November 15, 2021
Publication of a new set of FpML Coding Schemes – Catalog Versions 2-2
The following new coding scheme has been updated:The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-2 on November 15, 2021. Below are the changes compared to the previous version 2-1 published October 1, 2021.
The following coding schemes have been updated:
-
floatingRateIndexScheme
-
Added new FRO values and the corresponding metadata fields, as per 2021 ISDA FRO Matrix V.3, and Supplements #87 and #88 to 2006 Definitions published on November 10, 2021. The value change is for both basic and value-added coding schemes, however the comprehensive metadata fields are added only for value-added coding scheme:
-
JPY-TONA TSR-10:00
-
JPY-TONA TSR-15:00
-
USD-CRITR
-
USD-SOFR ICE Swap Rate
-
The metadata fields, e.g. "UPDATE DATE","LAST UPDATED IN" and a specific field were updated for the existing 2021 FROs and 2006 FROs listed below as per 2021 ISDA FRO Matrix V.3, and Supplements #87 and #88 to 2006 Definitions published on November 10, 2021. This is only value-added coding scheme’s change
-
EUR-EuroSTR Average 1W
-
EUR-EuroSTR Average 1M
-
EUR-EuroSTR Average 3M
-
EUR-EuroSTR Average 6M
-
EUR-EuroSTR Average 12M
-
EUR-EuroSTR Compounded Index
-
GBP-LIBOR ICE Swap Rate
-
GBP-SONIA Compounded Index
-
JPY-LIBOR TSR-10:00
-
JPY-LIBOR TSR-15:00
-
JPY-TONA Average 30D
-
JPY-TONA Average 30D
-
JPY-TONA Average 90D
-
JPY-TONA Average 180D
-
JPY-TONA Compounded Index
-
JPY-TSR-Reuters-10:00
-
JPY-TSR-Reuters-15:00
-
USD-AMERIBOR
-
USD-AMERIBOR Average 30D
-
USD-AMERIBOR Average 90D
-
USD-AMERIBOR Term
-
USD-AMERIBOR Term Structure
-
USD-BSBY
-
USD-ISDA-Swap Rate
-
USD-ISDAFIX3-Swap Rate
-
USD-ISDA-Swap Rate-3:00
-
USD-ISDAFIX3-Swap Rate-3:00
-
USD-LIBOR ICE Swap Rate-11:00
-
USD-LIBOR ICE Swap Rate-15:00
-
USD-SOFR Average 30D
-
USD-SOFR Average 90D
-
USD-SOFR Average 180D
-
USD-SOFR Compounded Index
-
Source: ISDA
-
Version changed from 3-1 to 3-2
-
Publication Date: 2021-11-15
-
businessCenterScheme.
-
Added a new value This is both basic and value-added coding schemes’ change:
-
UZTA - Tashkent, Uzbekistan.
-
Source: FpML
-
Version changed from 8-1 to 8-2
-
Publication Date: 2021-11-15
Both basic and value-added catalogs include all other FpML coding-schemes as well, so that all coding schemes can be downloaded in one place.
The basic FpML Set of Coding Schemes version 2-2 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/index.html
The value-added coding schemes are available and distributed through the ISDA Bookstore [https://www.isda.org/book/enhanced-fpml-coding-scheme-catalog-version-2-0/]. The catalog is available for download (ZIP file) from the "Resources" section (located on the left side menu of this page). The ZIP file will be updated on a regular basis.
There is an introductory offer for the first year, renewed on an annual subscription basis.
ISDA introduces the new coding-scheme format, which includes metadata. The following key coding-schemes (listed below), that are used to support 2021 ISDA Definitions, include metadata fields which provide additional information about each code in the scheme. ISDA plans to expand the metadata feature to some other coding schemes in the catalog.
-
The floating-rate-index v.3-2 includes:
-
The unique string/code identifying the ISDA Floating Rate Option (FRO). This is both basic and value-added coding scheme.
-
business-center v. 8-2 includes:
-
The unique 4-character string/code of the real geographical business calendar location or FpML format of the rate publication calendar. This is both basic and value-added coding scheme.
-
benchmark-rate-1-0 includes:
-
The unique string/code identifying the benchmark rate. This is both basic and value-added coding scheme.
-
currency-defaults v. 1-0 includes:
-
The unique ISO 3-character currency code identifying the currency, e.g. USD, based on the 2021 ISDA Currency Matrix. This is only present as a value-added coding scheme.
-
rate-administrator v.1-0 includes:
-
The information about the administrator for the rate or benchmark. This is only present as a value-added coding scheme.
Thank you,
FpML Team