• 2006 ISDA Definitions
• 2000 ISDA Definitions
• 1991 ISDA Definitions
• Matrices
• Miscellaneous

2006 ISDA Definitions

The 2006 ISDA Definitions (the "2006 Definitions") are intended for use in confirmations of individual transactions governed by ISDA Master Agreements. The 2006 Definitions are an update of the 2000 ISDA Definitions (the “2000 Definitions”) which many parties to privately negotiated derivative transactions have incorporated into existing Confirmations or other documents.

The purpose of the 2006 Definitions is to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions. Although the 2006 Definitions were drafted with this purpose in mind, ISDA recognizes that parties documenting other types of privately negotiated derivative transactions might find it helpful to incorporate the 2006 Definitions into Confirmations for those transactions. Certain definitions and provisions of the 2000 Definitions (including the Rate Options and related provisions) that were anticipated to need periodic updating were published in the Annex to the 2000 Definitions. There is no Annex to the 2006 Definitions. All definitions and provisions of the 2006 Definitions, including the Rate Options and related provisions, are contained in the 2006 Definitions.

Supplement number 5 to the 2006 ISDA Definitions
(published April 14, 2008)

Section 13.1(h) is amended in its entirety. For USD denominated Swaptions only, it provides that where a specified Expiration Date is not an Exercise Business Date, the Expiration Date will be the first preceding day that is an Exercise Business Day, unless the authority announcing that a day will no longer be an Exercise Business Date does so less than two Exercise Business Days prior to the original expiration. In that case, the Expiration Date will be the next following day that is an Exercise Business Day.

Supplement number 4 to the 2006 ISDA Definitions
(published January 29, 2008)

The Floating Rate Options "RUB-MOSPRIME-NFEA" and “RUB-MOSPRIME-Reference Banks” were published on January 29, 2008 as an amendment to the 2006 Definitions.

The Floating Rate Options "TRY-TRYIBOR-Reuters" and “TRY-TRYIBOR-Reference Banks” were published on December 12, 2007 as an amendment to the 2006 Definitions.

This Memorandum sets forth a description of the principal amendments made to the 2000 ISDA Definitions as incorporated into the successor publication, the 2006 ISDA Definitions. The 2000 and 2006 ISDA Definitions are incorporated into a variety of transaction types and this memorandum offers a detailed explanation of the substantive changes between the two definitions booklets.

Memo on migration of rate sources from Telerate to Reuters and implications for the 2000 ISDA Definitions
(published April 12, 2007)

[ Top of Page ]

2000 ISDA Definitions

The 2000 ISDA Definitions (the "2000 Definitions") are intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements. The 2000 Definitions are a consolidation and update of the 1991 ISDA Definitions, the 1998 Supplement to the 1991 ISDA Definitions and certain provisions of the 1998 ISDA Euro Definitions which many parties to privately negotiated derivative transactions have incorporated into existing confirmations or other documents.

The purpose of the 2000 Definitions is to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions. Although the 2000 Definitions were drafted with this purpose in mind, parties documenting other types of privately negotiated derivative transactions might find it helpful to incorporate the 2000 Definitions into confirmations for those transactions.

This supplement which incorporates the ISDA Settlement Matrix to the Definitions was published on January 3, 2005 as an amendment to the 2000 ISDA Definitions and Annex to the 2000 Definitions.

The Floating Rate Options "USD-BMA Municipal Swap Index" and "USD-S&P Index-High Grade" were published on August 27, 2004 as amendments to the 2000 ISDA Definitions and Annex to the 2000 Definitions.

The Floating Rate Options "JPY-TIBOR- 17096", "JPY-TIBOR-17097" and "JPY-TIBOR-DTIBOR01" were published on July 7, 2004 as amendments to the 2000 ISDA Definitions and Annex to the 2000 Definitions.

The Floating Rate SGD-SONAR-OIS-COMPOUND was published on July 1, 2004 as an amendment to the 2000 ISDA Definitions and the Annex to the 2000 ISDA Definitions.

Supplement number 13 to the 2000 ISDA Definitions and Annex to the 2000 ISDA Definitions
(published February 23, 2004)

The AUD-AONIA-OIS-COMPOUND language for the rate of return of a daily compound interest investment (it being understood that the reference rate for the calculation of interest is the Australian Dollar interbank overnight cash rate) was published on February 23, 2004 as an amendment to the 2000 ISDA Definitions and the Annex to the 2000 ISDA Definitions.

Supplement number 12 to the 2000 ISDA Definitions and Annex to the 2000 ISDA Definitions
(published January 5, 2004)

The THB-THBFIX-Reuters Definitions were published on January 5, 2004 as an amendment to the 2000 ISDA Definitions and the Annex to the 2000 ISDA Definitions.

The TWD Definitions were published on December 18, 2003 as an amendment to the 2000 ISDA Definitions and
the Annex to the 2000 ISDA Definitions.

Supplement number 9 to the 2000 ISDA Definitions and Annex to the 2000 ISDA Definitions
(revised version published December 15, 2003 includes amendments to Section 1.5)

The INR Definitions were published on December 15, 2003 as an amendment to the 2000 ISDA Definitions and the Annex to the 2000 ISDA Definitions

Supplement number 1 to the 2000 ISDA Definitions and Annex to the 2000 ISDA  Definitions
(published August 14, 2002)

The Mexico Peso Floating Rate Option definition and side letter were published in August 2002 as an amendment to the 2000 ISDA Definitions and the Annex to the 2000 ISDA Definitions.

Memo on migration of rate sources from Telerate to Reuters and implications for the 2000 ISDA Definitions
(published April 12, 2007)

[ Top of Page ]

1998 Supplement to the 1991 ISDA Definitions

The 1998 Supplement to the 1991 ISDA Definitions is an update of certain sections of the 1991 ISDA Definitions, which many participants engaging in privately negotiated derivatives transactions incorporate into existing confirmations or other documents. The Supplement covers a greater number of currencies and rates than the 1991 ISDA Definitions, and updates certain floating rate options to reflect changes in the nature of quotations since 1991. The 1998 Supplement is intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements.

In addition to the expanded floating rate options section, the Supplement introduces new sections on negative interest rates, options and cash settlement. The negative interest rates provisions, incorporate language from ISDA's November 1995 Negative Interest Rate Memorandum and make the presumption that the negative interest rate method will apply to all transactions, excepting floors and certain FRAs already addressed in the 1991 Definitions, unless otherwise specified. The Options provisions address terms relevant to swaptions, and rights of optional early termination and break clauses, including calculating a cash settlement amount. The Supplement includes provisions for calculating a cash settlement amount and provides a number of alternative cash settlement methods, which reflect the variety of methods currently used in practice.

[ Top of Page ]

A matrix setting out standard terms for use when marking to market MTM swaps.

This supplement which incorporates the ISDA Settlement Matrix to the Definitions was published on January 3, 2005 as an amendment to the 2000 ISDA Definitions and Annex to the 2000 Definitions.

Bi-lateral Form of Amendment for NDS Transactions
(published March 22, 2005)

This Bi-lateral Form of Amendment for NDS Transactions for currencies CNY, KRW, IDR, INR, PHP and TWD, is intended for use to facilitate in the inclusion of the new NDS terms for NDS transactions entered into prior to the publication of the revised Confirmation published by ISDA on November 24, 2004.

Confirmation of Cross-Currency Interest Rate Swap Transaction (Non-deliverable)
(published on November 24, 2004)

This Confirmation is intended to be used in connection with non-deliverable cross-currency interest rate swap transactions.

Confirmation of Cross-Currency Interest Rate Swap Transaction (Non-deliverable)

(Please note: This document is updated by the November 24, 2004 version above)

This Confirmation is intended to be used in connection with non-deliverable cross-currency interest rate swap transactions.

NCU Supplement

Currencies of member states of the European Union that adopted the euro as their new currency on January 1, 1999 had their national currencies cease to exist as currencies in their own right. Instead, for a limited transition period prior to their final disappearance on December 31, 2001, these currencies existed as distinct units of the euro ("national currency units"). Terms relating to national currency units are not reflected in the 2000 Definitions. However, ISDA has published the NCU Supplement to the 2000 Definitions (the "NCU Supplement") for use by parties that wish to document transactions involving one or more national currency units.

The NCU Supplement contains definitions of the various national currency units, together with certain other provisions, including associated business day definitions, that may be relevant to transactions involving national currency units. The NCU Supplement does not contain definitions for any national currency unit floating rate options. Parties that wish to specify a national currency unit floating rate option (to the extent that such floating rate options are still being published) may wish to define that floating rate option in their confirmation or specify a floating rate option by reference to the 1998 Supplement to the 1991 ISDA Definitions.

[ Top of Page ]