Second Working Draft of FpML Version 4.5

ISDA has published a Second Working Draft for FpML Version 4.5.

This Working Draft is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-4-5-2-wd-2/

The following is an overview of the changes compared with the first Working Draft for FpML Version 4.5, which was published on 29 August, 2008.
• Commodity Derivatives:
The Following amendments were made to the Commodity model incorporating the feedback received by the working group:
o Replaced dayAdjustments by businessCalendar.
o Changed name of frequencyType attribute to commodityFrequencyType.
o Added id attribute within fixed and floating legs. The two legs extend now the abstract Leg complex type.
o Added a CommodityQuantityFrequency type which includes a quantityFrequencyScheme attribute that references by default the Commodity Quantity Frequency scheme.
o Updated the quantityFrequency element within the CommodityNotional type to be of type CommodityQuantityFrequency.
o Added support for FX and balance of the Period.
o Added the value "Spot" in the DeliveryDatesEnum type.
• Equity Derivatives:
o A FloatingRateCalculationReference type is added to reference a floating rate interest calculation from CompoundingRate's "interestLegRate" element.
• Shared:
The Master Agreement Type is made more generic by separating the Master Agreement type and Master Agreement Type's version:
o Removed version from ISDA Master Agreement Type scheme values (e.g."ISDA").
o Created a new Master Agreement Version scheme that defines the version of the master agreement governing the transaction (e.g. "2002").
o Within MasterAgreement type, added a second optional "masterAgreementVersion" value of type "MasterAgreementVersion" to specify the version of the generic
master agreement type.
o Added a new type "MasterAgreementVersion" that has a scheme attribute "masterAgreementVersionScheme" to specify the version of the master agreement.
• Coding Schemes:
The following coding schemes have been added:
o Commodity Business Calendar
o Time Zone
o Commodity Frequency Type
o Commodity Quantity Frequency
o Commodity FX Type
o Contractual Definitions
o Master Agreement Type
o Master Agreement Version
• Validation Rules:
The syntax for validation rules has been updated to reflect the new validation rule specification.
• A number of issues, associated with the new validation rules syntax, have resolved.

More information on the timing of version 4.5 and the coverage and timing of future versions can be found in the FpML roadmap: http://www.fpml.org/roadmap/roadmap.pdf

Please send your comments to us by filling in the form at http://www.fpml.org/issues

The FpML Team