IBOR to RFR coding scheme update

[mxhibbard]

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

[Karel]

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

[Anonymous]

There are some tips here DPX

[Author]

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