|
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superseded by Final Recommendations from May 09, 2005 (see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
|
Top
of Page
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 |
Top of Page |
