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
ISDA In Review – June 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in June 2025.
ISDA Presents Lock-Up Agreement Proposal
ISDA is pleased to present the proposed Lock-Up Agreements and CDS – Proposed Auction Solution. “Lock-Up Agreements” are market-wide arrangements, broadly standardized and predominantly integrated with court sanctioned restructuring or bankruptcy processes. Numerous end users will sign material Lock-Up Agreements...
Key Trends in OTC Derivatives Market H2 2024
The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows a modest increase in notional outstanding during the second half of 2024 compared to the same period in 2023. Notional outstanding for interest rate, foreign...
Request to Extend Relief on No-Action Letter 22-18
On July 3, ISDA requested to extend the relief under the Commodity Futures Trading Commission's (CFTC) no-action letter No. 22-18. ISDA requests that the relief is extended until further action by the CFTC resolves the overlapping and contradictory reporting obligations...