Publication of FpML Set of Coding Schemes – Catalog Version 1.119

• floatingRateIndexScheme
  • Added new values:
    • USD-AMERIBOR Term - Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
    • USD-BSBY - Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
  • Deprecated value:
    • CNY 7-Repo Compounding Date - deprecated usage: CNY 7-Repo Compounding Date - is not an floating rate index and should not be in the floating-rate-index list (it is a date).
  • Source: ISDA
  • Version changed from 2-32 to 2-33
  • Publication date: 2021-05-06
• assetMeasureScheme
  • Added new value:
    • PackageSpread - Traded price of the entire package in which the reported derivative transaction is a component of a package transaction, as Defined under CFTC Amendments to Part 45. Package transaction price when the price of the package is expressed as a spread, difference between two reference prices.
  • Source: FpML
  • Version changed from 5-5 to 5-6
  • Publication date: 2021-05-06

• organizationTypeScheme (U.S. Federal)
  • Indicates whether a counterparty is an entity established pursuant to a U.S. federal law, including CFTC Amendments to Part 45 (2020). Initial values:
    • Agency - An agency as defined in 5 U.S.C. 551(1), a federal instrumentality, or a federal authority.
    • CharteredEntity - An entity chartered pursuant to federal law after formation (example: an organization listed in title 36 of the U.S. Code).
    • ExecutiveDepartment - An executive department listed in 5 U.S.C. 101.
    • FederallyFundedResearch - A federally funded research and development center on the master list referenced in 48 CFR 35.017-6.
    • GovernmentCorporation - A government corporation (examples: as such term is defined in 5 U.S.C. 103(1) or in 31 U.S.C. 9101).
    • GovernmentSponsoredEnterprise - A government-sponsored enterprise (example: as such term is defined in 2 U.S.C. 622(8)).
    • SpecificEntity - An entity that was established by, or at the direction of, one or more of the entities listed in clause (1), or has an ultimate parent listed in its LEI reference data that is an entity listed in clause.
  • Source: FpML
  • Initial version 1-0 (Draft)
  • Publication date: 2021-05-06