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Latest compounding supplement
attached (reflecting the change of term from 'Basic' to
'Straight').
Minutes on this
matter:
·
Compounding
A third type of
compounding has been identified, Spread Exclusive
Compounding.
Following this
meeting, and in line with firm feedback this supplement has now been updated to
include formulas for all three methods of compounding.
Originally we
defined “Basic Compounding” as a term in lieu of defaulting to Basic by simply
stating Applicable. This term
has been amended to “Straight Compounding”.
There is also
guidance as to how to incorporate this into your
confirmations.
*Action Point*:
Please find attached the supplement referring to the compounding. Firms to approve as soon as
possible.
From: Claire
Freer [mailto:CFreer@xxxxxxxx]
Sent: 16 June 2009 17:22
Subject: ISDA Operations IRP WG - Minutes
for 11th June 2009 meeting
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ISDA®
International Swaps and Derivatives Association,
Inc. |
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MEMORANDUM
To:
ISDA Operations IRP Working
Group
From: Anna Dunster (adunster@xxxxxxxx) &
Jamie Brigstock
(jamie.brigstock@xxxxxxxxxxxxx)
Date:
June 16th, 2009
Please find attached the
minutes
and
action points from the ISDA Operations Interest Rate Working Group meeting that took
place on the 11th June 2009
We
would like to draw your
attention to one item in particular;
The proposed compounding
supplement has been updated to include formulas for all three methods of
compounding. The publication of this supplement will require
amendment to confirmations templates where compounding
is applicable. Please consider this and revert with
comments.
Kind
Regards
Jamie Brigstock,
Citi
Anna Dunster,
ISDA
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