FpML Issues Tracker

Summary

We request the following code be added to the settlement rate option coding scheme to support FpML representation of Brazilian Real interest rate swaps.

BRL09 is defined by ISDA/EMTA in the Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions available at the following link: http://www.isda.org/publications/pdf/Annex-A-Compendium.pdf

Code: BRL.PTAX/BRL09

The Spot Rate for a Rate Calculation Date will be the Brazilian Real/U.S. Dollar offered rate for U.S. Dollars, expressed as the amount of Brazilian Reais per one U.S. Dollar, for settlement in two Business Days reported by the Banco Central do Brasil on SISBACEN Data System under transaction code PTAX-800 ("Consulta de Cambio" or Exchange Rate Inquiry), Option 5 ("Cotacoes para Contabilidade" or "Rates for Accounting Purposes") by approximately 6:00 p.m., Sao Paulo time, on that Rate Calculation Date.