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FpML-BP joint im-custodian/bpwg meeting December 19

The next BPWG/IM-Custodian meeting will be Wednesday December 19 from
10:30 AM to 12:00 New York Time. The first 30/45 minutes of the meeting
will be dedicated to any outstanding IM-Custodian topics and after that
we'll have a bpwg call.

Agenda

1. IM-Custodian Issues

2. BP rules (see rules-english-bp-wip.html)
3. Affirmation process (see Affirmations Process...doc)
4. Option Exercise/ Expiry (I'll send materials tomorrow)
5. Outstanding issues
6. AOB


Call details:

US: 1 888 481 3032
UK: 0 800 904 7961
Intl: 1 617 801 9600
Code: 8682747


Kind Regards,
-Marc


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Attachment: Affirmations Process with Negotiation.doc
Description: Affirmations Process with Negotiation.doc

Title: FpML 4.4 Validation Rules - 2007-09-10

FpML 4.4 Validation Rules - Rules for Business Process Messages

This is the Business Process part of the validation rule set accompanying the FpML 4.4 Working Draft. The introductory section in the validation section of the specifications contains background information and documentation for this page.

The rules contained on this page contain links to cut down versions of valid and invalid test cases. The cut down test cases are non-normative and are provided for the purpose of documentation only.

Content

Namespace

http://www.fpml.org/spec/2007/wd-fpml-4-4-2007-09-10

Preconditions

The Validation Preconditions only apply when specific rules reference them. The following preconditions are always to be executed relative to the root of the FpML document being validated. The context of the rule is NOT carried through to the precondition.

Precondition: sampleprecondition
(context: Trade) (context: Documentation) Sample precondition description.
Precondition: ISDA1999
(context: Documentation) The contractualDefinitions element or the masterConfirmation/masterConfirmationType element contains ISDA1999Credit.
Precondition: ISDA1993
The contractualDefinitions element or the masterConfirmation/masterConfirmationType element contains ISDA1999Credit.

Rules

Unique contexts:

Context: Novation (complex type)

bp-2 (Mandatory)
If novationTradeDate is present, it must be less than or equal to novationDate.
bp-3 (Mandatory)
If novationTradeDate is present, it must be greater than or equal to oldTransaction/tradeHeader/TradeDate.
bp-4 (Mandatory)
novationDate must be greater than or equal to oldTransaction/tradeHeader/tradeDate.
bp-5 (Mandatory)
payment/paymentAmount/amount must be non-negative.
bp-6 (Mandatory)
payment/paymentDate and payment/adjustedPaymentDate, if present, must be greater than or equal to novationTradeDate.
bp-8 (Mandatory)
transferor/@href, transferee/@href, remainingParty/@href and otherRemainingParty/@href attributes must not be equal.
bp-9 (Mandatory)
novatedAmount/currency must be equal to the notional currency defined in trade/CreditDefaultSwap/protectionTerms/calculationAmount/currency or trade/$product/notionalStepSchedule/currency.
Comment: *** can we represent the rule differently when the path to the element of interest can vary based on product type (e.g., $product)? ****** TO DO: revisit rule to cover all products. i.e., define notional as xpath expressions that cover other asset classes. ***
bp-10 (Mandatory)
Change in notional must correspond to original and resulting notional amount.
Comment: *** RULE DIFFICULT TO REPRESENT *** "This rule is difficult to define due to the number of cases."

Context: Termination (complex type)

bp-11 (Mandatory)
terminationTradeDate must be less than or equal to terminationEffectiveDate.
bp-12 (Mandatory)
terminationTradeDate must be greater than or equal to trade/tradeHeader/tradeDate.
bp-13 (Mandatory)
payment/paymentAmount/amount must be non-negative.
bp-14 (Mandatory)
payment/paymentDate and payment/adjustedPaymentDate, if present, must be greater than or equal to terminationTradeDate.
bp-16 (Mandatory)
partial/decreaseInNotionalAmount/currency must be equal to the notional currency defined in trade/CreditDefaultSwap/protectionTerms/calculationAmount/currency or trade/$product/notionalStepSchedule/currency.
Comment: *** can we represent the rule differently when the path to the element of interest can vary based on product type (e.g., $product)? *** (see bp-9)
bp-17 (Mandatory)
Change in notional must correspond to original and resulting notional amount.
Comment: *** RULE DIFFICULT TO REPRESENT *** (see also bp-10, bp-24) DIRECT COPY/PASTE from Excel - not expressed in xpath (increaseInNotionalAmount/ amount < outstandingNotionalAmount ) and (increaseInNumberOfOptions < outstandingNumberOfOptions) and ($Notional + increaseInNotionalAmount/ amount = outstandingNotionalAmount/ amount) and ($NumOptions + increaseInNumberOfOptions = outstandingNumberOfOptions) where $Notional = $prod//protectionTerms/calculationAmount/amount | $prod/notionalStepSchedule/initialValue and $NumOptions = $prod//numberOfOptions

Context: Increase (complex type)

bp-18 (Mandatory)
increaseTradeDate must be less than or equal to increaseEffectiveDate.
bp-19 (Mandatory)
increaseTradeDate must be greater than or equal to trade/tradeHeader/tradeDate.
bp-20 (Mandatory)
payment/paymentAmount/amount must be non-negative.
bp-21 (Mandatory)
payment/paymentDate and payment/adjustedPaymentDate must be greater than or equal to increaseTradeDate.
bp-23 (Mandatory)
increaseInNotionalAmount/currency must be equal to the notional currency defined in trade/CreditDefaultSwap/protectionTerms/calculationAmount/currency or trade/$product/notionalStepSchedule/currency.
Comment: *** can we represent the rule differently when the path to the element of interest can vary based on product type (e.g., $product)? *** (see bp-9)
bp-24 (Mandatory)
Change in notional must correspond to original and resulting notional amount.
Comment: *** RULE DIFFICULT TO REPRESENT *** (see bp-17)

Context: Amendment (complex type)

bp-25 (Mandatory)
amendmentTradeDate must be less than or equal to amendmentEffectiveDate.
bp-26 (Mandatory)
amendmentTradeDate must be greater than or equal to trade/tradeHeader/tradeDate.
bp-27 (Mandatory)
payment/paymentAmount/amount must be non-negative.
bp-28 (Mandatory)
payment/paymentDate and payment/adjustedPaymentDate, if present, must be greater than or equal to amendmentTradeDate.

Deprecated rules

bp-1 (Mandatory)
DEPRECATED: Context: Novation; Description: If firstPeriodStartDate is present, @href must match the @id attribute of a party element. Rationale for deprecation: the rule has been replaced by the reference rule number 5 (ref-5).
bp-7 (Mandatory)
DEPRECATED: Context: Novation; Description: payment/payerPartyReference/@href and payment/receiverPartyReference/@href must not be equal. Rationale for deprecation: the rule has been replaced by the shared rule number 5 (shared-5). *** I DECIDED TO REPRESENT THE RULE as captured in excel spreadsheet and immediately deprecate it. Should we omit it altogether and renumber rules? *** (see also bp-15, bp-22, bp-29)
bp-15 (Mandatory)
DEPRECATED: Context: Termination; Description: payment/payerPartyReference/@href and payment/receiverPartyReference/@href must not be equal. Rationale for deprecation: the rule has been replaced by the shared rule number 5 (shared-5).
bp-22 (Mandatory)
DEPRECATED: Context: Increase; Description: payment/payerPartyReference/@href and payment/receiverPartyReference/@href must not be equal. Rationale for deprecation: the rule has been replaced by the shared rule number 5 (shared-5).
bp-29 (Mandatory)
DEPRECATED: Context: Amendment; Description: payment/payerPartyReference/@href and payment/receiverPartyReference/@href must not be equal. Rationale for deprecation: the rule has been replaced by the shared rule number 5 (shared-5).

Removed rules

bp-0 (Mandatory)
REMOVED: Context: Novation; Description: If firstPeriodStartDate is present, @href must match the @id attribute of a party element. Rationale for deprecation: the rule has been replaced by the reference rule number 5 (ref-5).

Attachment: Cancellations-IM-Custodian.doc
Description: Cancellations-IM-Custodian.doc