The collateral definitions in FpML 4.1 LCWD, specifically the “PaymentDetail”, allow either an amount or a percentage to be specified. The Data Standards Working Group would like the ability to specify both. Is it possible to change the definition to allow both to be specified?
Morning, I would like to find out whether Credit Default Swap Options are supported by FpML 4.1? Thank you, Karina Abayeva
Hi all, just a short email about some minor typos we ran across while working on the last FpML spec. located in the Enum schema: 1.–ttp instead of http in: FrequencyTypeEnum/Day (source attribute) IndexEventConsequenceEnum/CalculationAgentAdjustment (source attribute) IndexEventConsequenceEnum/NegotiatedCloseOut (source attribute) MergerEventConsequenceEnum/AlternativeObligation (source attribute) 2.–FrequencyTypeEnum: 2.1–The schedule frequency type => source=”http://www.FpML.org” is missing 2.2–TBD in the body … Continued
The Novation Ageement messages in LCWD 4.1 don’t have anywhere to specify whether Non-Reliance is applicable/not applicable. Non-Reliance appears in the Section 6 Miscellaneous section of the ISDA Novation templates and defined in Section 2.1 (c) of the 2004 ISDA Novation Definitions and discussed in the User’s Guide to the Defns in Point 8 F. … Continued
The existing DayCountFractionEnum enumeration allows only 8 different day count bases to be selected from. A group of hedge funds developing an FpML data feed specification requires at least 38 day count bases to be allowed. (see attachment). With the existing enumeration, it is almost impossible to extend this type in place. Therefore, we request … Continued
Publish scheme data as xml files; Scheme URIs should resolve to data files.
A number of the message sequence diagrams in the messaging section that appear in the HTML version of the 4.0 recommendation do not appear in the PDF version. This makes the PDF version much harder to understand. For example, 3.3.1.2 has 1 diagram in the PDF vs. ~10 in the HTML version.
I require support for stubs in Total Return Swaps (aka FpML Equity Swaps). We’re trading TRS with stubs and would like to see stub support, preferably as a small enhancement for 4.1. I would like to see the //swapStream/stubCalculationPeriodAmount element also added to the TRS. In general I would like to see the interest leg … Continued
After discussion with the WG Chair I’ve taken the advice to present as an Issue. For the TradeNotification use case I need to provide the Adjusted Date for a number of fields: Effective, Termination, First Stub, Last Stub. These fields currently have the type ‘AdjustableOrRelativeDate’. This means I can put in an a pre-adjusted adjustable … Continued
This is a comment about how Swap products are assembled from legs inside FpML. FpML Swaps are substitutions of the Product element. Each Swap is made up of different ‘legs’ or ‘swap streams’. Each Swap product use a different composition it’s legs: creditDefaultSwap – feeLeg and protectionTerms fxSwap – fxSingleLeg (repeating) swap – swapStream (repeating) … Continued