Interest Rate Derivatives (IRD) Products Working Group

Group Information

Mission:

  • 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)

Participants

See section 1 of a particular Recommendation for the list of contributors.

Group Charter

Scope: For version 5.10, the IRD Working Group will address the following, in order of priority:

  1. Discussion on ICE floating rate indices and ISDA fixed rate.
    1. Reviewing/updating http://www.fpml.org/coding-scheme/floating-rate-index
  1. Validate that the following products are fully covered in FpML, create examples for each product variant listed below.
    1. Interest Rate Inflation Swap                   Fixed Float          Year on Year
    2. Interest Rate Inflation Swap                   Basis                      Zero Coupon
    3. Interest Rate Inflation CapFloor           Fixed Float          Year on Year
    4. Interest Rate Inflation CapFloor           Basis                      Zero Coupon
  1. Expanding the Rates coverage by gradually standardizing the product features which are currently reported using the generic product. Initial list for discussion.
    1. Inflation cap/floor (see above)
    2. Digital cap/floor
    3. Index spread/spread options
    4. Range accrual payoff

Initial Inputs:

  • 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.

Milestones

Date for completion

Initial kick-off meeting with updates on change of the administrators for – floating rate index and fixed rate
October, 2016
Scope and priority
October, 2016
Review / update floating rate index list
October, 2016
Review of Inflation Swap representation with the SC
Q4 2016
Initial Working Draft Published (5.10 working draft 2)
Q1 2017

Mailing List