Credit
Credit Derivatives Related Issues
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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| ISDA and other associations issue European Recommendations on Handling of Material Nonpublic Credit Information superseded by Final Recommendations from May 09, 2005 (see above).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
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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 | ISDA Announces One-Year U.S. Dollar Swap Rate Postings as of September 17, 2001
ISDA Statement Regarding Equity Derivative Transactions Clarification on ISDA Statement Regarding Equity Derivatives Transactions ISDA, Derivatives Industry Address Market Issues in Terrorist Attack Aftermath ISDA Best Practices Statement for Certain Energy Products
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September 14, 2001
September 17, 2001 |
Operations
Best Practice, Technical and Policy Documents
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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
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Subject
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Status – Description
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Available Documents
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Date Published
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| 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, December 14, 2006); Linear Interpolation formula spreadsheet | December 14, 2006 |
| 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 |
Latest
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...
ISDA Response on Margin Transparency
On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...
Paper on Liquidity Assessment for Single-name CDS
On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...