Supplement number 30 to the 2006 ISDA Definitions (published February 27, 2012) (see http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=600) introduced the new floating rate option of “CNY-SHIBOR-Reuters”. This new code needs to be added to the floating rate index coding scheme. Thanks Guy
The 2006 ISDA Definitions introduced a new explicit “FRA Yield Discounting” discounting method (see Section 8.4 Discountin). This was added primarily to support the discounting method used on AUD and NZD transactions. The DiscountingTypeEnum used across various rates products, e.g. swap and capFloor, to specify valid values in the element doesn’t currently have a value … Continued
The 2006 ISDA Definitions introduced a new explicit “FRA Yield Discounting” discounting method (see Section 8.4 Discounting). This was added primarily to support specification of the discounting method used on AUD and NZD transactions. The FraDiscountingEnum used in the FRA product to specify valid values in the element doesn’t currently have a value defined that … Continued
Supplement number 27 to the 2006 ISDA Definitions (published July 11, 2011) (see http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=536) introduced the new floating rate option of “GBP-WMBA-RONIA-COMPOUND”. This new code needs to be added to the floating rate index coding scheme. Thanks Guy
An additional code value is needed in the settlementRateOptionScheme to support PHP non-deliverable interest rate swap transactions. ISDA published the Asian Currencies Non-Deliverable Swap Transaction Standard Terms Supplement and Fallback Matrix on October 19, 2009. This is available on the ISDA website under ISDA Bookstore > ISDA Interest Rate and Currency Derivative Definitions, Confirmations and … Continued
An additional code value is needed to support JPY inflation swaps referencing the Japan CPI. The Japan CPI was rebased in 2006 (see footnote 2 to the Bank of Japan article http://www.boj.or.jp/en/type/release/teiki/tenbo/gor0610.htm – also copied below for convenience) “In August 2006, the CPI was rebased from a 2000 base to a 2005 base, and year-on-year … Continued
ISDA is in the process of publishing Supplement number 14 to the 2006 ISDA Definitions. A draft is published at http://www.magnetmail.net/images/clients/ISDA/attach/SUPP14DayCountFractionandminoramendmentFINALCLEAN060109.doc This supplement includes the addition of a new day count fraction “Act/365L”. A new Day Count Fraction coding scheme value is required as a result. The FpML code value should be “ACT/365L” and the … Continued
Add new value of TWD.TAIFX1/TWD03 to settlement rate option coding scheme. This is consistent with the definition in the http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=137 (Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions). Note amendments in March 2003 redefined “TWD03” to refer to Reuters page TAIFX1 whereas previously it referred to Reuters page TPFL. … Continued