FpML Issues Tracker

983: BRL-CDI code needs to be added in the floating rate index scheme

July 29, 2009

closed

Minor

Always

Coding Scheme

Admin

mgratacos

Summary

In order to fully support Brazilian Non-deliverable IR Swaps, the 'BRL-CDI' code needs to be added to the FpML floating rate index scheme http://fpml.aws.isda.org/coding-scheme/floating-rate-index-2-0.xml

Value: BRL-CDI Description: refers to the Overnight Brazilian Interbank Deposit Rate Annualized known as the average (Media) of the DI-OVER-EXTRA Grupo as published by CETIP (Cmara de Custdia e Liquidao).

Notes:

  • mgratacos

    10/28/09 7:45 am

    SwapsWire and DTCC are already using the code BRL-CDI in their implementations so this should be the standard code for the Brazilian CDI index.

  • mgratacos

    01/18/10 4:37 pm

    The new value has been added to the the floating rate index scheme. The scheme version has been updated to 2-2.

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