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November 18, 2022
Publication of a new set of FpML Coding Schemes – Catalog Versions 2-10
The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-10 on November 18, 2022. Below are the changes compared to the previous version 2-9 on July 15, 2022.
The following coding schemes have been added:
clearingExceptionAndExemptionsScheme
New coding scheme.
The reason a trade is exempted from a clearing mandate.
Source: FpML
Version 1.0
Publication Date: 2022-11-18
Units:
Agent-Affiliate - Used to indicate a clearing exception where a firm is hedging and using an agent to do doing the hedging on its behalf.
Cooperative - Clearing exception for certain swaps entered into by cooperatives. In the US, see Regulation 50.51(a) Definition of Exempt Cooperative.
End-User - In the US, see CFTC Final Rule on End-User Exception to Clearing Requirements for Swaps Fact Sheet.
Exception - Used to indicate an exception to a clearing requirement without elaborating on the type of exception.
Inter-Affiliate - In the US, see CFTC Final Rule - Clearing Exemption for Swaps Between Certain Affiliated Entities.
Treasury-Affiliate - In the US, see CFTC No Action Letter 13-22 No Action Relief from the Clearing Requirement for Swaps Entered into by Eligible Treasury Affiliates.
SmallBank - Small bank exemption, as defined in Regulation 50.50(d) in the US.
NoActionLetter - No-action letter.
creditEventTypeScheme
New coding scheme.
Defines a scheme of values for specifying the type of credit event.
Source: FpML
Version 1.0
Publication Date: 2022-11-18
Units:
Bankruptcy - The reference entity has been dissolved or has become insolvent. It also covers events that may be a precursor to insolvency such as instigation of bankruptcy or insolvency proceedings. Sovereign trades are not subject to Bankruptcy as "technically" a Sovereign cannot become bankrupt. ISDA 2003 Term: Bankruptcy.
FailureToPay - This credit event triggers, after the expiration of any applicable grace period, if the reference entity fails to make due payments in an aggregrate amount of not less than the payment requirement on one or more obligations (e.g. a missed coupon payment). ISDA 2003 Term: Failure to Pay.
FailureToPayPrincipal - Corresponds to the failure by the Reference Entity to pay an expected principal amount or the payment of an actual principal amount that is less than the expected principal amount. ISDA 2003 Term: Failure to Pay Principal.
FailureToPayInterest - Corresponds to the failure by the Reference Entity to pay an expected interest amount or the payment of an actual interest amount that is less than the expected interest amount. ISDA 2003 Term: Failure to Pay Interest.
ObligationDefault - One or more of the obligations have become capable of being declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay. ISDA 2003 Term: Obligation Default.
ObligationAcceleration - One or more of the obligations have been declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay (preferred by the market over Obligation Default, because more definitive and encompasses the definition of Obligation Default - this is more favorable to the Seller). Subject to the default requirement amount. ISDA 2003 Term: Obligation Acceleration.
RepudiationMoratorium - The reference entity, or a governmental authority, either refuses to recognise or challenges the validity of one or more obligations of the reference entity, or imposes a moratorium thereby postponing payments on one or more of the obligations of the reference entity. Subject to the default requirement amount. ISDA 2003 Term: Repudiation/Moratorium.
Restructuring - A restructuring is an event that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2003 Term: Restructuring.
GovernmentalIntervention - A governmental intervention is an event resulting from an action by a governmental authority that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2014 Term: Governmental Intervention.
DistressedRatingsDowngrade - Results from the fact that the rating of the reference obligation is downgraded to a distressed rating level. From a usage standpoint, this credit event is typically not applicable in case of RMBS trades.
MaturityExtension - Results from the fact that the underlier fails to make principal payments as expected.
Writedown - Results from the fact that the underlier writes down its outstanding principal amount.
ImpliedWritedown - Results from the fact that losses occur to the underlying instruments that do not result in reductions of the outstanding principal of the reference obligation.
entityClassificationScheme (CFTC)
New coding scheme.
Financial Entity Indicator as defined by the CFTC.
Source: FpML
Version 1.0
Publication Date: 2022-11-18
Units:
SD - A swap dealer as defined in CFTC CEA § 2(h)(7)(C).
SBSD - A security-based swap dealer as defined in CFTC CEA § 2(h)(7)(C).
MSP - A major swap participant as defined in CFTC CEA § 2(h)(7)(C).
MSBSP - A major security based swap participant as defined in CFTC CEA § 2(h)(7)(C).
CommodityPool - A commodity pool as defined in CFTC CEA § 2(h)(7)(C).
PrivateFund - A private fund as defined in section 80b-2(a) of title 15 of the Commodity Exchange Act (CEA).
EmployeeBenefitPlan - An employee benefit plan as defined in paragraphs (3) and (32) of section 1002 of title 29 of the Commodity Exchange Act (CEA).
FinancialSectorPerson - A person predominantly engaged in activities that are in the business of banking, or in activities that are financial in nature, as defined in section 1843(k) of title 12 of the Commodity Exchange Act (CEA).
None - None of the listed in the scheme.
The following coding schemes have been updated:
assetMeasureScheme
New asset measure added:
PackagePrice - Traded price of the entire package in which the reported derivative transaction is a component.
Source: FpML
Version changed from 5-6 to 5-7
Publication Date: 2022-11-18
businessCenterScheme
New center added:
ECGU - Guayaquil, Ecuador
Source: FpML
Version changed from 9-0 to 9-1
Publication Date: 2022-11-18
floatingRateIndexScheme
New FROs added:
CHF-SARON Average 1W
CHF-SARON Average 1M
CHF-SARON Average 2M
CHF-SARON Average 3M
CHF-SARON Average 6M
CHF-SARON Average 9M
CHF-SARON Average 12M
CHF-SARON Compounded Index
EUR-EuroSTR Term
HUF-HUFONIA-OIS Compound
ILS-SHIR
ILS-SHIR-OIS Compound
KRW-KOFR
KRW-KOFR-OIS Compound
MYR-MYOR
MYR-MYOR-OIS Compound
PLN-WIRON
PLN-WIRON-OIS Compound
Updated FROs:
AED-EIBOR
AUD-BBSW
AUD-BBSY Bid
CHF-SARON
CHF-SARON-OIS Compound
DKK-CIBOR
DKK-CIBOR2
DKK-Tom Next-OIS Compound
EUR-EURIBOR
EUR-EURONIA-OIS Compound
EUR-EuroSTR ICE Compounded Index
EUR-EuroSTR ICE Compounded Index 2D Lag
EUR-EuroSTR ICE Compounded Index 5D Lag
EUR-EuroSTR ICE Compounded Index 0 Floor
EUR-EuroSTR ICE Compounded Index 0 Floor 2D Lag
EUR-EuroSTR ICE Compounded Index 0 Floor 5D Lag
GBP-SONIA ICE Compounded Index
GBP-SONIA ICE Compounded Index 2D Lag
GBP-SONIA ICE Compounded Index 5D Lag
GBP-SONIA ICE Compounded Index 0 Floor
GBP-SONIA ICE Compounded Index 0 Floor 2D Lag
GBP-SONIA ICE Compounded Index 0 Floor 5D Lag
GBP-UK Base Rate
ILS-TELBOR
JPY-TONA ICE Compounded Index
JPY-TONA ICE Compounded Index 2D Lag
JPY-TONA ICE Compounded Index 5D Lag
JPY-TONA ICE Compounded Index 0 Floor
JPY-TONA ICE Compounded Index 0 Floor 2D Lag
JPY-TONA ICE Compounded Index 0 Floor 5D Lag
RUB-MosPrime
RUB-RUONIA
RUB-RUONIA-OIS Compound
SEK-SWESTR
USD-BSBY
USD-SOFR ICE Compounded Index
USD-SOFR ICE Compounded Index 2D Lag
USD-SOFR ICE Compounded Index 5D Lag
USD-SOFR ICE Compounded Index 0 Floor
USD-SOFR ICE Compounded Index 0 Floor 2D Lag
USD-SOFR ICE Compounded Index 0 Floor 5D Lag
Deleted FROs:
USD-CRITR (FRO deleted but kept in the coding scheme for reference)
