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
Response on Dividend Stripping
On October 14, ISDA, the Association for Financial Markets in Europe (AFME) and the International Securities Lending Association (ISLA) submitted a joint response to the Dutch Ministry of Finance on its proposed measures on dividend stripping. While supporting the policy...
ISDA Launches DRR Tracer Agent
ISDA has launched an artificial intelligence (AI) agent for its Digital Regulatory Reporting (DRR) solution that will bring greater transparency to users by tracing the rules and decisions that have guided the development of the DRR. The ISDA DRR Tracer...
US FX Derivatives Review
ISDA has expanded its SwapsInfo website to include data on US foreign exchange (FX) derivatives, extending the platform's coverage beyond interest rate and credit derivatives to a third over-the-counter derivatives asset class. The US FX Derivatives Review covers trading activity...
Response to FCA on Post-trade Transparency
On October 16, ISDA responded to the Financial Conduct Authority’s (FCA) consultation CP26/30. While the consultation is principally focused on cash equity market structure and transparency, ISDA responded to questions on the potential inclusion of equity swaps in the scope...