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
Joint Letter on Simplification of EU Taxonomy
On October 6, ISDA, the Association for Financial Markets in Europe (AFME), the European Fund and Asset Management Association (EFAMA), the European Association of Co-operative Banks (EACB) and the European Banking Federation (EBF) published a policy statement in support of...
Paper on Removal of SI Regime
On October 10, ISDA, the Association for Financial Markets in Europe (AFME) and the International Capital Market Association (ICMA) published a paper on the practical implications of the recent discontinuation of the systematic internalizer (SI) regime for derivatives, bonds and...
ISDA Analysis to ESMA on Reporting Costs
ISDA has submitted to the European Securities and Markets Authority (ESMA) an analysis of the costs of regulatory reporting, which proposes where savings can be made most effectively. This document supplements the recent response submitted by ISDA, the Association for...
Episode 52: Innovative Thinking
The pace of change in derivatives markets shows no sign of letting up, with rapid evolution across trading, regulation and technology. Industry veteran Don Wilson, founder of trading firm DRW, talks to The Swap about some of the biggest trends....