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August 17, 2021
Publication of FpML Set of Coding Schemes – Catalog Versions 1.126 and 2.0 Working Draft
The International Swaps and Derivatives Association, Inc. (ISDA) has published a new set of FpML Coding Schemes Catalog version 1.126 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 1.126 - has been published on August 16, 2021.
This version includes the following changes compared to Catalog Version 1.125 published August 05, 2021.
The following coding schemes have been updated:
The order of the root attributes has changed as a result of a different effect of the Saxon version change. The order of the attributes in XML should not impact their processing.
The FpML Set of Coding Schemes version 1.126 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/index.htmlA new set of FpML Coding Schemes - Catalog Version 2.0-working-draft (with basic metadata fields) - has been published on August 16, 2021.
This version includes the following changes compared to Catalog Version 2.0-working-draft (with basic metadata fields) published August 05, 2021.
The following coding schemes have been updated:
The order of the root attributes has changed as a result of a different effect of the Saxon version change. The order of the attributes in XML should not impact their processing.
floatingRateIndexScheme
Added metadata fields:
'ISO Code' - 4-character ISO BenchmarkCurveNameCode(s) mapped to ISDA FROs for Regulatory purposes. e.g. "BBSW" ISO code is mapped to "AUD-BBSW" FRO.
'In Loan' - YES / NO to flag FROs identified by the FpML Syndicated Loan WG as having underlying benchmark that may also be referenced in syndicated loans, e.g. YES. This metadata field aims to replace the existing Syndicated Loans subset of ISDA floating rate indexes (loan-floating-rate-index.)
(For CAD-FROs only) 'First Defined In' - The supplement or version the FRO was first added to the 2006 Definitions or 2021 Floating Rate Matrix. e.g. S52
(For CAD-FROs only) 'Last Updated Supplement' - 2006 ISDA Defs and 2021 Floating Rate Matrix. The supplement or version the FRO was last updated in the 2006 Definitions or 2021 Floating Rate Matrix. e.g. S36
Removed mapping between RFROs UNDER THE 2006 DEFIS and FROs UNDER THE 2021 DEFS:
2006 FRO JPY-TIBOR-TIBM (All Banks) and 2021 FRO JPY-TIBOR-TIBM. Rationale: "JPY-TIBOR-TIBM (10 Banks)" code has been deprecated in supplement 47 to the 2006 ISDA definitions.
Version 3-0 (has not changed)
Status="working-draft"
Publication Date: 2021-08-02 (has not changed)
The FpML Set of Coding Scheme Catalog version 2-0- working-draft (with basic metadata fields) 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.zipA new set of FpML Coding Schemes - Catalog Version 2.0-working-draft (with enhanced (~40) metadata fields) - has been published on August 16, 2021.
This version includes the following changes compared to Catalog Version 2.0-working-draft (with enhanced metadata fields) published August 05, 2021.
The following coding schemes have been updated:
The order of the root attributes has changed as a result of a different effect of the Saxon version change. The order of the attributes in XML should not impact their processing.
floatingRateIndexScheme
Added metadata fields:
'First Defined In' - The supplement or version the FRO was first added to the 2006 Definitions or 2021 Floating Rate Matrix. e.g. S52
'Last Updated Supplement' - 2006 ISDA Defs and 2021 Floating Rate Matrix. The supplement or version the FRO was last updated in the 2006 Definitions or 2021 Floating Rate Matrix. e.g. S36
Removed mapping between RFROs UNDER THE 2006 DEFIS and FROs UNDER THE 2021 DEFS:
2006 FRO JPY-TIBOR-TIBM (All Banks) and 2021 FRO JPY-TIBOR-TIBM. Rationale: "JPY-TIBOR-TIBM (10 Banks)" code has been deprecated in supplement 47 to the 2006 ISDA definitions.
Version 3-0 (has not changed)
Status="working-draft"
Publication Date: 2021-08-02 (has not changed)
The FpML Set of Coding Scheme Catalog version 2-0-working-draft (with enhanced metadata fields) is distributed on the ISDA website via the Book Store at: https://www.isda.org/books/#jump-3
[The data can be found under “FpML & Miscellaneous ISDA Document” section by selecting the link titled: “Enhanced FpML Coding Schemes Catalog Version 2-0 Working Draft”.
A CAD-FRO with the full metadata sample is included in the free Catalog version 2-0-working-draft (with basic metadata fields) published on the FpML website see the link above]
Background:
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.
The basic and enhanced coding-scheme catalogs version 2-0 Working Draft (WD) compared to the current version 1-12x 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.
Thank you,FpML Team
