Publication of Supplement 59 (EuroSTR FRO) and Supplement 60 (Revised EONIA FROs) to the 2006 ISDA Definitions

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.

Response on Scope of BMR

On July 28, ISDA and the Global Foreign Exchange Division of the Global Financial Markets Association responded to the European Commission’s (EC) consultation on the need to exempt spot foreign exchange (FX) benchmarks under Article 18a of the EU Benchmarks...

Strengthening DC Governance

The Credit Derivatives Determinations Committees (DCs) play a vital role. Without a single, industry-wide determination on whether a credit event has occurred, it simply wouldn’t be possible to clear credit default swaps (CDS), making the market less safe and less...

ISDA CSA Significant Errors Notification SOP

The ISDA CSA Notification of Significant Error or Omissions Suggested Operational Practices (SOP) considers current institutional processes and outlines suggested operational practices related to the new requirement under §26.3(2) of the Canadian Trade Repositories and Derivatives Data Reporting rules rewrite...

ISDA Paper on UPI Identifiers

On July 16, ISDA submitted a paper (UPI as the Foundation for OTC Derivatives Reporting: The Case for UPI) to the UK Financial Conduct Authority (FCA). The paper was developed to complement ISDA’s response to the FCA’s discussion paper DP24/2:...