September 10, 2021

ISDA has published FpML 4.2 Trial Recommendation (build 13)

The International Swaps and Derivatives Association, Inc. (ISDA) has published the Trial Recommendation for Financial products Markup Language (FpML) version 4.2 (build 13).


Providing the extent of the changes, ISDA is releasing the additional Trial Recommendation


Changes in version 4.2 TR (build 13) compared to FpML 4.2 TR (build 11) (published August 16, 2021):


  • The build includes the refactoring work that was added to 5.12, but not to 4.2. The 4.2 refactoring is necessary to prevent the Floating Rate Calculation, the Inflation Rate Calculation and the Stub models from including “fallbackRate” and/or “calculationParameters”, as not all these features are applicable. The refactoring also provides additional clarification e.g. the conditioning parameters (“floatingRateMultiplierSchedule”, “spreadSchedule”, “rateTreatment”, “capRateSchedule”, “floorRateSchedule) were grouped into floatingRate.model to be deprecated inside the Stub, as they should not be applied to the stub rate, rather to the original rate. The 4.2 refactoring work is consistent with 5-12 refactoring work, except for the additional changes:
    • Added a new complex type “StubRateCalculation” with the existing elements, plus a new element - fallbackRate, replacing the existing base class within the complex type “Stub”
    • Added a new “floatingRateIndex.model” that groups the existing sequence of “floatingRateIndex” and “indexTenor” to be referenced from different places.
  • In addition, the changes include what has been agreed on the September 1, 2021 Cross Asset Class Product (XAP) Working Group call:
    • Within the MidMarketValuationMethod complex type, changed the maxOccur for element cashSettlementCurrency to 2 (maxOccurs="2").
    • Within CashSettlementMethods2006.model, added missing crossCurrencyMethod.
    • Added more examples to support 2021 ISDA Defs: ird-ex49-rfr-euro-swaption-cash, and ird-ex50-rfr-euro-swaption-cleared-physical_with_met

FpML 4. 2 Trial Recommendation (build 13) is available on the FpML website in the Specifications section at:



FpML Versions 4.2, 4.3 & 5.5 Support:




A solution has been offered in support of three legacy versions of FpML v. 4.2, v.4.3 & v.5.5, ensuring firms are prepared to meet the broader 2021 Definition Implementation timeline & Interest Rate Transition timeline, and is affordable within existing budgets


FpML legacy version support:


The FpML Standards Committee (May 10 2021) adopted the staff-proposed approach to update legacy versions in 2021. This included outlining the boundaries where ISDA would provide support and updates, where members would be expected to support themselves. For example, versions other than 4.2 and 4.3 and 5.5 would be on a member ‘roll your own’ basis – but with guidance notes provided by ISDA.


ISDA has published the trial recommendation in synchronicity with the 2021 ISDA Definitions Implementation Plan. This would permit members a period of a month or two to revert with comments and questions. If there are no issues during the implementation process, ISDA would seek to publish it as a recommendation in mid-September, and therein supporting the overall 2021 Definitions October 2021 milestone.


The recommendation - as follows:




The Standards Committee (March 2021) discussed the merits of supporting the requirement to accommodate changes to FpML version 4.2, in light of the proposed changes brought about by the version 5.12. The Standards Committee (April 2021) discussed the merits of supporting limited updates to versions 4.3 and 5.5, as well as the previously discussed 4.2.


The FpML Standards Committee (April 2021) recognized that some limits and caps may have to be agreed in advance to accommodate and support the above requests, mindful of the constraints of cost, effort and time. This involved:

  • ISDA and interested members work together to identify the differences between relevant versions in advance of the steps outlined below
  • Prioritizing on changes limited to just the schemas (so without full documentation)
  • Focusing upon providing new use examples only, and not updating existing ones
  • Republishing the existing examples with some limited guidance notes to help explain
  • Taken as seen, with no warranty of the validation rules
  • No warranty with respect to providing member specific technical implementation support, both immediate and ongoing
  • Focusing upon 4.2, 4.3 and 5.5 – and all other intermediate versions offered on a member ‘roll your own’ basis only with guidance notes provided
  • Member specific FpML enhanced / custom versions, such as 4.3 and 5.5 will not be directly supported from a member’s customer implementation perspective
  • FpML technical implementation helpdesk related support questions may incur additional charges where the issue is identified as in internal member / member’s client IT issue and not related to the FpML Standard and Governance.

The FpML Team