For
Immediate Release Thursday, June 21, 2001
For More
Information, Please Contact:
Stacy Carey,
ISDA New York, (212) 332-1200; Fax (212) 332-1212; scarey@isda.org
Korean Won Rate (KRW) Source Definition Modified
The amendment, effective June 20, 2001, replaces the current KRW (Korean Won Rate) rate source definitions to reflect the end-of-day availability of the KRW rate. Although the KFTC (Korea Financial Telecommunications and Clearing Corporation) has reported the KRW rate at the end of each business day, previously there was no end-of-day publication of the KRW rate. The KRW rate for a particular Business Day was published only at 9:00 a.m. on the next Business Day (e.g., “the Business Day following the Rate Calculation Date”).
The new rate source definitions
reflect market consensus to provide for a KRW rate availability time of “5:30
p.m., (on the Rate Calculation Date)
This approach allows market participants to take into account adjustments to the KRW rate made after the 5:30 p.m. publication (with the addition of late-settling trades into the market average) while addressing the reality that most traders do not consult the rate until 9:00 p.m. on the following business day. The amendment and practitioner’s notes follow this release.
Amendment
Annex A is amended, effective as of June 20, 2001, to replace the current KRW (Korean Won Rate) rate source definitions with the following:
(A) “KRW KFTC18” or “KRW02” each means that the Spot Rate for a Rate Calculation Date will be the Korean Won/U.S. Dollar market average tom rate, expressed as the amount of Korean Won per one U.S. Dollar, for settlement in one Business Day reported by the Korea Financial Telecommunications and Clearing Corporation which appears on the Reuters Screen KFTC18 Page to the right of the caption “USD Today” that is available at approximately 5:30 p.m., Seoul time on that Rate Calculation Date, or as soon thereafter as practicable, but in no event later than 9:00 a.m., on the Business Day following the Rate Calculation Date.
(B) “KRW TELERATE 45644” or “KRW03” each means that the Spot Rate for a
Rate Calculation Date will be the Korean Won/U.S. Dollar market average tom
rate, expressed as the amount of Korean Won per one U.S. Dollar, for settlement
in one Business Day reported by the Korea Financial Telecommunications and
Clearing Corporation which appears on the Telerate Page 45644 to the right of
the caption “USD Today” that is available at approximately 5:30 p.m., Seoul
time on that Rate Calculation Date, or as soon thereafter as practicable, but
in no event later than 9:00 a.m., on the Business Day following the Rate
Calculation Date.
Practitioner’s Notes:
· The Korean Won rate source definitions have been amended by adding the word “tom” to the description of the rate, and adding the words “for settlement in one Business Day”. This does not affect the settlement convention in the non-deliverable markets, which continues to be two Business Days from the Valuation Date.
· Parties that specify in confirmations that a particular version of Annex A applies to their trades should reference Annex A effective as of June 20, 2001 if they desire to incorporate the new Korean Won rate source definitions into their trades. If parties do not specify in their confirmations a particular version of Annex A, the above Korean Won rate source definitions would apply to trades that incorporate the 1998 FX and Currency Option Definitions and have a trade date on or after June 20, 2001.
· The Korean Won rates reported by the Korea Financial Telecommunications and Clearing Corporation are market average rates for value in one Business Day in the local market. The KRW rate is also published on Reuters Page KFTC18, supplied by Seoul Money Brokerage Services, LTD