Interest Rate Derivatives (IRD) Products Working Group
- To extend the current FpML standard to define data elements to be used for supporting trade reporting and other business processes for IRD. The scope for version 5.10 is driven by gradually reducing the use of the generic product and standardize as much as possible.
Chairs of Working Group
Harry McAllister (BNP Paribas)
See section 1 of a particular Recommendation for the list of contributors.
Scope: For version 5.10, the IRD Working Group will address the following, in order of priority:
- Discussion on ICE floating rate indices and ISDA fixed rate.
- Reviewing/updating http://www.fpml.org/coding-scheme/floating-rate-index
- Validate that the following products are fully covered in FpML, create examples for each product variant listed below.
- Interest Rate Inflation Swap Fixed Float Year on Year
- Interest Rate Inflation Swap Basis Zero Coupon
- Interest Rate Inflation CapFloor Fixed Float Year on Year
- Interest Rate Inflation CapFloor Basis Zero Coupon
- Expanding the Rates coverage by gradually standardizing the product features which are currently reported using the generic product. Initial list for discussion.
- Inflation cap/floor (see above)
- Digital cap/floor
- Index spread/spread options
- Range accrual payoff
- ICE floating rate index list.
- Generic product representation of the Inflation CapFloor and other products the group considers for standardization; participants’ proposals
- ESMA and CFTC requirements
The scope of this working group is limited to version 5.10 of the FpML standard. Version 5.10 is expected to become a Recommendation in Q2 2017. Any expansion of the scope beyond the above mentioned will require Standards Committee approval.
Meeting Schedule: The group meets will be adhoc and as required with initial discussion via the group, for one hour, conference calls primarily.
Rules of Operation: The working group will adopt the FpML Working Group Rules of Operation. These outline best-practices for meetings, managing member participation, reaching group consensus and voting.
Estimated time commitment from Participants: Members should be prepared to commit approximately 1 to 4 hours per week, depending on the role of the participant, for meeting participation and document review. Full members must have the agreement and support of their management before signing up to the Working Group.
Target Participants: Business analysts, technical architects, business specialists.