Derivatives trading messages in XML

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From: Rohit Khare (
Date: Tue Jul 11 2000 - 07:16:58 PDT

cc: (bcc: Arthur Magnus)
Subject: [fpml-announcements] FpML Version 1.0 Release

The release of Version 1.0 of FpML? (Financial products Markup Language), the
emerging business information exchange standard for electronic dealing and
processing of financial derivatives transactions, has been announced by the organization.

Developed by major derivatives dealers worldwide, FpML provides a
protocol for sharing information on, and dealing in, financial derivatives
instruments over the Internet. The specification, which will be
freely licensed,
is expected to set the standard within this industry for business-to-business
electronic commerce. Based on XML, the Internet standard for data-sharing
between applications, FpML enables Internet-based integration of a range of
services, from electronic trading and confirmations to portfolio specification
for risk analysis. Through the use of FpML, those systems that adopt the
standard will have the ability to communicate seamlessly while
advancing trading
accuracy and operating efficiencies.

All categories of over-the-counter (OTC) derivatives will eventually be
incorporated into the FpML standard. Version 1.0, the first public release by, provides definitions for the trade content of an interest rate swap
and a forward rate agreement. Multiple features are supported for interest rate
swaps, including: compounding; averaging; principal payments (to support
cross-currency swaps); notional amortization; step-up and step-down
coupon/spread schedules; and additional fees and payments. In addition, an
associated architecture standard for Version 1.0 is also provided.

Development of FpML specifications is subject to a rigorous Standards Approval
Process in which a document is revised and reviewed by both the
consortium and the outside public until it is considered mature enough to be
published as a full recommendation. Version 1.0 is considered to be a Last Call
Working Draft and is available on the FpML web site ( in the FpML
Documents section for use in application prototyping.

FpML was first proposed in June 1999 by J.P. Morgan & Co. Incorporated and
PricewaterhouseCoopers LLP, and a draft version was released in
August. Industry
participation was then requested to guide FpML development and
develop consensus
around the standard. A formal not-for-profit entity,, Inc., was
created, consisting of members of derivatives market firms, software and
information vendors, and system integrators.

Ten major derivatives dealers are currently involved in the FpML development
effort - Bank of America, BNP Paribas, Chase Manhattan Bank, Citigroup, Credit
Suisse First Boston, Deutsche Bank, Fuji Capital Markets Corporation, J.P.
Morgan, Morgan Stanley Dean Witter, and UBS Warburg. In addition, IBM, SunGard
Trading and Risk Systems, PricewaterhouseCoopers, Reuters, and S.W.I.F.T. are
also leading participants.

The publication of the initial FpML proposal prompted several firms to start
experimenting internally with the standard for solving real business problems.
The release of Version 1.0 is expected to result in a host of new
uses by member
and non-member firms, as well as the creation of vendor-developed applications.

For further information, please refer to .

Cathy S. Yesenosky

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