Add “THB.ABS/THB01” code to settlement-rate-option scheme. Note this hasn’t been published so far in a Supplements to Annex A of the 1998 FX and Currency Option Definitions but this Reuters page is used today on non-deliverable THB interest rate swaps. As an example of its definition search for THB in the following doc http://www.fisn.com/Disclosure/HSBC%20Corp%20Commodity%20Basket%20Note%205Yrs%2011-24-06.pdf The … Continued
The code ‘ILS FXIL/ILS02’ in the settlement-rate-option coding scheme should probably be ‘ILS.FXIL/ILS02’ to be consistent with all the other code values in this scheme.
Please add the following 2 codes to the master confirmation type scheme and update the description for an existing code: New Codes: Code: DJ.CDX.EM Desc: Used for CDS Index trades executed under the Dow Jones CDX Emerging Markets Master Confirmation. Code: DJ.CDX.EM.DIV Desc: Used for CDS Index trades executed under the Dow Jones CDX Emerging … Continued
Per this amendment to Annex A of the 1998 FX and Currency Option Definitions (see http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=139)we request the addition of the code “IDR.ABS/IDR01” to the settlement rate option scheme. The code description would be: The Spot Rate for a Rate Calculation Date will be the Indonesian Rupiah/U.S. Dollar spot rate at 11:00 a.m., Singapore time, … Continued
Per this amendment to Annex A of the 1998 FX and Currency Option Definitions http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=140 we request the addition of the code “MYR.ABS/MYR01” to the settlement rate option scheme. The code description would be: The Spot Rate for a Rate Calculation Date will be the Malaysian Ringgit/U.S. Dollar spot rate at 11:00 a.m., Singapore time, … Continued
Supplement number 20 to the 2000 ISDA Definitions (http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=163) incorporated the ISDA Settlement Matrix into the 2000 Definitions. This removed the need to specify certain terms within each confirmation since they would be incorporated by virtue of referencing the ISDA Settlement Matrix. As a result it is proposed that certain schema constraints are relaxed to … Continued
We would like the capFloor product to be extended to include the existing earlyTerminationProvision element to allow early termination provisions to be captured on caps/floors. An optional earlyTerminationProvision element of type EarlyTerminationProvision should be added to the CapFloor complex type. … … … … Regards Guy Gurden
The fra/indexTenor content model cardinality is incorrect in FpML 4.x versus FpML 1.0/2.0. In FpML 1.0/2.0 the fra/indexTenor cardinality is ‘one or more’ but in FpML 4.x it is ‘zero or one’. The ‘one or more’ cardinality is the correct one since it’s possible to have linear interpolation between 2 different index tenors on a … Continued
For support of long form CDS transactions in FpML an additional code value of “ISDA2003CreditArgentineRepublic” should be added to the contractualSupplementScheme. The description should be “Additional Provisions for the Argentine Republic: Excluded Obligations and Excluded Deliverable Obligations dated December 21, 2005.”. These additional provisions were published by ISDA and are available at www.isda.org under Bookstore/Publications->ISDA … Continued
To support buy-side interest rate swap trading in AUD and NZD where the payment dates follow the last trading day of certain Sydney Futures Exchange (SFE) futures contracts there needs to be 2 new rollConvention enumeration values defined that identify these specific roll date conventions. The rule for calculating AUD “IMM” dates follows the last … Continued