March 10, 2023

Publication of a new set of FpML Coding Schemes – Catalog Versions 2-12

The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-12 on March 10, 2023. Below are the changes compared to the previous version 2-11 published November 30, 2022.
  • The following coding scheme has been updated:
    • floatingRateIndexScheme
      • Rounding for Overnight Rate Compounding/Averaging: To support changes to the 2021 ISDA Definitions (V8 published March 10), a new “Rounding” column has been added for those Floating Rate Options which apply a specific rounding convention for the purposes of the Overnight Rate Compounding Methods, the Overnight Rate Averaging Methods and the Index Methods (as applicable). This column previously existed in the Compounding/Averaging Matrix, which has now been ‘retired’.
      • The enhanced metadata of 54 existing FRO codes is affected. There are however no changes to the FRO codes themselves compared to the previous version of the coding scheme.
      • Source: FpML
      • Version 3-6
      • Publication Date: 2023-03-10
    • ISDA has updated the enhanced coding-scheme catalog accordingly, to support the latest changes to the 2021 ISDA Definitions, including the metadata fields which provides additional information about each code in the scheme. In this catalog, only the floatingRateIndexScheme has been updated.
    • More information is available at: