ISDA has published FpML 4.2 Trial Recommendation (build 11)

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

The Cross Asset Class Product Working Group agreed on September 20th as the publication day of the “Recommendation” versions of the schema.

Based on this timeline, MarkitSERV and those firms who are planning to use FpML with the new features expect their production implementations to be based on the “Trial Recommendation” (TR) schema publication, hence the request to have the below changes reflected in TR version.

Changes in version 4.2 TR (build 11) compared to FpML 4.2 TR (build 10) (published June 17, 2021):

• include fixes reported by FpML implementers:
• Added the ISDA benchmark scheme URI (http://www.fpml.org/coding-scheme/benchmark-rate) as a default URI value within the “BenchmarkRate” complex type definition within the fpml-shared-4-2.xsd file. This coding scheme is currently used in the elements agreedDiscountRate and cashCollateralInterestRate. The URI was not included in the previous TR (build 10), because the coding scheme name and values were still under discussion.
• Made the scheme attribute benchmarkRateScheme mandatory within the “BenchmarkRate” complex type. The change is consistent with the existence of a default URI.
• Within fpml-shared-4-2.xsd, the mutuallyAgreedClearinghouse element within the SwaptionPhysicalSettlement complex type changed to become an optional element (the minOccurs="0"). The optionality was dropped during the removal of one of the choices (predeterminedClearingOrganizationPartyReference) accidently backported from the FpML 5-12 version.

FpML 4. 2 Trial Recommendation (build 11) is available on the FpML website in the Specifications section at: https://www.fpml.org/spec/fpml-4-2-11-tr-5/

FpML Versions 4.2, 4.3 & 5.5 Support:

Summary:

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:

Recommendation:

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