Publication of a new set of FpML Coding Schemes – Catalog Versions 2-3

The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-3 on December 17, 2021. Below are the changes compared to the previous version 2-2 published November 15, 2021.   ​The following new coding scheme has been updated:

• benchmarkRateScheme.
  • Added new benchmark values and the corresponding metadata fields, as per 2021 ISDA Definitions V.4 published on December 16, 2021. This change is for both, basic and value-added coding schemes:
    • MYOR - means the rate based on wholesale unsecured overnight Malaysian Ringgit interbank transactions known as the 'Malaysia Overnight Rate' administered by Bank Negara Malaysia (or any successor administrator).
    • SWESTR - means the Swedish krona Short Term Rate administered by Sveriges Riksbank (or any successor administrator).
  • Removed an existing benchmark value, as per change in 2021 ISDA Definitions V.4 published on December 16, 2021.
    • STIBOR. Rationale: STIBOR is replaced by SWESTR.
  • Source: ISDA
  • Version changed from 1-0 to 1-1
  • Publication Date: 2021-12-17

• currencyScheme (ISDA defaults currency). This is value-added coding scheme
  • Updated "Currency Specific Provision / Rounding of Amounts") metadata field for the existing value, as per 2021 ISDA Currency Matrix v.4 published on December 16, 2021:
    • HKD
  • Source: ISDA
  • Version changed from 1-0 to 1-0-1
  • Publication Date: 2021-12-17

• floatingRateIndexScheme
  • Added new FRO values and the corresponding metadata fields, as per 2021 ISDA FRO Matrix V.4, and Supplements #89, #90 and #91 to 2006 Definitions published on December 16, 2021. The values are added for both, basic and value-added coding schemes, however the comprehensive metadata fields are added only for value-added coding scheme:
    • 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
    • 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
    • SEK-SWESTR
    • SEK-SWESTR Average 1W
    • SEK-SWESTR Average 1M
    • SEK-SWESTR Average 2M
    • SEK-SWESTR Average 3M
    • SEK-SWESTR Average 6M
    • SEK-SWESTR Compounded Index
    • SEK-SWESTR-OIS Compound
    • 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
  • Metadata fields for the existing values, e.g. "UPDATE DATE","LAST UPDATED IN" and a specific field were updated for the existing 2021 FROs and 2006 FROs listed below as per 2021 ISDA FRO Matrix V.4, and Supplements #89, #90 and #91 to 2006 Definitions published on December 16, 2021. This change is only for value-added coding scheme
    • EUR-EuroSTR Average 1W
    • EUR-EuroSTR Average 1M
    • EUR-EuroSTR Average 3M
    • EUR-EuroSTR Average 6M
    • EUR-EuroSTR Average 12M
    • EUR-EuroSTR Compounded Index
    • GBP-LIBOR ICE Swap Rate
    • GBP-SONIA Compounded Index
    • JPY-LIBOR TSR-10:00
    • JPY-LIBOR TSR-15:00
    • JPY-TONA Average 30D
    • JPY-TONA Average 30D
    • JPY-TONA Average 90D
    • JPY-TONA Average 180D
    • JPY-TONA Compounded Index
    • JPY-TSR-Reuters-10:00
    • JPY-TSR-Reuters-15:00
    • USD-AMERIBOR
    • USD-AMERIBOR Average 30D
    • USD-AMERIBOR Average 90D
    • USD-AMERIBOR Term
    • USD-AMERIBOR Term Structure
    • USD-BSBY
    • USD-ISDA-Swap Rate
    • USD-ISDAFIX3-Swap Rate
    • USD-ISDA-Swap Rate-3:00
    • USD-ISDAFIX3-Swap Rate-3:00
    • USD-LIBOR ICE Swap Rate-11:00
    • USD-LIBOR ICE Swap Rate-15:00
    • USD-SOFR Average 30D
    • USD-SOFR Average 90D
    • USD-SOFR Average 180D
    • USD-SOFR Compounded Index
  • Corrected the coding scheme generation script. This change is only basic coding scheme
    • Fixed the issue, that allowed 'Overnight Average' method in the basic coding scheme, by filtering the 'method' data field in basic version so that it is copied only if it contains 'OIS Compound', not other cases.
  • Corrected the coding scheme generation script. This change is only value-added coding scheme
    • Fixed the formatting so that fixingOffsetBusinessCenter is split into multiple elements where there are multiple business centers, instead of being separated by a comma.
    • Fixed the logic so that if alternativeFixingOffsetBusinessCenter is present, it doesn’t duplicate regular fixingOffsetBusinesCenters (i.e. Put the same BC twice). Duplicated 'alternative fixing offset business centers are removed.
  • Source: ISDA
  • Version changed from 3-2 to 3-3
  • Publication Date: 2021-12-17

• matrixTermScheme
  • Added new values as per ISDA Credit Derivatives Physical Settlement Matrix published on July 29, 2021. This change is for both, basic and value-added coding schemes
    • EuropeanLimitedRecourseCorporate - Matrix Transaction Type of EUROPEAN LIMITED RECOURSE CORPORATE.
    • StandardEuropeanLimitedRecourseCorporate - Matrix Transaction Type of STANDARD EUROPEAN LIMITED RECOURSE CORPORATE.
  • Source: FpML
  • Version changed from 3-11 to 3-12
  • Publication Date: 2021-12-17

• rateAdministratorScheme - The administrator names based on the 2021 ISDA Floating Rate Options Matrix and administrator websites.
  • Added new administrator values as per 2021 ISDA FRO Matrix V.4, column "Administrator", published on December 16, 2021 and corresponding administrator website.
    • Bank Negara Malaysia
    • New Zealand Financial Benchmark Facility Limited
    • Sveriges Riksbank
  • Source: ISDA
  • Version changed from 1-0 to 1-1
  • Publication Date: 2021-12-17

​ Both basic and value-added catalogs include all other FpML coding-schemes as well, so that all coding schemes can be downloaded in one place.​   The basic FpML Set of Coding Schemes version 2-3 can be found on the FpML website in the Specifications section at: https://www.fpml.org/spec/coding-scheme/index.html ​ The value-added coding schemes include more comprehensive metadata and are available and distributed through the ISDA Bookstore [https://www.isda.org/book/enhanced-fpml-coding-scheme-catalog-version-2-3/]. The catalog in a form of download (ZIP file) is available for purchase.​ There is an introductory offer for the first year, renewed on an annual subscription basis.   ISDA introduces the new coding-scheme format, which includes metadata. The following 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 floating-rate-index v.3-x includes:
  • The unique string/code identifying the ISDA Floating Rate Option (FRO). This is both basic and value-added coding scheme​.
• business-center v. 8-x 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.
• benchmark-rate-1-x includes:
  • The unique string/code identifying the benchmark rate. This is both basic and value-added coding scheme​.
• currency-defaults v. 1-x 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.
• rate-administrator v.1-x includes:
  • The information about the administrator for the rate or benchmark. This is only present as a value-added coding scheme​.

  Thank you, FpML Team