Hello, I am creating a set of validation rules for Interest Rate Derivatives and my query is regarding IRD-10 and IRD-11. Can the two rules be ignored if the roll convention is not numerical? Thank you for the clarification.
Hello, Can any non numeric roll conventions be ignored in Rules IRD-10 and IRD-11 Thank you PiyumiB
In the FpML 4.x series schema the Inflation Swap boolean element fallbackBondApplicable was optional. For example in fpml-ird-4-9.xsd it was defined as: The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8. Omission of this element imples a value of true. The annotation included the last … Continued
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
The FpML Sec WG agreed with the following per leg approach: o BuyerAndSeller.model per Leg: – Annotate the farLeg element with the rule already on the FarRepoTransactionLeg type. – Change the BuyerSeller.model annotation in the RepoTransactionLeg type to “References to the buyer and seller of this leg of the repo contract.” AND – Specify new … Continued
The feeTrade element was added to the FpML schema to support regulatory reporting of novations. It plays no part in the confirm view of novation and should be excluded from schema during its generation. Versions of FpML back to 5.5 should be checked and corrected.
The documentation on the feeTrade element in FeeTrade.model … “Indicates the original trade between the transferor and the remaining party.” … appears to have been copied from oldTrade (in OldTrade.model). It should be corrected to something like.: “Indicates the trade for which a novation fee payment is being made between the transferee and transferor.” Versions … Continued
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
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
From reading the documentation I am not clear on the differences between ACT/365L and ACT/ACT.AFB Is there a best practice when to use ACT/365L? Any markets using it? Thanks very much