodMultiplier
	A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).	fra/indexTenor/period	D - Day W - Week M - Month Y - Year T - Term
Calculation Period Number of Days	The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.	fra/calculationPeriodNumberOfDays
FRA Discounting	Specifies whether discounting applies and, if so, what type.	fra/fraDiscounting	ISDA
Fixing Dates Offset Calculation Specifies the elements needed for calculating the fixing date.
Fixing Date Offset Period	Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.	fra/fixingDateOffset/periodMultiplier
		fra/fixingDateOffset/period	D - Day W - Week M - Month Y - Year T - Term
Fixing Date Offset Day Type	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included	fra/fixingDateOffset/dayType	Business Calendar CommodityBusiness CurrencyBusiness ExchangeBusiness ScheduledTradingDay
Fixing date business day convention	The convention for adjusting the fixing date if it falls on a day that is not a business day.	fra/fixingDateOffset/ businessDayConvention	FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable
Fixing Date Offset Business Center	This set of business centers is used to determine whether a particular day is a business day or not.	fra/fixingDateOffset/businessCenters/businessCenter
Fixing Date Offset relative to	Specifies the anchor date as an href attribute. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.	fra/fixingDateOffset/dateRelativeTo
Payment Details
Unadjusted Payment Date	The payment date. This date is subject to adjustment in accordance with any applicable business day convention.	fra/paymentDate/ unadjustedDate
Payment Date Business Day convention	The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers.	fra/paymentDate/dateAdjustments/ businessDayConvention	FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable
Payment Date Business Center Reference	A reference to a set of financial business centers used to determine whether the payment date is a business day or not.	fra/paymentDate/dateAdjustments/ businessCenters/ businessCenter