ISDA has published the Second Last Call Working Draft for FpML Version 4.3

ISDA has published a Second Last Call Working Draft for FpML Version 4.3.

This Working Draft is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/2007/lcwd-fpml-4-3-2007-10-30/
The following is an overview of the changes compared with the First Last Call Working Draft for FpML Version 4.3, which was published in September.

Equity Derivatives:

• Remodeling work:
  • A new varianceSwap product has been created. The varianceLeg within returnSwap has been deprecated.
  • A new correlationSwap product has been created. The correlationLeg within returnSwap has been removed.
  • Refactored some types to handle correlation and variance swaps with a common type structure.
• To see rationale for changes above please look at 'The Return Swap Framework' section (in the RETURN SWAPS PRODUCT ARCHITECTURE section).
• Added support for Dividend Adjustments within option products.
• Improved documentation.
• Removed support for German translation of English annotations in the Schema.

Business Process:

1. Added support for trade execution time within the PartyTradeInformation type.

The following issues have been resolved:

• http://www.fpml.org/issues/view.php?id=517
• http://www.fpml.org/issues/view.php?id=510
• http://www.fpml.org/issues/view.php?id=498
• http://www.fpml.org/issues/view.php?id=495
• http://www.fpml.org/issues/view.php?id=493
• http://www.fpml.org/issues/view.php?id=492
• http://www.fpml.org/issues/view.php?id=489
• http://www.fpml.org/issues/view.php?id=488
• http://www.fpml.org/issues/view.php?id=487
• http://www.fpml.org/issues/view.php?id=485
• http://www.fpml.org/issues/view.php?id=483
• http://www.fpml.org/issues/view.php?id=481
• http://www.fpml.org/issues/view.php?id=478
• http://www.fpml.org/issues/view.php?id=477
• http://www.fpml.org/issues/view.php?id=475
• http://www.fpml.org/issues/view.php?id=472
• http://www.fpml.org/issues/view.php?id=450
• http://www.fpml.org/issues/view.php?id=436
• http://www.fpml.org/issues/view.php?id=432
• http://www.fpml.org/issues/view.php?id=398

Coding Schemes:

1. Master Confirmation Type scheme has been updated.

More information on the planned coverage in version 4.3 and future versions, together with the timing, 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

Karel Engelen
Head of FpML
ISDA