Credit

Credit Derivatives Related Issues

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED

Standards and practices for handling material non-public information in credit-portfolio management.

Final EU principles for Price-Sensitive Credit Information

‘Joint Market Practices Forum’ document - ISDA, IACPM, LIBA, LMA and TBMA finalize EU standards and practices for handling material nonpublic information in credit portfolio risk management activities

(Press Release - May 09, 2005 )

ISDA and other associations issue European Recommendations on Handling of Material Nonpublic Credit Information
superseded by Final Recommendations from May 09, 2005 (see above).

ISDA has issued jointly with other trade associations an Exposure Draft addressing these issues in the context of EU legislation. This follows a similar exercise in the US in 2003 (see below).

European Recommendations on Handling of Material Nonpublic Credit Information

(Press Release - January 12, 2005)

Standards and practices for handling material non-public information in credit-portfolio management

Completed

Japanese translation of ‘Joint Market Practice Forum’ document

October 10, 2003

Standards and practices for handling material non-public information in credit-portfolio management.

ISDA is working jointly with other trade associations on a paper addressing these issues in the context of EU legislation. This follows a similar exercise in the US in 2003 (see right).

‘Joint Market Practices Forum’ document - ISDA, IACPM, LSTA and TBMA finalize standards and practices for handling material nonpublic information in credit portfolio risk management activities

(Press Release – October 07, 2003)

Commodities

Best Practice Statements and Guidance Notes

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED
Best Practices Statement for Certain OTC derivatives transactions affected by Argus' discontinuation of specific Gasoline barge assessments Completed Argus Best Practices Published November 16, 2009

The ISDA Statement of Current Practice addresses the treatment of Additional Trading Days on ICE Futures including Monday, May 28, 2007 and future trading days that have not been announced.

Completed

ISDA Statement of Current Practice

Published May 2, 2007

US Exchange Closings on January 2, 2007 - Commodity Derivatives

Completed

Supplemental Guidance

Published January 4, 2007

Best Practices Statement for Certain Energy Transactions for OTC derivatives transactions affected by the NYMEX's discontinuation of its New York Harbor Unleaded Gasoline ("HU") futures contract and ISDA's recommended replacement with the NYMEX's reformulated gasoline blendstock for oxygen blending futures contract ("RBOB")

Completed

Best Practices Statement for Certain Energy Transactions
and related
Supplement to Sub-Annex A to the 2005 ISDA Commodity Definitions  

Published May 12, 2006

Statement of current practice articulated by certain members engaged in OTC derivatives transactions involving Commodity Reference Prices that reference Brent blend crude oil and gas oil futures contracts on ICE Futures

Completed

Statement of Current Practice for Certain Energy Products

Announced December 1, 2005

ISDA Issues Best Practices Statement for Certain Energy Products

Completed

Press Release

Issued March 25, 2003

ISDA Best Practices Statement for Certain Energy Products

Completed

Press Release

Announced September 14, 2001

Equity

Miscellaneous Equity Derivatives Committee Information

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED

US Regulation SHO Rule 201

Market practice statement in regard to short sale price limitations triggered under Regulation SHO Rule 201 for U.S. share and index variance swaps

Regulation SHO Rule 201 Market Practice Statement

April 5, 2011

Single stock share variance swaps and single exchange index variance swaps involving Australian shares (“Australian Variance Swaps”)

In the interest of promoting the orderly valuation and settlement of Australian Variance Swaps, ISDA strongly urges all participants to apply the guidance set out in the Market Practice Statement to all Australian Variance Swaps (regardless of when entered into) but only in respect of events occurring on or after December 28, 2009.

Market Practice Statement for Share and Index Variance Swap Transactions involving Australian Shares regarding what would constitute a Market Disruption Event

December 28, 2009

LSE Incident - 9 November 2009

Summary of responses received from Equity Steering Committee regarding the LSE incident on 9 November 2009 

LSE Disruption

November 16, 2009

Japanese Index and Share Variance Swaps

Market Practice Statement for what would constitute a Market Disruption Event due to exchange-imposed daily price limitations. This Statement is intended to replace the statement published 10 March, 2009. 

Market Practice Statement

October 22, 2009

TWD fixing time In the interest of promoting the orderly valuation and settlement of transactions involving TWD as the Reference Price currency, ISDA strongly urges all participants to apply the guidance set out in the Market Practice Statement to such transactions (regardless of their Trade Date) in respect of fixings occurring on or after June 25, 2009. Market Practice Statement regarding Change in TWD Fixing Time in the ISDA AEJ Reference Price Source Matrix.
(Matrix) and (Statement)
June 25, 2009
NASDAQ disruption call summary

Summary of the discussion that took place on Wednesday, March 25 among market participants to discuss whether NASDAQ's cancellation of market on close orders on March 24 constitutes a Market Disruption Event.

NASDAQ MDE CALL SUMMARY and S&P 500 INDEX CONSTITUENTS March 25, 2009

Japanese Share Variance Swaps

Market Practice Statement for what would constitute a Market Disruption Event due to exchange-imposed daily price limitations

Market Practice Statement

March 10, 2009

Single stock or single exchange index equity derivatives transactions involving shares traded on exchanges in the following countries: Korea, Taiwan, Hong Kong, India, Indonesia, Malaysia, Singapore, Thailand, Philippines, Vietnam and Pakistan (“Applicable Transactions”) In the interest of promoting the orderly valuation and settlement of the Applicable Transactions, ISDA strongly urges all participants to apply the guidance set out in the Market Practice Statement to all Applicable Transactions (regardless of when entered into) but only in respect of events occurring on or after 9 January 2009.  ISDA will work with market participants to effect the appropriate amendments to the transactional documentation with effect from 9 January 2009 in order to contractually implement the guidance set out in the Market Practice Statement.

Market Practice Statement For Certain Equity Derivative Transactions Involving Certain Asia Ex-Japan Shares Or Indices Regarding What Would Constitute A Market Disruption Event, Including Due To Exchange-Imposed Price Limitations

January 8, 2009
Single stock or single index equity derivatives transactions involving Korean or Taiwanese shares documented under the 2002 ISDA Equity Derivatives Definitions (including as the relevant terms are modified under the 2007 AEJ Master Variance Swap Confirmation Agreement) (“Applicable Transactions”) Summary of the discussions among market participants that took place in Oct and Nov 2008 with regard to the circumstances under which exchange-imposed price limitations would constitute a Market Disruption Event due to a Trading Disruption for the Applicable Transactions.  This is an interim approach pending further discussions (which are targeted to be concluded by year-end 2008).

Statement of temporary practice (as an interim approach) for certain Equity Derivative Transactions involving Korean or Taiwanese Shares or Indices regarding when Exchange-imposed price limitations would constitute a Market Disruption Event due to a Trading Disruption

November 28, 2008

Index Variance Swaps on Nikkei 225

Summary of the discussion that took place on Friday, October 10 among market participants on a potential Trading Disruption Event on Nikkei 225 Index Variance Swaps.

MDE Discussions - Index Variance Swaps on Nikkei 225

October 24, 2008

ISDA Equity Derivatives Documentation Matrix Published - March 31, 2009 ISDA Equity Derivatives Documentation Matrix September 12, 2008

Fannie/Freddie Equity Events

Summary of the discussion that took place on Tuesday, September 9 among market participants on the characterization under the 2002 ISDA Equity Derivatives Definitions of the announcement to place Freddie Mac and Fannie Mae into conservatorship. Members discussed the applicability of the "Nationalization", "Insolvency" and "Insolvency Filing" definitions.

Fannie/Freddie Call Summary

September 9, 2008

LSE Disruption Consensus

ISDA Equity Committee and Equity Operations Working Group

LSE Disruption

September 9, 2008

Index Matrix
The index matrix is maintained by the ISDA Equity Operations Working Group and summarizes key confirmation fields for the indices listed
Index Matrix version 1.0
May 27, 2008

Equity Derivatives Market Practice Issues

Updated as of March 2008

Equity Derivatives Market Practice Issues

March 3, 2008

Trading in Shares on the Korean Exchange
Memo summarizing discussion as to whether a Market Disruption Event occurred on KRX on November 26, 2007 when certain shares traded and closed limit – up.
Memo
December 3, 2007

Multiple Product Market Practice

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED
U.S. Exchange Closings on January 2, 2007
Guidance for parties to OTC transaction that are affected by U.S. Exchange Closing on January 2, 2007
Memo to ISDA members

December 29, 2006

9/11 Statements

Statements issued by ISDA following 9/11

 

September 14

September 17

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Operations

Best Practice, Technical and Policy Documents

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED

Linear Interpolation

Best Practice Statement

Best Practice Statement on Linear Interpolation

December 18, 2009

Successor Source for FX Screens 1FED and FEE

Market Practice Note

Market Practice Note: Successor Source for FX Screens 1FED and 1FEE

February 2009

LCDX Best Practices for Credit Events, Secured List Early Termination Events and Novations

LCDX Best Practices for Credit Events

LCDX Best Practices for Credit Events, Secured List Early Termination Events and Novations

January 25, 2008

Best practice standard elections for European LCDS

ISDA best practice statement

Standard Elections for European LCDS

September 27, 2007

Cash Settlement Payment Dates for early termination options

ISDA Best Practice Statement

Cash Settlement Payment Dates for early termination options

August 21, 2007
(updated February 8, 2008)

Settlement Best Practice

ISDA Best Practice Statement

Settlement Best Practice

June 06, 2007

Settlement Standards

ISDA Best Practice Statement

CD Settlement Standards

May 05, 2006

Portfolio Reconciliation

ISDA Best Practice Statement

Recommended Practices for Portfolio Reconciliation

Feburary 14, 2006

Standard Settlement Instructions

ISDA Best Practice Statement

ISDA Best Practice Statement: Standard Settlement Instructions

July 29, 2004

Interest Compensation Claims

ISDA Best Practice Statement

ISDA Best Practice Statement: Interest Compensation

February 12, 2004

Telephone Confirming Trade Details

ISDA Best Practice Statement

ISDA Best Practice Statement: Telephone Confirming Trade Details

October 28, 2003

Documenting Exercise of Option Transactions

ISDA Best Practice Statement

ISDA Best Practice Statement: Documenting Exercise of Option Transactions

October 28, 2003

Sound Practices and Escalation Procedures

Sound practices and escalation procedures for escalating communications and to expedite interbank confirmation turnaround times.

Sound practices and escalation procedures documents

March 14, 2003

Rates

Best Practices and Memorandums

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED
Recommended EMTA-ISDA Market Practice for Non-Deliverable CLP “Cámara” (CLP TNA) Interest Rate Swap Transactions EMTA-ISDA Best Practice Statement Recommended EMTA-ISDA Market Practice for Non-Deliverable CLP “Cámara” (CLP TNA) Interest Rate Swap Transactions July 21, 2009

Recommended EMTA-ISDA Market Practice for BRL CDI Non-Deliverable Interest Rate Swap Transactions

EMTA-ISDA Best Practice Statement

Recommended EMTA-ISDA Market Practice for BRL CDI Non-Deliverable Interest Rate Swap Transactions

March 13, 2009

Recommended EMTA-ISDA Market Practice for “Relevant Cities for Business Days for Payment Dates” in Non-Deliverable Interest Rate/Cross Currency Swap Transactions EMTA-ISDA Best Practice Statement Recommended EMTA-ISDA Market Practice for Relevant Cities for Business Days for Payment Dates March 13, 2009

Compounding

Interest rate compounding conventions used in OTC derivatives transactions

Memo (February 5, 2009); Excel spreadsheet with examples

February 5, 2009

Cash Settlement Payment Dates for early termination options

ISDA Best Practice Statement

Cash Settlement Payment Dates for early termination options

August 21, 2007
(updated February 8, 2008; second update March 2009)

Adoption of 2006 ISDA Definitions

Advisory note relating to market moves to commence adoption of the 2006 Definitions for interest rate and currency derivative transactions from July 30th 2007.

2006 Definitions: Go-Live 30 July 2007

July 23, 2007

Rate Source Memo & Reference Chart

Memo on migration of rate sources from Telerate to Reuters and implications for the 2000 ISDA Definitions

Rate Source Memo & Reference Chart

August 22, 2006

Rate Source Matrix

ISDA Definitions-Rate Cross-Reference Chart

ISDA Definitions-Rate Cross-Reference Chart

May 18, 2004

Trading

Market Practice Issues

SUBJECT
STATUS - DESCRIPTION
AVAILABLE DOCUMENTS
DATE PUBLISHED

Linear Interpolation

Determination of number of days corresponding to Designated Maturities in Linear Interpolation

Best Practice Statement on Linear Interpolation

December 18, 2009

30/360 Day Count Conventions

Calculation examples of 30/360 and 30E/360 in the 2006 ISDA Definitions

Excel spreadsheet with worked 30/360 examples

December 5, 2006

Linear interpolation

Calculation example

Linear Interpolation example (ISDA, January 2010); Linear Interpolation formula spreadsheet

December 14, 2006, updated April 26, 2010

ACT/ACT (ICMA)

The International Capital Markets Association (ICMA) has verified to ISDA that the Day Count Convention formerly known as ACT/ACT (ISMA) is now known as ACT/ACT (ICMA) and that the two conventions are identical.

ICMA Rule Book, Rule 251, reproduced by permission of ICMA

1998

Euro market ACT/ACT Day Count Conventions

The linked memo describes and gives examples of three alternative versions of Actual/Actual day count fractions (ISDA, ICMA, AFB) used in EUR-denominated markets

The Actual-Actual Day Count Fraction (1999)

June 3, 1999

Euro market conventions

The linked memo describes market conventions for the EUR-denominated markets

1998 ISDA memo “EMU and Market Conventions: Recent Developments”

November 25, 1998

 

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