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Technical & Implementation Questions

Tagged: Coding Scheme, LIBOR

This topic has 2 replies, 3 voices, and was last updated 5 years, 3 months ago by Anonymous.

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April 5, 2018 at 6:27 am #12209

mxhibbard
Spectator

Folks,

Are we yet in a position to determine what the floating rate scheme code values will be for the various Risk-Free Rate (RFR) benchmarks that are replacing LIBOR etc?

I have a request to implement this in the next month.

Thanks, Mike

June 21, 2018 at 10:34 am #12708

Karel
Spectator

We published the SONIA and SOFR floating rate options in the coding scheme. For others, such as ESTER, we follow closely the work by ISDA legal in defining the new rates. We will propose and update the new code values in parallel with the legal work stream

ESTER:
Consultations: https://www.ecb.europa.eu/paym/initiatives/interest_rate_benchmarks/euro_unsecured_overnight_interest_rate/html/index.en.html
Council decision: https://www.ecb.europa.eu/press/govcdec/otherdec/2018/html/ecb.gc180518.en.html

Karel

October 19, 2020 at 3:57 am #19837

Anonymous
Inactive

There are some tips here DPX
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