ISDA has published the Trial Recommendation for FpML Version 4.4

ISDA has published a Trial Recommendation for FpML Version 4.4.

This Trial Recommendation is available on the FpML website in the Specifications section at: http://www.fpml.org/spec/fpml-4-4-7-tr-1/

The following is an overview of the changes compared with the Last Call Working Draft for FpML Version 4.4, which was published in April.
Equity Derivatives:

• Amended Interest Leg Calculation Period Dates structure to include the ability to have equity swaps with the interest leg driving the
  calculation.
• Amended Compounding structure in order support a compounding spread that is different from the normal spread.
• Removed support for second order derivatives (options on correlation swaps, options on dividend swaps, and options on variance swaps) due to
  incomplete work. The support is expected to be completed in version 4.5.

FX Derivatives:

• Addition of validation rules for FX products.

Commercial Loan:

• Some refactoring work based on the input from European institutions.
• Addition of validation rules for Loan notices.

Coding Schemes:

• Credit Matrix Transaction Type scheme has been updated.
• Contractual Supplement scheme has been updated.
• Master Confirmation Type scheme has been updated.
• Interpolation Method scheme has been updated.
• New Credit Support Agreement scheme has been created.

Validation Rules:

• Business Process Rules have been updated.
• Credit Derivatives Rules have been updated.
• Equity Derivative Rules have been updated.
• Interest Rate Derivative Rules have been updated.
• Interest Rate Derivative Rules have been updated.
• Pricing and Risk Rules have been updated.
• Shared Elements Rules have been updated.
• ID / IDREF Rules have been updated.
• Addition of validation rules for Loan notices.
• Addition of validation rules for FX products.

More information on the timing of version 4.4 and coverage and 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