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MARKET PRACTICE BOOK - ANNEXES 94 Short Form Algorithm 30/360 30/360 means the number of days in the Calculation Period divided by 360 calculated on a formula basis as follows: 1 Day Count Convention = x [[360 x (Y2 - Y1)] + [30 x (M2 - M1)] + (D1 - D)] 360 where: “Y1” is the year, expressed as a number, in which the first day of the Calculation Period falls; “Y2” is the year, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls; “M1” is the calendar month, expressed as a number, in which the first day of the Calculation Period falls; “M2” is the calendar month, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls; “D1” is the first calendar day, expressed as a number, of the Calculation Period, unless such number would be 31, in which case D1 will be 30; and ”D2” is the calendar day, expressed as a number, immediately following the last day included in the Calculation Period, unless such number would be 31and D1 is greater than 29, in which case D2 will be 30. 30E/360 30E/360 means the number of days in the Calculation Period divided by 360 calculated on a formula basis as follows: 1 Day Count Convention = x [[360 x (Y2 - Y1)] + [30 x (M2 - M1)] + (D1 - D)] 360 where: ”Y1” is the year, expressed as a number, in which the first day of the Calculation Period falls; “Y2” is the year, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls; “M1” is the calendar month, expressed as a number, in which the first day of the Calculation Period falls; “M2” is the calendar month, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls; ”D1” is the first calendar day, expressed as a number, of the Calculation Period, unless such number would be 31, in which case D1 will be 30; and ”D2” is the calendar day, expressed as a number, immediately following the last day included in the Calculation Period, unless such number would be 31, in which case D2 will be 30.
Annex 9: Units and Nominal recommendation A NNEXES - MARKET PRACTICE BOOK Clarity in Draft & Final Issuance Documentation in respect of the treatment of Units / Nominal Form This recommendation addresses the mixed use of Unitary/Nominal terminology within the same security’s draft and/or final documentation. The mixing of the two terms can result in the incorrect security setup and errors linked to the subsequent servicing of such securities. The Acceptance Checklists (see Annex 6) provide the mandatory fields required for the acceptance of a new security. Use of these checklists is recommended to further enhance the quality of issuance documentation. 1. Consistent representation of Units/Nominal Form It is recommended that the issuance documentation; • Clearly indicates whether Units or Nominal is being used by providing the binary field “Trading Method” • Provides the relevant fields described below 1.1. For issues trading in units The following fields should be present when the final documentation contains references to units: • Trading Method: Unit • Aggregate Issue Size: Total Number of units issued • Unit Issue Price: The issuance (i.e. closing date) issue Price and Currency expressed as the value of each Unit (an amount) • Unit value: value of one unit (reflected in currency of issuance) 1 • Minimum Tradeable Size: Minimum quantity of securities that can be transferred (in number of units) • Multiple Tradeable Size: The smallest quantity of securities that can be transferred. If a Minimum Tradeable Size exists, it represents the higher integral multiple amount. (in number of units) 2 • Aggregate Proceeds Amount: Gross Proceed Amount and Currency to issuer3 1.2. For issues trading in nominal The following fields should be present when the final documentation references an issuance in nominal form. • Trading Method: Nominal • Nominal Amount: Total Nominal Amount issued and Currency of issuance • Issue Price: The issuance, (i.e. closing date) issue Price and Currency expressed as a percentage • Minimum Denomination and Multiple Denominations1 2. Example Example: issue trading in Units Example: issue trading in Nominal Trading Method : Unit Trading Method : Nominal Aggregate Issue Size : 100,000 Units Nominal Amount : 10,000,000 EUR Unit Issue Price : 105 EUR Issue Price : 100% Unit Value: 100 EUR per Unit1 N/A Minimum Tradeable Size : 2 Units Minimum Denomination: 50,000 EUR Multiple Tradeable Size : 1 Unit Multiple Denomination: 1,000 EUR Aggregate Proceeds Amount : 10,500,000 EUR N/A 1 Where relevant, i.e. where interest rate % and redemption price % apply to principal 2 In accordance with published ICMA and ICMSA Guidelines 3 This figure is used as a control to verify whether the information provided is correct. It represents the Unit Issue Price multiplied by the Aggregate Issue Size 95
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May 2010 International Securities O
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Updates The main updates of this Ma
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Table of contents MARKET PRACTICE B
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Introduction MARKET PRACTICE BOOK T
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Glossary Agent Arranger Base Prospe
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Issuing Agent (IA) Issuing and Payi
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1. ISMAG Best Practices 1.1. 1.1.1.
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Paperless instructions • DO NOT i
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1.3. Information processing At Issu
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2. New Issues 2.1. 2.2. 2.2.1. 2.2.
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2.2.1.3. N EW ISSUES - MARKET PRACT
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LM b LM b LM e PPA b ICSDs c ICSDs
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c IPA c IPA c ICSDs c IPA c IPA Ini
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c Dealer/ LM d IPA d IPA d ICSDs c
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2.2.3.2. N EW ISSUES - MARKET PRACT
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2.2.3.3.3. Documentation flow for i
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2.3.2. Same day syndicated distribu
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3. Corporate Actions 3.1. Scope C O
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3.2.1.2. 3.2.1.3. Preliminary infor
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3.2.2. 3.2.2.1. C ORPORATE ACTIONS
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3.2.2.3. 3.2.2.3.1. b b’ CD/CSP P
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Page 63 and 64: A NNEXES - MARKET PRACTICE BOOK Fis
Page 65 and 66: Global Type Legal restrictions Plac
Page 67 and 68: Stand Alone Acceptance and Eligibil
Page 69 and 70: IPSD (Interest Period Starting Date
Page 71 and 72: Annex 6: Taxonomy/ Asset Servicing
Page 73 and 74: Put Option Event Proceeds Instructi
Page 75 and 76: Exercise of Warrants Proceeds Instr
Page 77 and 78: General Meeting Event Asset Servici
Page 79 and 80: Redemption in Cash or Shares Event
Page 81 and 82: Asset Servicing Checklist B Call Op
Page 83 and 84: Annex 6C: Asset Servicing Checklist
Page 85 and 86: A NNEXES - MARKET PRACTICE BOOK Ass
Page 87 and 88: Prooceeds Proceeds - Main Proceeds
Page 89 and 90: Proceeds Proceeds - Main Proceeds I
Page 91 and 92: Annex 7: Naming Convention recommen
Page 93: Annex 8: Day Count Conventions reco
Page 97 and 98: Annex 11: ICMSA Recommendation for
Page 99 and 100: Annex 12: CAJWG - Market Standards
Page 101 and 102: Information flow from (I)CSD partic
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Page 105 and 106: Mandatory Reorganisations with Opti
Page 107 and 108: A NNEXES - MARKET PRACTICE BOOK 23.
Page 109 and 110: 8 Voluntary Reorganisations Sequenc
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Page 113 and 114: NOTES A NNEXES - MARKET PRACTICE BO
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