Interest Rates

Useful documentation, relevant matrices, best practice statements, FAQs, memorandums and other useful material pertaining to the interest rate derivative industry.

 Market Agreed Coupon (MAC) Contract

  • Press Release
  • Current Coupons
    Indicates, by currency and maturity, the coupons currently being traded in the market under the terms of the MAC contract.
  • Confirmation
    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.

Other links:


DateTitle / DescriptionDocuments
January 28, 2016
ICE Swap Rate - Thomson Reuters ISDAFIX Page Discontinuation – Guidance Note
Guidance to assist market participants who have outstanding trades that reference an ICE Swap Rate that is sourced from Thomson Reuters screens , , or . Please note that these materials have been prepared and published for information purposes only and should not be construed as legal, accounting, or other professional advice.
ICE Swap Rate - TR ISDAFIX page discontinuation Guidance v5 FINAL.pdf
December 21, 2015
CFTC response to ISDA’s proposed STP plan
On December 21, 2015, the CFTC responded in agreement with ISDA’s proposal to permit derivatives clearing organizations (DCOs) to accept or reject trades for clearing within 10 minutes of execution on a SEF or a DCM and granted until August 1, 2016 for compliance with the requirement. Furthermore, CFTC staff still expect that the industry will continue to reduce the timeframes for transaction processing and will monitor the industry and may take further action as warranted.
CFTC_STP_Letter.pdf
July 27, 2015
ISDA’s STP plan
On 27th July 2015 ISDA, on behalf of its members, submitted a plan to the CFTC for reducing the Straight Through Processing (“STP”) timeframes for certain interest rate swap contracts executed on SEFs or DCMs with the intention of being cleared.
ISDAs_proposed_plan.pdf
December 19, 2014
ISDAFIX Rate Suspensions - Updated Guidance Note
Updated guidance to assist market participants who have outstanding trades that reference any ISDAFIX rate that is currently suspended. This update reflects the suspension of CHF ISDAFIX from (and including) 22nd December. 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 advice.
ISDAFIX Suspension Guidance_19_Dec_ 14_Update.pdf
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.
ISDAFIX Suspension Guidance FINAL 27 01 14.pdf
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.
FINAL ISDA Market Practice Statement EUR LIBOR EURIBOR 082813 Reset Only.pdf
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.
Market Practice Guidance for GRCP2000 Rescaling FINAL.pdf
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.
formofconfirmMAC.pdf
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.
Rates SDR Liquidity Data Jan through March 2013.pdf
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.
LIBOR Discontinuations Guidelines - FINAL - 25th March CLEAN.pdf ISDA LIBOR BBA Bilateral Amendment Letter FINAL Clean 032513.doc