Publication of a new set of FpML Coding Schemes – Catalog Versions 2-1

The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-1. Below are the changes compared to the previous version 2-0.    

• The following new coding scheme has been updated:
  • floatingRateIndexScheme
    • Added new 2021 FRO values, as per 2021 ISDA FRO Matrix v.2, by setting the metadata field - "IN 2021 DEFS"=YES. This is both basic and value-added coding schemes’ 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-SONIA ICE Term
      • GBP-SONIA Refinitiv Term
      • INR-Modified MIFOR
      • JPY-TONA Average 30D
      • JPY-TONA Average 90D
      • JPY-TONA Average 180D
      • JPY-TONA Compounded Index
      • JPY-TORF QUICK
      • USD-AMERIBOR Term Structure
      • USD-SOFR Average 30D
      • USD-SOFR Average 90D
      • USD-SOFR Average 180D
      • USD-SOFR CME Term
      • USD-SOFR Compounded Index
    • The new 2021 FRO values include the corresponding metadata fields based on the ISDA 2021 Definition FRO Matrix v2. This is value-added coding scheme’s change:
    • Updated the existing 2021 FROs definitions ( metadata fields, e.g. "UPDATE DATE","LAST UPDATED IN" and a specific field were updated), as per 2021 ISDA FRO Matrix v.2 This is value-added coding scheme’s change:
      • AUD-BBSW Semi Annual Swap Rate ICAP
      • EUR-EURIBOR ICE Swap Rate-12:00
      • GBP-LIBOR ICE Swap Rate
      • GBP-SONIA ICE Swap Rate
      • INR-MIBOR OIS
      • INR-MIBOR-OIS Compound
      • INR-MIFOR
      • JPY-STPR-Quoting Banks
      • RUB-Key Rate CBRF
      • SAR-SAIBOR
      • SGD-SOR
      • THB-THBFIX
      • USD-AMERIBOR Term
      • USD-CMT Average 1W
      • USD-LIBOR ICE Swap Rate-11:00
      • USD-LIBOR ICE Swap Rate-15:00
    • Source: ISDA
    • Version changed from 3-0 to 3-1
    • Publication Date: 2021-10-01
  • businessCenterScheme.
    • Removed INST (India Standard Time) value. Rationale: V2 of the FR Matrix states India Standard (Mumbai) Time – ISDA is not aware of any difference between the time in Mumbai and India Standard Time. This is both basic and value-added coding schemes’ change.
    • Version changed from 8-0 to 8-1
    • Publication Date: 2021-10-01
  • currencyScheme (defaults) - This is value-added coding scheme’s change
    • Updated metadata fields (e.g. "Currency Specific Provision / Rounding of Amounts") for the existing values as per 2021 ISDA Currency Matrix v.2:
      • HKD
      • JPY
      • KRW
    • Version 1-0 - not changed
    • Original publication Date: 2021-08-02

​   Both basic and value-added catalogs continent>>deleted the word 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 2-0 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/index.html [ https://www.fpml.org/spec/coding-scheme/index.html ]

    The value-added FpML Set of Coding Schemes version 2-0 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.3-1 includes:
  • The unique string/code identifying the ISDA Floating Rate Option (FRO). This is both basic and value-added coding scheme​.
• business-center v. 8-0 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