FpML Issues Tracker

Summary

Supplement Number 47 to the 2006 ISDA Definitions, published on March 23, 2015, provides for the addition of two new rates:

i) A new rate "INR-FBIL-MIBOR-OIS-COMPOUND", whereby the reference rate for the calculation of interest will be the new Mumbai inter-bank volume weighted average overnight traded rate;

(ii) A new rate "JPY-TIBOR-TIBM" which will merge and replace the three existing benchmarks, i.e. "JPY-TIBOR-TIBM (10 Banks)", "JPY-TIBOR-TIBM (5 Banks)", and "JPY-TIBOR-TIBM (All Banks)".

Please see http://www.isda.org/publications/pdf/Supplement_47_to_2006_ISDA_Definitions.pdf for the full supplement.

Consequently two new values need to be added to the FpML floating-rate-index scheme:

Value: INR-FBIL-MIBOR-OIS-COMPOUND

Source: ISDA

Description: Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Value: JPY-TIBOR-TIBM

Source: ISDA

Description: Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.