Security-Based Swap Data Technical

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DECEMBER 11, 2015

Security-Based Swap Data Technical

Specification (DRAFT)

De ce mber 1 1, 2015

This draft Security-Based Swap Data Technical Specification is being posted for public review

before Commission approval of potential regulatory changes. Commission staff encourages the

public to participate in the public review of this draft Technical Specification, which provides the

technical specifications that security-based swap data repositories will use to provide the

Commission with direct electronic access to data that they store. The availability for public

comment of this draft Technical Specification does not indicate Commission approval of any

potential regulatory changes reflected in this draft Technical Specification. Please provide

comments on the draft Security-Based Swap Data Technical Specification via email to

StructuredData@sec.gov and include “Draft Security-Based Swap Data Technical Specification”

in the “General Subject Matter” section no later than February 22, 2016.

Introduction ..................................................................................................................... 2

1.1

Goal .......................................................................................................................... 2

1.2

General Approach to the Common Data Model and the Schemas................................. 2

Common data model ........................................................................................................ 3

2.1

Security-Based Swap Data Reports............................................................................. 3

2.2

Definition Table Columns .......................................................................................... 3

2.3

Definition Tables ....................................................................................................... 4

2.3.1

Primary trade information report ......................................................................... 4

2.3.2

Secondary trade information report...................................................................... 5

2.3.3

Asset (Instrument) .............................................................................................. 6

2.3.4

Issuer (of an Instrument) ..................................................................................... 6

2.3.5

Index .................................................................................................................. 6

2.3.6

Frequency........................................................................................................... 7

2.3.7

Fixed Rate Payment Terms ................................................................................. 7

2.3.8

Floating Rate Payment Terms ............................................................................. 7

2.3.9

Party (per SDR) .................................................................................................. 7

2.3.10

Transaction Flag (Examples) ............................................................................... 7

2.3.11

Terminations ...................................................................................................... 8

2.3.12

Amendment ........................................................................................................ 8

2.3.13

Payment Stream.................................................................................................. 9

DECEMBER 11, 2015

2.3.14

Settlement Terms ................................................................................................ 9

2.3.15

Agreement Data.................................................................................................. 9

FIXML Schemas.............................................................................................................10

3.1

FIXML Type Restrictions .........................................................................................10

3.2

FIXML Primary Information Report..........................................................................12

3.3

FIXML Regulatory Information Report .....................................................................15

3.4

Additional FIXML Validation Criteria.......................................................................19

FpML Schemas ...............................................................................................................19

4.1

FpML Primary Trade Information Report ..................................................................20

4.2

FpML Regulatory Trade Information Report..............................................................22

4.3

Additional FpML Validation Criteria.........................................................................26

References......................................................................................................................26

1 INTRODUCTION

1.1 Goal

This document provides the technical specification for how a security-based swap data repository

(“SDR”) must provide the Commission with direct electronic access under Exchange Act Rule

13n-4(b)(5). 1

This Technical Specification describes the two schemas from which an SDR must choose when

making security-based swap data available to the Commission. The specification defines syntax

constraints on individual data elements, their contents, and the content of arrangements of

elements that describe an individual security-based swap.

This Technical Specification has been created for the limited purpose of providing a technical

audience with the specifications for conforming security-based swap data to the Commission’s

FIXML and FpML schemas. This specification does not provide interpretative guidance for the

SDR Rules 2 or Regulation SBSR. 3

1.2 General Approach to the Common Data Model and the Schemas

When an SDR makes security-based swap data available to the Commission, the Commission

will test the security-based swap data for validity against formatting constraints, and only if the

data adheres to those formatting constraints will the SDR be considered to have provided the

17 CFR 240.13n-4(b)(5). See also 17 CFR 240.13n-4(a)(5) (defining “direct electronic access”).

Securities Exchange Act Release No. 74246 (February 11, 2015), 80 FR 14437 (March 19, 2015)

(“SDR Rules”).

Securities Exchange Act Release No. 74244 (February 11, 2015), 80 FR 14563 (March 19, 2015)

(“Regulation SBSR”).

DECEMBER 11, 2015

Commission with direct electronic access. SDRs are encouraged to use the schemas to check the

validity of the security-based swap data before making the data available to the Commission.

The common data model allows an SDR to use multiple identifier sources for a Unique

Identification Code (“UIC”), as defined by Rule 900(qq). 4 Where a UIC is required but the

Commission does not mandate a specific code list or code issuing authority, the common data

model specifies a default identifier source, and the SDR is free to choose a standard identifier

source to be used consistently across otherwise identical data. For example, the common data

model identifies GLEIF as the default identifier source for the parties to a swap, but an SDR may

use other entity identifiers so long as their source is given and the identifiers are used

consistently.

The common data model allows an SDR to include the additional “flags” that are dependent on

SDR-specific policies and procedures. The schemas limit the format of these flags but not their

names or content.

The common data model allows an SDR to provide transaction information of an open-ended or

evolving nature, such as the details of non-standard terms or payment streams, subject to schema

validation as detailed in this specification or as detailed by the underlying standard format.

2 COMMON DATA MODEL

2.1 Security-Based Swap Data Reports

The data describing a new security-based swap transaction or a life cycle event such as an

amendment or termination is contained in a distinct “report.”

Primary Trade Information (“PTI”) reports contain only the data about a single transaction as

required by Rule 901(c) 5 and the life cycle events in Rule 901(e). 6

Regulatory Trade Information (“RTI”) reports contain all of the information in a PTI along with

the Secondary Trade Information (“STI”) required by Rule 901(d). 7 The content of an RTI is a

superset of that in a PTI.

Acceptance for Clearing reports are produced by clearing services, not the SDR, and are not

detailed in this specification.

2.2 Definition Table Columns

A concept definition table shows:

Ref denotes a clause within Rule 901. 8

17 CFR 242.900(qq).

17 CFR 242.901(c).

17 CFR 242.901(e).

17 CFR 242.901(d).

17 CFR 242.901.

DECEMBER 11, 2015

Concept shows the formal name of the concept, which is then abbreviated in some fashion when

it appears in FIXML or FpML. For example, “Trade Identifier” is a concept, while “trdID” and

“tradeId” would be legitimate abbreviations in FIXML and FpML, respectively. In some cases

where the meaning of the term is defined precisely in Regulation SBSR, that defining phrase is

used instead of a name.

Data type: Simple concepts may be described as text, numbers, dates, etc., but in a complex

model, it is useful to define a data type that may itself be composed of other elements. In this

Technical Specification, the data type may be the subject of yet another element definition table.

Two asterisks (**) indicate a reference to a different table.

2.3 Definition Tables

2.3.1 Primary trade information report

Ref.

(c)(1)

(c)(1)(i)

(c)(1)(ii)

Concept

Product ID

Asset Class

Underlying Reference Asset(s)

Underlying Reference Issuer(s)

Underlying Reference Index

Effective Date

(c)(1)(iii)

(c)(1)(iv)

(c)(1)(v)

(c)(2)

Scheduled Termination Date

Terms of any standardized fixed rate payments

Frequency of any fixed rate payments

Terms of any standardized floating rate payments

Frequency of any floating rate payments

Custom Swap Flag

Execution Date Time (the date and time, to the

second, of execution, expressed using

Coordinated Universal Time (UTC))

The price

The currency in which the price is expressed

The amount(s) of any up-front payments

The currenc(ies) of any up-front payments

The notional amount(s)

The currenc(ies) in which the notional amount(s)

is expressed

Inter-Dealer Transaction Flag

Intention to Clear Flag

(c)(3)

(c)(4)

(c)(5)

(c)(6)

Data Type

Text

** Asset

** Issuer

** Index

YYYY-MM-DDZ

(ISO 8601, UTC)

YYYY-MM-DDZ

** Fixed Rate Payment Terms

** Frequency

** Floating Rate Payment Terms

** Frequency

Boolean

YYYY-MM-DDTHH:MM:SSZ

(ISO 8601, UTC)

Positive Number

ISO 4217 Code

Positive Number 9

ISO 4217 Code

Positive Number

ISO 4217 Code

Boolean

Primary trade information includes no identification of payer or receiver parties, so the sign of the number

is moot.

DECEMBER 11, 2015

(c)(7)

(f)

(g)

(e)(1)(i)

(e)(2)

If applicable, any flags pertaining to the

transaction that are specified in the policies and

procedures of the registered security-based swap

data repository

Time stamp, to the second, its receipt of any

information submitted to the SDR

A transaction ID to each security-based swap

A life cycle event, and any adjustment due to a

life cycle event, that results in a change to

information previously reported

Amendment

Termination (Allocation, Assignment, Novation)

All reports of life cycle events… shall include

the transaction ID of the original transaction.

** Transaction Flag (varies by

SDR)

YYYY-MM-DDTHH:MM:SSZ

(ISO 8601, UTC)

SDR (or third party) Defined

Sequence Number

** Amendment

** Terminations

SDR (or third party) Defined

2.3.2 Secondary trade information report

Ref.

(c)

Concept

(See above)

(d)(1)

(d)(4)

The counterparty ID [on the reporting side]

The execution agent ID [on the reporting side], as applicable

The counterparty ID [on the non-reporting side]

The execution agent ID [on the non-reporting side], as

applicable

[As applicable] the branch ID of the direct counterparty on

the reporting side

[As applicable] the broker ID of the direct counterparty on

the reporting side

[As applicable] the execution agent ID of the direct

counterparty on the reporting side

[As applicable] the trader ID of the direct counterparty on

the reporting side

[As applicable] the trading desk ID of the direct

counterparty on the reporting side

the terms of any fixed or floating rate payments, or

otherwise customized or non-standard payment streams

the frequency of any fixed or floating rate payments, or

otherwise customized or non-standard payment streams

the contingencies of any fixed or floating rate payments, or

otherwise customized or non-standard payment streams

title of any master agreement

date of any master agreement

(d)(4)

title of any collateral agreement

(d)(2)

(d)(3)

Data Type

** Primary trade

information report

Party

Text (SDR Defined)

Party

Text (SDR Defined)

** Payment Stream

Text

YYYY-MM-DDZ

(ISO 8601, UTC)

Text

DECEMBER 11, 2015

Ref.

(d)(4)

Concept

date of any collateral agreement

(d)(4)

title of any margin agreement

date of any margin agreement

(d)(4)

title(s) of any other agreement(s)

date(s) of any other agreement(s)

(d)(5)

any additional data elements included in the agreement

between the counterparties that are necessary for a person to

determine the market value of the transaction

(d)(6) the name of the clearing agency to which the security-based

swap will be submitted for clearing

(d)(7) whether they have invoked the exception in Section 3C(g)

of the Exchange Act (15 U.S.C. 78c-3(g))

(d)(8) a description of the settlement terms

(d)(8) whether the security-based swap is cash-settled or

physically settled, and the method for determining the

settlement value

(d)(9) The platform ID, if applicable

(d)(10) The transaction ID of an allocated security-based swap

(d)(10) The transaction ID of a terminated security-based swap

(d)(10) The transaction ID of an assigned security-based swap

Data Type

YYYY-MM-DDZ

(ISO 8601, UTC)

Text

YYYY-MM-DDZ

(ISO 8601, UTC)

Text

YYYY-MM-DDZ

(ISO 8601, UTC)

** Agreement Data

Text

Boolean

** Settlement Terms

SDR Defined

SDR Defined Unique

Transaction Identifier

(UTI)

SDR Defined UTI

2.3.3 Asset (Instrument)

Ref.

(c)(1)(i)

Concept

Asset Identifier

Asset Identifier Authority (Scheme)

Data Type

Text

2.3.4 Issuer (of an Instrument)

Ref.

(c)(1)(i)

Concept

Issuer Identifier

Issuer Identifier Authority (Scheme)

Data Type

Text

Concept

Index Identifier

Index Identifier Authority (Scheme)

Data Type

Text

2.3.5 Index

Ref.

(c)(1)(i)

DECEMBER 11, 2015

2.3.6 Frequency

Ref.

(c)(1)(iv)

Concept

Period

(c)(1)(iv)

Period Multiplier

First Period Start Date

Data Type

ISO 8601 Duration Designator:

P, Y, M, W, or D

Positive Number 10

ISO 8601 UTC

2.3.7 Fixed Rate Payment Terms

Ref.

(c)(1)(iv)

Concept

Fixed Rate

Base Currency

Base Amount 11

Data Type

Number

ISO 4217

Positive Number

2.3.8 Floating Rate Payment Terms

Ref.

(c)(1)(iv)

Concept

Floating Rate Index

Spread(s)

Reset Dates

Index Tenor

Base Currency

Base Amount 12

Data Type

** Index

Number(s)

** Frequency

ISO 4217

Positive Number

2.3.9 Party (per SDR)

The Party ID consists of an authority (source or scheme) and an identifier issued by that

authority. When unspecified, the Authority defaults to ISO 17442 (Legal Entity Identifier).

Ref.

(d)(2)

Concept

Party ID

Party ID Authority (Scheme)

Data Type

Text

2.3.10 Transaction Flag (Examples)

Transaction flags are defined by SDRs. Two non-normative examples are shown here.

Ref.

(c)(7)

Concept

Collateralization Type

Intent to Allocate

Data Type

Text

Boolean

For example, a quarterly payment schedule is represented as Period=M and Multiplier=3.

The base currency and amount appear only if the principal is different from the notional.

DECEMBER 11, 2015

2.3.11 Terminations

In addition to a simple termination of a security-based swap, reportable events such as

allocations, assignments, and novations also result in a termination and one or more new

reportable events, affecting both the primary and the secondary trade information, and both of

which must be reported by the SDR as transactions that refer back to the original transaction. All

RTI is reported for any kind of termination.

2.3.11.1 Termination - Additional Primary Information

Ref.

(e)(1)(ii)

Concept

Original Transaction ID

Data Type

SDR (or third party) Defined

A termination resulting from allocation of a trade requires the RTI along with the allocated

notionals and fees.

2.3.11.2 Termination - Additional Primary Information for an Allocation

Ref.

(e)(1)(i)

Concept

Allocation Fee Currenc(ies)

Allocation Fee Amount(s)

Allocation Notional Currenc(ies)

Allocation Notional Amount(s)

Data Type

ISO 4217

Positive Number

ISO 4217

Positive Number

2.3.11.3 Termination - Additional Secondary Information for an Allocation

Ref.

(e)(1)(i)

Concept

Allocation Part(ies)

Data Type

Party

2.3.12 Amendment

All PTI is reported for each reportable event resulting from amendment of a previously reported

transaction even if the amendment affected only the STI (for example, an amendment to the

Agreement data, which is not in the PTI).

Amendments include: a change in the cash flows originally reported; for a security-based swap

that is not a clearing transaction, any change to the title or date of any master agreement,

collateral agreement, margin agreement, or any other agreement incorporated by reference into

the security-based swap contract; or a corporate action affecting a security or securities on which

the security-based swap is based (e.g., a merger, dividend, stock split, or bankruptcy).

2.3.12.1 Amendment - Additional Primary Information

Ref.

(e)(1)(ii)

Concept

Original Transaction ID

Data Type

SDR (or third party) Defined

DECEMBER 11, 2015

2.3.12.2 Amendment - Additional Secondary Information

Ref.

(e)(1)(ii)

Concept

Primary Trade Information

Data Type

** Amendment - Primary

2.3.13 Payment Stream

Ref.

(d)(3)

Concept

Initial Payment Payer

Initial Payment Receiver

Initial Payment Currency

Initial Payment Amount

Initial Payment Points

Periodic Payment Payer

Periodic Payment Receiver

Payment Frequency

First Payment Date

Fixed Periodic Payment Currency

Fixed Periodic Payment Amount

Fixed Rate Payment Terms

Floating Rate Payment Terms

Data Type

Party

ISO 4217

Number

Party

** Frequency

ISO 8601 YYYY-MM-DDZ

ISO 4217

Number

** Fixed Rate Payment Terms

** Floating Rate Payment Terms

2.3.14 Settlement Terms

Ref.

(d)(8)

Concept

Cash Settlement Date

Cash Settlement Time

Cash Settlement Quotation Method

Cash Settlement Quotation Currency

Cash Settlement Quotation Amount

Cash Settlement Business Days

Cash Settlement Fixed Recovery Currency

Cash Settlement Fixed Recovery Amount

Cash Settlement Recovery Factor

Cash Settlement Accrued Interest

Cash Settlement Valuation Method

Physical Settlement Business Days

Physical Settlement Obligations

Physical Settlement Escrow

Data Type

ISO 8601 YYYY-MM-DDZ

ISO 8601 HH:MM:SSZ

Text

ISO 4217

Nonnegative Number

ISO 4217

Number

Boolean

Text

Number

Any

Boolean

2.3.15 Agreement Data

Rule 901(d)(5) of Regulation SBSR requires the STI to include any additional data elements

included in the agreement between the counterparties that are necessary for a person to determine

DECEMBER 11, 2015

the market value of the transaction. This may involve additional concepts that could be

considered part of the product description, payment stream, settlement terms, or any other data

item in the STI.

Ref.

(d)(5)

Concept

Additional Terms

Data Type

Any (per SDR)

3 FIXML SCHEMAS

The schemas in this document are derived from FIXML 5.0 SP2 EP 193. Final schemas will be

derived from a FIXML final recommendation, not a working draft. When a schema is presented

here in its entirety, note that the xsd:documentation element for each redefinition does not repeat

the xsd:documentation content of the original element. It only describes the way in which the

original data type is being restricted, and is shown in a box only to facilitate review. Concepts in

the common data model that are implemented in the base FIXML schemas without change are

not duplicated in this document.

3.1 FIXML Type Restrictions

Schema sec-sbsr-tradecapture-types-5-0-SP2.xsd

<?xml version="1.0" encoding="utf-8"?>

<!-This schema was created by staff of the U.S. Securities and Exchange Commission.

Data and content created by government employees within the scope of their employment

are not subject to domestic copyright protection. 17 U.S.C. 105.

-->

<xs:schema targetNamespace="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns:fm="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA"

xmlns:xs="http://www.w3.org/2001/XMLSchema"

xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"

xsi:schemaLocation="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA

fixmlschema_FIX.5.0SP2_EP193/fixml-metadata-5-0-SP2.xsd"

elementFormDefault="qualified" attributeFormDefault="unqualified">

<!-- This schema restricts the content of the FIX data types using the Schema 1.0

construct xs:redefine, which is deprecated in Schema 1.1. An equivalent schema could

be constructed using xsd:override. -->

<xs:redefine schemaLocation="fixmlschema_FIX.5.0SP2_EP193/fixml-tradecapture-base-50-SP2.xsd">

<xs:simpleType name="UTCTimestamp">

<xs:annotation>

<xs:documentation>

As restricted, timestamps are to the second, 901(c)(2).

</xs:documentation>

</xs:annotation>

<xs:restriction base="UTCTimestamp">

<xs:pattern value=".*..:..:..Z"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="TZTimestamp">

<xs:annotation>

DECEMBER 11, 2015

<xs:documentation>

As restricted, timestamps are to the second in time zone UTC, 901(c)(2).

</xs:documentation>

</xs:annotation>

<xs:restriction base="TZTimestamp">

<xs:pattern value=".*..:..:..Z"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="ClearingRequirementException_enum_t">

<xs:annotation>

<xs:documentation>

Flag indicating whether the End-user exception applies, 901(d)(7).

</xs:documentation>

<xs:appinfo>

<fm:EnumDoc value="0">No exception</fm:EnumDoc>

<fm:EnumDoc value="2">End-user exception</fm:EnumDoc>

</xs:appinfo>

</xs:annotation>

<xs:restriction base="ClearingRequirementException_enum_t">

<xs:enumeration value="0"/>

<xs:enumeration value="2"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="RegulatoryReportType_enum_t">

<xs:restriction base="RegulatoryReportType_enum_t">

<xs:annotation>

<xs:documentation>

Secondary Trade Information includes RT ("Report of data relating to a regulated

transaction including price and volume that is to be disseminated publically.) and PET

("Report to regulators of the full terms of a regulated transaction included in the

legal confirmation.") for trade and post-trade events.

</xs:documentation>

<xs:appinfo>

<fm:EnumDoc value="4">Combination of RT and PET</fm:EnumDoc>

<fm:EnumDoc value="9">Post-trade event</fm:EnumDoc>

<fm:EnumDoc value="10">Post trade event RT reportable</fm:EnumDoc>

</xs:appinfo>

</xs:annotation>

<xs:enumeration value="4"/>

<xs:enumeration value="9"/>

<xs:enumeration value="10"/>

</xs:restriction>

</xs:simpleType>

<xs:complexType name="RegulatoryTradeIDGrp_Block_t">

<xs:annotation>

<xs:documentation>

Trade ID and Src attributes are required, Evnt and Typ optional; other attributes

prohibited, 901(g).

</xs:documentation>

</xs:annotation>

<xs:complexContent>

<xs:restriction base="RegulatoryTradeIDGrp_Block_t">

<xs:sequence/>

<xs:attribute name="ID" type="RegulatoryTradeID_t" use="required"/>

<xs:attribute name="Src" type="RegulatoryTradeIDSource_t" use="required"/>

<xs:attribute name="Evnt" type="RegulatoryTradeIDEvent_t" use="optional"/>

<xs:attribute name="Typ" type="RegulatoryTradeIDType_t" use="optional"/>

</xs:restriction>

</xs:complexContent>

DECEMBER 11, 2015

</xs:complexType>

<xs:complexType name="RootParties_Block_t">

<xs:annotation>

<xs:documentation>

Party and Counterparty identifiers, 901(d)(1).

</xs:documentation>

</xs:annotation>

<xs:complexContent>

<xs:restriction base="RootParties_Block_t">

<xs:sequence>

<xs:element name="Sub" type="RootSubParties_Block_t" minOccurs="4"

maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>

Parties are required to have an ID 901(d)(1) and branch, desk, broker and trader

identification 901(d)(2).

</xs:documentation>

</xs:annotation>

</xs:element>

</xs:sequence>

<xs:attribute name="ID" type="RootPartyID_t" use="required"/>

<xs:attribute name="Src" type="RootPartyIDSource_t" default="N">

<xs:annotation>

<xs:documentation>

Default to Legal Entity Identifier (ISO 17442) LEI

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="R" type="RootPartyRole_t" use="optional"/>

<xs:attribute name="Qual" type="RootPartyRoleQualifier_t" use="required"/>

</xs:restriction>

</xs:complexContent>

</xs:complexType>

</xs:redefine>

</xs:schema>

3.2 FIXML Primary Information Report

Schema sec-sbsr-tradecapture-primary-5-0-SP2.xsd

<?xml version="1.0" encoding="utf-8"?>

<!-This schema was created by staff of the U.S. Securities and Exchange Commission.

Data and content created by government employees within the scope of their employment

are not subject to domestic copyright protection. 17 U.S.C. 105.

-->

<xs:schema targetNamespace="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns:fm="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA"

xmlns:xs="http://www.w3.org/2001/XMLSchema"

xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"

xsi:schemaLocation="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA fixml-metadata5-0-SP2.xsd" elementFormDefault="qualified" attributeFormDefault="unqualified">

<xs:include schemaLocation="sec-sbsr-tradecapture-types-5-0-SP2.xsd"/>

<xs:complexType name="PublicTradeInformationReport_message_t" final="#all">

<xs:annotation>

<xs:documentation>

DECEMBER 11, 2015

Based on the TradeCaptureReport in Volume 5 of the FIXML specification.

</xs:documentation>

<xs:documentation>

Required attributes: TrdID, TxnmyTyp, Ccy, TxnTm, RegRptTyp, ClrIntn; Fixed

attributes: QtyTyp; all other attributes prohibited.

</xs:documentation>

<xs:documentation>

Required and optional elements: RegTrdID, Instrmt, InstrmtExt, Pmt, Undly, TrdLeg,

TrdRegTS, Qty, RptSide, TrdRepIndicatorsGrp. All other elements prohibited.

</xs:documentation>

</xs:annotation>

<xs:complexContent>

<xs:extension base="Abstract_message_t">

<xs:sequence>

<xs:element name="RegTrdID" type="RegulatoryTradeIDGrp_Block_t"/>

<xs:element name="Instrmt" type="Instrument_Block_t"/>

<xs:element name="InstrmtExt" type="InstrumentExtension_Block_t"

minOccurs="0"/>

<xs:element name="Pmt" type="PaymentGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="Undly" type="UndInstrmtGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="TrdLeg" type="TrdInstrmtLegGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="TrdRegTS" type="TrdRegTimestamps_Block_t"/>

<xs:element name="Qty" type="TradeQtyGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="RptSide" type="TrdCapRptSideGrp_Block_t"

maxOccurs="unbounded"/>

<xs:element name="TrdRepIndicatorsGrp" type="TrdRepIndicatorsGrp_Block_t"

minOccurs="0" maxOccurs="unbounded"/>

</xs:sequence>

<xs:attribute name="TrdID" type="TradeID_t" use="required">

<xs:annotation>

<xs:documentation>

Transaction ID, 901(g).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdNum" type="TradeNumber_t" use="optional">

<xs:annotation>

<xs:documentation>

Sequence Number, 901(e)(1)(i).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="RptID" type="TradeReportID_t" use="optional">

<xs:annotation>

<xs:documentation>

Optional trade report message identifier

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="RptRefID" type="TradeReportRefID_t" use="optional"/>

<xs:attribute name="TxnmyTyp" type="TaxonomyType_t" use="required">

<xs:annotation>

<xs:documentation>

Asset Identifier Authority, 901(c)(1)(i)

</xs:documentation>

</xs:annotation>

</xs:attribute>

DECEMBER 11, 2015

<xs:attribute name="QtyTyp" type="QtyType_t" fixed="1">

<xs:annotation>

<xs:documentation>

Quantity type 1 = Contracts.

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="LastPx" type="LastPx_t" use="optional">

<xs:annotation>

<xs:documentation>

The price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="Ccy" type="Currency_t" use="required">

<xs:annotation>

<xs:documentation>

The currency in which the price is expressed, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="SettlCcy" type="SettlCurrency_t" use="optional">

<xs:annotation>

<xs:documentation>

Cash settlement currency, 901(d)(8).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="PxPrcsn" type="PricePrecision_t" use="optional">

<xs:annotation>

<xs:documentation>

Optional decimal precision of the price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdPxNegottnMeth" type="TradePriceNegotiationMethod_t"

use="optional"/>

<xs:attribute name="LastUpfrontPx" type="LastUpfrontPrice_t" use="optional"

default="0">

<xs:annotation>

<xs:documentation>

Upfront price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="UpfrontPxTyp" type="UpfrontPriceType_t" use="optional">

<xs:annotation>

<xs:documentation>

Percentage or currency used to express upfront price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdDt" type="TradeDate_t" use="optional"/>

<xs:attribute name="MLegRptTyp" type="MultiLegReportingType_t"

use="optional"/>

<xs:attribute name="TxnTm" type="TransactTime_t" use="required">

<xs:annotation>

<xs:documentation>

Execution date time, 901(c)(2).

</xs:documentation>

</xs:annotation>

DECEMBER 11, 2015

</xs:attribute>

<xs:attribute name="SettlDt" type="SettlDate_t" use="optional">

<xs:annotation>

<xs:documentation>

Cash settlement date, 901(d)(8).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="StlDt" type="UnderlyingSettlementDate_t" use="optional"/>

<xs:attribute name="ExecMeth" type="ExecMethod_t" use="optional"/>

<xs:attribute name="CurrencyRatio" type="CurrencyRatio_t" use="optional"/>

<xs:attribute name="TZTransactTime" type="TZTransactTime_t" use="optional"/>

<xs:attribute name="ReportedPxDiff" type="ReportedPxDiff_t" use="optional"/>

<xs:attribute name="GrossTrdAmt" type="GrossTradeAmt_t" use="optional"/>

<xs:attribute name="TotGrossTrdAmt" type="TotalGrossTradeAmt_t"

use="optional"/>

<xs:attribute name="ClrIntn" type="ClearingIntention_t" use="required">

<xs:annotation>

<xs:documentation>

Intention to Clear Flag, 901(c)(6).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="CnfmMeth" type="ConfirmationMethod_t" use="optional"/>

<xs:attribute name="MandClrInd" type="MandatoryClearingIndicator_t"

use="optional"/>

<xs:attribute name="MixedSwapInd" type="MixedSwapIndicator_t" use="optional"/>

<xs:attribute name="MAsstSwapInd" type="MultiAssetSwapIndicator_t"

use="optional"/>

<xs:attribute name="IntlSwapInd" type="InternationalSwapIndicator_t"

use="optional"/>

<xs:attribute name="OffMktPxInd" type="OffMarketPriceIndicator_t"

use="optional"/>

<xs:attribute name="VerfctnMeth" type="VerificationMethod_t" use="optional"/>

<xs:attribute name="ClrReqmtExcptn" type="ClearingRequirementException_t"

use="optional" default="0">

<xs:annotation>

<xs:documentation>

Whether the parties have invoked the exception in Section 3C(g) of the Exchange Act

(15 U.S.C. 78c-3(g)).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="RegRptTyp" type="RegulatoryReportType_t" use="required"/>

</xs:extension>

</xs:complexContent>

</xs:complexType>

<xs:element name="PriTrdInfoRpt" type="PublicTradeInformationReport_message_t"

substitutionGroup="Message"/>

</xs:schema>

3.3 FIXML Regulatory Information Report

Schema sec-sbsr-tradecapture-regulatory-5-0-SP2.xsd

<?xml version="1.0" encoding="utf-8"?>

<!-This schema was created by staff of the U.S. Securities and Exchange Commission.

Data and content created by government employees within the scope of their employment

DECEMBER 11, 2015

are not subject to domestic copyright protection. 17 U.S.C. 105.

-->

<xs:schema targetNamespace="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2"

xmlns:fm="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA"

xmlns:xs="http://www.w3.org/2001/XMLSchema"

xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"

xsi:schemaLocation="http://www.fixprotocol.org/FIXML-5-0-SP2/METADATA fixml-metadata5-0-SP2.xsd" elementFormDefault="qualified" attributeFormDefault="unqualified">

<xs:include schemaLocation="sec-sbsr-tradecapture-types-5-0-SP2.xsd"/>

<xs:complexType name="NonpublicTradeInformationReport_message_t" final="#all">

<xs:annotation>

<xs:documentation>

Based on the TradeCaptureReport in Volume 5 of the FIXML specification. This element

is called "Nonpublic" to avoid ambiguity with the use of "Secondary" in many FIX

names.

</xs:documentation>

<xs:documentation>

Required attributes: TrdID, TxnmyTyp, Ccy, TxnTm, RegRptTyp, ClrIntn; Fixed

attributes: QtyTyp; all other attributes prohibited.

</xs:documentation>

<xs:documentation>

Required and optional elements: RegTrdID, Pty, Instrmt, InstrmtExt, FinDetls, Pmt,

Undly, TrdLeg, TrdRegTS, Qty, RptSide, TrdRepIndicatorsGrp. All other elements

prohibited.

</xs:documentation>

</xs:annotation>

<xs:complexContent>

<xs:extension base="Abstract_message_t">

<xs:sequence>

<xs:element name="RegTrdID" type="RegulatoryTradeIDGrp_Block_t"/>

<xs:element name="Pty" type="RootParties_Block_t" minOccurs="2"

maxOccurs="2"/>

<xs:element name="Instrmt" type="Instrument_Block_t"/>

<xs:element name="InstrmtExt" type="InstrumentExtension_Block_t"

minOccurs="0"/>

<xs:element name="FinDetls" type="FinancingDetails_Block_t">

<xs:annotation>

<xs:documentation>

Agreement titles and dates, 901(d)(4).

</xs:documentation>

</xs:annotation>

</xs:element>

<xs:element name="Pmt" type="PaymentGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="Undly" type="UndInstrmtGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="TrdLeg" type="TrdInstrmtLegGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="TrdRegTS" type="TrdRegTimestamps_Block_t"/>

<xs:element name="Qty" type="TradeQtyGrp_Block_t" minOccurs="0"

maxOccurs="unbounded"/>

<xs:element name="RptSide" type="TrdCapRptSideGrp_Block_t"

maxOccurs="unbounded"/>

<xs:element name="TrdRepIndicatorsGrp" type="TrdRepIndicatorsGrp_Block_t"

minOccurs="0" maxOccurs="unbounded"/>

</xs:sequence>

<xs:attribute name="TrdID" type="TradeID_t" use="required">

DECEMBER 11, 2015

<xs:annotation>

<xs:documentation>

Transaction ID, 901(g).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdNum" type="TradeNumber_t" use="optional">

<xs:annotation>

<xs:documentation>

Sequence Number, 901(e)(1)(i).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="RptID" type="TradeReportID_t" use="optional">

<xs:annotation>

<xs:documentation>

Optional trade report message identifier.

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdID2" type="SecondaryTradeID_t" use="optional"/>

<xs:attribute name="FirmTrdID" type="FirmTradeID_t" use="optional"/>

<xs:attribute name="FirmTrdID2" type="SecondaryFirmTradeID_t" use="optional"/>

<xs:attribute name="PackageID" type="PackageID_t" use="optional"/>

<xs:attribute name="RptRefID" type="TradeReportRefID_t" use="optional"/>

<xs:attribute name="RptRefID2" type="SecondaryTradeReportRefID_t"

use="optional"/>

<xs:attribute name="RptID2" type="SecondaryTradeReportID_t" use="optional"/>

<xs:attribute name="TxnmyTyp" type="TaxonomyType_t" use="required">

<xs:annotation>

<xs:documentation>

Asset Identifier Authority, 901(c)(1)(i).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="QtyTyp" type="QtyType_t" fixed="1">

<xs:annotation>

<xs:documentation>

Quantity type 1 = Contracts

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="LastPx" type="LastPx_t" use="optional">

<xs:annotation>

<xs:documentation>

The price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="Ccy" type="Currency_t" use="required">

<xs:annotation>

<xs:documentation>

The currency in which the price is expressed, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="SettlCcy" type="SettlCurrency_t" use="optional">

<xs:annotation>

<xs:documentation>

Cash settlement currency, 901(d)(8).

DECEMBER 11, 2015

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="PxPrcsn" type="PricePrecision_t" use="optional">

<xs:annotation>

<xs:documentation>

Optional decimal precision of the price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdPxNegottnMeth" type="TradePriceNegotiationMethod_t"

use="optional"/>

<xs:attribute name="LastUpfrontPx" type="LastUpfrontPrice_t" use="optional"

default="0">

<xs:annotation>

<xs:documentation>

Upfront price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="UpfrontPxTyp" type="UpfrontPriceType_t" use="optional">

<xs:annotation>

<xs:documentation>

Percentage or currency used to express upfront price, 901(c)(3).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="TrdDt" type="TradeDate_t" use="optional"/>

<xs:attribute name="MLegRptTyp" type="MultiLegReportingType_t"

use="optional"/>

<xs:attribute name="TxnTm" type="TransactTime_t" use="required">

<xs:annotation>

<xs:documentation>

Execution date time, 901(c)(2).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="SettlDt" type="SettlDate_t" use="optional">

<xs:annotation>

<xs:documentation>

Cash settlement date, 901(d)(8).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="StlDt" type="UnderlyingSettlementDate_t" use="optional"/>

<xs:attribute name="ExecMeth" type="ExecMethod_t" use="optional"/>

<xs:attribute name="CurrencyRatio" type="CurrencyRatio_t" use="optional"/>

<xs:attribute name="TZTransactTime" type="TZTransactTime_t" use="optional"/>

<xs:attribute name="ReportedPxDiff" type="ReportedPxDiff_t" use="optional"/>

<xs:attribute name="GrossTrdAmt" type="GrossTradeAmt_t" use="optional"/>

<xs:attribute name="TotGrossTrdAmt" type="TotalGrossTradeAmt_t"

use="optional"/>

<xs:attribute name="ClrIntn" type="ClearingIntention_t" use="required">

<xs:annotation>

<xs:documentation>

Intention to Clear Flag, 901(c)(6).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="CnfmMeth" type="ConfirmationMethod_t" use="optional"/>

DECEMBER 11, 2015

<xs:attribute name="MandClrInd" type="MandatoryClearingIndicator_t"

use="optional"/>

<xs:attribute name="MixedSwapInd" type="MixedSwapIndicator_t" use="optional"/>

<xs:attribute name="MAsstSwapInd" type="MultiAssetSwapIndicator_t"

use="optional"/>

<xs:attribute name="IntlSwapInd" type="InternationalSwapIndicator_t"

use="optional"/>

<xs:attribute name="OffMktPxInd" type="OffMarketPriceIndicator_t"

use="optional"/>

<xs:attribute name="VerfctnMeth" type="VerificationMethod_t" use="optional"/>

<xs:attribute name="ClrReqmtExcptn" type="ClearingRequirementException_t"

use="optional" default="0">

<xs:annotation>

<xs:documentation>

Whether the parties have invoked the exception in Section 3C(g) of the Exchange Act

(15 U.S.C. 78c-3(g)).

</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="RegRptTyp" type="RegulatoryReportType_t" use="required"/>

<xs:attribute name="TrdCollztn" type="TradeCollateralization_t"

use="optional"/>

</xs:extension>

</xs:complexContent>

</xs:complexType>

<xs:element name="SecTrdInfoRpt" type="NonpublicTradeInformationReport_message_t"

substitutionGroup="Message"/>

</xs:schema>

3.4 Additional FIXML Validation Criteria

Ordinary XML Schema validation against the appropriate FIXML schema will signal errors such

as duplicate ID attributes, unbound IDREF attributes, along with all of the syntax definitions in

the security-based swap data schema derived from FIXML.

4 FPML SCHEMAS

The FpML schemas to implement the common data model are derived by XML Schema

Restriction from FpML. Restrictions are used to define acceptable values for XML elements or

attributes. In XML Schema 1.0, the XML Schema “redefine” construct allows restrictions on

data elements to use the same element names as in a base schema. XML Schema 1.1 deprecates

the redefine construct in favor of the XML Schema “override” construct, but for the present

purpose the effect is the same.

The schemas in this document are derived from FpML 5.9 WD 2. Final schemas will be derived

from an FpML final recommendation, not a working draft. When a schema is presented here in

its entirety, note that the xsd:documentation element for each redefinition does not repeat the

xsd:documentation content of the original element. It only describes the way in which the

original data type is being restricted, and is shown in a box only to facilitate review. Concepts in

the common data model that are implemented in the base FpML schemas without change are not

duplicated in this document.

DECEMBER 11, 2015

4.1 FpML Primary Trade Information Report

The PTI report redefines the data type PublicInformationReport in the FpML Transparency

View having target namespace URI http://www.fpml.org/FpML-5/transparency.

Schema sec-sbsr-transparency-5-9-1.xsd

<?xml version="1.0" encoding="utf-8"?>

<!-This schema was created by staff of the U.S. Securities and Exchange Commission.

Data and content created by government employees within the scope of their employment

are not subject to domestic copyright protection. 17 U.S.C. 105.

-->

<xsd:schema xmlns="http://www.fpml.org/FpML-5/transparency"

targetNamespace="http://www.fpml.org/FpML-5/transparency" version="draft"

xmlns:fpml="http://www.fpml.org/FpML-5/transparency"

xmlns:xsd="http://www.w3.org/2001/XMLSchema"

xmlns:dsig="http://www.w3.org/2000/09/xmldsig#" elementFormDefault="qualified"

attributeFormDefault="unqualified">

<!-- This schema restricts the content of the FpML type PublicExecutionReport using

the Schema 1.0 construct xs:redefine, which is deprecated in Schema 1.1. An

equivalent schema could be constructed using xsd:override. -->

<xsd:redefine schemaLocation="5-9-1-wd-1/transparency/fpml-main-5-9.xsd">

<xsd:complexType name="PublicExecutionReport">

<xsd:annotation>

<xsd:documentation>

A PublicExecutionReport must not have Correlation elements, elements related to

Valuation, must not have any Account related elements, and must either have no Party

information OR exactly two Party elements both of type Dealer.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="PublicExecutionReport">

<xsd:sequence>

<xsd:element name="header" type="RequestMessageHeader"/>

<xsd:element name="isCorrection" type="xsd:boolean" minOccurs="0"/>

<xsd:group ref="Sequence.model"/>

<xsd:group ref="OnBehalfOf.model"/>

<xsd:group ref="TradingAndPostTradeEvents.model"/>

<xsd:sequence minOccurs="0">

<xsd:element name="party" type="Party" minOccurs="2" maxOccurs="2"/>

</xsd:sequence>

<xsd:attributeGroup ref="VersionAttributes.atts"/>

</xsd:restriction>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="IdentifiedDate">

<xsd:annotation>

<xsd:documentation>

A Date element must record the date as of UTC time zone.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="IdentifiedDate">

<xsd:pattern value=".*Z"/>

<xsd:attribute name="id" type="xsd:ID"/>

</xsd:restriction>

</xsd:simpleContent>

DECEMBER 11, 2015

</xsd:complexType>

<xsd:complexType name="ExecutionDateTime">

<xsd:annotation>

<xsd:documentation>

An ExecutionDateTime element must record the time in the UTC time zone, to the second

only.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="ExecutionDateTime">

<xsd:pattern value=".*T..:..:..Z"/>

<xsd:attribute name="executionDateTimeScheme" type="NonEmptyURI"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="ExecutionVenueType">

<xsd:annotation>

<xsd:documentation>

An element of type ExecutionVenueType must use the default FpML scheme.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="ExecutionVenueType">

<xsd:attribute name="executionVenueTypeScheme" type="NonEmptyURI"

fixed="http://www.fpml.org/coding-scheme/execution-venue-type"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="RegulatorId">

<xsd:annotation>

<xsd:documentation>

The RegulatorId must be a SEC CIK of 1 to 10 digits.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="RegulatorId">

<xsd:pattern value="[0-9]{1,10}"/>

<xsd:attribute name="regulatorIdScheme" type="NonEmptyURI"

fixed="http://www.sec.gov/CIK"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="Party">

<xsd:annotation>

<xsd:documentation>

An element of type Party may only appear in Primary Trade Information if its

organization type is 'Dealer'.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="Party">

<xsd:sequence>

<xsd:element name="organizationType" type="OrganizationType"

fixed="Dealer"/>

</xsd:sequence>

</xsd:restriction>

</xsd:complexContent>

DECEMBER 11, 2015

</xsd:complexType>

<xsd:complexType name="TradeInformation">

<xsd:annotation>

<xsd:documentation>

Primary trade information is restricted to exclude the optional elements relatedParty,

timestamps, intentToallocate, allocationStatus, clearingStatus,

collaterializationType, offMarketPrice, largeSizeTrade, executionType,

verificationMethod and confirmationMethod.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="TradeInformation">

<xsd:sequence>

<xsd:element name="executionDateTime" type="ExecutionDateTime"/>

<xsd:element name="intentToClear" type="xsd:boolean"/>

<xsd:element name="reportingRegime" type="ReportingRegime"/>

<xsd:element name="nonStandardTerms" type="xsd:boolean"/>

<xsd:element name="executionVenueType" type="ExecutionVenueType">

<xsd:annotation>

<xsd:documentation>

Element executionVenueType is required by the underlying type TradeInformation. Its

content may be left blank.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:restriction>

</xsd:complexContent>

</xsd:complexType>

</xsd:redefine>

<xsd:element name="primaryTradeInformationReport" type="PublicExecutionReport"/>

</xsd:schema>

4.2 FpML Regulatory Trade Information Report

The RTI report redefines types in the FpML architecture Record Keeping View having target

namespace URI http://www.fpml.org/FpML-5/recordkeeping. The schema restricts the base

types IdentifiedDate , ExecutionDateTime , ExecutionVenueType , and RegulatorId in the same

way the PTI schema does.

Schema sec-sbsr-recordkeeping-5-9-1.xsd

<?xml version="1.0" encoding="utf-8"?>

<!-This schema was created by staff of the U.S. Securities and Exchange Commission.

Data and content created by government employees within the scope of their employment

are not subject to domestic copyright protection. 17 U.S.C. 105.

-->

<xsd:schema xmlns="http://www.fpml.org/FpML-5/recordkeeping"

targetNamespace="http://www.fpml.org/FpML-5/recordkeeping" version="draft"

xmlns:xsd="http://www.w3.org/2001/XMLSchema" elementFormDefault="qualified"

attributeFormDefault="unqualified">

DECEMBER 11, 2015

<!-- This schema restricts the content of the FpML type PublicExecutionReport using

the Schema 1.0 construct xs:redefine, which is deprecated in Schema 1.1. An

equivalent schema could be constructed using xsd:override. -->

<xsd:redefine schemaLocation="5-9-1-wd-1/recordkeeping/fpml-main-5-9.xsd">

<xsd:complexType name="IdentifiedDate">

<xsd:annotation>

<xsd:documentation>

A Date element must record the date as of UTC time zone.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="IdentifiedDate">

<xsd:pattern value=".*Z"/>

<xsd:attribute name="id" type="xsd:ID"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="ExecutionDateTime">

<xsd:annotation>

<xsd:documentation>

An ExecutionDateTime element must record the time in the UTC time zone, to the second

only.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="ExecutionDateTime">

<xsd:pattern value=".*T..:..:..Z"/>

<xsd:attribute name="executionDateTimeScheme" type="NonEmptyURI"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="ExecutionVenueType">

<xsd:annotation>

<xsd:documentation>

An element of type ExecutionVenueType must use the default FpML scheme.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="ExecutionVenueType">

<xsd:attribute name="executionVenueTypeScheme" type="NonEmptyURI"

fixed="http://www.fpml.org/coding-scheme/execution-venue-type"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="RegulatorId">

<xsd:annotation>

<xsd:documentation>

The RegulatorId must be a SEC CIK of 1 to 10 digits.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="RegulatorId">

<xsd:pattern value="[0-9]{1,10}"/>

<xsd:attribute name="regulatorIdScheme" type="NonEmptyURI"

fixed="http://www.sec.gov/CIK"/>

</xsd:restriction>

DECEMBER 11, 2015

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="PartyTradeInformation">

<xsd:annotation>

<xsd:documentation>

PartyTradeInformation is restricted according to 901(d)(2) so that at least two

related business units and two related persons are present.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="PartyTradeInformation">

<xsd:sequence>

<xsd:group ref="PartyAndAccountReferences.model"/>

<xsd:element name="relatedParty" type="RelatedParty" minOccurs="0"

maxOccurs="unbounded"/>

<xsd:element name="relatedBusinessUnit" type="RelatedBusinessUnit"

minOccurs="2" maxOccurs="unbounded"/>

<xsd:element name="relatedPerson" type="RelatedPerson" minOccurs="2"

maxOccurs="unbounded"/>

<xsd:element name="isAccountingHedge" type="xsd:boolean" minOccurs="0"/>

<xsd:element name="category" type="TradeCategory" minOccurs="0"

maxOccurs="unbounded"/>

<xsd:element name="executionDateTime" type="ExecutionDateTime"/>

<xsd:element name="timestamps" type="TradeProcessingTimestamps"

minOccurs="0"/>

<xsd:element name="intentToAllocate" type="xsd:boolean" minOccurs="0"/>

<xsd:element name="allocationStatus" type="AllocationReportingStatus"

minOccurs="0"/>

<xsd:element name="intentToClear" type="xsd:boolean"/>

<xsd:element name="clearingStatus" type="ClearingStatusValue"

minOccurs="0"/>

<xsd:element name="collateralizationType" type="CollateralizationType"

minOccurs="0"/>

<xsd:element name="collateralPortfolio" type="PortfolioName"

minOccurs="0"/>

<xsd:element name="reportingRegime" type="ReportingRegime" minOccurs="0"

maxOccurs="unbounded"/>

<xsd:element name="endUserException" type="xsd:boolean"/>

<xsd:element name="nonStandardTerms" type="xsd:boolean" minOccurs="0"/>

<xsd:element name="offMarketPrice" type="xsd:boolean" minOccurs="0"/>

<xsd:element name="largeSizeTrade" type="xsd:boolean" minOccurs="0"/>

<xsd:element name="executionType" type="ExecutionType" minOccurs="0"/>

<xsd:element name="executionVenueType" type="ExecutionVenueType"

minOccurs="0"/>

<xsd:element name="verificationMethod" type="VerificationMethod"

minOccurs="0"/>

<xsd:element name="confirmationMethod" type="ConfirmationMethod"

minOccurs="0"/>

<xsd:element name="compressedTrade" type="xsd:boolean" minOccurs="0"/>

</xsd:sequence>

</xsd:restriction>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="PartyId">

<xsd:annotation>

<xsd:documentation>

Party Id has default value

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="PartyId">

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<xsd:attribute name="partyIdScheme" type="NonEmptyURI"

default="http://www.fpml.org/coding-scheme/external/iso17442"/>

</xsd:restriction>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="PartyRole">

<xsd:annotation>

<xsd:documentation>

PartyRole is restricted to be either ExecutionFacility or ClearingOrganization

supporting Rule 901(d)(2). The scheme is restricted to the FpML default party-role

scheme.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="PartyRole">

<xsd:enumeration value="ExecutionFacility"/>

<xsd:enumeration value="ClearingOrganization"/>

<xsd:attribute name="partyRoleScheme" type="NonEmptyURI"

fixed="http://www.fpml.org/coding-scheme/party-role"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="BusinessUnitRole">

<xsd:annotation>

<xsd:documentation>

BusinessUnitRole is restricted to be either RegisteredBranch or TradingDesk supporting

Rule 901(d)(2). The scheme is restricted to the FpML default unit-role scheme.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="BusinessUnitRole">

<xsd:enumeration value="RegisteredBranch"/>

<xsd:enumeration value="TradingDesk"/>

<xsd:attribute name="unitRoleScheme" type="NonEmptyURI"

fixed="http://www.fpml.org/coding-scheme/unit-role"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="PersonRole">

<xsd:annotation>

<xsd:documentation>

PersonRole is restricted to be either Broker or Trader supporting Rule 901(d)(2).

scheme is restricted to the FpML default person-role scheme.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:restriction base="PersonRole">

<xsd:enumeration value="Broker"/>

<xsd:enumeration value="Trader"/>

<xsd:attribute name="personRoleScheme" type="NonEmptyURI"

fixed="http://www.fpml.org/coding-scheme/person-role"/>

</xsd:restriction>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="BusinessUnit">

<xsd:annotation>

<xsd:documentation>

The

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BusinessUnit is required to have a businessUnitId, supporting Rule 901(d)(2).

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:restriction base="BusinessUnit">

<xsd:sequence>

<xsd:element name="name" type="String" minOccurs="0"/>

<xsd:element name="businessUnitId" type="Unit"/>

<xsd:element name="contactInfo" type="ContactInformation" minOccurs="0"/>

<xsd:element name="country" type="CountryCode" minOccurs="0"/>

</xsd:sequence>

<xsd:attribute name="id" type="xsd:ID"/>

</xsd:restriction>

</xsd:complexContent>

</xsd:complexType>

</xsd:redefine>

<xsd:element name="regulatoryTradeInformationReport"

type="NonpublicExecutionReport"/>

</xsd:schema>

4.3 Additional FpML Validation Criteria

Ordinary XML Schema validation against the appropriate security-based swap data schema will

signal errors such as duplicate ID attributes, unbound IDREF attributes, along with all of the

syntax definitions in the security-based swap data schema derived from FpML.

Also, for any element whose post-validation infoset includes one of the FpML coding scheme

attributes, validation warnings or errors will be signaled when the element content is not among

the values enumerated in that scheme.

Possible additional validation criteria include:

•

Warnings of unreferenced elements of type Party

Elements and attributes deprecated in FpML 5.9.

5 REFERENCES

FIXML 5.0 SP 2: www.fixtradingcommunity.org/pg/structure/tech-specs/fix-version/50-service-pack-2/

FpML 5.9 WD 2: www.fpml.org/spec/fpml-5-9-2-wd-2/

FpML Coding Schemes: www.fpml.org/spec/coding-scheme/

XML Schema: www.w3.org/XML/Schema

This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.