Publication of a new set of FpML Coding Schemes – Catalog Versions 2-0
The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-0. Compared to the previous version 1-x, the 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 catalog includes the following key coding schemes with metadata framework:
- The floating-rate-index v.3-0 includes:
- The unique string/code identifying the ISDA Floating Rate Option (FRO). This is both basic and value-added coding scheme.
- Compared to the previous floating-rate-index v.2-39, it also contains the new FROs from the 2021 ISDA FRO Matrix. All new FRO names are using new naming convention.
- It enhanced with a set of new additional informational metadata for all new 2021 ISDA Floating Rate Options, providing information about topics such as:
- Which Definition version is supported,
- Mappings between comparable 2006 and 2021 FRO names that share a common underlying benchmark .
- The 'OIS' flag (calculation method) that indicates that an OIS formula is embedded in the FRO.
- Mappings between 4-character ISO BenchmarkCurveNameCode(s) and ISDA FROs for regulatory purposes.
- The inLoan"=YES / NO flag is used to flag FROs identified by the FpML Syndicated Loan WG as having underlying benchmark that may also be referenced in syndicated loans. This metadata field also eliminate the redundancy in having Syndicated Loans dedicated subset of ISDA floating rate indexes coding scheme. The loan-floating-rate-index-2-0.xml is now deprecated.
- In addition, the value-added scheme enhanced with a comprehensive set of new reference data (~40 fields) for all new 2021 ISDA Floating Rate Options, based on the 2021 ISDA FRO Matrix, providing helpful informational and operational data about FRO in digital, compact, people and machine readable format to make it easier to consume, such as:
- Various calculation fields. Calculation parameters including categorization of the rate, existence and method of any embedded calculations, fixing time parameters, fixing offset parameters, etc.
- Information on the date and documentation when and where the FRO was added, updated or removed. Knowing what main book or supplement number or matrix version an FRO first appeared or was updated is very helpful, especially for 2006, sometimes finding the Supplement is not trivial
- The ISDA member firms are now able to cross references different types of trading data and minimizes their time and money spent on looking it up.
- The difference in the benefits of the FRO metadata available in the basic vs enhanced floating-rate-index-3.x of Catalog 2-xis is outlined HERE.
- 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.
- In addition to the 4 character codes of the business calendar location for implicitly locatable centers used for identifying a bad business day for the purpose of payment and rate calculation day adjustments, the scheme includes the rate publication calendar codes which are used in the context of the fixing day offsets. In addition to the codes, it provides metadata in a form of ISDA legal language and in in ISDA legal spelling: City Name and Country Name. It also indicates whether the Business center is defined in 2021 ISDA Definitions.
- benchmark-rate-1-0 includes:
- The unique string/code identifying the benchmark rate. This is both basic and value-added coding scheme.
- The codes from this scheme are used in the Physical and Cash Settlement provisions -> agreedDiscountRate and cashCollateralInterestRate, e.g. on Swaptions to differentiate the agreed discount rate between SOFR and Fed Funds. The codes are based on the 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks.
- The value-added code descriptions use precise legal code description.
- 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.
- In addition to the currency code, it includes the following metadata for each currency:
- full name (e.g. United Arab Emirates Dirham),
- synonym (e.g. Emirati Dirham);
- definition (e.g. the lawful currency of the United Arab Emirates;
- businessCenter: Abu Dhabi;
- additional provisions (e.g. Section 2.1.9 (Abu Dhabi Days) applies.
- 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.
- The Administrator name is based on the 2021 ISDA FRO Matrix, column Administrator. The scheme also includes the link to the administrators’ websites. This coding scheme is linked with the floating-rate-index-3-0 coding scheme’s metadata – "Administrator". This is invaluable, especially, in light of the 2021 FRO names were stripped of the "publication source", because this scheme links the FRO name with the Administrator’s information, in case of dispute, ultimately it is the administrator of the rate that resolves any dispute about the correct value to use, so the publication source is not necessary.
Both basic and value-added catalogs continent include all other FpML coding-schemes as well, so that all coding schemes can be downloaded in one place.
The value-added coding schemes 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.