FpML Issues Tracker

Summary

An additional code value is needed to support JPY inflation swaps referencing the Japan CPI. The Japan CPI was rebased in 2006 (see footnote 2 to the Bank of Japan article http://www.boj.or.jp/en/type/release/teiki/tenbo/gor0610.htm - also copied below for convenience)

"In August 2006, the CPI was rebased from a 2000 base to a 2005 base, and year-on-year figures back as far as January 2006 were revised retroactively. This rebasing caused the year-on-year rate of increase in the CPI from January 2006 to July to decline by around 0.5 percentage point on average. However, the difference between the 2000-base CPI and the 2005-base CPI is expected to decrease in the future, as most of the effects stemming from changing the calculation methods for, for instance, mobile telephone charges, will disappear after the first year. Given this, the basic view on the CPI in the current projection remains the same as that in the April projection, which was based on the 2000-base CPI."

The Bloomberg source page of JCPNGENF which exists in the current coding scheme apparently references the original (non-rebased) CPI. The rebased CPI index is published on the Bloomberg page JCPNJGBI.

The request is therefore to add the following additional value to the coding scheme:

JCPNJGBI Bloomberg Bloomberg Screen JCPNJGBI.