• ISDA Equity and Fund Definitions
• Asia Ex-Japan documentation
• Europe documentation
• Japan documentation
• North America documentation
• Variance Swap Template Comparison Chart - by region
• Superseded documentation

2002 ISDA Equity Derivatives Definitions

The 2002 ISDA Equity Derivatives Definitions update the 1996 ISDA Equity Derivatives Definitions. A number of significant changes have been made in the 2002 ISDA Equity Derivatives Definitions, including: (i) expanded product coverage for forwards, barrier instruments and Bermuda options; (ii) amendments to the consequences of Merger Events and the approach to disruptions of trading activity; and (iii) the linkage of cash or physical settlement provisions to any instrument, rather than just options.

The User's Guide to the 2002 Equity Derivatives Definitions is designed to assist in the understanding and use of the 2002 Equity Derivatives Definitions and forms of confirmation. This publication provides a detailed, section by section review of the provisions featured in the 2002 Equity Derivatives Definitions and how those provisions differ from those published in the 1996 ISDA Equity Derivatives Definitions. The Guide also contains examples of the operation of the various provisions of the Definitions, and provides some examples of jurisdiction specific provisions which may be of help to parties in customizing their transactions.

This document provides eighteen forms of Confirmations for use with different types of equity derivative transactions, as contemplated in the 2002 ISDA Equity Derivative Definitions.

French Translation of the 2002 ISDA Equity Derivatives Definitions (For Educational Purposes Only)

This translation of the 2002 ISDA Equity Derivatives Definitions has been prepared for educational purposes only.

The 2006 ISDA Fund Derivatives Definitions are intended for use in confirmations of individual derivatives transactions linked to interests in various types of pooled investment vehicles, such as hedge funds and mutual funds. They are a streamlined version of the 2002 ISDA Equity Derivatives Definitions tailored to account for the particular valuation and settlement characteristics of fund interests. They differ from the 2002 Definitions primarily in that the 2006 ISDA Fund Derivatives Definitions do not contain market valuation methodologies, physical settlement mechanics or other provisions that are more suitable for equity securities whose value is primarily derived from secondary market transactions and in that they contain Extraordinary Events geared toward funds and events that may impact investors in such funds.

European Equity MCA Depository Receipt Supplement Implementation Side Letter
(published January 31, 2008)

This side letter is designed to enable parties to implement the two depository receipt supplements to the 2002 ISDA Equity Derivatives Definitions that were published in 2007. The letter includes different annexes that may be included with the letter (as applicable) to implement the depository receipt supplements into various European equity derivatives master confirmation agreements. The letter provides standard fallbacks for selection of the 2007 Partial Lookthrough Depository Receipt Supplement or the 2007 Full Lookthrough Depository Receipt Supplement depending on the location of the underlying shares.

This supplement to the 2002 ISDA Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. This form is based on the 2007 Full Lookthrough Depository Receipt Supplement published by ISDA on September 17, 2007, but with a narrower scope of circumstances in which the transaction will look through to events affecting the shares underlying the depository receipts.

This supplement to the 2002 Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. It is intended for use in particular where the parties may be hedging in the Underlying Shares and require the terms of the transaction to look through to events in respect of the Underlying Shares. Please note that ISDA also anticipates publishing a form of Partial Lookthrough Depository Receipt supplement, for intended use in transactions where the parties require less extensive lookthrough to the Underlying Shares.

Revised ISDA AEJ Reference Price Source Matrix
(published June 25, 2009  Note: This supersedes version dated November 29, 2006)

If parties have executed the Second Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement or the Revised 2007 AEJ Master Variance Swap Confirmation Agreement or the Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement (or any previous versions thereof), and if the Reference Price of the Transaction is listed in the Revised ISDA AEJ Reference Price Source Matrix as of the Trade Date, then the Reference Price Source contained therein with respect to such Reference Price currency shall be deemed to apply to the Transaction.

Second Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated March 13, 2007)

The Second Revised 2005 AEJ (Asia Excluding Japan) Interdealer Master Equity Derivatives Confirmation Agreement incorporates the amendments that were made to the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009. The Confirmation Agreement is designed to document Index Option, Index Swap, Share Option and Share Swap Transactions with respect to underlying shares or indices in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand in the interdealer market.

Revised 2007 AEJ Master Variance Swap Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated February 12, 2007)

The Revised 2007 AEJ Master Variance Swap Confirmation Agreement incorporates the amendments that were made to the 2007 AEJ Master Variance Swap Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009.  The Confirmation Agreement documents cash-settled index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Pakistan, Philippines, Singapore, Taiwan, Thailand and Vietnam.

Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated August 22, 2008)

The Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement incorporates the amendments that were made to the 2008 AEJ Master Equity Derivatives Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009.  The Confirmation Agreement contains the following annexes: the Multiple Exchange Index Annex, the Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options, and the Open Market Annex OMEFS, which documents cash-settled equity finance share swaps. All of the annexes to this agreement reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore.

Revised Additional Provisions for Use with Indian Underliers
(published November 28, 2008)

The revised Additional Provisions for Use with Indian Underliers makes changes to the original version published on 6 June 2005 to take into account amendments made to the Securities and Exchange Board of India (Foreign Institutional Investors) Regulations in May 2008.

The Amendment to Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement allows parties to bilaterally amend their existing Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement to update the references therein from the Additional Provisions published in 2005 to the revised version.

The 2008 AEJ Master Equity Confirmation Agreement contains the following annexes: EFS Annex, which documents cash-settled equity finance share swaps, the Multiple Exchange Index Annex and an Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options. All of the annexes to this agreement reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore.

The Amendment revises the Settlement Price term of Annex SO (Share Option) of the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by fixing the Strike Price as the Settlement Price for Physically Settled Options. The Amendment also revises the Related Exchange term and the Market Disruption Event term of Annex SVS (Cash-settled Share Variance Swap) of the 2007 AEJ Master Variance Confirmation Agreement by determining Scheduled Trading Days with regard only to the Exchange and not the Related Exchange.

The 2008 AEJ Master Equity Confirmation Agreement contains the Open Market EFS Annex which documents cash-settled equity finance share swaps referencing underlying shares in Australia, Hong Kong, New Zealand or Singapore

The 2007 AEJ Master Variance Swap Confirmation Agreement documents index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand.

Amendment to the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 13, 2007 Note: This supersedes version dated November 29, 2006)

The Amendment will enable parties who have executed the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement to amend Annex IO (Index Option) and SO (Share Option) of their existing 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by inserting the date of the amendment on Exhibit I.

Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 13, 2007 Note: This supersedes version dated November 29, 2006)

The Revised 2005 AEJ (Asia Excluding Japan) Interdealer Master Equity Derivatives Confirmation Agreement amends Annex IO (Index Option) and SO (Share Option) of the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement to facilitate electronic matching of transactions. The Confirmation Agreement is designed to document Index Option and Share Option Transactions with respect to underlying shares or indices in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand in the interdealer market.

ISDA AEJ Reference Price Source Matrix
(published November 29, 2006)

If parties have executed the Amendment to 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement or the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement, and if the Reference Price of the Transaction is listed in the ISDA AEJ Reference Price Source Matrix as of the Trade Date, then the Reference Price Source contained therein with respect to such Reference Price currency shall be deemed to apply to the Transaction.

Allen & Overy LLP Memo on Joint Calculation Agents
(published December 21, 2005)

These additional representations and warranties are for use in conjunction with the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement, and can be applied by election in the General Terms Confirmation of each transaction type.

ISDA Standard Terms Appendix for use with European Variance Option Transactions (published January 27, 2009)

By incorporating the ISDA Standard Terms Appendix for use with European Variance Option Transactions into a Transaction Supplement under a Revised 2007 European Variance Swap Master Confirmation Agreement, the parties agree to amend such MCA to add the provisions of Annex IVO (Index Variance Option) and Annex SVO (Share Variance Option).

European Master Equity Confirmation Agreement
(published September 17, 2007)

This amended version includes Annex EFS (Cash-settled Equity Finance Share Swap).

The 2007 European Master Equity Confirmation Agreement documents option transactions with respect to a European index or share (includes Multiple Exchange Index Annex and Index/Share Option Annex) as well as cash-settled equity finance share swaps.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

(Note: this version supersedes version dated March 7, 2007)

This amended version includes changes to Annex SVS in respect of the application of Related Exchange / Exchange when determining a Scheduled Trading Day for Share Variance Swaps. Related Exchange is no longer taken into account for the determination of a Scheduled Trading Day for a Share Variance Swaps.

The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

European Dispersion Variance Swap General Terms Confirmation
(published December 2, 2008)

The Dispersion Variance Swap General Terms Confirmation/Annex DVS ("DVS General Terms Confirmation") is designed to document variance swap transactions composed of an Index Variance Swap Transaction and a Share Variance Swap Transaction composed of several Share Variance Swap Transactions. The DVS General Terms Confirmation is to be used with the Revised 2007 European Variance Swap Master Confirmation Agreement.

European Master Equity Confirmation Agreement
(published May 10, 2007)

The 2007 European Master Equity Confirmation Agreement documents option transactions with respect to a European index or share (includes Multiple Exchange Index Annex and Index/Share Option Annex).

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

The 2008 Japanese Dividend Swap Master Confirmation Agreement (Annex IDS) is designed to document index dividend swap transactions based on a Japanese index.

The 2006 Japan Master Variance Swap Confirmation Agreement documents index and share variance swap transactions with respect to a Japanese index or share. Other than with regard to designation of the Calculation Agent, it is identical in terms to the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement.

The Share Variance Swap Confirmation, to be used in conjunction with the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement expands product coverage under the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement to share variance swaps.

The 2006 Japan Interdealer Master Variance Swap Confirmation Agreement is designed to document index and share variance swap transactions with respect to a Japanese index or share.

Confirmations for use with the 2002 ISDA Equity Derivatives Definitions - Japanese Inter-Dealer Market

The Confirmations for the Cash-settled Index Option Transaction with respect to a Japanese Index and the Physically-settled Share Option Transaction with respect to Japanese Shares are designed to be used for the Japanese inter-dealer market.

2005 Japanese Interdealer Master Equity Derivatives Confirmation Agreement
(Revised April 2007)

The 2005 Japanese Interdealer Master Equity Derivatives Confirmation Agreement is designed to document Cash-settled Index Option Transactions with respect to a Japanese Index and Physically-settled Share Option Transactions with respect to Japanese Shares in the Japanese interdealer market.

2009 Americas Master Equity Derivatives Confirmation Agreement
(published February 20, 2009)

The 2009 Americas Master Equity Derivatives Confirmation Agreement includes Annex CSSS which documents cash settled single share swaps, Annex ETCIO which documents cash-settled Exchange-traded Contract Index Options and Annex DCSO which documents Physically-settled Designated Contract Share Options. Annexes ETCIO and DCSO were previously published under the 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement.

2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement
(published March 28, 2008)

This new 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement is intended to document physically-settled share option transactions and cash-settled index option transactions that reference listed share options (Designated Contracts) and listed index options (Exchange-traded Contracts) on U.S. underliers. This Master Confirmation incorporates the 2002 Definitions and includes one General Terms Confirmation for Designated Contracts (Annex A) and Exchange-traded Contracts (Annex B), respectively, and is supplemented with a related Transaction Supplement for trade details.

Stand-alone 2007 Americas Master Variance Swap Confirmation Agreement

This Stand-alone Agreement is for use where parties, such as hedge funds, do not have an equity Master Confirmation in place, but wish to take advantage of the Master Confirmation approach for index and share variance swap transactions

The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement was updated on August 11, 2006. A blackline is available to show updates from the March 29, 2004 version.

The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (the “Master Confirmation”) covers Index Options, Index Swaps and Index Basket Swaps, Share Options, and Share Swaps and Share Basket Swaps on U.S. underliers. ISDA has also published the March 2004 Canadian Supplement to the Master Confirmation for transactions on Canadian underliers. The publication of this Master Confirmation is intended to encourage wholesale adoption of the 2002 ISDA Equity Derivatives Definitions (the “2002 Definitions”) and to simultaneously address large numbers of unsigned equity derivatives confirmations amongst the dealer community. This Master Confirmation is not intended to be a master confirmation for OTC equity derivative transactions with entities that are not dealers, as many dealers’ elections under the 2002 Definitions differ depending on the particular risks that they are hedging. The Master Confirmation, which dealers will enter into bilaterally, incorporates the 2002 Definitions, is subject to the applicable ISDA Master Agreement between such dealers, includes four General Terms Confirmations (each an Annex) with agreed upon house elections, and is supplemented with a related Transaction Supplement including trade details. Dealers may also agree on a bilateral basis to subject outstanding trades to the Master Confirmation on a retroactive basis.