June 1, 2020

CALL FOR PARTICIPATION: FpML Interest Rate Work Stream – 2020 Definitions

ISDA is revising the Interest Rate Definitions and looking to publish a new set of definitions, the “2020 Interest Rate Definitions”, replacing the 2006 Definitions, at the end of this year. The FpML Standards Committee approved the formation of a new FpML Interest Rate work stream within the FpML Cross Asset Class Product Working Group (XAP) to review and address the impact of the changes in the 2020 ISDA Definitions and current market practice on the FpML IR structure.


The group will initially develop a paper with examples that describe the impact of these changes on FpML. In addition the group will be responsible for any IR product model changes.


The kick-off meeting is planned end of May 2020.


To participate in the work stream, please sign up at: the http://www.fpml.org/join-working-groups (Click "Request" to be added to the "FpML-XAPWG: FpML Cross Asset Class Product Working Group")