Additional Provisions for Use with a Deliverable Currency Disruption and ISDA Deliverable Currency Disruption Fallback Matrix
Additional Provisions for Use with a Deliverable Currency Disruption and ISDA Deliverable Currency Disruption Fallback Matrix
The Additional Provisions for use with a Deliverable Currency Disruption (“Additional Provisions”) and ISDA Deliverable Currency Disruption Fallback Matrix (“Fallback Matrix”) provide for standard documentation for deliverable interest rate swaps where a Deliverable Currency Disruption Event (as defined in the Additional Provisions) renders the Reference Currency (as defined in the Additional Provisions) non-deliverable. Please note, the Fallback Matrix may be amended from time to time to include new Reference Currencies or Currency Pairs (each as defined in the Additional Provisions).
The Additional Provisions are available to users wishing to incorporate them into relevant interest rate swaps under the 2021 ISDA Interest Rate Derivatives Definitions and the 2006 ISDA Definitions.
The ISDA Deliverable Currency Disruption Fallback Matrix (June 6, 2022) is available to users wishing to incorporate them into relevant interest rate swaps under the 2021 ISDA Interest Rate Derivatives Definitions and the 2006 ISDA Definitions.
The Additional Provisions, Confirmation Terms, and Fallback Matrix are also available via ISDA’s MyLibrary.
For your convenience, we have attached sample language illustrating how to incorporate the Additional Provisions into a 2021 ISDA Interest Rate Derivatives Definitions confirmation and into a 2006 ISDA Definitions confirmation.
Free downloads for Additional Provisions for Use with a Deliverable Currency Disruption and ISDA Deliverable Currency Disruption Fallback Matrix (7)
- Additional Provisions for Use with Deliverable Currency Disruption Events (2021 Definitions) (docx)
- Additional Provisions for Use with Deliverable Currency Disruption Events (2006 Definitions) (doc)
- ISDA Deliverable Currency Disruption Fallback Matrix (June 6, 2022) (xlsx)
- Exhibit II-A - Form of Confirmation for Incorporating Additional Provisions and Matrix (doc)
- Confirmation Terms for Use with the 2021 Definitions Additional Provisions for Use with Deliverable Currency Disruption Events (doc)
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Superseded
ISDA Deliverable Currency Disruption Fallback Matrix (March 2020) (Superseded) (doc) - ISDA Deliverable Currency Disruption Fallback Matrix (November 2008) (Superseded) (doc)