2006 ISDA Definitions: Difference between revisions

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Good work, everyone.
Good work, everyone.
ARTICLE {{isdadefsprov|1}} CERTAIN GENERAL DEFINITIONS<br>
:Section {{isdadefsprov|1.1}} {{isdadefsprov|Swap Transaction}}<br>
:Section {{isdadefsprov|1.2}} {{isdadefsprov|Confirmation}}<br>
:Section {{isdadefsprov|1.3}} {{isdadefsprov|Banking Day}}<br>
:Section {{isdadefsprov|1.4}} {{isdadefsprov|Business Day}}<br>
:Section {{isdadefsprov|1.5}} {{isdadefsprov|Financial Centers}}<br>
:Section {{isdadefsprov|1.6}} {{isdadefsprov|Certain Business Days}}<br>
:Section {{isdadefsprov|1.7}} {{isdadefsprov|Currencies}}<br>
:Section {{isdadefsprov|1.8}} {{isdadefsprov|TARGET Settlement Day}}<br>
:Section {{isdadefsprov|1.9}} {{isdadefsprov|New York Fed Business Day}}<br>
:Section {{isdadefsprov|1.10}}.NYSE Business Day}}<br>
:Section {{isdadefsprov|1.11}}.U.S. Government Securities Business Day}}<br>
:Section {{isdadefsprov|1.12}}.EC Treaty}}<br>
ARTICLE {{isdadefsprov|2}} PARTIES<br>
:Section {{isdadefsprov|2.1}} {{isdadefsprov|Fixed Rate Payer; Fixed Amount Payer}}<br>
:Section {{isdadefsprov|2.2}} {{isdadefsprov|Floating Rate Payer; Floating Amount Payer}}<br>
ARTICLE {{isdadefsprov|3}} TERM AND DATES<br>
:Section {{isdadefsprov|3.1}} {{isdadefsprov|Term}}<br>
:Section {{isdadefsprov|3.2}} {{isdadefsprov|Effective Date}}<br>
:Section {{isdadefsprov|3.3}} {{isdadefsprov|Termination Date}}<br>
:Section {{isdadefsprov|3.4}} {{isdadefsprov|Initial Exchange Date}}<br>
:Section {{isdadefsprov|3.5}} {{isdadefsprov|Interim Exchange Date; Periodic Exchange Date}}<br>
:Section {{isdadefsprov|3.6}} {{isdadefsprov|Final Exchange Date; Exchange Date; Maturity Date}}<br>
:Section {{isdadefsprov|3.7}} {{isdadefsprov|Trade Date}}<br>
ARTICLE {{isdadefsprov|4}} CERTAIN DEFINITIONS RELATING TO PAYMENTS<br>
:Section {{isdadefsprov|4.1}} {{isdadefsprov|Initial Exchange Amount}}<br>
:Section {{isdadefsprov|4.2}} {{isdadefsprov|Interim Exchange Amount; Periodic Exchange Amount}}<br>
:Section {{isdadefsprov|4.3}} {{isdadefsprov|Final Exchange Amount; Exchange Amount.7ii}}<br>
:Section {{isdadefsprov|4.4}} {{isdadefsprov|Fixed Amount}}<br>
:Section {{isdadefsprov|4.5}} {{isdadefsprov|Floating Amount}}<br>
:Section {{isdadefsprov|4.6}} {{isdadefsprov|Currency Amount}}<br>
:Section {{isdadefsprov|4.7}} {{isdadefsprov|Notional Amount}}<br>
:Section {{isdadefsprov|4.8}} {{isdadefsprov|Calculation Amount}}<br>
:Section {{isdadefsprov|4.9}} {{isdadefsprov|Payment Date}}<br>
:Section {{isdadefsprov|4.10}}.{{isdadefsprov|Period End Date}}<br>
:Section {{isdadefsprov|4.11}}.{{isdadefsprov|FRN Convention; Eurodollar Convention}}<br>
:Section {{isdadefsprov|4.12}}.{{isdadefsprov|Business Day Convention}}<br>
:Section {{isdadefsprov|4.13}}.{{isdadefsprov|Calculation Period}}<br>
:Section {{isdadefsprov|4.14}}.{{isdadefsprov|Calculation Agent}}<br>
:Section {{isdadefsprov|4.15}}.{{isdadefsprov|Calculation Date}}<br>
:Section {{isdadefsprov|4.16}}.{{isdadefsprov|Day Count Fraction}}<br>
:Section {{isdadefsprov|4.17}}. {{isdadefsprov|IMM Settlement Dates}}<br>
ARTICLE {{isdadefsprov|5}} FIXED AMOUNTS<br>
:Section {{isdadefsprov|5.1}} {{isdadefsprov|Calculation of a Fixed Amount}}<br>
:Section {{isdadefsprov|5.2}} {{isdadefsprov|Certain Definitions Relating to Fixed Amounts}}<br>
ARTICLE {{isdadefsprov|6}} FLOATING AMOUNTS<br>
:Section {{isdadefsprov|6.1}} {{isdadefsprov|Calculation of a Floating Amount}}<br>
:Section {{isdadefsprov|6.2}} {{isdadefsprov|Certain Definitions Relating to Floating Amounts}}<br>
:Section {{isdadefsprov|6.3}} {{isdadefsprov|Certain Definitions Relating to Compounding}}<br>
:Section {{isdadefsprov|6.4}} {{isdadefsprov|Negative Interest Rates}}<br>
ARTICLE {{isdadefsprov|7}} CALCULATION OF RATES FOR CERTAIN FLOATING RATE OPTIONS<br>
:Section {{isdadefsprov|7.1}} {{isdadefsprov|Rate Options}}<br>
:Section {{isdadefsprov|7.2}} {{isdadefsprov|Certain Published and Displayed Sources}}<br>
:Section {{isdadefsprov|7.3}} {{isdadefsprov|Certain General Definitions Relating to Floating Rate Options}}<br>
:Section {{isdadefsprov|7.4}} {{isdadefsprov|Price Source Conversion}}<br>
:Section {{isdadefsprov|7.5}} {{isdadefsprov|Certain Definitions Relating to Price Source Conversion}}<br>
:Section {{isdadefsprov|7.6}} {{isdadefsprov|Corrections to Published and Displayed Rates}}<br>
ARTICLE {{isdadefsprov|8}} ROUNDING; INTERPOLATION; DISCOUNTING<br>
:Section {{isdadefsprov|8.1}} {{isdadefsprov|Rounding}}<br>
:Section {{isdadefsprov|8.2}} {{isdadefsprov|Rounding of Currency Amounts}}<br>
:Section {{isdadefsprov|8.3}} {{isdadefsprov|Interpolation}}<br>
:Section {{isdadefsprov|8.4}} {{isdadefsprov|Discounting}}<br>
ARTICLE {{isdadefsprov|9}} PAYMENTS<br>
:Section {{isdadefsprov|9.1}} {{isdadefsprov|Relating Payments to Calculation Periods}}<br>
ARTICLE {{isdadefsprov|10}} MARK-TO-MARKET CURRENCY SWAPS<br>
:Section {{isdadefsprov|10.1}} {{isdadefsprov|Mark-to-market Currency Swap}}<br>
:Section {{isdadefsprov|10.2}} {{isdadefsprov|General Terms Relating to Mark-to-market Currency Swaps}}<br>
:Section {{isdadefsprov|10.3}} {{isdadefsprov|Application of ISDA MTM Matrix}}<br>
:Section {{isdadefsprov|10.4}} {{isdadefsprov|ISDA MTM Matrix}}<br>
:Section {{isdadefsprov|10.5}} {{isdadefsprov|MTM Amount}}<br>
ARTICLE {{isdadefsprov|11}} OPTION TRANSACTION; SWAPTION; SWAPTION STRADDLE<br>
:Section {{isdadefsprov|11.1}} {{isdadefsprov|Option Transaction}}<br>
:Section {{isdadefsprov|11.2}} {{isdadefsprov|Swaption}}<br>
:Section {{isdadefsprov|11.3}} {{isdadefsprov|Swaption Straddle}}<br>
ARTICLE {{isdadefsprov|12}} CERTAIN DEFINITIONS AND PROVISIONS RELATING TO OPTION TRANSACTIONS<br>
:Section {{isdadefsprov|12.1}} {{isdadefsprov|Parties}}<br>
:Section {{isdadefsprov|12.2}} {{isdadefsprov|Option Style}}<br>
:Section {{isdadefsprov|12.3}} {{isdadefsprov|Terms Relating to Premium}}<br>
:Section {{isdadefsprov|12.4}} {{isdadefsprov|Exercise Business Day}}<br>
:Section {{isdadefsprov|12.5}} {{isdadefsprov|Notional Amount for Option Transactions}}<br>
ARTICLE {{isdadefsprov|13}} EXERCISE OF OPTIONS<br>
:Section {{isdadefsprov|13.1}} {{isdadefsprov|General Terms Relating to Exercise}}<br>
:Section {{isdadefsprov|13.2}} {{isdadefsprov|Procedure for Exercise}}<br>
:Section {{isdadefsprov|13.3}} {{isdadefsprov|Partial Exercise}}<br>
:Section {{isdadefsprov|13.4}} {{isdadefsprov|Multiple Exercise}}<br>
:Section {{isdadefsprov|13.5}} {{isdadefsprov|Minimum Notional Amount}}<br>
:Section {{isdadefsprov|13.6}} {{isdadefsprov|Maximum Notional Amount}}<br>
:Section {{isdadefsprov|13.7}} {{isdadefsprov|Automatic Exercise}}<br>
:Section {{isdadefsprov|13.8}} {{isdadefsprov|Fallback Exercise}}<br>
:Section {{isdadefsprov|13.9}} {{isdadefsprov|Settlement Rate on Automatic Exercise or Fallback Exercise}}<br>
:Section {{isdadefsprov|13.10}}.{{isdadefsprov|Exercise of Swaption Straddles.94iv}}<br>
ARTICLE {{isdadefsprov|14}} GENERAL TERMS AND PROVISIONS RELATING TO SETTLEMENT OF SWAPTIONS<br>
:Section {{isdadefsprov|14.1}} {{isdadefsprov|Certain Definitions Relating to Settlement of Swaptions}}<br>
ARTICLE {{isdadefsprov|15}} PHYSICAL SETTLEMENT OF SWAPTIONS<br>
:Section {{isdadefsprov|15.1}} {{isdadefsprov|Physical Settlement}}<br>
ARTICLE {{isdadefsprov|16}} OPTIONAL EARLY TERMINATION<br>
:Section {{isdadefsprov|16.1}} {{isdadefsprov|Optional Early Termination}}<br>
:Section {{isdadefsprov|16.2}} {{isdadefsprov|Optional Early Termination Date}}<br>
ARTICLE {{isdadefsprov|17}} MANDATORY EARLY TERMINATION<br>
:Section {{isdadefsprov|17.1}} {{isdadefsprov|Mandatory Early Termination}}<br>
:Section {{isdadefsprov|17.2}} {{isdadefsprov|Mandatory Early Termination Date}}<br>
ARTICLE {{isdadefsprov|18}} CASH SETTLEMENT<br>
:Section {{isdadefsprov|18.1}} {{isdadefsprov|Cash Settlement}}<br>
:Section {{isdadefsprov|18.2}} {{isdadefsprov|Certain Definitions Relating to Cash Settlement}}<br>
:Section {{isdadefsprov|18.3}} {{isdadefsprov|Cash Settlement Methods}}<br>
:Section {{isdadefsprov|18.4}} {{isdadefsprov|In-the-money}}<br>
:Section {{isdadefsprov|18.5}} {{isdadefsprov|Out-of-the-money}}<br>
:Section {{isdadefsprov|18.6}} {{isdadefsprov|Corrections to Published and Displayed Rates for Settlement Rate}}<br>
ARTICLE {{isdadefsprov|19}} ISDA SETTLEMENT MATRIX<br>
:Section {{isdadefsprov|19.1}} {{isdadefsprov|Application of ISDA Settlement Matrix}}<br>
:Section {{isdadefsprov|19.2}} {{isdadefsprov|ISDA Settlement Matrix}}<br>




{{c|ISDA Definitions}}
{{c|ISDA Definitions}}

Revision as of 16:16, 17 September 2019

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One of many compendious and stupefying booklets containing the minute details of how one calculates for example, Floating Rate Options, 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.

Good work, everyone.

ARTICLE 1 CERTAIN GENERAL DEFINITIONS

Section 1.1 Swap Transaction
Section 1.2 Confirmation
Section 1.3 Banking Day
Section 1.4 Business Day
Section 1.5 Financial Centers
Section 1.6 Certain Business Days
Section 1.7 Currencies
Section 1.8 TARGET Settlement Day
Section 1.9 New York Fed Business Day
Section 1.10.NYSE Business Day}}
Section 1.11.U.S. Government Securities Business Day}}
Section 1.12.EC Treaty}}

ARTICLE 2 PARTIES

Section 2.1 Fixed Rate Payer; Fixed Amount Payer
Section 2.2 Floating Rate Payer; Floating Amount Payer

ARTICLE 3 TERM AND DATES

Section 3.1 Term
Section 3.2 Effective Date
Section 3.3 Termination Date
Section 3.4 Initial Exchange Date
Section 3.5 Interim Exchange Date; Periodic Exchange Date
Section 3.6 Final Exchange Date; Exchange Date; Maturity Date
Section 3.7 Trade Date

ARTICLE 4 CERTAIN DEFINITIONS RELATING TO PAYMENTS

Section 4.1 Initial Exchange Amount
Section 4.2 Interim Exchange Amount; Periodic Exchange Amount
Section 4.3 Final Exchange Amount; Exchange Amount.7ii
Section 4.4 Fixed Amount
Section 4.5 Floating Amount
Section 4.6 Currency Amount
Section 4.7 Notional Amount
Section 4.8 Calculation Amount
Section 4.9 Payment Date
Section 4.10.Period End Date
Section 4.11.FRN Convention; Eurodollar Convention
Section 4.12.Business Day Convention
Section 4.13.Calculation Period
Section 4.14.Calculation Agent
Section 4.15.Calculation Date
Section 4.16.Day Count Fraction
Section 4.17. IMM Settlement Dates

ARTICLE 5 FIXED AMOUNTS

Section 5.1 Calculation of a Fixed Amount
Section 5.2 Certain Definitions Relating to Fixed Amounts

ARTICLE 6 FLOATING AMOUNTS

Section 6.1 Calculation of a Floating Amount
Section 6.2 Certain Definitions Relating to Floating Amounts
Section 6.3 Certain Definitions Relating to Compounding
Section 6.4 Negative Interest Rates

ARTICLE 7 CALCULATION OF RATES FOR CERTAIN FLOATING RATE OPTIONS

Section 7.1 Rate Options
Section 7.2 Certain Published and Displayed Sources
Section 7.3 Certain General Definitions Relating to Floating Rate Options
Section 7.4 Price Source Conversion
Section 7.5 Certain Definitions Relating to Price Source Conversion
Section 7.6 Corrections to Published and Displayed Rates

ARTICLE 8 ROUNDING; INTERPOLATION; DISCOUNTING

Section 8.1 Rounding
Section 8.2 Rounding of Currency Amounts
Section 8.3 Interpolation
Section 8.4 Discounting

ARTICLE 9 PAYMENTS

Section 9.1 Relating Payments to Calculation Periods

ARTICLE 10 MARK-TO-MARKET CURRENCY SWAPS

Section 10.1 Mark-to-market Currency Swap
Section 10.2 General Terms Relating to Mark-to-market Currency Swaps
Section 10.3 Application of ISDA MTM Matrix
Section 10.4 ISDA MTM Matrix
Section 10.5 MTM Amount

ARTICLE 11 OPTION TRANSACTION; SWAPTION; SWAPTION STRADDLE

Section 11.1 Option Transaction
Section 11.2 Swaption
Section 11.3 Swaption Straddle

ARTICLE 12 CERTAIN DEFINITIONS AND PROVISIONS RELATING TO OPTION TRANSACTIONS

Section 12.1 Parties
Section 12.2 Option Style
Section 12.3 Terms Relating to Premium
Section 12.4 Exercise Business Day
Section 12.5 Notional Amount for Option Transactions

ARTICLE 13 EXERCISE OF OPTIONS

Section 13.1 General Terms Relating to Exercise
Section 13.2 Procedure for Exercise
Section 13.3 Partial Exercise
Section 13.4 Multiple Exercise
Section 13.5 Minimum Notional Amount
Section 13.6 Maximum Notional Amount
Section 13.7 Automatic Exercise
Section 13.8 Fallback Exercise
Section 13.9 Settlement Rate on Automatic Exercise or Fallback Exercise
Section 13.10.Exercise of Swaption Straddles.94iv

ARTICLE 14 GENERAL TERMS AND PROVISIONS RELATING TO SETTLEMENT OF SWAPTIONS

Section 14.1 Certain Definitions Relating to Settlement of Swaptions

ARTICLE 15 PHYSICAL SETTLEMENT OF SWAPTIONS

Section 15.1 Physical Settlement

ARTICLE 16 OPTIONAL EARLY TERMINATION

Section 16.1 Optional Early Termination
Section 16.2 Optional Early Termination Date

ARTICLE 17 MANDATORY EARLY TERMINATION

Section 17.1 Mandatory Early Termination
Section 17.2 Mandatory Early Termination Date

ARTICLE 18 CASH SETTLEMENT

Section 18.1 Cash Settlement
Section 18.2 Certain Definitions Relating to Cash Settlement
Section 18.3 Cash Settlement Methods
Section 18.4 In-the-money
Section 18.5 Out-of-the-money
Section 18.6 Corrections to Published and Displayed Rates for Settlement Rate

ARTICLE 19 ISDA SETTLEMENT MATRIX

Section 19.1 Application of ISDA Settlement Matrix
Section 19.2 ISDA Settlement Matrix
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