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 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
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.
Credit DTCC SDR Data 3 11 13 3PM.pdf
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.
Credit and Rates SDR Liquidity Data Study January 2013.pdf
April 16, 2012
Leap Year Conventions 2012
Industry practice with regards to leap year trading from the ISDA Rates Steering Committee
Leap Year Convensions 2.pdf
March 6, 2012
Linear Interpolation Example
Linear Interpolation formula spreadsheet (March 2012) / Linear Interpolation example (January 2010)
Linear-interpolation-ISDA-rev-030612.xlsx Linear-interpolation-example Jan 2010.pdf