Enhanced FpML Coding Scheme Catalog Version 2-15
Enhanced FpML Coding Scheme Catalog Version 2-15
ISDA has published a new enhanced coding-scheme catalog version 2-15 (effective date: 2023-08-07) which includes the key coding-schemes (listed below), that are used to support legal publications such as the recent revision of Sub-Annex A to the 2005 ISDA Commodity Definitions, or the 2021 Definitions. Additional metadata fields provide additional information about each code in the schemes.
The catalog includes the following key coding schemes:
- The commodity-reference-price v4-0 is introduced in Catalog 2-15 and includes:
- 85 Agricultural CRPs from the revised Sub-Annex A to the 2005 ISDA Commodity Definitions published August 7, 2023.
- All new CRP names are using a new naming convention introduced with version v4-0
- The enhanced scheme includes a comprehensive set of new reference data (a dozen or so fields) providing information about topics such as:
- Asset class – The name of the commodity asset class to which the CRP pertains
- Product – The name of the underlying commodity product that the CRP references
- Price source – The entity that disseminates prices relevant for assessment of the CRP
- Exchange or Benchmark Administrator – The marketplace where the financial instrument related to the CRP is traded or the entity that carries out administrative activities for the benchmark to which the CRP relates
- descriptive features or attributes of a CRP
- The textual definition of the CRP as shown in Sub-Annex A
- The currency in which the CRP is quoted
- The unit of measure in which the CRP is quoted
- Source – The publisher of the CRP
- The version of Sub-Annex A in which the CRP was first added or last updated
- Background: Sub-Annex A to the 2005 ISDA Commodity Definitions contains the definitions of Commodity Reference Prices (CRPs, i.e. commodity benchmarks) that parties can reference in their OTC derivatives contracts. ISDA is conducting a comprehensive update of Sub-Annex A, which has not been updated since its original publication. Such update is being performed one section at a time, starting with Agricultural Products, then the focus will be on the Energy section. In order to facilitate the bilateral creation of CRPs that are not listed in Sub-Annex A, ISDA has formalised a CRP naming convention, which is initially being rolled out to Agricultural Products CRPs on August 7th, 2023.
- The floating-rate-index v3-7 includes:
- The new FROs from the supplements to 2006 ISDA Defs.
- The new FROs from the 2021 Definitions FRO Matrix (including latest Version 9 which covers 2023 Q3 updates). All new FRO names are using a new naming convention introduced in 2021.
- The enhanced includes 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 information about topics such as:
- Which Definition version is supported,
- Mappings between comparable 2006 and 2021 FRO names,
- Various calculation fields. Calculation parameters including categorization of the rate, existence and method of any embedded calculations, fixing time parameters, fixing offset parameters, etc.
- [See full description of the enhanced FRO metadata fields – HERE
- business-center v9-1 includes:
- The unique 4-character string/code of the real geographical business calendar location or FpML format of the rate publication calendar. While the 4 character codes of the business calendar location are implicitly locatable and used for identifying a bad business day for the purpose of payment and rate calculation day adjustments, the rate publication calendar codes are used in the context of the fixing day offsets. It indicates whether the Business center is defined in 2021 ISDA Definitions. In addition to the code, this provides metadata in a form of ISDA legal language and in ISDA legal spelling: City Name and Country Name.
- benchmark-rate v1-3 includes:
- The unique string/code identifying the benchmark rate. The codes from this scheme are used in the elements Cash Settlement provision – 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. It is precise legal code description.
- currency-defaults v1-0-1 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 (e.g. Abu Dhabi); additional provisions (e.g. Section 2.1.9 (Abu Dhabi Days) applies.
- rate-administrator v1-1 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-x coding scheme’s metadata – “Administrator”. This is invaluable, especially, in light of the 2021 FRO names which 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.
The catalog continent includes all other FpML coding-schemes as well, so that all coding schemes can be downloaded in one place.
The catalog is available for download from ISDA MyLibrary as a zip file. After you login to MyLibrary, select “FpML Coding Schemes”. Click the “folder” icon located on the left side menu. The zip file will be revealed for download. It will be updated on a regular basis.
Details of the changes in the catalog can be found in the Technical Notifications Archive
This is an introductory offer, renewed on an annual subscription basis.
ISDA expects that the data will be updated frequently (e.g. monthly or as needed) where appropriate. Over time, ISDA plans to expand the metadata feature to some other coding schemes in the catalog.
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