Publication of FpML Set of Coding Schemes – Catalog Version 1.115

A new set of FpML Coding Schemes - Catalog Version 1.115 - has been published on June 8, 2020.

This version includes the following changes compared to Catalog Version 1.114 published March 27:

The following coding schemes have been updated:

• floatingRateIndexScheme
  • Added new value: THB-THOR-COMPOUND- Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
  • Style: OIS
  • Source: ISDA
  • Version changed from 2-29 to 2-30
  • Publication date: 2020-06-08
• interpolationMethodScheme
  • Added new value: Linear - Linear Interpolation applicable
  • Source: FpML
  • Deprecated value: LinearZeroYield - value has been deprecated in favor "Linear" as per ISDA 2006 Definitions.
  • Version changed from 1-1 to 1-2
  • Publication date: 2020-06-08

 

The FpML Set of Coding Schemes can be found on the FpML website in the Specifications section at: http://www.fpml.org/spec/coding-scheme/index.html Thank you, FpML Team