FpML Issues Tracker

Summary

Per the EMTA/ISDA Market Practice statement Recommended EMTA-ISDA Market Practice for BRL CDI Non-Deliverable Interest Rate Swap Transactions published at http://www.isda.org/publications/pdf/SwapsCDsMP1.pdf the definition of a Brazil Business Day is very specific and defined as follows:

Brazil Business Day means a business day in any of Sao Paulo, Rio de Janeiro or Brasilia not otherwise declared as a financial market holiday by the Bolsa de Mercadorias & Futuros (BM&F).

The point to note is that it's a business day in any of Sao Paulo OR Rio de Janeiro OR Brasilia rather than it needing to be a business day in ALL 3 financial centres. Typically when we represent a collection of business centre codes in FpML it's assumed that it must be business day in all the listed centres and in such cases we would use a construct in the FpML instance document such as:

BRSP BRRJ BRBR

Additionally, the relevant cities for Business Day for BRL/USD Valuation Dates for these BRL CDI trades is defined as Brazil Business Day AND New York. So it would be INCORRECT to represent this as:

BRSP BRRJ BRBR USNY

Since this means Sao Paulo AND Rio de Janeiro AND Brasilia AND New York.

We therefore need to create a specific FpML business centre scheme code to signify Brazil Business Day with the meaning as defined above. The proposal is:

Code: BRBD Source: FpML Description: Brazil Business Day. This means a business day in any of Sao Paulo, Rio de Janeiro or Brasilia not otherwise declared as a financial market holiday by the Bolsa de Mercadorias & Futuros (BM&F).

This would allow us to represent a Brazil Business Day in FpML as simply:

BRBD

And then to specify Brazil Business Day and New York would be:

BRBD USNY