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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 (September 30, 2024) is available to users wishing to incorporate them into relevant interest rate swaps under the 2021 ISDA Interest Rate Derivatives 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 (8)