FpML Issues Tracker

Summary

An additional code value is needed in the settlementRateOptionScheme to support PHP non-deliverable interest rate swap transactions.

ISDA published the Asian Currencies Non-Deliverable Swap Transaction Standard Terms Supplement and Fallback Matrix on October 19, 2009. This is available on the ISDA website under ISDA Bookstore > ISDA Interest Rate and Currency Derivative Definitions, Confirmations and Supplements > Miscellaneous. The matrix is at the following link http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=408

The matrix shows that for the currency pair PHP/USD the Settlement Rate Option is PHP PDSPESO (PHP06). The definition for this was published in the Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions (Updated as of January 12, 2007) under the section Amendments dated October 25, 2006). A copy of this can be found at this link http://www.newyorkfed.org/fxc/2007/fxc011207.pdf

So we require a new FpML code value of PHP.PDSPESO/PHP06 and the description for the code should be the following (text taken from Annex A referred to above):

The Spot Rate for a Rate Calculation Date will be the Philippine Peso/U.S. Dollar morning weighted average rate for that Rate Calculation Date, expressed as the amount of Philippine Pesos per one U.S. Dollar, for settlement in one Business Day reported by the Philippine Dealing System PDEX which appears on the Reuters Screen PDSPESO Page to the right of the caption AM WT AVE at approximately 11:30 a.m., Manila time, or as soon thereafter as practicable, on that Rate Calculation Date.