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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
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.
MAC confirmation form.doc
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
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.
IRS compression progress report - Feb 2012.pdf
October 6, 2011
Standardisation 2010 – Final Interest Rate Derivatives Matrix and Legend
2010 Standardisation Matrix / corresponding legend
Rates_Standardisation Matrix - Final June 2010.pdf Standardization Legend for Rates Final.pdf
September 20, 2011
Cross Asset Standardisation Matrix – 2011 templates
2011 Standardisation Matrix templates for Credit, Equity and Interest Rate Derivatives
Cross Asset Standardisation Matrix - 2011 templates.xls
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