Publication of FpML Set of Coding Schemes – Catalog Versions 1.125 and 2.0 Working Draft

The International Swaps and Derivatives Association, Inc. (ISDA) has published a new set of FpML Coding Schemes Catalog version 1.125 and re-published the FpML Coding Schemes Catalog versions 2.0-working-draft with the updates below.

A new set of FpML Coding Schemes - Catalog Version 1.125 - has been published on August 05, 2021.

This version includes the following changes compared to Catalog Version 1.124 published August 02, 2021.
The following coding scheme has been updated:

• floatingRateIndexScheme
  • Added new values Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction:
    • GBP-SONIA ICE Term
    • GBP-SONIA Refinitiv Term
    • EUR-EuroSTR Compounded Index.
    • EUR-EuroSTR Average 1W
    • EUR-EuroSTR Average 1M
    • EUR-EuroSTR Average 3M
    • EUR-EuroSTR Average 6M
    • EUR-EuroSTR Average 12M
    • JPY-TONA Compounded Index
    • JPY-TONA Average 30D
    • JPY-TONA Average 90D
    • JPY-TONA Average 180D
    • USD-AMERIBOR Term Structure.
    • USD-SOFR Compounded Index
    • USD-SOFR Average 30D
    • USD-SOFR Average 90D
    • USD-SOFR Average 180D
  • Deprecated usage: the codes have been deprecated in the supplements 36, 38, 45 and 79 to the 2006 ISDA definitions. The codes are kept in FpML for backward compatibility purposes:
    • HKD-HIBOR-HIBOR= (in S79)
    • HKD-HIBOR-HIBOR-Bloomberg (in S79)
    • HKD-Quarterly-Annual Swap Rate-11:00-BGCANTOR (in S79)
    • HKD-Quarterly-Annual Swap Rate-4:00-BGCANTOR (in S79)
    • HKD-Quarterly-Annual Swap Rate-Reference Banks (in S79)
    • HKD-Quarterly-Quarterly Swap Rate-Reference Banks (in S79)
    • HKD-Quarterly-Quarterly Swap Rate-11:00-ICAP (in S79)
    • HKD-Quarterly-Quarterly Swap Rate-4:00-ICAP (in S79)
    • HKD-Quarterly-Annual Swap Rate-11:00-TRADITION (in S79)
    • PHP-PHIREF-BAP (in S45)
    • THB-Semi-Annual Swap Rate-11:00-BGCANTOR (in S38)
    • THB-Semi-Annual Swap Rate-Reference Banks (in S38)
    • USD-SIBOR-SIBO (in S36)
  • Source: ISDA
  • Version changed from 2-36 to 2-37
  • Publication Date: 2021-08-05
• The FpML Set of Coding Schemes version 1.125 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 Catalogs - version 2.0-working-draft has been published on August 05, 2021.

This (enhanced) 2.0 version includes the following changes compared to Catalog version 1.124 published August 02, 2021.

• In addition to the above update, the following coding scheme has been updated:
  • floatingRateIndexScheme
    • Updated the startDate metadata field: for FROs published with 2000 ISDA main book from 2000 to 2000-07-17; for FROs published with 2006 ISDA main book from 2006 to 2007-01-12

The FpML Set of Coding Schemes version 2-0- working-draft 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
The FpML Set of Coding Schemes (enhanced) version 2-0-Working-Draft is distributed on the ISDA website in the Book Store section at: Books – International Swaps and Derivatives Association (isda.org)
The basic and enhanced coding-scheme catalogs version 2-0 Working Draft (WD) compared to the current version 1-125 include metadata which provides additional information about each code. Currently, the catalog 2-0 includes (3 in basic and 5 in enhanced) coding schemes that have metadata fields. ISDA plans to expand the metadata feature to some other coding schemes in the catalog.
The full table of floating-rate-index fields, including metadata fields compares the fields in the basic v. 2.0 vs enhanced v. 2.0 is available HERE.
Thank you, FpML Team