Author: ggurden

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 … Continued

The 2008 ISDA Inflation Derivatives Definitions were published Oct 14 2008 See http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=360 We need a corresponding value added to the contractualDefinitions coding scheme. Code: ISDA2008Inflation Source: FpML Description: ISDA 2008 Inflation Derivatives Definitions

“TBILL” should exist in WeeklyRollConventionEnum to support interest rate swaps against USD-TBILL-H.15 index. Currently “TBILL” only exists as a valid value within the RollConventionEnum. On an interest rate swap with a floating leg referencing the USD-TBILL-H.15 floating rate index the resets occur weekly on the day that the corresponding maturity U.S. Treasury Bills are auctioned. … Continued

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 … Continued

Brazilian Real interest rate swaps use an unusual day count fraction for calculation of the fixed amounts. The day count is based on business, not calendar (actual) days and a year is assumed to have 252 days. For example, a Fixed Rate Day Count Fraction definition on a confirmation might read: Calculation Days/252 where Calculation … Continued

To support Brazilian Real interest rate swap FpML representation we need the following additional codes added to the business center coding scheme BRBR – Brasilia BRRJ – Rio de Janeiro

Please can we add the following new business center codes to the coding scheme: LKCO – Colombo (Sri Lanka) PKKA – Karachi (Pakistan) ROBU – Bucharest (Romania) TRIS – Istanbul (Turkey) VNHA – Hanoi (Vietnam) This will ensure we then have all the principal financial centers covered in the coding scheme for the currencies defined … Continued

Following publication of the 2006 ISDA Definitions the floating rate index coding scheme needs to be updated to include the new Rate Options defined within this publication. In the attached XML file I’ve merged the new codes in with the existing codes and updated the descriptions to reflect whether the code is defined in either … Continued

Following publication of the ISDA 2006 Definitions in Jan 2007 an additional code is needed in the contractualDefinitionsScheme. Proposed addition: ISDA2006 FpML ISDA 2006 Definitions Guy Gurden Head of Product Development SwapsWire

The publication of the 2006 ISDA Definitions introduced some additional Day Count Fraction codes (see Section 4.16 Day Count Fraction of the 2006 ISDA Definitions and also the commentary on the 2000 vs 2006 changes on page viii). Specifically: 1. A new Day Count Fraction of “30E/360 (ISDA)” has been added. Suggested FpML coding scheme … Continued