On 1st October 2019, ISDA published Supplement 59 to the 2006 ISDA Definitions, which adds a compounded EuroSTR Floating Rate Option to the 2006 ISDA Definitions. Click here for Supplement 59 which includes the definition for the Floating Rate Option “EUR-EuroSTR-COMPOUND.”
“EUR-EONIA-OIS-COMPOUND”, “EUR-EONIA-OIS-COMPOUND-Bloomberg” and “EUR-EONIA-AVERAGE”
ISDA has also published Supplement 60 to the 2006 ISDA Definitions which embeds robust fallbacks into Floating Rate Options in the 2006 ISDA Definitions which reference EONIA. Click here for the Supplement 60 which updates the Floating Rate Options “EUR-EONIA-OIS-COMPOUND”, “EUR-EONIA-OIS-COMPOUND-Bloomberg” and “EUR-EONIA-AVERAGE.”
Other related ISDA initiatives
ISDA continues to discuss with its working groups other recommendations made by the EU RFR Working Group in its EONIA-€STR Legal Action Plan, including the incorporation of EONIA fallbacks into legacy transactions and collateral arrangements.
Latest
ISDA Market Practice Note for the Rebasing of European Inflation Indices
ISDA Market Practice Note for Rebasing of the: FRC - Excluding Tobacco-Non-Revised Consumer Price Index EUR - Excluding Tobacco-Non-revised Consumer Price Index ITL - Inflation for Blue Collar Workers and Employees-Excluding Tobacco Consumer Price Index SEK – Non-revised Consumer Price...
Guidance for EU IM Model Application for ISDA SIMM®
EU financial and non-financial EU counterparties exchanging IM based on ISDA SIMM® should have already submitted an initial application for authorisation to their competent authority (CA), and ECB if applicable. If not, they should do so timely to ensure continued...
Joint Response on Stress Testing Framework
On February 23, ISDA, the Bank Policy Institute, the American Bankers Association, the Financial Services Forum, the Securities Industry and Financial Markets Association and the US Chamber of Commerce jointly responded to the US Federal Reserve’s consultation on the stress...
Joint Letter on Italian 2026 Budget Law
On February 23, ISDA, the Association for Financial Markets in Europe and the International Securities Lending Association jointly sent a letter to the Italian tax authorities about changes to withholding tax on dividends made in the 2026 budget law, which...