FpML Issues Tracker

548: “TBILL” should exist in WeeklyRollConventionEnum to support interest rate swaps against USD-TBILL-H.15 index

January 21, 2008

closed

Major

Always

Coding Scheme

ggurden

mgratacos

Summary

"TBILL" should exist in WeeklyRollConventionEnum to support interest rate swaps against USD-TBILL-H.15 index. Currently "TBILL" only exists as a valid value within the RollConventionEnum.

On an interest rate swap with a floating leg referencing the USD-TBILL-H.15 floating rate index the resets occur weekly on the day that the corresponding maturity U.S. Treasury Bills are auctioned. Typically this is Monday but may move to Tuesday on account of U.S. holidays. The weekly resets are averaged within a given calculation period and then paid at the end of the period (typically quarterly).

When resets occur weekly the resetFrequency/weeklyRollConvention element needs to be included with an appropriate value. The value of "TBILL" was specifically created to be used in this element on these types of trades but erroneously appears not to have been included in the WeeklyRollConventionEnum (it has always only been in RollConventionEnum since FpML 1.0).

Notes:

  • mgratacos

    02/07/08 4:28 pm

    The code has been added to versions 4.3, 4.4, and 5.0.

  • lyteck

    02/07/08 4:43 pm

    Updated fpml-enum.xsd for 4.3 Recommendation (and 4.4).

    Added “TBILL” to WeeklyRollConventionEnum

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