ISDA has published the First Working Draft for FpML version 5.12 (Build 1)

The International Swaps and Derivatives Association, Inc. (ISDA) has published the First Working Draft for Financial products Markup Language (FpML) version 5.12.

Changes compared to FpML 5.11 include:

• Interest Rate Derivatives:
• Support for 2021 Definitions: New and revised cash settlement methods for early and mandatory termination swaps, and physically-settled swaptions. Added example of ird-ex49-euro-swaption-cleared-physical-settlement.xml (using enhanced physicalSettlement component)
• Support for new calculation methods for Risk Free Rates, with the ability to distinguish between Lookback and Observation Shift compounding methods. Added eleven examples (ird-ex37-rfr…xml - ird-ex48-rfr-…xml) to support different compounding approaches.
• Support for daily cap and floor rates.
• Cross Asset Class Product Work:
• Refactored all string types, clarifying its usage by using tokens, normalized strings, and string where appropriate.
• Securities Financing:
• Added business validation rules and test cases for Repo and Securities Lending.

The First Working Draft is available on the FpML website in the Specifications section at: https://www.fpml.org/spec/fpml-5-12-1-wd-1/

More information on the coverage and timing of future versions can be found in the FpML roadmap: https://www.fpml.org/docs/roadmap.pdf

Please send us any comments by filling in the form at https://www.fpml.org/issues.

Thank you,

The FpML Team