2006 ISDA Definitions

ISDA Definitions →Go uptown 2006 ISDA Definitions 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 Resources: 2006 ISDA DefinitionsArticles: 1 General definitions | 2 Parties | 3 Term and dates | 4 Definitions relating to payments | 5 Fixed Amounts | 6 Floating Amounts | 7 | 8 | 9 Payments | 10 | 11 | 12 | 13 Exercise of Options | 14 | 15 | 16 Optional Early Termination | 17 Mandatory Early Termination | 18 Cash Settlement | 19 ISDA Settlement Matrix | Tell me more Sign up for our newsletter — or just get in touch: for ½ a weekly 🍺 you get to consult JC. Ask about it here.

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.

Genealogy of the Definitions

1991 ISDA Definitions: The first set of definitions published by ISDA, covering interest rate and currency derivatives.
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.
1998 ISDA Euro Definitions: A supplement that addressed the introduction of the euro and its impact on interest rate and currency derivatives.
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.
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.
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.