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 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.

 

ISDA Response to EC on Environmental Legislation

On September 10, ISDA, the Association for Financial Markets in Europe (AFME) and the European Fund and Asset Management Association (EFAMA) submitted a joint response to the European Commission’s (EC) call for evidence on reducing the administrative burden in environmental...

Credit Derivatives Trading Activity Q2 2025

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...

Recognition of Cross-product Netting is Critical

US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...