The DSB requires the entry of underlying Reference Rates based on entries in the current version of the FpML Coding Scheme (eg: “USD-SOFR-COMPOUND”). In order to support conformance to ISO20022, the DSB also maps each FpML Reference Rate to an equivalent ISO Reference Rate value that is determined in the following way:
- Set ISO Reference Rate to the appropriate code (if present) found in the ISO20022 BenchmarkCurveName2Code codeset.
- Else, set ISO Reference Rate to the appropriate code (if present) found in the ISO20022 BenchmarkCurveNameCode codeset.
- Else, construct the ISO Reference Rate value by removing any currency prefix from the FpML Reference Rate and truncating the resultant text to max. 25 chars.
It is assumed that within the ISO20022 standard, BenchmarkCurveName2Code is, and will remain, a subset of BenchmarkCurveNameCode. However, the two code sets have been listed separately in the above methodology in order to recognise their different capacities within the relevant regulations.
This approach is intended to allow for the reference rates currently published by FpML and any additional reference rates that may be added in due course.