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It is impossible to unambiguously correlate from ContractFullTerminationCancelled to ContractFullTermination. There is no unique identifier for a ContractFullTermination, so there is no way to always tie it back to a unique ContractFullTerminationCancelled. There are various ways of matching based on TradeId, versionId, etc., but these don’t guarantee unique correlation. One possible solution is to add … Continued

The Validation Rules contain the term “bankrupcy”. This isn’t an OED dictionary word in English, so I presume it is misspelled. The schema contains the term “bankruptcy” in the same place. I presume the schema is correct and the rule wrong. The current rule is: cd-22 (Mandatory) Preconditions: ShortForm The following elements must not be … Continued

The ISDA 2003 Precondition falsely assumes a single contractualDefinitions element. According to the schema, there may be more than one contractualDefinitions element. It needs to state how to evaluate this across zero to many element. The rule today: Precondition: ISDA2003 (context: Trade) (context: Contract) The documentation/contractualDefinitions element begins with the substring ISDA2003Credit (this includes ISDA2003CreditJapan, … Continued

The ISDA 2003 Precondition falsely assumes a single contractualDefinitions element. According to the schema, there may be more than one contractualDefinitions element. It needs to state how to evaluate this across zero to many element. The rule today: Precondition: ISDA2003 (context: Trade) (context: Contract) The documentation/contractualDefinitions element begins with the substring ISDA2003Credit (this includes ISDA2003CreditJapan, … Continued

There is currently what appears to be two rather critical mistakes with the currently published FpML 4.3 Recommendation. Variance Swaps and Dividend Swaps are currently not backwards compatible from the previous published versions of FpML. In our attempt to implement the 4.3 Recomendation for all Equity products, DTCC ran into 3 major issues with the … Continued

From the ccord minutes: “MTF should clarify correlation points.”

looking at the latest in the trunk of SVN, there are a few problems with this example: 1) I see two loans examples in SVN with labeled 7, one is a repayment notice, the other an interest payment notice 2) loan-ex07-interest-payment-notice-jpm-1.xml has a few weird or wrong things, e.g. a. partyMessageInformation/partyReference is set and points … Continued

CompoundingMethodEnum allows these three values: Flat None Straight Is there a reason why this is an enum and not a scheme? To my knowledge there are more than three compounding methods used in the market. For example: “Flat” in FpML is what’s sometime called “ISDA Flat” eslewhere. I.e. compounding excludes the spread, except for the … Continued

Section 3.1.7 on extending FpML 4.x needs updating to refer to FpML 5.0 and the updated architecture document. 3.1.7: “The FpML coordination committee is currently considering the types of information that would be useful to add for internal processing (i.e. management, risk and P&L reports, etc.) and the most appropriate location within the schema to … Continued

The MessageRejected process requires an observable completion to be valid with the FpML Business Process Architecture Design Assumptions. Section 3.1.2 states: “All business process definitions must have an observable completion. The set of messages defining a business process needs to be complete. In addition, timeouts must be defined if necessary.” Today, a MessageRejected may be … Continued