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ISDA
EQUITY DERIVATIVES DEFINITIONS AND CONFIRMATIONS
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| ISDA Equity and Fund Definitions | |||||||||||||
| 2002 ISDA Equity
Derivatives Definitions |
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| User's
Guide to the 2002 ISDA Equity Derivatives Definitions
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.
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| Confirmations
for use with the 2002 ISDA Equity Derivatives Definitions 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. |
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| French
Translation of the 2002 ISDA Equity Derivatives Definitions (For Educational
Purposes Only) |
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| 2006
ISDA Fund Derivatives Definitions
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.
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| European Equity MCA Depository Receipt
Supplement Implementation Side Letter 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.
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| 2007
Partial Lookthrough Depository Receipt Supplement to the 2002 ISDA Equity
Derivatives Definitions
(published December 7, 2007) 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.
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| 2007 Full Lookthrough
Depository Receipt Supplement to the 2002 Equity Derivatives Definitions
(published September 17, 2007) 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.
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| Asia Ex-Japan documentation | |||||||||||||
| 2008 AEJ Master
Equity Derivatives Confirmation Agreement
(published March 31, 2008) 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 |
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| 2007
AEJ Master Variance Swap Confirmation Agreement
(published February 12, 2007) 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. |
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| Amendment
to the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
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.
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| Revised
2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
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.
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| ISDA AEJ
Reference Price Source Matrix 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. |
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| Additional Provisions for Use with Indian
Underliers (published June 6, 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. |
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| Europe documentation | |||||||||||||
European
Master Equity Confirmation Agreement 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). |
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| Revised 2007
European Variance Swap Master Confirmation Agreement (published, June 25, 2007) (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).
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European
Master Equity Confirmation Agreement 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).
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| 2007 European Variance Swap Master Confirmation
Agreement (published March 7, 2007) 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).
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| Japan documentation | |||||||||||||
| 2006 Japan
Master Variance Swap Confirmation Agreement (published January 22, 2007) 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. |
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| Share
Variance Swap Confirmation
(published December 21, 2006)
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. |
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| 2006
Japan Interdealer Master Variance Swap Confirmation Agreement
(Annex IVS published June 30, 2006, Annex SVS published December 21, 2006) 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. |
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| 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. |
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| 2005
Japanese Interdealer Master Equity Derivatives Confirmation Agreement
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.
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| North America documentation | |||||||||||||
| ISDA Equity Derivatives Documentation Matrix
(published April 2, 2008) |
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2008 Americas
Master Designated/Exchange-Traded Contract Option Confirmation Agreement
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.
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| 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 |
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| Index
and Share Variance Swap Annexes and Implementation Side Letter
The Index and Share Variance Swap Annexes
expand market coverage under the 2004 Americas Interdealer Master Equity
Derivatives Confirmation Agreement to index and share variance swap
trading. This is a revised version, published January 30, 2007. The
side letter presents various options to assist with implementation of
the new annexes.
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| Revised 2004 Americas Interdealer Master
Equity Derivatives Confirmation Agreement (this supersedes the 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement published on March 29, 2004). 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. |
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| 2004
Americas Interdealer Master Equity Derivatives Confirmation Agreement
and March 2004 Canadian Supplement to the Master Confirmation
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.
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| Variance Swap Template Comparison Chart – by region | |||||||||||||
| Variance Swap Comparison Chart (published November 6, 2007) |
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| Superseded documentation | |||||||||||||
| 1996 ISDA Equity
Derivatives Definitions The 1996 ISDA Equity Derivatives Definitions are intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements. The Definitions are primarily an expansion of the 1994 ISDA Equity Option Definitions and cover a wider range of basic transactions and include provisions that allow parties to modify or tailor the basic transactions to reflect common variations. The purpose of these Definitions is to provide the basic framework for the documentation of an OTC equity derivative transaction and parties may find these Definitions a useful starting point when drafting a confirmation for a more exotic product-type. |
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| 1994 ISDA Equity
Option Definitions The 1994 ISDA Equity Option Definitions are intended for use with the 1992 Master Agreements and confirmations of individual transactions governed by those Agreements. These Definitions reflect the terms of the two Long Form Confirmations (1992 OTC Equity Index Option Confirmation and 1994 OTC Single Share Option Transaction Confirmation) and includes a Short Form Confirmation for participants in the markets for OTC equity option transactions to document OTC equity and physically-settled single share options transactions. |
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| 1994 Confirmation
of OTC Single Share Option Transaction (Physical Settlement) The 1994 Confirmation of OTC Single Share Option Transaction is designed to facilitate the documentation of single share option transactions that settle by physical delivery. |
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| 1992 Confirmation
for OTC Equity Index Option Transaction The 1992 Confirmation for OTC Equity Index Option Transactions is designed to facilitate the documentation of equity index option transactions under the ISDA Master Agreement. |
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