July 16, 2015

ISDA has published FpML 5.9 First Working Draft

Changes compared to FpML 5.8 Recommendation (build#8):

  • Equity Derivatives:
    • Added support for Equity Volatility Swaps under ISDA 2011 and 2002 Definitions.
    • Schema tightening - Certain structures were tightened to make the schema less ambiguous and improve guidance for implementers. This results however in non-backward compatible changes that should be viewed as fixes of existing flaws. As such, changes should not invalidate any existing, meaningful document.
      • Within CalculationFromObservation type: Instead of sequence, create a mandatory choice of [InitialLevel and initialLevelSource] and initialLevelSource. The first branch would be used only for AgreedInitialPrice. If initiallevel is present this would infer AgreedInitialPrice, initialLevelSource= AgreedInitialPrice can be optionally provided for clarity. The second branch would be used for elections other than AgreedInitialPriceprice.
      • Within extraordinaryEvents type, deprecated tenderOffer Boolean element in favor of using just tenderOfferEvents. Documented the tenderOfferEvents usage, as “If tenderOfferEvents is NOT provided, No Tender Offer is applicable. If provided, Tender Offer is applicable, all events within EquityCorporateEvents type are turned on and the consequences must be provided.
      • Within EquityValuation, grouped into an optional choice elements: futuresPriceValution and optionsPriceValuation. Rationale: they should be mutually exclusive as they both answer the same question.
      • Renamed ClassifiedPayment to ClassifiablePayment. Rationale: one can choose not to classify it. Note: under FpML guideline, it is considered a backward compatible change. The change affected products: CorrelationSwap, VarianceSwap, VolatilitySwap.
  • Regulatory Reporting:
    • Support for SEC SBSR rules (See recordkeeping example ex145)
  • The following issues have been resolved: