FpML Issues Tracker

Summary

SwapsWire would like to propose the addition of a value to the TimeTypeEnum enumeration in the FpML 4.1 Trial Recommendation for use in equity derivatives.

This need has been identified as a result of using FpML to model trades documented under the European interdealer equity option master confirmation.

This enumeration is used in the equityOptionTransactionSupplementequityExercise\equityExpirationTimeType element (and others).

The proposed value to add is ?sSpecifiedInMasterConfirmation? This would allow the FpML to refer back to the legal definition for the Expiration Time provided in the relevant Master Confirmation and would remove any legal uncertainty over whether any of the other enumerated values precisely equate to the wording in the Master Confirmation. For example, the Master Confirmation may refer to ?hirty minutes after the Scheduled Closing Time of the Exchange? which is not strictly equivalent to the enumerated value ?lose?etc.

The time is determined as provided in the relevant Master Confirmation.

This concept of having an enumerated value that refers back to a definition in an umbrella legal agreement is used elsewhere in FpML. For example, in the CalculationAgentPartyEnum there is a value 'AsSpecifiedInMasterAgreement' to allow reference back to a definition in the Master Agreement.