Market consensus on treatment of LIFFE event of August 4, 2011 for FTSE Index Variance Swap transactions which are documented under Revised 2007 European Variance Master Confirmation Agreement and reference LIFFE as the Related Exchange.
Documents (1) for LIFFE Disruption – August 4, 2011
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ISDA & EMTA Market Practice 45
ISDA & EMTA jointly published the attached updated market practice regarding the determination of barrier events for Brazilian Real non-deliverable continuously monitored barrier option transactions.
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