Interest Rate Derivatives – Page 18 – International Swaps and Derivatives Association

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Tag: Interest Rate Derivatives

Interest Rate | August 22, 2013

Market Practice Statement for EUR LIBOR Rates and EURIBOR Rates For Over The Counter Derivative Transactions

Guidance for parties regarding the determination of Relevant Rates for certain Floating Rate Options for... Read more

Documents (1) for Market Practice Statement for EUR LIBOR Rates and EURIBOR Rates For Over The Counter Derivative Transactions

final-isda-market-practice-statement-eur-libor-euribor-082813-reset-only(pdf) will open in a new tab or window

Inflation | July 15, 2013

Market Practice Guidance for German CPI Rescaling

Guidance for parties to over-the-counter inflation derivative transactions that are affected by the rebasing of... Read more

Documents (1) for Market Practice Guidance for German CPI Rescaling

market-practice-guidance-for-grcp2000-rescaling-final(pdf) will open in a new tab or window

Interest Rate | April 24, 2013

Market Agreed Coupon (MAC) confirmation form

Form of confirmation for a Market Agreed Coupon (MAC) contract as an additional choice for... Read more

Documents (1) for Market Agreed Coupon (MAC) confirmation form

formofconfirmmac(pdf) will open in a new tab or window

Interest Rate | 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,... Read more

Documents (1) for Rates SDR Liquidity Data (January – March 2013) – DATA UPDATE

rates-sdr-liquidity-data-jan-through-march-2013(pdf) will open in a new tab or window

Interest Rate | March 25, 2013

LIBOR Discontinuations Guidance

Industry guidance and associated bilateral Amendment Letter for the discontinuation of certain currencies and maturities... Read more

Documents (2) for LIBOR Discontinuations Guidance

Credit | 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... Read more

Documents (1) for Credit Liquidity Data (January – March 2013) – DATA UPDATE

credit-dtcc-sdr-data-3-11-13-3pm(pdf) will open in a new tab or window

Interest Rate | 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... Read more

Documents (1) for Credit and Interest Rate Liquidity Data Study (January 2013)

credit-and-rates-sdr-liquidity-data-study-january-2013(pdf) will open in a new tab or window

Interest Rate | April 16, 2012

Leap Year Conventions 2012

Industry practice with regards to leap year trading from the ISDA Rates Steering Committee

Documents (1) for Leap Year Conventions 2012

leap-year-convensions-2(pdf) will open in a new tab or window

Interest Rate | March 6, 2012

Linear Interpolation Example

Linear Interpolation formula spreadsheet (March 2012) / Linear Interpolation example (January 2010) ISDA published an... Read more

Documents (2) for Linear Interpolation Example

Interest Rate | October 6, 2011

Standardisation 2010 – Final Interest Rate Derivatives Matrix and Legend

2010 Standardisation Matrix / corresponding legend