Market Practice Change for Settlement of EUR Swaptions to Collateralized Cash Price

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 will update 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.

Please also note that ISDA is working with its members on updating the definition of ‘collateralized cash price’ in order to link the determination of the discount factors with swaps cleared at the mutually agreed clearinghouse (if specified in the confirmation). Once this process is complete, the updated ‘collateralized cash price’ definition will be published as a supplement to the 2006 ISDA Definitions prior to the market practice change outlined above.


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