FpML Issues Tracker
closed
Major
N/A
Coding Scheme
ggurden2008
mgratacos
Summary
The Association of Banks in Singapore (ABS), in consultation with the Singapore Foreign Exchange Market Committee (SFEMC) had on June 14, 2013, announced a number of changes to the ABS financial benchmarks in order to enhance the robustness, transparency and efficiency of the benchmark contribution process in Singapore. The joint ABS and SFEMC press release can be found here http://www.sfemc.org/pdf/ABS_SFEMC_Press_Release.pdf.
As a result of these changes ISDA, EMTA and FXC have jointly announced amendments to Annex A of the 1998 FX and Currency Option Definitions covering Settlement Rate Options for Singapore Dollar, Indonesia Rupiah, Thai Baht and Malaysian Ringgit. These are separately published at each of the following links:
SGD: http://www.isda.org/publications/pdf/AsianCurrencyDefinitionsRev2013%20SGD%20Jul%205.pdf
IDR and THB: http://www.isda.org/publications/pdf/AsianCurrencyDefinitionsRev2013%20IDR%20&%20THB%20Jul%205.pdf
MYR: http://www.isda.org/publications/pdf/AsianCurrencyDefinitionsRev2013%20MYR%20Jul%205.pdf
Consequently we request the following additions be made to the FpML settlementRateOptionScheme coding scheme:
Value: SGD.VWAP/SGD3
Description:
The Spot Rate for a Rate Calculation Date will be the Singapore Dollar/U.S. Dollar spot rate expressed as the amount of Singapore Dollar per one U.S. Dollar for settlement in two Business Days, reported by ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of the rate), which appears on Thomson Reuters Screen ABSFIX01 Page at approximately 11:30 a.m., Singapore time, on that Rate Calculation Date.
Value: IDR.VWAP/IDR03
Description:
The Spot Rate for a Rate Calculation Date will be the Indonesian Rupiah/U.S. Dollar implied spot rate expressed as the amount of Indonesian Rupiah per one U.S. Dollar, for settlement in two Business Days, reported by ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of that rate), which appears on Thomson Reuters Screen ABSFIX01 Page at approximately 11:30 a.m., Singapore time, on that Rate Calculation Date.
Value: THB.VWAP/THB01
Description:
The Spot Rate for a Rate Calculation Date will be the Thai Baht / U.S. Dollar spot rate expressed as the amount of Thai Baht per one U.S. Dollar for settlement in two Business Days, reported by ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of the rate), which appears on Thomson Reuters Screen ABSFIX01 Page at approximately 11:30 a.m., Singapore time, on that Rate Calculation Date.
Value: MYR.PPKM/MYR03
Description:
The Spot Rate for a Rate Calculation Date will be the Malaysian Ringgit/U.S. Dollar spot rate expressed as the amount of Malaysian Ringgit per one U.S. Dollar, for settlement in two Business Days, reported by Persatuan Pasaran Kewangan Malaysia (ACI - Malaysia), which appears on Thomson Reuters Screen MYRFIX2 Page at approximately 11:10 a.m., Kuala Lumpur time, on that Rate Calculation Date.
Regards Guy Gurden MarkitSERV
Notes:
mgratacos
03/25/14 11:18 am
This has been added to the repository. Values will be published in version 2-7 of the scheme and they will be published next week March 31, 2014.