|Date||Title / Description||Documents|
January 27, 2014
ISDAFIX Rate Suspension Guidance Note
Guidance to assist market participants who have outstanding trades that reference any ISDAFIX rate that is currently suspended. Please note that these materials have been prepared and published for informational purposes only and should not be construed as legal, accounting, or other professional advise.
August 22, 2013
Market Practice Statement for EUR LIBOR Rates and EURIBOR Rates For Over The Counter Derivative Transactions
Guidance for parties regarding the determination of Relevant Rates for certain Floating Rate Options for transactions for which August 28, 2013 is a Reset Date in light of the announcement by the British Bankers’ Association (“BBA”) on April 2, 2013 that it would no longer publish euro LIBOR rates on UK bank holidays.
July 15, 2013
Market Practice Guidance for German CPI Rescaling
Guidance for parties to over-the-counter inflation derivative transactions that are affected by the rebasing of German Consumer Price Index (Bloomberg Ref: GRCP2000 as of 1 Jul 2013) as of January 2013.
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.
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.
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)