FpML Issues Tracker

1208: New coding scheme values required for floating-rate-index scheme per Supplement No. 43 to the 2006 ISDA Definitions

November 17, 2014

closed

Feature

N/A

Coding Scheme

ggurden2008

mgratacos

Summary

Supplement Number 43 to the 2006 ISDA Definitions, published on September 5, 2014, provides for the amendment of Section 7.1(j) (Indonesian Rupiah) and Section 7.1(z) (Taiwanese Dollar) and the addition of one new IDR Rate Option "IDR-JIBOR-Reuters" and 2 new TWD Rate Options - "TWD-TAIBOR-Reuters" and "TWD-TAIBOR-Bloomberg

Please see http://www.isda.org/publications/pdf/Supplement%2043%20to%20the%202006%20ISDA%20Definitions.pdf for the full supplement.

Consequently three new values need to be added to the FpML floating-rate-index scheme:

Value: IDR-JIBOR-Reuters

Source: ISDA

Description: Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Value: TWD-TAIBOR-Reuters

Source: ISDA

Description: Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Value: TWD-TAIBOR-Bloomberg

Source: ISDA

Description: Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Notes:

  • mgratacos

    02/10/15 10:29 am

    This is available in http://www.fpml.org/coding-scheme/floating-rate-index-2-12.xml

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