ISDA has published FpML versions 5.12 and 4.2 Trial Recommendation
In support of the overall ISDA 2021 Definitions initiative, the new FpML Version 5.12 and the legacy FpML Version 4.2, include the following changes:
- The new cash settlement methods included in the ISDA 2021 Definitions, such as the mid-market valuation and the replacement value methods.
- Modular daily calculated rates e.g. lookback compounded and observation period shift calculation rates, that are being developed for the 2006 Definitions and included in the 2021 Definitions.
- Defining fallback rates to help facilitate internal Straight Through Processing.
In addition, Version 5-12 includes several new fields to better support CFTC Amendments to Part 45 regulatory reporting and Loans enhancements.
ISDA 2021 Definitions and FpML
ISDA is introducing new Definitions to address changes in the market, and FpML is supporting that by
Creating new versions of the standard to support new features such as new cash settlement methods, modular calculated rates, and fallback rates
Updating reference data to support the new types of floating rate indexes that are being developed
Helping developers to understand how to support the changes
FpML Support for New ISDA Definitions in 2021
- ISDA 2021 Definitions and FpML
- Support in new FpML versions
- Updated reference data
- Help for developers
ISDA has published FpML versions 5.12 (build 2) and 4.2 (build 9) Last Call Working Draft
May 19, 2021View Announcement
ISDA has published the First Working Draft for FpML version 5.12 (Build 1)
March 29, 2021View Announcement