September 20, 2019

Floating rate index definitions: EUR-EuroSTR-COMPOUND and certain EONIA updates

The International Swaps and Derivatives Association, Inc. (ISDA) has published the pre-publication draft for the EUR-EuroSTR-COMPOUND floating rate index and revised definitions for the existing EUR-EONIA-OIS-COMPOUND, EUR-EONIA-OIS-COMPOUND-Bloomberg and EUR-EONIA-AVERAGE floating rate indexes. The pre-publication draft is available on the ISDA website [LINK]. The final publication of the new floating rate index is anticipated on October 01.

 

If there are no changes to the ISDA pre-publication draft, we will update the FpML floating rate scheme “http://www.fpml.org/floating-rate-index on October 01 with the following:

<Row>
<Value>
<SimpleValue>EUR-EuroSTR-COMPOUND</SimpleValue>
</Value>
<Value>
<SimpleValue>ISDA</SimpleValue>
</Value>
<Value>
<SimpleValue>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.</SimpleValue>
</Value>
<Value>
<SimpleValue>OIS</SimpleValue>
</Value>
</Row>

There will be no change to the existing EUR-EONIA-OIS-COMPOUND, EUR-EONIA-OIS-COMPOUND-Bloomberg and EUR-EONIA-AVERAGE codes.

The FpML Team