FpML Issues Tracker

1252: GBP SONIA floating rate option code on OIS trades

March 16, 2018

Normal

closed

Tweak

N/A

Interest Rate Derivatives

gary@clarusft.com

iyermakova

Summary

With the upcoming change to the GBP SONIA rates, I wondered if the floating rate option code would change on GBP OIS trades. The current option code is GBP-WMBA-SONIA-COMPOUND. I suspect the WMBA part will be dropped, but have not seen anything public confirming this.

Will the coding schemes be updated?

http://www.fpml.org/coding-scheme/floating-rate-index-2-0.xml

Gary

 

 

Notes:

  • mgratacos

    03/22/18 11:02 am

    Yes, the coding scheme will be added. FpML is waiting for the ISDA legal publication to be final.

    • Karel

      04/09/18 1:39 pm

      See also the recent announcement:
      The International Swaps and Derivatives Association, Inc. (ISDA) has published the pre-publication draft for the GBP-SONIA-COMPOUND floating rate index. The prepublication draft and accompanying FAQ are available on the ISDA website LINK
      The final code will be published on April 23.

      If there are no changes to the ISDA pre-publication draft, we will update the FpML floating rate scheme “floating-rate-index” on April 23 with the following:

      GBP-SONIA-COMPOUND

      ISDA

      Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

      OIS

      In addition, we will deprecate on April 23 the “GBP-WMBA-SONIA-COMPOUND” code.
      The FpML Team

  • lyteck

    04/18/18 11:47 am

    Closed.

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