FpML Issues Tracker

985: No CNY floating rate index ?

August 6, 2009

closed

Major

Always

Coding Scheme

Admin

mgratacos

Summary

I can't find any CNY rate index in floating-rate-index scheme. The 2006 ISDA definition supplement 15 lists two : CNY-Semi-Annual Swap Rate-11:00-BGCANTOR, CNY-Semi-Annual Swap Rate-Reference Banks; however Swapswire has another index called CNY-CFXSREPOFIX01-Reuters.. I don't even know if it refers to a valid one based on the most current 2006 definitions. May I suggest that we do a spring cleaning of the floating rate index scheme, and rec against the most current 2006 ISDA defs to see where the gaps are ? I suspect there are more.

Attachments

  • floating-rate-index-2-1.xml

    • Notes:

  • mgratacos

    08/15/09 8:01 am

    I went through all the supplements (1-16) to the 2006 ISDA Definitions and added all new codes introduced there. See attached the updated version of the scheme.

    I couldn’t find the Swapswire one.

  • mgratacos

    09/03/09 7:50 am

    The new version of the scheme has been published http://www.fpml.org/coding-scheme/floating-rate-index-2-1.xml.

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