FpML Issues Tracker

Summary

Supplement Number 15 to the 2000 ISDA Definitions (see http://www.isda.org/publications/pdf/Supplement-15-to-2000DefinitionsAnnex.pdf) defines the term ?SAS Settlement Day?as a day on which the Reserve Bank of New Zealand? Exchange Settlement Account system is open. In order to reference this business day convention within FpML SwapsWire proposes the addition of the following code to the businessCenterScheme set of possible values:

Code:

ESAS

Description:

ESAS Settlement Day (as defined in Supplement Number 15 to the 2000 ISDA Definitions)

Regards Guy Gurden Product Development Manager SwapsWire