FpML Issues Tracker

Summary

With the introduction of the 2021 ISDA Interest Rate Derivatives Definitions, a number of new coding scheme values were added into the businessCenterScheme to correspond to the concept of a ‘Publication Calendar Day’ which was a new defined term in the 2021 Definitions. Some examples of these were EUR-ICESWAP, GBP-ICESWAP, USD-ICESWAP, USD-MUNI and ILS-TELBOR.

The new ones added corresponded to the Floating Rate Option (FRO) entries in Version 1 of the 2021 Definitions Floating Rate Matrix which had a Fixing Day definition that referenced the ‘Publication Calendar Day’ term.

For example, for the “ILS-TELBOR” FRO the Fixing Day definition is “Two Publication Calendar Days preceding the Reset Date”.

In Version 7 of the Floating Rate Matrix published on November 18, 2022 two new ILS FROs were introduced – “ILS-SHIR” and “ILS-SHIR-OIS Compound”. Both of these FROs include a reference to a Publication Calendar Day which is explained via a matrix footnote as follows:

“Publication Calendar Days for SHIR are each day other than Saturdays, Sundays and additional dates that are made available on the website of the Bank of Israel as updated from time to time”.

See the Bank of Israel webpage https://www.boi.org.il/en/economic-roles/financial-markets/shir/ for further information on the SHIR Interest Rate and the link at the bottom of that page to the ‘SHIR Non Publication Days’.

On April 16, 2024, the Telbor Committee announced (see https://www.boi.org.il/en/communication-and-publications/press-releases/16-4-20242en/) that the publication of all TELBOR tenors will permanently cease immediately following a final publication on Monday, June 30, 2025. ISDA subsequently published this guidance https://www.isda.org/2024/04/16/telbor-cessation-guidance/ pertaining to the cessation announcement.

We request that FpML add a new code value (e.g. ILS-SHIR) to the businessCenterScheme to correspond to the SHIR Publication Calendar Days. Whilst the TELBOR and SHIR benchmarks broadly follow the same Publication Calendar Days, given that TELBOR will soon cease publication, it is  preferable to have a new code value added so that SHIR transactions using a FpML data representations do not need to include references/codes that appear to refer to the legacy TELBOR benchmark.

Regards

Guy Gurden

OSTTRA - Interest Rate Derivatives

https://osttra.com/services/by-asset-class/rates/