| Date | Title / Description | Documents |
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April 24, 2013 | Market Agreed Coupon (MAC) confirmation form Form of confirmation for a Market Agreed Coupon (MAC) contract as an additional choice for market participants who wish to use over-the-counter (OTC) interest rate swaps (IRS) that have common, pre-agreed terms. The MAC confirmation features a range of pre-set terms in such areas as start and end dates, payment dates, fixed coupons, currencies and maturities. |  |
April 2, 2013 | Rates SDR Liquidity Data (January - March 2013) – DATA UPDATE Interest Rate liquidity data based on public information compiled from the DTCC real-time reporting SDR, capturing trading activity from January 1, 2013 through March 26, 2013.
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March 25, 2013 | LIBOR Discontinuations Guidance Industry guidance and associated bilateral Amendment Letter for the discontinuation of certain currencies and maturities of LIBOR as advised by the BBA. | |
March 20, 2013 | Credit Liquidity Data (January - March 2013) - DATA UPDATE Credit data based on public data compiled from the DTCC real-time reporting SDR in the month of January 2013. Update of the document below dated March 4, 2013.
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March 4, 2013 | Credit and Interest Rate Liquidity Data Study (January 2013) Credit and Interest Rate liquidity study based on public data compiled from the DTCC real-time reporting SDR in the month of January 2013. | |
April 16, 2012 | Leap Year Conventions 2012 Industry practice with regards to leap year trading from the ISDA Rates Steering Committee | |
March 6, 2012 | Linear Interpolation Example Linear Interpolation formula spreadsheet (March 2012) / Linear Interpolation example (January 2010) | |
February 23, 2012 | Interest Rate Swaps Compression: A Progress Report Portfolio Compression is a risk reduction practice is conducted in the interest rate swaps (IRS) market. This paper includes: an overview of the compression process, metrics on the significant progress achieved to date, the challenges that need to be met to increase compression by a significant amount, the approaches of four major dealers to maximize benefits and an estimate of what is possible in terms of potential notional that might be compressed.
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October 6, 2011 | Standardisation 2010 – Final Interest Rate Derivatives Matrix and Legend 2010 Standardisation Matrix / corresponding legend | |
September 20, 2011 | Cross Asset Standardisation Matrix – 2011 templates 2011 Standardisation Matrix templates for Credit, Equity and Interest Rate Derivatives | |
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