ISDA has published the Recommendation for FpML Version 4.4

ISDA announces the publication of the Recommendation for FpML Version 4.4.

This Recommendation is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-4-4-12-rec-1/
The following is an overview of the changes compared with the Recommendation for FpML Version 4.3, which was published on February 5, 2008.

• Business Process:

• Support for Events Cancellation Messages.

• Commercial Loan:

• Commercial Loan Notifications between Agent Bank and Lenders.
  • Facility Level Notifications
    • Scheduled Principal Repayment Notice
    • Unscheduled Mandatory and Voluntary Principal Repayment Notice
    • On-Going Fee Notice
    • One-Off Fee Notice
  • Loan Contract Level Notifications
    • Drawdown Notice
    • Rate Set Notice
    • Interest Payment Notice
    • One-Off Fee Notice
• In order to fully describe the notifications, it was necessary to design a set of supporting object types, all of which are embedded within the various notifications:
  
  - "Short-form" Product Definitions for Deal Summary and Facility Summary. These are summary objects which, in the future, will form the foundation for defining the 'long-form' loan product.
  - Loan Contract Definitions . These objects describe the value of outstanding loan contracts at a given point in time. The outstanding loan balance fluctuates over the life of a facility. There are two variations designed: the short-form summary (Loan Contract Summary) and the long-form version of the loan contract (Loan Contract).
  - Lender Position Definitions. These objects describe the amount of a facility (Facility Commitment Position) and loan contract (Loan Contract Position) that a single lender owns at a given point in time
  More detailed information on the scope and business requirements can be found in the document “LSTA Agent Bank Communications Requirements Document”  at the following link:
  http://www.fpml.org/wgroup/loanwg/LSTA_AgentComm_Requirements.pdf

• Credit Derivatives:

• Additional support for European Loan CDS.
• Support for portfolio compression.
• Support for new municipal CDS transaction types.

• Equity Derivatives:

• Support for Variance Swap Transaction Supplement.
• Support for Dispersion Variance Swap.
• Amended Dividend Leg structure in order to support additional values for the Japanese Index Dividend Swap Transaction Supplement.
• Remodeling work:  Within "EquityDerivativeLongFormBase" type, the element "equityFeatures" is deprecated. Rational: This content is accessible in the complex type "EquityDerivativeBase" through the model group Feature.model.
• Support for Identification of the exchanges where constituents are traded.

• Interest Rate Derivatives:

• Added support for Brazilian IR Swaps.

• Pricing and Risk:

• The cardinality of the element 'quote' was changed from “0 to many” (FpML 4.2) to “1 to many” (FpML 4.3). This change was breaking backward compatibility between minor versions. The cardinality of the 'quote' element has been restored to “0 to many” as it is in FpML 4.2.

• Validation Rules:

• Added Business constraints for ID / IDREF relationships formalized as ecore references.
• Addition of validation rules for Loan notices.
• Addition of validation rules for FX products.

• Coding Schemes:

• Business Center scheme was updated.
• Inflation Index Source scheme was updated.
• Business Center scheme was updated.
• Broker Confirmation Type scheme was updated.
• Master Confirmation Type scheme was updated.
• Floating Rate Index scheme was updated to support 2006 ISDA Definitions.
• Contractual Supplement scheme was updated.
• Contractual Definitions scheme was updated.
• Position status scheme was created for portfolio reconciliation.
  
  

More information on the timing of future versions 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