The International Swaps and Derivatives Association, Inc. (ISDA) has published a new set of FpML Coding Scheme Catalog version 1.127 and re-published the FpML Coding Scheme Catalog versions 2.0-working-draft with the updates below.
ISDA goal and features of the Coding-Scheme-Catalog-2-0: ISDA is in the process of developing a new format of the coding schemes which include the metadata data (additional information) about each value of the coding scheme. Currently 3 coding scheme in the (basic) Coding-Scheme-Catalog-2-0 and 5 coding scheme in the (enhanced) Coding-Scheme-Catalog-2-0 include additional metadata about each value. The most noticeable example of such is the floating-rate-index coding scheme with Floating Rate Option (FRO) metadata. 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 spend 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.
A new set of FpML Coding Schemes - Catalog Version 1.127 - has been published on August 26, 2021.
This version includes the following changes compared to Catalog Version 1.126 published August 16, 2021.
The following coding schemes have been updated:
- floatingRateIndexScheme
- Added new value: JPY-TORF QUICK - Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
- Source: ISDA
- Version 1-0 (has not changed)
- Publication Date: 2021-08-02 (has not changed)
The FpML Set of Coding Schemes version 1.126 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/index.html
A new set of FpML Coding Schemes - Catalog Version 2.0-working-draft (with basic metadata fields) - has been published on August 26, 2021.
This version includes the following changes compared to Catalog Version 2.0-working-draft (with basic metadata fields) published August 16, 2021.
The following coding schemes have been updated:
- floatingRateIndexScheme
- Added new value:
- JPY-TORF QUICK - Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
- CLP-TNA. Rational: This existing MTA-ISDA value was missing from the floatingRateIndexScheme version 3-0 due to the code generation script error.
- Removed values:
- IDR-INDONIA, MXN-Cetes, PEN-TIS-ON and USD-SOFR ICE Swap Rate. Rationale: None of these names are part of any ISDA Definitions. These values were added in error, due to the code generation script error.
- [for CAD-FROs only] Updated firstDefinedIn and lastUpdatedIn metadata fields:
- Replaced the ISDA Definitions year numbers(e.g. “2006”, “2000”) with code used in the contractualDefenitionScheme (e.g. “ISDA2006”, “ISDA2000”). Rationale: to make the code more explicit.
- Replaced the ISDA FRO Matrix value - “M1” (for Matrix version 1) with more descriptive value, "FRO-M-V1”. Rationale: to narrow down to a specific FRO Matrix and version.
- Updated iso20022 (BenchmarkCurveNameCode) metadata field:
- Added "N/A" value to those fields where mapping is not applicable, e.g. self-compounded FROs.
- Those mappings that need additional verifications a question mark was added to the iso20022 code or replaced the iso20022 code. Rationale: there are a lot of assumptions and unverified decisions. Note: The iso20022 codes that have question marks will be removed from the final publication on September 20th if left unverified.
- Updated InLoan metadata fields:
- A dozen or so FROs were flagged with "YES" value, as being referenced in syndicated loans.
- Those FROs that are not referenced in syndicated loans were flagged "NO" value.
- Version 3-0 (has not changed)
- Status="working-draft"
- Publication Date: 2021-08-02 (has not changed)
The following new coding scheme has been updated:
- benchmarkRateScheme
- Replaced "Fed Funds" with "EFFR" value. Updated description of "EFFR" value to: " 'EFFR' or 'Fed Funds' per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks."
- Updated description of "STIBOR" value to: "Per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks. What is defined as 'SEK OIS' in the 2006 ISDA Collateral Cash Price Matrix."
- Updated description of "TONA" value to: "Per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks. What is defined as 'TONAR' in the 2006 ISDA Collateral Cash Price Matrix."
- Version 1-0 (has not changed)
- Status="working-draft"
- Publication Date: 2021-08-02 (has not changed)
The FpML Set of Coding Scheme Catalog version 2-0- working-draft (with basic metadata fields) 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 CAD-FRO with the full metadata sample is included in this catalog to demonstrate the benefits of the Enhanced Catalog version 2-0-working-draft. Note: To demonstrate the value of the Enhanced Catalog Version 2-0, the A CAD-FRO with the full metadata sample is included in this free version of Catalog 2-0 published]
A new set of FpML Coding Schemes - Catalog Version 2.0-working-draft (with enhanced metadata fields) - has been published on August 26, 2021.
This version includes the following changes compared to Catalog Version 2.0-working-draft (with enhanced metadata fields) published August 16, 2021.
The following coding schemes have been updated:
- floatingRateIndexScheme
- Added new value:
- JPY-TORF QUICK - Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
- CLP-TNA. Rational: This existing MTA-ISDA value was missing from the floatingRateIndexScheme version 3-0 due to the code generation script error.
- Removed values:
- IDR-INDONIA, MXN-Cetes, PEN-TIS-ON and USD-SOFR ICE Swap Rate. Rationale: None of these names are part of any ISDA Definitions. These values were added in error, due to the code generation script error.
- Updated firstDefinedIn and lastUpdatedIn metadata fields:
- Replaced the ISDA Definitions year numbers(e.g. “2006”, “2000”) with code used in the contractualDefenitionScheme (e.g. “ISDA2006”, “ISDA2000”). Rationale: to make the code more explicit.
- Replaced the ISDA FRO Matrix value - “M1” (for Matrix version 1) with more descriptive value, "FRO-M-V1”. Rationale: to narrow down to a specific FRO Matrix and version.
- Updated iso20022 (BenchmarkCurveNameCode) metadata field:
- Added "N/A" value to those fields where mapping is not applicable, e.g. self-compounded FROs.
- Those mappings that need additional verifications a question mark was added to the iso20022 code or replaced the iso20022 code. Rationale: there are a lot of assumptions and unverified decisions. Note: The iso20022 codes that have question marks will be removed from the final publication on September 20th if left unverified.
- Updated InLoan metadata fields:
- A dozen or so FROs were flagged with "YES" value, as being referenced in syndicated loans.
- Those FROs that are not referenced in syndicated loans were flagged "NO" value.
- Version 3-0 (has not changed)
- Status="working-draft"
- Publication Date: 2021-08-02 (has not changed)
- The following new coding scheme has been updated:
- benchmarkRateScheme
- Replaced "Fed Funds" with "EFFR" value. Updated description of "EFFR" value to: " 'EFFR' or 'Fed Funds' per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks."
- Updated description of "STIBOR" value to: "Per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks. What is defined as 'SEK OIS' in the 2006 ISDA Collateral Cash Price Matrix."
- Updated description of "TONA" value to: "Per 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks. What is defined as 'TONAR' in the 2006 ISDA Collateral Cash Price Matrix."
- Version 1-0 (has not changed)
- Status="working-draft"
- Publication Date: 2021-08-02 (has not changed)
The FpML Set of Coding Scheme Catalog version 2-0-working-draft (with enhanced metadata fields) is distributed on the ISDA website via the Book Store at: https://www.isda.org/books/#jump-3 [The data can be found under “FpML & Miscellaneous ISDA Document” section by selecting the link titled: “Enhanced FpML Coding Schemes Catalog Version 2-0 Working Draft”.
Note: To demonstrate the added value of the Enhanced Catalog Version 2-0, the A CAD-FRO with the full metadata sample is included in the free Catalog version 2-0-working-draft published on the FpML website see the link above]
Thank you,
FpML Team |
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