April 5, 2018

ISDA has published the pre-publication draft for the GBP-SONIA-COMPOUND floating rate index

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: <Row>   <Value>       <SimpleValue>GBP-SONIA-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>   In addition, we will deprecate on April 23 the “GBP-WMBA-SONIA-COMPOUND” code. The FpML Team