Third Working Draft of FpML Version 4.6

ISDA has published a Third 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-4-6-3-wd-3/

The following is an overview of the changes compared with the Second Working Draft for FpML Version 4.6, which was published on March 27, 2009.

• Commodity Derivatives:
• Added support for Physically-Settled Commodity Swaps including Natural Gas, Oil, and Electricity commodities.
• Added support for Bullion Forwards.
• Credit Derivatives:
• Added support for the accounting of CDS Index contracts following credit events:
• Within InindexReferenceInformation complex type, added an optional element "indexFactor" - the index version factor, expressed as a percentage of the original notional amount, yields the notional amount covered by the seller.
• Within ProtectionTerms complex type, added an optional "factoredCalculationAmount" - this represents the factored notional amount, obtained by multiplying the index factor to the contract notional amount.
• Equity Derivatives:
• Added support for Knock-In/Knock-Out features in a traditional option.
• Added support for US Share Swap.
• Cross-asset:
• In order to support US Shared Swap products two optional elements "averageDailyTradingVolume" and "depositoryReceipt" were added within the "SingleUnderlyer" structure.
• Validation Rules:
• Equity Derivatives Validation Rules have been corrected.
• Removed Equity Derivatives Validation Rules 23 and 30 as they were redundant. The effect of both rules are available by entailment of a more generic rule 31 and 32 respectively.
• Coding Schemes:
• Master Confirmation Type scheme has been updated.
• Master Confirmation Annex Type scheme has been added.
• Determination Method scheme has been added.
• Bullion Delivery Location scheme has been added.

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