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
ISDA In Review – March 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in March 2025.
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
A Positive Step to Improve the FRTB in the EU
As the Basel III capital reforms are finalized for implementation in key jurisdictions, ISDA is maintaining a laser focus on making sure the rules are robust and risk-appropriate. Simply put, if capital requirements are set disproportionately high, this will have...
Trading Book Capital: Scott O'Malia Remarks
Trading Book Capital: Policy Challenges for the EU 2024-2029 Mandate March 25, 2025 Welcoming Remarks Scott O’Malia ISDA Chief Executive Officer Good morning and welcome to ISDA’s trading book capital event. It’s great to be here in Brussels and...