In addition to the changes describe above, the following additions have been implemented since FpML 4.4:
- Commodity Derivatives:
- Added support for commodity underlyer, commodity swaps, commodity options and Bullion forwards.
- Credit Derivatives:
- Added support for Standard CDS:
- Within FeeLeg complex type, added 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.
- Added new "ISDA2004StandardCreditSovereignEmergingEuropeanAndMiddleEastern", "ISDA2004StandardCreditSovereignLatinAmerican" and "ISDA2003StandardCreditAustraliaNewZealand" values to Master Confirmation Type schemes.
- Added new "StandardNorthAmericanCorporate", "StandardEmergingEuropeanCorporateLPN", "StandardEmergingEuropeanCorporate", "StandardLatinAmericaCorporateBond", "StandardLatinAmericaCorporateBondOrLoan", "StandardLatinAmericaSovereign", "StandardEmergingEuropeanAndMiddleEasternSovereign", "StandardAustraliaCorporate", "StandardAustraliaSovereign", "StandardNewZealandCorporate" and StandardNewZealandSovereign" values to Matrix Term and Broker Confirmation Type schemes.
- Amended the FeeLeg structure by adding an optional id attribute.
- Equity Derivatives:
- A Bug Fixed - A FloatingRateCalculationReference type is added to reference a floating rate interest calculation from CompoundingRate's "interestLegRate" element.
- Added support for Asian Averaging Dates, Averaging Weight, and Cliquet Options.
- Added support for Knock-In/Knock-Out features in a traditional option.
- Added support for US Share Swap.
- Interest Rate Derivatives:
- Added NDS clause for supporting a schedule of valuation dates.
- A Bug Fixed - Within the RelevantUnderlyingDateReference complex type, added missing an "href" attribute to be used as a pointer to a relevant underlying date.
- Syndicated Loan:
- Added support for Letter of Credit balance, Letter of Credit termination, Letter of Credit issuance, Rollover and Letter of Credit amendment notices.
- Business Process:
- In order to provide additional information on the payment breakdown resulting from contract lifecycle events and specifically to improve accounting Straight-Thru-Processing of these notifications, the Contract notification messages were enhanced with optional structures which can detail the components of any payment element in the messages.
- Added Contract Amended notification and cancellation messages. This is a bilateral agreement to amend specific terms of the contract that are not increases/decreases, partial/full terminations, or novations.
- Added Contract Changed notification and cancellation messages. The initial scope of this message is index factor adjustments after a credit events that affects the component of an CDS index.
- Cross-asset:
- In order to support US Shared Swap products two optional elements "averageDailyTradingVolume" and "depositoryReceipt" were added within the "SingleUnderlyer" structure.
- Added support for "commodity" underlyer
- Created a model group for Interval.
- Amended Master Agreement Type to make it more generic by separating the Master Agreement type and Master Agreement Type's version:
- Removed version from ISDA Master Agreement Type scheme values (e.g."ISDA").
- Created a new Master Agreement Version scheme that defines the version of the master agreement governing the transaction (e.g. "2002").
- Within MasterAgreement type, added a second optional "masterAgreementVersion" value of type "MasterAgreementVersion" to specify the version of the generic master agreement type.
- Added a new type "MasterAgreementVersion" that has a scheme attribute "masterAgreementVersionScheme" to specify the version of the master agreement.
- Created a model group for Interval.
- Validation Rules:
- Syntax for validation rules has been updated based on the new validation rule specification.
- Equity Derivatives Validation Rules have been corrected.
- Removed Credit Derivatives Validation Rules 43 to support Standard Coupon CDS.
- Coding Schemes:
- The following schemes have been updated:
- Broker Confirmation Type scheme.
- Business Center scheme.
- Credit Matrix Transaction Type scheme.
- Contractual Definitions scheme.
- Contractual Supplement scheme.
- Day Count Fraction scheme.
- Floating Rate Index scheme.
- Master Agreement Type scheme.
- Master Confirmation Type scheme.
- Matrix Term scheme.
- Price Quote Units scheme.
- Settlement Rate Option scheme.
- The following schemes have been added:
- Bullion Delivery Location scheme.
- Commodity Business Calendar scheme.
- Commodity Coal Product Ssource scheme.
- Commodity Coal Product Type scheme.
- Commodity Coal Quality Adjustments scheme.
- Commodity Coal Transportation Equipment scheme.
- Commodity Frequency Type schem.
- Commodity FX Type scheme.
- Commodity Market Disruption scheme.
- Commodity Market Disruption Fallback scheme.
- Commodity Quantity Frequency scheme.
- Commodity Reference Price scheme with standard description for each code (without full ISDA description).
- Determination Method scheme.
- Loan Position Change Type scheme.
- Master Agreement Version scheme.
- Master Confirmation Annex Type scheme.
- Quantity Unit scheme.
- Time Zone scheme.