Author: ggurden2008

1376: Request to add a new code value to the businessCenterScheme to correspond to the proposed ISDA defined term for “New Zealand Business Day” being introduced in the 2021 ISDA Interest Rate Derivatives Definitions

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On December 7, 2023, the New Zealand Financial Markets Association (NZFMA) launched a consultation (see https://www.nzfma.org/Site/consultations/business_day_conventions.aspx) on changes to NZFMA’s Business Day Definition and adoption of a single financial centre calendar for New Zealand’s wholesale financial markets. The NZFMA is now moving towards an implementation phase for this change, and ISDA, through consultation with the … Continued

1374: Request to add a new code value (e.g. ILS-SHIR) to the businessCenterScheme to correspond to the SHIR Publication Calendar Days

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With the introduction of the 2021 ISDA Interest Rate Derivatives Definitions, a number of new coding scheme values were added into the businessCenterScheme to correspond to the concept of a ‘Publication Calendar Day’ which was a new defined term in the 2021 Definitions. Some examples of these were EUR-ICESWAP, GBP-ICESWAP, USD-ICESWAP, USD-MUNI and ILS-TELBOR. The … Continued

1216: New coding scheme values required for floating-rate-index scheme per Supplement No. 47 to the 2006 ISDA Definitions

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Supplement Number 47 to the 2006 ISDA Definitions, published on March 23, 2015, provides for the addition of two new rates: i) A new rate “INR-FBIL-MIBOR-OIS-COMPOUND”, whereby the reference rate for the calculation of interest will be the new Mumbai inter-bank volume weighted average overnight traded rate; (ii) A new rate “JPY-TIBOR-TIBM” which will merge … Continued

1208: New coding scheme values required for floating-rate-index scheme per Supplement No. 43 to the 2006 ISDA Definitions

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Supplement Number 43 to the 2006 ISDA Definitions, published on September 5, 2014, provides for the amendment of Section 7.1(j) (Indonesian Rupiah) and Section 7.1(z) (Taiwanese Dollar) and the addition of one new IDR Rate Option “IDR-JIBOR-Reuters” and 2 new TWD Rate Options – “TWD-TAIBOR-Reuters” and “TWD-TAIBOR-Bloomberg Please see http://www.isda.org/publications/pdf/Supplement%2043%20to%20the%202006%20ISDA%20Definitions.pdf for the full supplement. Consequently … Continued

1207: New coding scheme values required for floating-rate-index scheme per Supplement No. 25 to the 2006 ISDA Definitions

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Supplement Number 25 to the 2006 ISDA Definitions, published on December 1, 2010, provides for the amendment of Section 7.1(z) (Taiwanese Dollar) and the addition of two new TWD Rate Options “TWD-TAIBIR01” and “TWD-TAIBIR02”. Please see http://www.isda.org/publications/pdf/Supplement-No-25-to-2006Defs.pdf for the full supplement. Consequently two new values need to be added to the FpML floating-rate-index scheme: Value: … Continued

1184: New coding scheme values required for floatingRateIndexScheme for Supplement No. 35 to the 2006 ISDA Definitions

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ISDA has published Supplement number 35 to the 2006 ISDA Definitions. (published August 29, 2013, effective as of October 1, 2013) Supplement No. 35 to the 2006 ISDA Definitions provides for the deletion of “IDR-SOR-Reuters”, “SGD-SOR-Reuters”, SGD-SOR-Reference Banks” “SGD-SONAR-OIS-COMPOUND” and “THB-SOR-Reuters” and the addition of “SGD-SOR-VWAP”, “SGD-SOR-VWAP-Reference Banks” and “SGD-SONAR-OIS-VWAP-COMPOUND” under Section 7.1(j), (t) and … Continued

1178: New coding scheme values required for settlementRateOptionScheme to support ABS financial benchmark changes

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The Association of Banks in Singapore (ABS), in consultation with the Singapore Foreign Exchange Market Committee (SFEMC) had on June 14, 2013, announced a number of changes to the ABS financial benchmarks in order to enhance the robustness, transparency and efficiency of the benchmark contribution process in Singapore. The joint ABS and SFEMC press release … Continued