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| {{anat|isdadefs|}}One of many compendious and stupefying booklets containing the minute details of how one calculates for example, {{isdadefsprov|Floating Rate Option}}s, should your currency happen to be South African Rand. There were [[2000 ISDA Definitions]], and they were superseded by the even drearier, more compendious, [[2006 ISDA Definitions]]. | | {{anat|isdadefs|{{subtable|{{2006 ISDA Definitions TOC}}}}}}One of many compendious and stupefying booklets containing the minute details of how one calculates for example, {{isdadefsprov|Floating Rate Option}}s, should your currency happen to be South African Rand. There were [[2000 ISDA Definitions]], and they were superseded by the even drearier, more compendious, [[2006 ISDA Definitions]]. |
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| Good work, everyone. | | Good work, everyone. |
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| ARTICLE {{isdadefsprov|1}} CERTAIN GENERAL DEFINITIONS<br>
| | === Genealogy of the Definitions === |
| :Section {{isdadefsprov|1.1}} {{isdadefsprov|Swap Transaction}}<br>
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| :Section {{isdadefsprov|1.2}} {{isdadefsprov|Confirmation}}<br>
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| :Section {{isdadefsprov|1.3}} {{isdadefsprov|Banking Day}}<br>
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| :Section {{isdadefsprov|1.4}} {{isdadefsprov|Business Day}}<br>
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| :Section {{isdadefsprov|1.5}} {{isdadefsprov|Financial Centers}}<br>
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| :Section {{isdadefsprov|1.6}} {{isdadefsprov|Certain Business Days}}<br>
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| :Section {{isdadefsprov|1.7}} {{isdadefsprov|Currencies}}<br>
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| :Section {{isdadefsprov|1.8}} {{isdadefsprov|TARGET Settlement Day}}<br>
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| :Section {{isdadefsprov|1.9}} {{isdadefsprov|New York Fed Business Day}}<br>
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| :Section {{isdadefsprov|1.10}}.NYSE Business Day}}<br>
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| :Section {{isdadefsprov|1.11}}.U.S. Government Securities Business Day}}<br>
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| :Section {{isdadefsprov|1.12}}.EC Treaty}}<br>
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| ARTICLE {{isdadefsprov|2}} PARTIES<br>
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| :Section {{isdadefsprov|2.1}} {{isdadefsprov|Fixed Rate Payer; Fixed Amount Payer}}<br>
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| :Section {{isdadefsprov|2.2}} {{isdadefsprov|Floating Rate Payer; Floating Amount Payer}}<br>
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| ARTICLE {{isdadefsprov|3}} TERM AND DATES<br>
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| :Section {{isdadefsprov|3.1}} {{isdadefsprov|Term}}<br>
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| :Section {{isdadefsprov|3.2}} {{isdadefsprov|Effective Date}}<br>
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| :Section {{isdadefsprov|3.3}} {{isdadefsprov|Termination Date}}<br>
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| :Section {{isdadefsprov|3.4}} {{isdadefsprov|Initial Exchange Date}}<br>
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| :Section {{isdadefsprov|3.5}} {{isdadefsprov|Interim Exchange Date; Periodic Exchange Date}}<br>
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| :Section {{isdadefsprov|3.6}} {{isdadefsprov|Final Exchange Date; Exchange Date; Maturity Date}}<br>
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| :Section {{isdadefsprov|3.7}} {{isdadefsprov|Trade Date}}<br>
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| ARTICLE {{isdadefsprov|4}} CERTAIN DEFINITIONS RELATING TO PAYMENTS<br>
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| :Section {{isdadefsprov|4.1}} {{isdadefsprov|Initial Exchange Amount}}<br>
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| :Section {{isdadefsprov|4.2}} {{isdadefsprov|Interim Exchange Amount; Periodic Exchange Amount}}<br>
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| :Section {{isdadefsprov|4.3}} {{isdadefsprov|Final Exchange Amount; Exchange Amount.7ii}}<br>
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| :Section {{isdadefsprov|4.4}} {{isdadefsprov|Fixed Amount}}<br>
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| :Section {{isdadefsprov|4.5}} {{isdadefsprov|Floating Amount}}<br>
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| :Section {{isdadefsprov|4.6}} {{isdadefsprov|Currency Amount}}<br>
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| :Section {{isdadefsprov|4.7}} {{isdadefsprov|Notional Amount}}<br>
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| :Section {{isdadefsprov|4.8}} {{isdadefsprov|Calculation Amount}}<br>
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| :Section {{isdadefsprov|4.9}} {{isdadefsprov|Payment Date}}<br>
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| :Section {{isdadefsprov|4.10}}.{{isdadefsprov|Period End Date}}<br>
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| :Section {{isdadefsprov|4.11}}.{{isdadefsprov|FRN Convention; Eurodollar Convention}}<br>
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| :Section {{isdadefsprov|4.12}}.{{isdadefsprov|Business Day Convention}}<br>
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| :Section {{isdadefsprov|4.13}}.{{isdadefsprov|Calculation Period}}<br>
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| :Section {{isdadefsprov|4.14}}.{{isdadefsprov|Calculation Agent}}<br>
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| :Section {{isdadefsprov|4.15}}.{{isdadefsprov|Calculation Date}}<br>
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| :Section {{isdadefsprov|4.16}}.{{isdadefsprov|Day Count Fraction}}<br>
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| :Section {{isdadefsprov|4.17}}. {{isdadefsprov|IMM Settlement Dates}}<br>
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| ARTICLE {{isdadefsprov|5}} FIXED AMOUNTS<br>
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| :Section {{isdadefsprov|5.1}} {{isdadefsprov|Calculation of a Fixed Amount}}<br>
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| :Section {{isdadefsprov|5.2}} {{isdadefsprov|Certain Definitions Relating to Fixed Amounts}}<br>
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| ARTICLE {{isdadefsprov|6}} FLOATING AMOUNTS<br>
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| :Section {{isdadefsprov|6.1}} {{isdadefsprov|Calculation of a Floating Amount}}<br>
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| :Section {{isdadefsprov|6.2}} {{isdadefsprov|Certain Definitions Relating to Floating Amounts}}<br>
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| :Section {{isdadefsprov|6.3}} {{isdadefsprov|Certain Definitions Relating to Compounding}}<br>
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| :Section {{isdadefsprov|6.4}} {{isdadefsprov|Negative Interest Rates}}<br>
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| ARTICLE {{isdadefsprov|7}} CALCULATION OF RATES FOR CERTAIN FLOATING RATE OPTIONS<br>
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| :Section {{isdadefsprov|7.1}} {{isdadefsprov|Rate Options}}<br>
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| :Section {{isdadefsprov|7.2}} {{isdadefsprov|Certain Published and Displayed Sources}}<br>
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| :Section {{isdadefsprov|7.3}} {{isdadefsprov|Certain General Definitions Relating to Floating Rate Options}}<br>
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| :Section {{isdadefsprov|7.4}} {{isdadefsprov|Price Source Conversion}}<br>
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| :Section {{isdadefsprov|7.5}} {{isdadefsprov|Certain Definitions Relating to Price Source Conversion}}<br>
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| :Section {{isdadefsprov|7.6}} {{isdadefsprov|Corrections to Published and Displayed Rates}}<br>
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| ARTICLE {{isdadefsprov|8}} ROUNDING; INTERPOLATION; DISCOUNTING<br>
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| :Section {{isdadefsprov|8.1}} {{isdadefsprov|Rounding}}<br>
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| :Section {{isdadefsprov|8.2}} {{isdadefsprov|Rounding of Currency Amounts}}<br>
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| :Section {{isdadefsprov|8.3}} {{isdadefsprov|Interpolation}}<br>
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| :Section {{isdadefsprov|8.4}} {{isdadefsprov|Discounting}}<br>
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| ARTICLE {{isdadefsprov|9}} PAYMENTS<br>
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| :Section {{isdadefsprov|9.1}} {{isdadefsprov|Relating Payments to Calculation Periods}}<br>
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| ARTICLE {{isdadefsprov|10}} MARK-TO-MARKET CURRENCY SWAPS<br>
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| :Section {{isdadefsprov|10.1}} {{isdadefsprov|Mark-to-market Currency Swap}}<br>
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| :Section {{isdadefsprov|10.2}} {{isdadefsprov|General Terms Relating to Mark-to-market Currency Swaps}}<br>
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| :Section {{isdadefsprov|10.3}} {{isdadefsprov|Application of ISDA MTM Matrix}}<br>
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| :Section {{isdadefsprov|10.4}} {{isdadefsprov|ISDA MTM Matrix}}<br>
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| :Section {{isdadefsprov|10.5}} {{isdadefsprov|MTM Amount}}<br>
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| ARTICLE {{isdadefsprov|11}} OPTION TRANSACTION; SWAPTION; SWAPTION STRADDLE<br>
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| :Section {{isdadefsprov|11.1}} {{isdadefsprov|Option Transaction}}<br>
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| :Section {{isdadefsprov|11.2}} {{isdadefsprov|Swaption}}<br>
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| :Section {{isdadefsprov|11.3}} {{isdadefsprov|Swaption Straddle}}<br>
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| ARTICLE {{isdadefsprov|12}} CERTAIN DEFINITIONS AND PROVISIONS RELATING TO OPTION TRANSACTIONS<br>
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| :Section {{isdadefsprov|12.1}} {{isdadefsprov|Parties}}<br>
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| :Section {{isdadefsprov|12.2}} {{isdadefsprov|Option Style}}<br>
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| :Section {{isdadefsprov|12.3}} {{isdadefsprov|Terms Relating to Premium}}<br>
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| :Section {{isdadefsprov|12.4}} {{isdadefsprov|Exercise Business Day}}<br>
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| :Section {{isdadefsprov|12.5}} {{isdadefsprov|Notional Amount for Option Transactions}}<br>
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| ARTICLE {{isdadefsprov|13}} EXERCISE OF OPTIONS<br>
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| :Section {{isdadefsprov|13.1}} {{isdadefsprov|General Terms Relating to Exercise}}<br>
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| :Section {{isdadefsprov|13.2}} {{isdadefsprov|Procedure for Exercise}}<br>
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| :Section {{isdadefsprov|13.3}} {{isdadefsprov|Partial Exercise}}<br>
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| :Section {{isdadefsprov|13.4}} {{isdadefsprov|Multiple Exercise}}<br>
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| :Section {{isdadefsprov|13.5}} {{isdadefsprov|Minimum Notional Amount}}<br>
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| :Section {{isdadefsprov|13.6}} {{isdadefsprov|Maximum Notional Amount}}<br>
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| :Section {{isdadefsprov|13.7}} {{isdadefsprov|Automatic Exercise}}<br>
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| :Section {{isdadefsprov|13.8}} {{isdadefsprov|Fallback Exercise}}<br>
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| :Section {{isdadefsprov|13.9}} {{isdadefsprov|Settlement Rate on Automatic Exercise or Fallback Exercise}}<br>
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| :Section {{isdadefsprov|13.10}}.{{isdadefsprov|Exercise of Swaption Straddles.94iv}}<br>
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| ARTICLE {{isdadefsprov|14}} GENERAL TERMS AND PROVISIONS RELATING TO SETTLEMENT OF SWAPTIONS<br>
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| :Section {{isdadefsprov|14.1}} {{isdadefsprov|Certain Definitions Relating to Settlement of Swaptions}}<br>
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| ARTICLE {{isdadefsprov|15}} PHYSICAL SETTLEMENT OF SWAPTIONS<br>
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| :Section {{isdadefsprov|15.1}} {{isdadefsprov|Physical Settlement}}<br>
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| ARTICLE {{isdadefsprov|16}} OPTIONAL EARLY TERMINATION<br>
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| :Section {{isdadefsprov|16.1}} {{isdadefsprov|Optional Early Termination}}<br>
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| :Section {{isdadefsprov|16.2}} {{isdadefsprov|Optional Early Termination Date}}<br>
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| ARTICLE {{isdadefsprov|17}} MANDATORY EARLY TERMINATION<br>
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| :Section {{isdadefsprov|17.1}} {{isdadefsprov|Mandatory Early Termination}}<br>
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| :Section {{isdadefsprov|17.2}} {{isdadefsprov|Mandatory Early Termination Date}}<br>
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| ARTICLE {{isdadefsprov|18}} CASH SETTLEMENT<br>
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| :Section {{isdadefsprov|18.1}} {{isdadefsprov|Cash Settlement}}<br>
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| :Section {{isdadefsprov|18.2}} {{isdadefsprov|Certain Definitions Relating to Cash Settlement}}<br>
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| :Section {{isdadefsprov|18.3}} {{isdadefsprov|Cash Settlement Methods}}<br>
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| :Section {{isdadefsprov|18.4}} {{isdadefsprov|In-the-money}}<br>
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| :Section {{isdadefsprov|18.5}} {{isdadefsprov|Out-of-the-money}}<br>
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| :Section {{isdadefsprov|18.6}} {{isdadefsprov|Corrections to Published and Displayed Rates for Settlement Rate}}<br>
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| ARTICLE {{isdadefsprov|19}} ISDA SETTLEMENT MATRIX<br>
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| :Section {{isdadefsprov|19.1}} {{isdadefsprov|Application of ISDA Settlement Matrix}}<br>
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| :Section {{isdadefsprov|19.2}} {{isdadefsprov|ISDA Settlement Matrix}}<br>
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| | '''1991 ISDA Definitions''': The first set of definitions published by ISDA, covering interest rate and currency derivatives.<br> |
| | '''1998 Supplement to the 1991 ISDA Definitions''': A supplement that added new definitions and provisions for interest rate and currency derivatives, such as day count fractions, business day conventions, and compounding methods.<br> |
| | '''1998 ISDA Euro Definitions''': A supplement that addressed the introduction of the euro and its impact on interest rate and currency derivatives.<br> |
| | '''2000 ISDA Definitions''': An update of the 1991 ISDA Definitions and the 1998 Supplement, incorporating the 1998 ISDA Euro Definitions and adding new definitions and provisions for interest rate and currency derivatives, such as floating rate options, reset dates, and calculation periods.<br> |
| | '''[[2006 ISDA Definitions]]''': An update of the 2000 ISDA Definitions, adding new definitions and provisions for interest rate and currency derivatives, such as inflation rate options, overnight index swap rates, and non-deliverable cross currency swaps.<br> |
| | '''[[2021 ISDA Interest Rate Derivatives Definitions]]''': The latest set of definitions published by ISDA, replacing the 2006 ISDA Definitions and introducing new definitions and provisions for interest rate derivatives, such as fallbacks, benchmarks, and compounding in arrears.<br> |
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| {{c|ISDA Definitions}} | | {{c|ISDA Definitions}} |