March 28, 2022
Publication of a new set of FpML Coding Schemes – Catalog Versions 2-6The International Swaps and Derivatives Association, Inc. (ISDA) has published a new basic and enhanced coding-scheme catalog versions 2-6 on March 28, 2022. Below are the changes compared to the previous version 2-5 published February 16, 2022.
The following new coding scheme has been updated:
- Source: FpML
- Version changed from 2-0 to 2-1
- Publication Date: 2022-03-28
- New value added:
- UNDI (Information Not Available. Replaces NTAV)
- Deprecated value:
- NTAV (Information Not Available. Replaced by NTAV)
- New value added:
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 2-6 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]. 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.