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
Key Trends in OTC Derivatives Market H2 2025
The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows an increase in notional outstanding of OTC derivatives during the second half of 2025 compared to the same period in 2024. Notional outstanding rose across all...
ISDA-SIFMA letter to SEC on Swap Dealer Thresholds
ISDA and SIFMA have submitted a comment letter to the SEC in response to the staff report on the definitions of “security-based swap dealer” and “major security-based swap participant.” The associations recommend maintaining the current de minimis thresholds for both...
ISDA responds to RBI consultation on SA-CCR
On July 1, ISDA responded to the Reserve Bank of India's (RBI) consultation on draft amendment directions on the standardized approach for counterparty credit risk (SA-CCR). ISDA broadly welcomes the RBI's move to SA-CCR and updated capital treatment for exposures...
Data Subject Access Request Form
Pursuant to its mission to promote safe and efficient markets within the over-the-counter (OTC) derivatives industry, The International Swaps and Derivatives Association, Inc. (ISDA) processes personal data of its employees, members and non-members (for example individuals attending ISDA conferences or...