September 28, 2021
ISDA publishes the Recommendation for FpML version 5.12 (build 4)
NEW YORK, September 24, 2021 - The International Swaps and Derivatives Association, Inc. (ISDA) published the Recommendation for Financial products Markup Language (FpML) version 5.12 and Set-of-Schemes version 2-0.
The latest version of FpML – an open-source standard for the exchange of information for the electronic dealing and processing of derivatives – focuses on support for the New 2021 ISDA Definitions. These Definitions are scheduled to begin being adopted by the industry on Oct. 4, 2021. FpML is addressing these changes in several ways. The FpML standard is being enhanced to support several new features, including:
- New cash settlement provisions such as “mid-market valuation” and “replacement value”.
- Modular calculated rates such as Lookback Compound, Observation Shift Compound, and Lockout Compound, along with daily averaged calculations.
- Messaging support for representing when rates have fallen back and how to price those rates.
- Added 25+ new examples to support the above changes in the interest rate and other asset classes:
- Because of the large market transition and as a transition aid, these specific features are also being supported in the newly published Recommendations for older FpML versions, 4.2, 4.3, and 5.5.
- Implementers wishing to add these features to other older versions of FpML are encouraged to follow the guidelines available here [Guidelines - 2021 ISDA Changes to incorporate into FpML 4-x-5-x.pdf].
Other changes comprised the enhancements to support CFTC Amendments to Parts 43/45. In addition, there is added support for Risk-Free Rate Related Structures and other enhancements in Syndicated Loan.
FpML 5.12, 5.5, 4.3 and 4.2 REC(s) are available on the FpML website in the Specifications section at:
On top of this, the new recommendation includes improvements and updates to coding schemes. One of the example of such improvements is publicly available reference data for Floating Rate Options, which, compared to previous information, includes the new 20021 ISDA Floating Rate Options (FROs) names and is enhanced with a comprehensive set of new reference data for the new 2021 FROs, providing information about topics such as:
- which ISDA Definition version is supported,
- mappings between FRO names, and
- various calculation fields
For ISDA published updates to the coding schemes visit : https://www.fpml.org/spec/coding-scheme/index.html or https://www.fpml.org/coding-scheme/
In addition value-added coding schemes with enhanced metadata information (over 40 fields) are available and distributed through the ISDA Bookstore [https://www.isda.org/book/enhanced-fpml-coding-scheme-catalog-version-2-0/].
The FRO metadata provides helpful informational and operational data about FRO in digital, compact, people and machine readable format to make it easier to consume. The ISDA member firms are now able to cross references different types of trading data and minimizes their time and money spent on looking it up. The difference in the benefits of the FRO metadata available in the basic vs enhanced floating-rate-index-3.x of Catalog 2-xis is outlined HERE
For more information on how FpML Support for New 2021 ISDA Definitions and for Frequently Asked Questions, please visit FpML website: [https://www.fpml.org/fpml_focus/fpml-support-for-new-isda-definitions-in-2021/]
FpML is one of a series of initiatives led by ISDA to promote standardization and create efficiencies in derivatives markets.
FpML is the industry standard for derivatives and complex products. A recommendation is the final step in the development process of a version. The latest version of the open-source standard is available on the FpML website: www.fpml.org.