FpML Issues Tracker

890: ACT/ACT.ISMA vs. ACT/ACT.ICMA

December 11, 2008

closed

Minor

Have not tried

Coding Scheme

Admin

mgratacos

Summary

ISMA (International Securities Market Association) became ICMA (International Capital Market Association) couple of years ago.

We have two day count fractions: ACT/ACT.ISMA and ACT/ACT.ICMA . When should one or the other be used?

Should ACT/ACT.ISMA be considered deprecated?

Should ACT/ACT.ISMA be used for trades with trade date prior to the name change to ICMA?

Where this should be documented? In the description field for these codes in the genericode scheme file?

Many thanks -daniel

Notes:

  • ggurden

    12/11/08 6:12 pm

    The day count “Act/Act (ICMA)” (which is equivalent to the FpML code ACT/ACT.ICMA) was formally defined in the 2006 ISDA Definitions (see Section 4.16). In the 2000 ISDA Definitions there was provision in the Introduction to those definitions which was the origin of the original ACT/ACT.ISMA FpML code). In Markit Wire (formerly SwapsWire) we use the ACT/ACT.ICMA code for all trades booked under the 2006 ISDA Definitions and and if somebody chooses to book a trade under the old 2000 ISDA Definitions we still use the ACT/ACT.ISMA code.

    The industry switched over to confirming new Rates trades under the 2006 ISDA Definitions on on July 30, 2007.

  • mgratacos

    12/22/08 3:55 pm

    Coord 2008-12-15: Agreement to amend the description of the ICMA and ISMA codes in the coding scheme in order to clarify the difference between them.

    Proposed descriptions:



    ACT/ACT.ICMA


    FpML


    Per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c). This day count fraction code is applicable for transactions booked under the 2006 ISDA Definitions. Transactions under the 2000 ISDA Definitions should use the ACT/ACT.ISMA code instead.




    ACT/ACT.ISMA


    FpML


    The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond. This day count fraction code is applicable for transactions booked under the 2000 ISDA Definitions. Transactions under the 2006 ISDA Definitions should use the ACT/ACT.ICMA code instead.

  • mgratacos

    12/22/08 3:57 pm

    This has been committed to SVN.

  • mgratacos

    12/22/08 4:13 pm

    The description of the values has been amended http://www.fpml.org/coding-scheme/day-count-fraction-2-1.xml

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