The International Swaps and Derivatives Association, Inc. (ISDA) has published new sets of FpML Coding Schemes - Catalog version 1.124 and version 2-0-Working-Draft.
FpML Coding Schemes versions Highlights:
The main enhancements compared to the previous version are:
- Introduction of the variations, basic and enhanced, of the new coding-scheme catalog version 2-0 Working Draft (WD)*. Compared to the current version 1-12x, they include metadata which provides additional information about each code. Currently, the catalog 2-0 includes (3 in basic and 5 in enhanced) coding schemes that have metadata fields. ISDA plans to expand the metadata feature to some other coding schemes in the catalog.
- The newly published coding scheme v. 2-0 includes:
- over a 100 new FROs from the 2021 ISDA Matrix to the FpML floatingRateIndexScheme. All new FRO names are using new naming convention.
- The basic version 2-0 includes the basic FRO metadata, to identify whether the FRO is included in the 2006 Definitions/Supplements, or in the 2021 Definitions; to identify which Definition versions the FRO is compatible with.
- The enhanced version 2-0 includes full and comprehensive set of metadata: (over 40 fields), based on the 2021 ISDA FRO Matrix, is available for 2021 floating rate indexes in all currencies, providing calculation parameters including categorization of the rate, existence and method of any embedded calculations, fixing time parameters, fixing offset parameters, etc. [See full description and the differences between basic and enhanced FRO metadata HERE. ]
- Additional coding schemes:
- benchmarkRateScheme (in both, basic and enhanced v.2-0): full list of benchmark rates, based on the 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks.
- currencyScheme (currency-defaults.xml; in enhanced v. 2-0): is an explicit list, based on the 2021 ISDA Currency Matrix and includes over a dozen new currencies.
- rateAdministratorScheme (in enhanced v. 2-0): full list of ISDA Administrators, based on the based on the 2021 ISDA FRO Matrix with the link to their web- home or contact page.
- Both, the current 1.12x version and the new versions 2-0-WD will be published in parallel until mid-September when the FpML 5-12 Recommendation will be published. This would allow not to interrupt current implementations and yet allow the review and testing for the new one.
- *A Working Draft" status generally represents work in progress and a commitment by ISDA to pursue work in a particular area. The label “Working Draft” does not imply consensus within the FpML community about the document. Some formatting changes can be expected in the coding scheme with status=working-draft.
A new set of FpML Coding Schemes - Catalog Version 1.124 - has been published on August 02, 2021.
This version includes the following changes compared to Catalog Version 1.123 published July 22, 2021.
- The following coding scheme has been updated:
- businessCenterScheme
- added new value: AEAB - Abu Dhabi Business Day (as defined in 2021 ISDA Definitions Section 2.1.9 (ii))
- updated descriptions of the existing codes:
- for AEAD code - changed the description of the code to Abu Dhabi Settlement Day (as defined in 2021 ISDA Definitions Section 2.1.9 (i))
- for BRBD code - corrected the description to say – "This means a business day in all of Sao Paulo, Rio de Janeiro or Brasilia". In addition, a note was added to indicate that BRBD should not be used for setting fixing time, instead the city centers (e.g. BRBR, BRRJ, BRSP) should be used, because they are locatable places
- Source: FpML
- Version changed from 7-30 to 7-31
- Publication Date 2021-08-02
- The FpML Set of Coding Schemes version 1.124 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/
A new set of FpML Coding Schemes - Catalog working-draft (basic) version 2-0-Working-Draft has been published on August 02, 2021.
This (basic) version 2-0-WD includes the following changes compared to Catalog version 1.124 published August 02, 2021.
- The following coding scheme has been updated:
- floatingRateIndexScheme
- Added over a 100 new FRO from the 2021 ISDA Matrix.
- Include basic metadata to identify:
- whether the FRO is included in the 2006 Definitions/Supplements, or in the 2021 Definitions;
- which Definition versions the FRO is compatible with;
- In addition, it includes enhanced metadata (including calculation parameters) for 2021 CAD FROs to demonstrate the value added into the enhanced coding scheme version
- Source: ISDA
- Version changed from 2-35 to 3-0
- Status="working-draft”
- Publication Date: 2021-08-02
- businessCenterScheme
- added new value:
- EUR-ICESWAP, ILS-TELBOR, USD-ICESWAP, USD-MUNI and GBP-ICESWAP – new publication calendar days.
- Source: FpML
- Version changed from 7-31 to 8-0
- Status="working-draft”
- Publication Date: 2021-08-02
The following new coding scheme has been added:
- benchmarkRateScheme:
- Full list of benchmark rates, based on the 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks.
- Version 1-0
- Status="working-draft"
- Publication Date: 2021-08-02
The FpML Set of Coding Schemes working-draft version 2-0 can be downloaded on the FpML website in the Specifications section at:
https://www.fpml.org/spec/coding-scheme/codelist_2_0_wd_free_metadata.zip
A new set of FpML Coding Schemes - Catalog (enhanced) version 2-0-Working-Draft - has been published on August 02, 2021.
This (enhanced) version 2-0-WD includes the following changes compared to Catalog version 1.124 published August 02, 2021.
- The following coding scheme has been updated:
- floatingRateIndexScheme
- Added over a 100 new FRO from the 2021 ISDA Matrix.
- Included full and comprehensive set of metadata: (over 40 fields), based on the 2021 ISDA FRO Matrix, is available for 2021 floating rate indexes in all currencies, providing information about topics such as:
- whether the FRO is included in the 2006 Definitions/Supplements, or in the 2021 Definitions;
- which Definition versions the FRO is compatible with;
- whether an FRO has an embedded formula and what type it is.
- various calculation fields, providing calculation parameters including categorization of the rate, existence and method of any embedded calculations, fixing time parameters, fixing offset parameters.
- Source: ISDA
- Version changed from 2-35 to 3-0
- Status="working-draft”
- Publication Date: 2021-08-02
- businessCenterScheme
- added new value:
- EUR-ICESWAP, ILS-TELBOR, USD-ICESWAP, USD-MUNI and GBP-ICESWAP – new publication calendar days.
- Source: FpML
- Version changed from 7-31 to 8-0
- Status="working-draft”
- Publication Date: 2021-08-02
- The following new coding schemes have been added:
- benchmarkRateScheme: full list of benchmark rates, based on the 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks.
- currencyScheme (currency-defaults.xml): is an explicit list, based on the 2021 ISDA Currency Matrix and includes over a dozen new currencies.
- rateAdministratorScheme: full list of ISDA Administrators, based on the based on the 2021 ISDA FRO Matrix with the link to their web- home or contact page.
- 2021 ISDA FRO Matrix with the link to their web- home or contact page.
- All above coding schemes include additional metadata, such as legal definitions.
- Version 1-0
- Status="working-draft"
- Publication Date: 2021-08-02
The FpML Set of Coding Schemes (enhanced) version 2-0-Working-Draft is distributed on the ISDA website in the Book Store section at: Books – International Swaps and Derivatives Association (isda.org)
The full table of floating-rate-index fields, including metadata fields compares the fields in the basic v. 2.0 vs enhanced v. 2.0 is available HERE.
Thank you,
FpML Team |
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