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
May 11, 2011
ISDA Announces Interest Rate Derivatives Trade Repository Selection
Press Release
InterestRatesRepositorySelection.pdf
March 23, 2011
Questions received by ISDA on the RFP for the Interest Rate Derivatives Trade Repository and answers provided
RFP-for-the-Interest-Rate-Derivatives-Trade-Repository-Questions_Received_and_Answers23.03.11.pdf
March 14, 2011
Request for Proposal: Interest Rate Derivatives Trade Repository
RFP
Rates-Trade-Repository-RFP-draft-FINALfinal _2_.pdf
July 7, 2010
Electronic Novation Consent
Note from the Rates Steering Committee
Electronic-Novation-Consent-Markit-Wire-Participants-Onboarding-Letter.pdf
April 26, 2010
Linear Interpolation Example - not most recent
SEE MARCH 6, 2012 for most recent Linear Interpolation formula spreadsheet. Linear Interpolation example is from January 2010,
Linear-interpolation-ISDA.xls Linear-interpolation-example.pdf
December 18, 2009
Best Practice Statement for Linear Interpolation
Best practice for linear interpolation and a worked example
Linear-Interpolation-BP.pdf Linear interpolation example 1-10.pdf
February 10, 2009
Drafting, Affirmation and Risk Mitigation
ISDA Best Practice Statement
ISDA-Rates-Best-Practice.pdf
February 5, 2009
Interest rate compounding conventions used in OTC derivatives transactions
examples
Compounding-Worked-Examples.xls
February 5, 2009
Interest rate compounding conventions used in OTC derivatives transactions
memo
ISDA-Compounding-memo.pdf
October 31, 2008
Adjustment of Termination Date
Best Practice Statement
Termination-Date-Best-Practice.pdf