Enhanced FpML Coding Schemes Catalog Version 2-0 Working Draft

Introduction of the new enhanced coding-scheme catalog version 2-0 Working Draft (WD)*. Compared to the current coding-scheme catalog version 1-124, the key coding-schemes (listed below) used to support 2021 ISDA Definition include metadata which provides additional information about each code. ISDA plans to expand the metadata feature to some other coding schemes in the catalog.

The catalog includes the following key coding schemes with metadata framework:

  • The floating-rate-index v. 3-0 status=working-draft includes:
    • over a 100 new FROs from the 2021 ISDA Matrix to the FpML floatingRateIndexScheme. All new FRO names are using new naming convention.
    • Full (~40 fields) and comprehensive set of metadata, based on the 2021 ISDA FRO Matrix, is available for 2021 floating rate indexes in all currencies, providing
      • Identifications such as whether the FRO is included in the 2006 Definitions/Supplements, or in the 2021 Definitions; which Definition versions the FRO is compatible with ?.
      • 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 HERE.]
  • business-center v. 8-0 status=working-draft, in addition to the 4 character codes of the real geographical business calendar location, includes the FpML format of the rate publication days
  • benchmark-rate v. 1-0  status=working-draft includes full list of benchmark rates, based on the 2021 ISDA Definitions, Section 10.3 Overnight Rate Benchmarks.
  • currency-defaults v. 1-0  status=working-draft includes an explicit list, based on the 2021 ISDA Currency Matrix and includes over a dozen new currencies.
  • rate-administrator v.1-0 status=working-draft includes full list of ISDA Administrators, based on the based on the 2021 ISDA FRO Matrix with the link to their web- home or contact page.

The catalog conveniently includes all other FpML coding-schemes as well, so that all coding schemes can be downloaded in one place.

*A “Working Draft” status generally represents work in progress and a commitment by ISDA to pursue work in a particular area. The label “Working Draft” does not imply consensus within the FpML community about the document. Some formatting changes can be expected in the coding scheme with status=working-draft.

ISDA expects that this data will be updated frequently (weekly/monthly), especially during late 2021.

Please note that, once purchased, the provided link will only be valid for 7 days after purchase and MUST be validated prior to the 7 days. This will ensure that you can download the data as well as receive subsequent updates and new versions throughout the subscription year.

This is an introductory offer for the first year, renewed on an annual subscription basis.

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