FpML Issues Tracker

Summary

This note documents changes introduced between FpML Version 1.0 Trial Recommendation 25 September 2000 ( http://www.fpml.org/spec/2000/tr-fpml-1-0-2000-09-25) and FpML Version 1.0 Trial Recommendation 12 March 2001 ( http://www.fpml.org/spec/2001/tr-fpml-1-0-2001-03-12).

The FpML IRD Products Working Group, currently focusing on extending the FpML product definitions to include interest rate options, has made a number of changes to the FpML 1.0 Trial Recommendation which are described in this note. A number of these involve structural changes to the DTD. For the most part, the motivation for these changes is to ensure that FpML Version 1.0 can form a solid foundation to extend both the interest rate product coverage, as well as accommodate the introduction of new products from other asset classes, for example, equity derivatives and foreign exchange.

Two main structural changes have been introduced:

- Within the trade component a product component has been added. In FpML 1.0 this will contain a single swap or fra component. The addition of the product component will provide for cleaner containment as FpML product coverage increases.

- The FpML_FixingDateOffset entity, used by the element in the swap component and by the element in the fra component, has been removed. It has been replaced with a more reusable entity, FpML_RelativeDateOffset, which allows a date (or series of dates) to be defined as a relative offset from another date (or series of dates). This new entity is expected to used frequently in FpML Version 2.0.

Other changes of note are:

- The period Scheme has been extended to include a new value of T (Term). Term is defined as the period commencing on the effective date of a stream and ending on the termination date. The addition of this value will allow support for the specification of zero coupon swap structures where the calculation period is assumed to be the full term of the stream with a single payment at maturity.

- An optional element has been added for specifying the calculation agent for a trade.

- An optional element has been added for specifying how to calculate payments when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

- An additional sample FpML trade has been added illustrating a Fixed/Floating Overnight Interest Rate Swap (OIS). The representation is consistent with Exhibit-IID (Additional Provisions for a Confirmation of a Swap Transaction that is a Self-Compounding Overnight Interest Rate Swap Transaction) in the 2000 ISDA Definitions.

- All references to the XML Schema Working Draft, either by name, URI or URL, now refer to the 24 October 2000 XML Schema Candidate Recommendation.

- All FpML-specific datatype constraints have been removed with the exception of those for the date datatype. The set of valid literals for each datatype are now those defined in the XML Schema specification as being its lexical space.

The following is a summary of all the changes affecting the DTD:

1. Within the entity FpML_Discounting the element has been renamed (to align it with the ISDA term of the same name).

2. The entity FpML_FixingDateOffset has been removed.

3. Within the entity FpML_FloatingRateCalculation a new optional element has been added.

4. The entity FpML_SwapStream has been renamed FpML_InterestRateStream.

5. A new entity FpML_RelativeDateOffset has been defined.

6. Within the entity FpML_Trade a new element has been added that contains a or element.

7. Within the entity FpML_TradeHeader a new optional element has been added.

8. dateRelativeToSchemeDefault and negativeInterestRateTreatmentSchemeDefault attributes have been added to the root element attribute list.

9. A required id attribute has been added to the element attribute list.

10. The element and associated attribute list has been added.

11. The element and associated attribute list has been added (used by FpML_RelativeDateOffset entity).

12. The element has been removed (was used by FpML_FixingDateOffset entity which has been removed).

13. The element and associated attribute list has been added.

14. The id attribute on the element is now required.

Other changes to the documentation are:

15. Working Group Members and Acknowledgements. Various company names have been updated.

16. Section 2.1 Scope. Minor wording changes in the paragraphs describing what is outside the scope of the Products Working Group.

17. Section 2.2 Architecture Framework. Changed company name from Extensibility to TIBCO Extensibility.

18. Section 4.3 FpML_BusinessDayAdjustments. Added wording under element relating to a business day convention of NONE.

19. Section 4.3 FpML_InterestRateStream. As a result of renaming entity (from FpML_SwapsStream to FpML_InterestRateStream) the entity description has been changed to make it more generic.

20. Section 4.3 FpML_Interval. Added wording under element relating to population of this element when element value is zero.

21. Section 4.3 FpML_Offset. Added wording under relating to a zero day offset.

22. Section 4.3 FpML_PaymentDates. Added clarification to element relating to adjusted dates. Also added additional usage information to the , and elements.

23. Section 4.3 FpML_ResetDates. Added clarification to element relating to adjusted dates. Added text to to indicate how averaging is indicated through the relationship of reset frequency and calculation period frequency. Added additional usage information to the element.

24. Section 4.3 FpML_ResetFrequency. Added text to entity description to indicate how averaging is indicated through the relationship of reset frequency and calculation period frequency.

25. Section 8.2 Coding Schemes. Added dateRelativeToScheme and negativeInterestRateTreatmentScheme Scheme definitions. Note that these have an issue year of 2001 in their URI.

26. Section 9.6 Sample FpML. Examples have been updated to reflect changes to the DTD. Also corrected errata in Example 5; replaced EUR-EURIBOR-TELERATE with EUR-EURIBOR-Telerate to match upper/lower case mix in the ISDA Floating Rate Option Definition.

Guy Gurden IRD Products WG Chair