Following on from last year’s ISDA survey on changing the market convention for the cash settlement of EUR swaptions from ‘Par Yield Curve – Unadjusted’ to ‘Collateralized Cash Price’, ISDA has updated the 2006 ISDA Definitions Settlement Matrix for Early Termination and Swaptions (the ISDA Settlement Matrix), effective November 26, 2018, to show Collateralized Cash Price as the default cash settlement method for EUR swaptions from this date forward – Link to the ISDA Settlement Matrix.
Please also note that ISDA has published an updated definition of ‘Collateralized Cash Price’ under Supplement 58 to the 2006 ISDA Definitions, that links the determination of the discount factors with swaps cleared at the Mutually Agreed Clearinghouse (if specified in the Confirmation) – Link to Supplement 58.
Please contact jmartin@isda.org if you have any questions.
Latest
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.
Episode 54: A Modernization Agenda
ISDA’s chair Amy Hong sets out priorities for the association in 2026 and the important role that technologies like tokenization and artificial intelligence will play in modernizing derivatives markets. Please view this page via Chrome to access the recording.
Developing OTC Commodity Derivatives in India
The development of a robust and liquid over-the-counter (OTC) commodity derivatives market in India could support the continued growth of India’s economy given its significant reliance on commodities. A well-functioning OTC market in India would offer several advantages. First, it...
A Critical Step to Efficient Treasury Clearing
By the end of this year, the first prong of the Securities and Exchange Commission’s (SEC) Treasury clearing mandate will come into force. This is part of a regulatory effort to make the financial system more robust, but it will...