Publication of Supplement 59 (EuroSTR FRO) and Supplement 60 (Revised EONIA FROs) to the 2006 ISDA Definitions

On 1st October 2019, ISDA published Supplement 59 to the 2006 ISDA Definitions, which adds a compounded EuroSTR Floating Rate Option to the 2006 ISDA Definitions. Click here for Supplement 59 which includes the definition for the Floating Rate Option “EUR-EuroSTR-COMPOUND.”

“EUR-EONIA-OIS-COMPOUND”, “EUR-EONIA-OIS-COMPOUND-Bloomberg” and “EUR-EONIA-AVERAGE”

ISDA has also published Supplement 60 to the 2006 ISDA Definitions which embeds robust fallbacks into Floating Rate Options in the 2006 ISDA Definitions which reference EONIA. Click here for the Supplement 60 which updates the Floating Rate Options “EUR-EONIA-OIS-COMPOUND”, “EUR-EONIA-OIS-COMPOUND-Bloomberg” and “EUR-EONIA-AVERAGE.”

Other related ISDA initiatives

ISDA continues to discuss with its working groups other recommendations made by the EU RFR Working Group in its EONIA-€STR Legal Action Plan, including the incorporation of EONIA fallbacks into legacy transactions and collateral arrangements.

Response on Commodity Derivatives Markets

On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...

Episode 50: The Value of Derivatives

A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...

ISDA/IIF Response to EC Market Risk Consultation

On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...

ISDA Submits Letter on Environmental Credits

On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...