FpML Issues Tracker

Summary

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 (aa) and for consequential amendments to Section 6.2(g).

See http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=792 for the full supplement.

As a result 3 new values need to be added to the floatingRateIndexScheme:

Value: SGD-SONAR-OIS-VWAP-COMPOUND

Source: ISDA

Description:

Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Value: SGD-SOR-VWAP

Source: ISDA

Description:

Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Value: SGD-SOR-VWAP-Reference Banks

Source: ISDA

Description:

Per 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Regards Guy Gurden