Second Working Draft of FpML Version 4.6

ISDA has published a Second Working Draft for FpML Version 4.6.

This Working Draft is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-4-6-2-wd-2/

The following is an overview of the changes compared with the First Working Draft for FpML Version 4.6, which was published on January 30, 2009.

• Credit Derivatives:
• Additional support for Standard Coupon CDS:
• Within FeeLeg complex type, two optional elements, "initialPoints" (the up-front points expressed as a percentage of the notional) and "quotationStyle" (to indicate the actual quotation style that was used to quote this trade) were added.
• Equity Derivatives:
• Added support for Asian Averaging Dates, Averaging Weight, and Cliquet Options.
• Syndicated Loan:
• Within On-going Fee Notice, the fee accrual period structure was amended by making the accrual amount a mandatory element. Rationale for this change: The accrual amount itself should not be optional. An accrual period which does not state an accrual amount is clearly incomplete.
• Within On-Going Fee Notice and One-Off Fee Notice, a choice model between required elements loanContractSummary and lcSummary was made optional. Rationale: Defines the design more accurately.
• Within Rollover Notice and One-Off Fee Notice, two separate elements interestPayment and interestAccrualSchedule, that represent an associated interest payment, were grouped into InterestPaymentDetails.model group model. Rationale: When an interest payment is made, both elements should be populated.
• Within Price Change Notice, the margin rate change structure was amended by adding a choice of borrowingOptionType and loanContractSummary instead of having them as separate optional elements. Rationale: A choice provides clearer schema validation when there is a margin rate change. Every re-pricing would refer to either of the two.
• Within Price Change Notice, the element pricingChangeReason was made optional. Rationale: There are scenarios where the reason may not be clear, or necessary to include.
• Shared:
• Created a model group for Interval.
• Validation Rules:
• Equity Derivatives Validation Rules have been corrected.
• Removed Credit Derivatives Validation Rule-43 to support Standard Coupon CDS.
• Coding Schemes:
• Broker Confirmation Type scheme has been updated.
• Settlement Rate Option scheme has been updated.

More information on the timing of version 4.6 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