FpML Issues Tracker
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FX
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milasx
Summary
Around the end of October 2010, the FX WG discussed a proposal to harmonise the naming of the instances of FxCashSettlement, found in the FxSingleLeg and FxOption types (see: http://www.fpml.org/_wgmail/_fxwgmail/msg00127.html).
In FpML 4-x, these were named "nonDeliverableForward" and "cashSettlementTerms" in the forward and option models respectively. The group agreed to call both instances "nonDeliverableSettlement" in FpML 5-1.
This is certainly the function of the component in a non-deliverable forward or option, but misses the point that Fx options can be contractually cash-settled (as a single payment in one of the currencies of the option, as opposed to physically settled as a spot fx transaction), without necessarily being non-deliverable.
The name of the FxOption settlement component should therefore be changed, from "nonDeliverableSettlement" to "cashSettlement", and the name of the underlying type should revert to "FxCashSettlement" as per the FpML 4-x series.
It should be clearly documented that FxOption/cashSettlement relates to both the non-deliverable and contractually cash-settled cases (careful reading of the original schema annotation should have confirmed this).
FxSingleLeg/nonDeliverableSettlement should be renamed "cashSettlement" for consistency. In this case, the schema documentation should make it clear that the component is to be produced only in the case of a non-deliverable forward.
Notes:
h_mcallister
02/17/11 12:46 pm
Uploaded zip containing document + schema materials & samples for extended proposal.
h_mcallister
02/25/11 8:03 pm
Uploaded revised version of proposal document, schema & samples, as per FX Working Group discussions of 2011-02-17 & 2011-02-24.
– noted FX-WG decisions on outstanding questions at end of doc
– element name nonDeliverableSettlement is retained for FxSingleLeg: changed .xsd and samples accordingly
iyermakova
03/14/11 3:34 pm
The following change has been implemented in 5.1 REC
– Within FxOption complex type, renamed element nonDeliverableSettlement to cashSettlement. Rationale: FX options can be cash-settled without being non-deliverable. Renamed NonDeliverableSettlement complex type back to FxCashSettlement – see issue 1039 for details.
– Within Within FxCashSettlement complex type made “fixing” element optional, permitting an omission in cases where detailed fixing information is not available at the time of message creation. The Rationale: the FpML Confirmation view that is used for confirmations is also used now for matching/clearings (pre-confirmation) hence the potential missing fixing information.
– Within FxFixing complex type, made element “fixingDate” optional permitting an omission in cases where it is not possible to identify a single, discrete fixing date at trade inception.