Supplement 64 to the 2006 ISDA Definitions has been published today, March 30, 2020 to allow parties to specify a discount rate in swaption confirmations for which ‘Cleared Physical Settlement’ or ‘Collateralized Cash Price Cash Settlement Method’ is applicable. The ISDA Collateral Cash Price Matrix has also been updated to align the discount rates specified with expected changes in the discount rates used by clearing houses for euro and US dollar.
ISDA has also published a Guidance Note and a Memorandum explaining the changes.
On April 6, ISDA held a market education call to go through the changes introduced in the Supplement and Matrix and answer questions. A recording of the call, as well as a slide presentation, is available here.
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...