“USD-SOFR-COMPOUND” Floating Rate Options definition

The International Swaps and Derivatives Association, Inc. (ISDA) is discussing the "USD-SOFR-COMPOUND" Floating Rate Options definitions.

If there are no changes to the current ISDA draft, we will update the FpML floating rate scheme "floating-rate-index" on the publication date of the final version (tentatively May 16) with the following:

<Row>
<Value>
<SimpleValue>USD-SOFR-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>