FpML Issues Tracker

Summary

ABS Benchmarks Administration Co Pte. Ltd. (ABS Co), in consultation with the Singapore Foreign Exchange Market Committee (SFEMC), announced Feb 18 that it will discontinue the USD/IDR spot rate benchmark (denoted as IDR VWAP or IDR03 in the 1998 FX and Currency Option Definitions). The last day of publication of IDR VWAP (IDR03) will be 27 March 2014. ABS Co, together with the SFEMC, has decided that it is no longer necessary to continue IDR VWAP (IDR03) given the development of an onshore USD/IDR spot rate benchmark. The onshore USD/IDR spot rate benchmark is reported by Bank Indonesia and published on its website and will be denoted as IDR JISDOR or IDR04 in the 1998 FX and Currency Option Definitions.

To support this transition a new coding scheme value is required in the settlementRateOptionScheme. Note the Description language below is taken from the Word doc "IDR Definition Rev 2014 draft Feb 18.docx" which was distributed Feb 18 by Jacqueline Low at ISDA in memo titled "Discontinuation of IDR VWAP (IDR03) and transitioning process" distributed to various ISDA Working Groups so is possibly subject to change.

Value: IDR.JISDOR/IDR04

Description:

The Spot Rate for a Rate Calculation Date will be the Indonesian Rupiah/U.S. Dollar weighted average spot rate in the interbank market based on traded IDR/USD spot foreign exchange transactions during a specified time period which are captured on a real time basis, expressed as the amount of Indonesian Rupiah per one U.S. Dollar, for settlement in two Business Days, published by Bank Indonesia at approximately 10:00 a.m., Jakarta time, on that Rate Calculation Date as the Jakarta Interbank Spot Dollar Rate USD IDR on Bank Indonesias website or otherwise made available by Bank Indonesia (or its successor as administrator).