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CDM Version 6.0

CDM 6.0, a production release, corresponds to developments made to the Common Domain Model throughout 2024 and previously released as CDM 6-dev. These developments include items that featured in the 2024 CDM roadmap:

  • Option Payout Refactoring
  • Asset Refactoring
  • Standardized IM Schedule

as well as several additional model changes, bug fixes and synonym mappings since the latest production release (CDM 5.20).

What is being released

The release includes changes to the CDM model itself (manifested in changes to .rosetta source files) but also enhancements to:

  • The CDM Documentation, which should be consulted as a good resource to understand the enhanced design of products and business events in CDM 6.
  • The CDM Sample Files, which have been updated to reflect the new modelling designs.
  • The CDM Object Builder, which can be used to construct CDM objects and generate JSON serialised data.

Below are some of the high-level modelling changes included in CDM 6.0, with links to their corresponding development release tags containing more detailed release notes.

Asset refactoring

A major feature of CDM 6 is the refactored product model with the introduction of the concept of Asset. This is the result of a CDM task force which came together to extend the model into additional asset classes and to address some long-standing challenges. The objectives and design artefacts of the task force were documented in GitHub Issue 2805.

This diagram shows the new product model at a high level; please read the FINOS CDM documentation for a full explanation:

Individual releases related to asset refactoring:

  • New Data Types: 6.0.0-dev.46
  • Remove AssetPool and deprecated data types: Backward incompatible changes 6.0.0-dev.47
  • Asset, Index, Identifier: Backward incompatible changes 6.0.0-dev.58
  • Basket, Index, Observable, Foreign Exchange: Backward incompatible changes 6.0.0-dev.60
  • Product, SettlementPayout, Underliers: Backward incompatible changes 6.0.0-dev.72
  • Underlier in Corporate Action: 6.0.0-dev.77
  • Payout as a Choice: Backward incompatible changes 6.0.0-dev.79
  • ETD Product Qualification: 6.0.0-dev.79
  • AssetCriteria: Backward incompatible changes 6.0.0-dev.81
  • Settlement Payout Price: Backward incompatible changes 6.0.0-dev.84.
    • Note: this change is only backward-incompatible because it reverts the Add Price to Payouts change in 6.0.0-dev.77. The two changes are backward-compatible in aggregate.
  • Security Finance trade types: Backward incompatible changes 6.0.0-dev.86
  • FloatingRateIndex and InterestRateIndex: Backward incompatible changes 6.0.0-dev.87
  • Cashflow Generation for Settlement Payout : 6.0.0-dev.89
  • Commodity Payout Underlier: 6.0.0-dev.90

Option Payout refactoring

  • Option Payout Refactoring: Backward incompatible changes 6.0.0-dev.24
  • Modification of AmericanExercise Condition in ExerciseTerms: 6.0.0-dev.41

Standardized IM Schedule

  • Implementation of the Standardized Schedule Method for Initial Margin Calculation: 6.0.0-dev.69
  • Enhancement and Optimization of the Standardized Schedule Method: 6.0.0-dev.90

Misc. model changes

FpML mappings

Backward-incompatible changes

Asset refactoring

Main changes using the choice data type

A new feature in the Rune DSL - the choice data type - has been used extensively for the asset refactoring in CDM 6.

Example of new items defined as choice types include:

  • Asset
  • Instrument

In addition, some fundamental data types previously defined using a one-of condition have been updated to choice types. Compared to the regular one-of condition, choice types force each of the choice options to have single cardinality.

  • Product: defined as a choice between TransferableProduct (which extends Asset) and NonTransferableProduct (renamed from ContractualProduct, previously included in Product). Other data types previously included in Product are now defined as Asset or Observable choices instead:
    • Commodity: now extends AssetBase not ProductBase.
      • Accordingly, productTaxonomy has been replaced by taxonomy and the conditions updated.
    • Security and Loan: now extend InstrumentBase not ProductBase.
    • Basket: now extends AssetBase not ProductBase.
      • BasketConstituent now extends Observable not Product.
      • Moved from the product namespace to the observable namespace.
    • Index: now extends IndexBase not ProductBase
    • ForeignExchange has been marked as deprecated.
      • The deprecated ExchangeRate and CrossRate data types have both been deleted.
    • AssetPool: removed (it was previously introduced from FpML but has been found to be incorrect and unusable).
      • Removed the reference to AssetPool from Product.
  • Observable: defined as a choice between Asset, Index and Basket. In addition, the following attributes have been removed from Observable:
    • Commodity: now available directly as an Asset.
    • QuotedCurrencyPair: replaced by the the FX observable data type inside Index.
    • The unused attribute optionReferenceType and its corresponding enumerator OptionReferenceTypeEnum have been removed from the model.
  • FloatingRateOption: renamed as InterestRateIndex, and updated to be a choice between FloatingRateIndex and InflationIndex.
    • Update the rateOption attribute on FloatingRateBase to be of type InterestRateIndex, since it is used for both floating and inflation indices.
    • The following two functions have been moved from the cdm.observable.asset.fro namespace to the cdm.observable.asset namespace, as they act on an interest rate index and not just a floating rate index:
      • IndexValueObservation
      • IndexValueObservationMultiple
  • Payout: defined as a choice between different types of payout. Because some payout types were previously defined with multiple cardinality, attributes using the Payout type (for example in EconomicTerms or ResetInstruction) now have multiple cardinality. Also removed from Payout:
    • SecurityPayout: deleted type.
    • Cashflow: use in the ForeignExchange data type also deprecated.
    • ForwardPayout: renamed to SettlementPayout and usage broadened to cover the settlement of any underlier, whether on a current date or forward basis, for either physical or cash settlement.

All references to choice types need to be updated because they are now treated as Capitalised Data Types rather than lower case attributes. For example, a previous reference might have read:

payout -> interestRatePayout -> floatingAmount

and must now be written as:

payout -> InterestRatePayout -> floatingAmount

This capitalisation also applies to the CDM's serialisation format (JSON).

Other data type and attribute changes

  • Tradable product:
    • Trade extends TradableProduct instead of containing it as an attribute.
    • The product attribute in TradableProduct can only be a NonTransferableProduct (previously it could be any Product).
  • Removed the following deprecated data types used in the Product Model:
    • Bond
    • ConvertibleBond
    • Equity
    • IdentifiedProduct
    • ObservationSource
    • SecurityPayout
      • Also removed the functions which act upon SecurityPayout.
    • Removed the following deprecated data types related to the deprecated SecurityPayout:
      • SecurityLeg
      • InitialMargin
      • InitialMarginCalculation
      • SecurityValuation
      • SecurityValuationModel
      • BondValudationModel
      • BondPriceAndYieldModel
      • CleanOrDirtyPrice
      • CleanPrice
      • RelativePrice
      • BondEquityModel
      • BondChoiceModel
      • UnitContractValuationModel.
  • Refactoring of ObservationTerms:
    • The two attributes pricingTime and pricingTimeType on ObservationTerms have been renamed observationTime and observationTimeType, respectively.
  • Changes to Transfer:
    • The modelling of Transfer has been refactored to act upon Asset rather than Observable, in line with the definition of Asset as something that can be transferred.
    • TransferBase has been deleted from the model and replaced by AssetFlowBase, which is also extended by the Cashflow type.
  • Refactored eligible collateral
    • AssetCriteria and IssuerCriteria have been replaced by a refactored and combined CollateralCriteria.
    • The qualifier attribute has been removed from AgencyRatingCriteria, as it is now redundant.
    • The data type ListingType has been removed.
  • Security finance:
    • Rename RepoTypeEnum to AssetPayoutTradeTypeEnum.
    • Rename the repoType attribute to tradeType on AssetPayout.

Sample Impact

The changes listed above have significant impact to serialised data when the CDM is represented in JSON. All of the impacted sample files in the FINOS CDM distribution have been updated accordingly.

The following examples are shown here to illustrate these changes:

1. Impact of the refactoring of the Trade - TradableProduct - EconomicTerms hierarchy

This example is of a vanilla interest rate swap. In CDM 5, the structure appeared as follows:

{
  "trade" : {
    "tradableProduct" : {
      "product" : {
        "contractualProduct" : {
          "productTaxonomy" : [ {
            "source" : "ISDA",
            "productQualifier" : "InterestRate_IRSwap_FixedFloat"
          } ],
          "economicTerms" : {
            "payout" : {
              "interestRatePayout" : [ {
                "payerReceiver" : {
                } 
          } ] } }
} } } } }

In CDM 6,

  • tradableProduct and contractualProduct no longer appear as they have been collapsed into product
  • productTaxonomy is now just Taxonomy
  • InterestRatePayout is capitalised as it is now a choice data type

These differences can be seen in this sample:

{
  "trade" : {
    "product" : {
      "taxonomy" : [ {
        "source" : "ISDA",
        "productQualifier" : "InterestRate_IRSwap_FixedFloat"
      } ],
      "economicTerms" : {
        "payout" : [ {
          "InterestRatePayout" : {
            "payerReceiver" : {
	    }
} } ] } } } }

2. Example of a foreign exchange contract using a SettlementPayout

In CDM 5, foreign exchange was represented using a Forward Payout containing a Foreign Exchange underlier (some terms omitted for clarity):

{
  "trade" : {

    "tradableProduct" : {
      "product" : {
        "contractualProduct" : {
          "productTaxonomy" : [ {
            "source" : "ISDA",
            "productQualifier" : "ForeignExchange_Spot_Forward"
          } ],
          "economicTerms" : {
            "payout" : {
              "forwardPayout" : [ {
                "settlementTerms" : {
                  "settlementDate" : {
                    "valueDate" : "2001-10-25",
                },
                "underlier" : {
                  "foreignExchange" : {
                    "exchangedCurrency1" : {

                      },
                      "priceQuantity" : {

                        }
                    },
                    "exchangedCurrency2" : {

                      },
                      "priceQuantity" : {

                        }
                    }
} } ] } } } } } } }

In CDM 6, these trades are represented using a SettlementPayout where the underlier is a cash asset:

{
  "trade" : {
    "product" : {
      "taxonomy" : [ {
        "source" : "ISDA",
        "productQualifier" : "ForeignExchange_Spot_Forward"
      } ],
      "economicTerms" : {
        "payout" : [ {
          "SettlementPayout" : {
             
            "settlementTerms" : {
              "settlementDate" : {
                "valueDate" : "2001-10-25"
              }
            },
            "underlier" : {
              "Observable" : {
                "address" : {
                  "scope" : "DOCUMENT",
                  "value" : "observable-1"
                }
} } } } ] } } } }

The second currency reflected in the tradeLot:

{
   "tradeLot" : [ {
      "priceQuantity" : [ {
        "price" : [ {
          "value" : {
            "value" : 1.48,
            "unit" : {
              "currency" : {
                "value" : "USD"
              }
            },
            "perUnitOf" : {
              "currency" : {
                "value" : "GBP"
              }
            },
            "priceType" : "ExchangeRate"
          }
        } ],
        "quantity" : [ {
          "value" : {
            "value" : 10000000,
            "unit" : {
              "currency" : {
                "value" : "GBP"
              }
            }
          }
        }, {
          "value" : {
            "value" : 14800000,
            "unit" : {
              "currency" : {
                "value" : "USD"
              }
            }
          }
        } ],
        "observable" : {
          "value" : {
            "Asset" : {
              "Cash" : {
                "identifier" : [ {
                  "identifier" : {
                    "value" : "GBP"
                  },
                  "identifierType" : "CurrencyCode"
                } ]
              }
            }
          }
} } ] } ] }

3. Securities Financing

CDM 5 treated both repos and securities lending trades in a similar manner and was unable to differentiate between the two in product qualification.

The modelling typically:

  • qualified all securities financing products as "SecuritiesFinance"
  • consisted of a ContractualProduct with a single InterestRatePayout in the EconomicTerms
  • used a Collateral object with an AssetPayout for the security being either repurchased or lent.

Sample (some terms omitted for clarity):

{
  "trade" : {

    "tradableProduct" : {
      "product" : {
        "contractualProduct" : {
          "productTaxonomy" : [ {
            "source" : "ISDA",
            "productQualifier" : "SecuritiesFinance"
          } ],
          "economicTerms" : {
            "effectiveDate" : {

            },
            "terminationDate" : {
            },
            "payout" : {
              "interestRatePayout" : [ {
                "payerReceiver" : {
                  "payer" : "Party1",
                  "receiver" : "Party2"
                }
				
} ] } } } } } } }

with Collateral (some terms omitted for clarity):

{ 
  "collateral" : {
    "collateralPortfolio" : [ {
      "value" : {
        "collateralPosition" : [ {
          "product" : {
            "contractualProduct" : {
              "economicTerms" : {
                "payout" : {
                  "assetPayout" : [ {
                    "payerReceiver" : {
                      "payer" : "Party1",
                      "receiver" : "Party2"
                    },
                    "assetLeg" : [ {
                      "settlementDate" : {
  
                          },
                      "deliveryMethod" : "DeliveryVersusPayment"
                    }, {
                    "securityInformation" : {
                      "security" : {
                        "productIdentifier" : [ {
                          "value" : {
                            "identifier" : {
                              "value" : "ST001"
                            },
                            "source" : "SEDOL",
                            "meta" : {
                              "globalKey" : "970a835f"
                            }
                          }
                        } ],
                        "securityType" : "Equity"
                       }
} } ] } ] } } } } } ] } } ] } }

3.1 Example of a Repurchase Agreement

CDM 6 offers enhanced support for repurchase agreements, replacing the implementation of securities financing in section 3 above. A repurchase agreement:

  • qualifies as "RepurchaseAgreement"
  • is composed of a Product a single InterestRatePayout in the EconomicTerms to represent the principal payment
  • and a Collateral definition with a TransferableProduct for the asset being exchanged

Example of the product structure (some terms omitted for clarity):

{
  "trade" : {
    "product" : {
      "taxonomy" : [ {
        "source" : "ISDA",
        "productQualifier" : "RepurchaseAgreement"
      } ],
      "economicTerms" : {
        "effectiveDate" : {

          }
        },
        "terminationDate" : {

        },
        "payout" : [ {
          "InterestRatePayout" : {
            "payerReceiver" : {
              "payer" : "Party1",
              "receiver" : "Party2"
            },
            "priceQuantity" : {

            },
            "principalPayment" : {
              "initialPayment" : true,
              "finalPayment" : true,
              "intermediatePayment" : false,
              "meta" : {
                "globalKey" : "12a6f5"
              }
            },
            "rateSpecification" : {
              "FixedRateSpecification" : {
                "rateSchedule" : {
                  "price" : {

                  }
} } } } } ] } } }

and the collateral structure:

{
  "collateral" : {
    "collateralPortfolio" : [ {
      "value" : {
        "collateralPosition" : [ {
          "product" : {
            "TransferableProduct" : {
              "Instrument" : {
                "Security" : {
                  "identifier" : [ {
                    "identifier" : {
                      "value" : "GB00B24FF097"
                    },
                    "identifierType" : "ISIN"
                  } ]
                }
              }
} } } ] } } ] } }

3.2 Example of a Securities Lending trade

CDM 6 offers enhanced support for securities lending, replacing the implementation of securities financing in section 3 above. Securities Lending trades are represented:

  • using a product that qualifies as "SecurityLending"
  • composed of Economic Terms with a single AssetPayout with a Security underlier for the asset being lent
  • with the cash payment modelled within a Collateral object with a transferable product composed of a Cash asset with an InterestRatePayout.
    A non-cash collateral trade would have a Collateral definition with a TransferableProduct for the asset(s) being used as collateral.

This can be seen in this sample (some items omitted for clarity):

{
  "product" : {
    "taxonomy" : [ {
      "source" : "ISDA",
      "productQualifier" : "SecurityLending"
    } ],
    "economicTerms" : {
      "effectiveDate" : {

      },
      "terminationDate" : {

        }
      },
      "payout" : [ {
        "AssetPayout" : {
          "payerReceiver" : {

          },
          "priceQuantity" : {

          },
          "assetLeg" : [ {
            "settlementDate" : {
              "adjustableDate" : {

                },
                "adjustedDate" : {
                  "value" : "2020-09-22"
            },
            "deliveryMethod" : "DeliveryVersusPayment"
          }, 
          "underlier" : {
            "Instrument" : {
              "Security" : {
                "identifier" : [ {
                  "identifier" : {
                    "value" : "ST001"
                  },
                  "identifierType" : "SEDOL"
                } ],
                "instrumentType" : "Equity"
              }
            }
          }

      } ],
      "collateral" : {
        "collateralPortfolio" : [ {
          "value" : {
            "collateralPosition" : [ {
              "product" : {
                "TransferableProduct" : {
                  "Cash" : {
                    "identifier" : [ {
                      "identifier" : {
                        "value" : "USD"
                      },
                      "identifierType" : "CurrencyCode"
                    } ]
                  },
                  "economicTerms" : {
                    "payout" : [ {
                      "InterestRatePayout" : {

                        },
                        "priceQuantity" : {
                          "quantitySchedule" : {

                          }
} } ] } } } } ] } } ] } } } ] } }

Option Payout refactoring

Data types and enumeration changes

  • Removed OptionStyle type and the three option exercise types contained inside it: AmericanExercise, EuropeanExercise, BermudaExercise.
  • Replaced these with new OptionExerciseStyleEnum enumeration with values American, European and Bermuda.
  • Removed OptionExercise type.
  • Replaced these with new ExerciseTerms type, containing:
    • all of the distinct attributes present before in AmericanExercise, EuropeanExercise, and BermudaExercise types,
    • a style attribute of type OptionExerciseStyleEnum,
    • and the exerciseProcedure attribute of type ExerciseProcedure that was previously contained in OptionExercise.
  • Switched exerciseTerms attribute in OptionPayout type to use the new ExerciseTerms type instead of the removed OptionExercise type.
  • Moved the strike attribute previously contained in OptionExercise type to OptionPayout type.
  • Removed americanExercise, europeanExercise, and bermudaExercise attributes from CancelableProvision, ExtendibleProvision, and OptionalEarlyTermination types.

Sample Impact

There are many samples impacted by this change, namely all the samples utilizing the OptionPayout structure. The impact on the three following samples (one European, one American, one Bermuda) is shown to visualize how the refactoring of the OptionPayout affects the structure of the CDM trades:

  • eqd ex04 european call index long form: the OptionStyle has been removed in favor of the the style = "European", and the relevant fields previously under europeanExercise (expirationDate and expirationTimeType). Additionally, the strike is moved from inside exerciseTerms to outside.

From:

"optionPayout": [
    {
        ...
        "exerciseTerms": {
            "optionStyle": {
                "europeanExercise": {
                    "expirationDate": [
                        {
                            "adjustableDate": {
                                "unadjustedDate": "2004-12-19",
                                "dateAdjustments": {
                                    "businessDayConvention": "NONE"
                                }
                            }
                        }
                    ],
                    "expirationTimeType": "OSP"
                }
            },
            "strike": {
                "strikePrice": {
                    "value": 8700,
                    "unit": {
                        "currency": {"value": "CHF"}
                    },
                    "perUnitOf": {"financialUnit": "IndexUnit"},
                    "priceType": "AssetPrice"
                }
            },
            "exerciseProcedure": {
                "automaticExercise": {"isApplicable": true}
            }
        },
        ...
    }
]

To this:

"optionPayout": [
    {
        ...
        "exerciseTerms": {
            "style": "European",
            "expirationDate": [
                {
                    "adjustableDate": {
                        "unadjustedDate": "2004-12-19",
                        "dateAdjustments": {
                            "businessDayConvention": "NONE"
                        }
                    }
                }
            ],
            "expirationTimeType": "OSP",
            "exerciseProcedure": {
                "automaticExercise": {"isApplicable": true}
            }
        },
        "strike": {
            "strikePrice": {
                "value": 8700,
                "unit": {
                    "currency": {"value": "CHF"}
                },
                "perUnitOf": {"financialUnit": "IndexUnit"},
                "priceType": "AssetPrice"
            }
        }
    }
]
  • eqd ex01 american call stock long form: the OptionStyle has been removed in favor of the the style = "American", and the relevant fields previously under americanExercise (commencementDate, expirationDate, latestExerciseTime, expirationTimeType, and multipleExercise). Additionally, the strike is moved from inside exerciseTerms to outside.

From:

"optionPayout": [
    {
        ...
        "exerciseTerms": {
            "optionStyle": {
                "americanExercise": {
                    "commencementDate": {
                        "adjustableDate": {
                            "unadjustedDate": "2001-07-13",
                            "dateAdjustments": {
                                "businessDayConvention": "NONE"
                            }
                        }
                    },
                    "expirationDate": {
                        "adjustableDate": {
                            "unadjustedDate": "2005-09-27",
                            "dateAdjustments": {
                                "businessDayConvention": "NONE"
                            }
                        }
                    },
                    "latestExerciseTime": {
                        "hourMinuteTime": "17:15:00",
                        "businessCenter": {"value": "GBLO"}
                    },
                    "expirationTimeType": "Close",
                    "multipleExercise": {
                        "integralMultipleAmount": 1,
                        "minimumNumberOfOptions": 1,
                        "maximumNumberOfOptions": 150000
                    }
                }
            },
            "strike": {
                "strikePrice": {
                    "value": 32.00,
                    "unit": {
                        "currency": {"value": "EUR"}
                    },
                    "perUnitOf": {"financialUnit": "Share"},
                    "priceType": "AssetPrice"
                }
            },
            "exerciseProcedure": {
                "automaticExercise": {"isApplicable": true}
            }
        }
        ...
    }
]

To this:

"optionPayout": [
    {
        ...
        "exerciseTerms": {
            "style": "American",
            "commencementDate": {
                "adjustableDate": {
                    "unadjustedDate": "2001-07-13",
                    "dateAdjustments": {
                        "businessDayConvention": "NONE"
                    }
                }
            },
            "expirationDate": [
                {
                    "adjustableDate": {
                        "unadjustedDate": "2005-09-27",
                        "dateAdjustments": {
                            "businessDayConvention": "NONE"
                        }
                    }
                }
            ],
            "latestExerciseTime": {
                "hourMinuteTime": "17:15:00",
                "businessCenter": {"value": "GBLO"}
            },
            "expirationTimeType": "Close",
            "multipleExercise": {
                "integralMultipleAmount": 1,
                "minimumNumberOfOptions": 1,
                "maximumNumberOfOptions": 150000
            },
            "exerciseProcedure": {
                "automaticExercise": {"isApplicable": true}
            }
        },
        "strike": {
            "strikePrice": {
                "value": 32.00,
                "unit": {
                    "currency": {"value": "EUR"}
                },
                "perUnitOf": {"financialUnit": "Share"},
                "priceType": "AssetPrice"
            }
        }
    }
]
  • ird ex14 berm swaption: the OptionStyle has been removed in favor of the the style = "Bermuda", and the relevant fields previously under bermudaExercise (bermudaExerciseDates, relevantUnderlyingDate, earliestExerciseTime, and expirationTime).

From:

"optionPayout": [
    {        
        ...    
        "exerciseTerms": {
            "optionStyle": {
                "bermudaExercise": {
                    "bermudaExerciseDates": {
                        "adjustableDates": {
                            "unadjustedDate": [
                                "2000-12-28",
                                "2001-04-28",
                                "2001-08-28"
                            ],
                            "dateAdjustments": {
                                "businessDayConvention": "FOLLOWING",
                                "businessCenters": {
                                    "businessCenter": [
                                        {"value": "EUTA"},
                                        {"value": "GBLO"}
                                    ]
                                }
                            }
                        }
                    },
                    "relevantUnderlyingDate": {
                        "relativeDates": {
                            "periodMultiplier": 2,
                            "period": "D",
                            "dayType": "Business",
                            "businessDayConvention": "NONE",
                            "businessCenters": {
                                "businessCenter": [
                                    {"value": "EUTA"},
                                    {"value": "GBLO"}
                                ]
                            },
                            "dateRelativeTo": {
                                "globalReference": "32e3a858",
                                "externalReference": "bermudaExercise0"
                            }
                        }
                    },
                    "earliestExerciseTime": {
                        "hourMinuteTime": "09:00:00",
                        "businessCenter": {"value": "BEBR"}
                    },
                    "expirationTime": {
                        "hourMinuteTime": "11:00:00",
                        "businessCenter": {"value": "BEBR"}
                    },
                    "meta": {
                        "globalKey": "32e3a858",
                        "externalKey": "bermudaExercise0"
                    }
                }
            },
            "exerciseProcedure": {
                "manualExercise": {
                    "exerciseNotice": {
                        "exerciseNoticeGiver": "Seller",
                        "businessCenter": {"value": "GBLO"}
                    }
                },
                "followUpConfirmation": true
            }
        }
        ...        
    }
]

To this:

"optionPayout": [
    {
        ...
        "exerciseTerms": {
            "style": "Bermuda",
            "exerciseDates": {
                "adjustableDates": {
                    "unadjustedDate": [
                        "2000-12-28",
                        "2001-04-28",
                        "2001-08-28"
                    ],
                    "dateAdjustments": {
                        "businessDayConvention": "FOLLOWING",
                        "businessCenters": {
                            "businessCenter": [
                                {"value": "EUTA"},
                                {"value": "GBLO"}
                            ]
                        }
                    }
                }
            },
            "relevantUnderlyingDate": {
                "relativeDates": {
                    "periodMultiplier": 2,
                    "period": "D",
                    "dayType": "Business",
                    "businessDayConvention": "NONE",
                    "businessCenters": {
                        "businessCenter": [
                            {"value": "EUTA"},
                            {"value": "GBLO"}
                        ]
                    },
                    "dateRelativeTo": {
                        "globalReference": "5c12e2ce",
                        "externalReference": "bermudaExercise0"
                    }
                }
            },
            "earliestExerciseTime": {
                "hourMinuteTime": "09:00:00",
                "businessCenter": {"value": "BEBR"}
            },
            "expirationTime": {
                "hourMinuteTime": "11:00:00",
                "businessCenter": {"value": "BEBR"}
            },
            "exerciseProcedure": {
                "manualExercise": {
                    "exerciseNotice": {
                        "exerciseNoticeGiver": "Seller",
                        "businessCenter": {"value": "GBLO"}
                    }
                },
                "followUpConfirmation": true
            },
            "meta": {
                "globalKey": "5c12e2ce",
                "externalKey": "bermudaExercise0"
            }
        }
    }
]

Misc. renaming or deletion

  • RBA Bond Basis
    • Replaced the codes RBA_BOND_BASIS_QUARTER, RBA_BOND_BASIS_SEMI_ANNUAL and RBA_BOND_BASIS_ANNUAL with the code RBA_BOND_BASIS in DayCountFractionEnum.
    • Mapping added to populate the new code from the FpML code RBA.
  • Portfolio Return Terms
    • Removed [deprecated] attributes below from type PriceReturnTerms:
      • valuationPriceInitial
      • valuationPriceFinal
    • Replaced by existing attributes in PerformancePayout:
      • initialValuationPrice
      • finalValuationPrice
    • Renamed attributes in ValuationDates:
      • initialValuationDate instead of valuationDatesInitial
      • interimValuationDate instead of valuationDatesInterim
      • finalValuationDate instead of valuationDatesFinal
    • Updated Basket type:
      • Renamed portfolioBasketConstituent of type BasketConstituent as simply basketConstituent.
      • Removed [deprecated] basketConstituent attribute, previously of type Product.
  • Natural person
    • Removed the personRole attribute of type NaturalPersonRole from NaturalPerson.
    • Replaced by existing personRole attribute in Party.

Misc. data validation changes

  • Exotic Equity Products and Exercise Terms validation conditions
    • Attribute expirationTime relaxed to be optional (previously mandatory).
    • Attribute expirationTimeType tightened to be mandatory (previously optional).
    • Addition of validation condition ExpirationTimeChoice to establish the correlation between expirationTime and expirationTimeType.
    • Affected samples have been updated to ensure that expirationTimeType is populated as SpecificTime when the expirationTime attribute is populated. See for example: fpml-5-13 > fx-ex09-euro-opt.
Assets 2
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