2021 ISDA Interest Rate Derivatives Definitions

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ISDA Anatomy™

From our machine overlords

Here is what, NiGEL, our cheeky little GPT3 chatbot had to say when asked to explain:
The 2021 ISDA Interest Rate Derivatives Definitions were published on June 11, 2021 in wholly digital form, and are designed to ensure ISDA’s ability to corner the market and extract rent from its documentation — sorry, did I say that or was I thinking it? I mean of course content — keeps pace with changes in market practice, regulation, and technology. They replace the 2006 ISDA Definitions as the standard repository of all knowledge and wisdom on cleared and non-cleared interest rate derivatives as, especially following the LIBOR farrago, the latter had become totally unwieldy with upwards of 20 supplements. The new ones are digital, preternaturally supplemented and updated — I know, right? Can’t you just see moribund risk terms loving that — and much harder for skinflints to rip off, or community-minded windbags to helpfully, but sardonically, summarise and analyse in wiki format.

The 2021s introduce various methods of cash settlement — I0146m sure you’ve been holding out for a smorgasbord of those — and require the Calculation Agent now to use commercially reasonable procedures to produce a commercially reasonable result — a change, if it is a change, that we applaud, but wonder — or would wonder, if chatbots could wonder — whether, since that reasonableness has been embedded into the ISDA construct for some decades now, this is much of a change.


Disclaimer: NiGEL’s a neural network, he drinks a lot, and he spends too much time on the internet, so if you listen to anything he has to say you only have yourself to blame.

Come to think of it, that is also true of the JC in general.

Index: Click to expand:Navigation
See ISDA Comparison for a comparison between the 1992 ISDA and the 2002 ISDA.
The Varieties of ISDA Experience
Subject 2002 (wikitext) 1992 (wikitext) 1987 (wikitext)
Preamble Pre Pre Pre
Interpretation 1 1 1
Obligns/Payment 2 2 2
Representations 3 3 3
Agreements 4 4 4
EODs & Term Events 5 Events of Default: FTPDBreachCSDMisrepDUSTCross DefaultBankruptcyMWA Termination Events: IllegalityFMTax EventTEUMCEUMATE 5 Events of Default: FTPDBreachCSDMisrepDUSTCross DefaultBankruptcyMWA Termination Events: IllegalityTax EventTEUMCEUMATE 5 Events of Default: FTPDBreachCSDMisrepDUSSCross DefaultBankruptcyMWA Termination Events: IllegalityTax EventTEUMCEUM
Early Termination 6 Early Termination: ET right on EODET right on TEEffect of DesignationCalculations; Payment DatePayments on ETSet-off 6 Early Termination: ET right on EODET right on TEEffect of DesignationCalculationsPayments on ETSet-off 6 Early Termination: ET right on EODET right on TEEffect of DesignationCalculationsPayments on ET
Transfer 7 7 7
Contractual Currency 8 8 8
Miscellaneous 9 9 9
Offices; Multibranch Parties 10 10 10
Expenses 11 11 11
Notices 12 12 12
Governing Law 13 13 13
Definitions 14 14 14
Schedule Schedule Schedule Schedule
Termination Provisions Part 1 Part 1 Part 1
Tax Representations Part 2 Part 2 Part 2
Documents for Delivery Part 3 Part 3 Part 3
Miscellaneous Part 4 Part 4 Part 4
Other Provisions Part 5 Part 5 Part 5

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The successor to the storied, oft-cited 2006 ISDA Definitions, the new ones are digital. And, as our little chatbot mentions, more reasonable. Administrator/Benchmark Event Date
Administrator/Benchmark Fallback
Affiliate
Agreed Discount Rate
All-In Compounded Index Method
Alternative Continuation Fallback
Alternative Post-nominated Index
Alternative Pre-nominated Index
AMERIBOR
AMERIBOR Term
AMERIBOR Term Structure
AMERIBOR Term/AMERIBOR Term Structure Recommended Rate
American
AONIA
Applicable Benchmark
Applicable Business Day
Applicable Calculated SR Fallback Rate
Applicable Currency
Applicable Fallback Effective Date
Applicable Fallback Rate
Applicable GBP Tenor
Applicable JPY Tenor
Applicable LIBOR
Applicable LIBOR Index Cessation Effective Date
Applicable Published SR Fallback Rate
Applicable Rate
Applicable RFR Swap Rate
Applicable Tenor
Applicable USD Tenor
Arithmetic Mean
Arithmetic Mean – Eliminating Outliers
Arithmetic Mean – Eliminating Outliers (Modified 1)
Arithmetic Mean – Eliminating Outliers (Modified 2)
Arithmetic Mean – No Elimination
Arrears Setting
Automatic Exercise
Average Floating Rate Option
Averaging Method
Averaging with Lockout
Averaging with Lookback
Averaging with Observation Period Shift
Bank of Korea Call Rate
Bank of Thailand THBFIX Fallback Rate Adjustments Rule Book
Basis Adjustment
BBSW
Bermuda
Bermuda Option Potential Exercise Date
Best Quotation
BKBM
BKBM-Bid
BKBM-FRA
Bloomberg IBOR Fallback Rate Adjustments Rule Book
Bloomberg Screen
BNM Policy Rate
BNM Recommended Rate
BOC Target Rate
Bond Basis
Bond Equivalent Yield
BOT Recommended Rate
BSBY
BSBY Recommended Rate
Business Day
Business Day Convention
Buyer
CAD Recommended Rate
Calculated GBP ISR Fallback Rate
Calculated JPY TSR Fallback Rate
Calculated Rate
Calculated Rate Style
Calculated USD ISR Fallback Rate
Calculation Agent
Calculation Agent Alternative Rate Determination
Calculation Agent Exchange Rate Determination
Calculation Agent Nominated Replacement Index
Calculation Amount
Calculation Date
Calculation Methodology for Fallback Rate (SOR)
Calculation Period
Calculation Statement
Calculation
Cap Rate
Cap Transaction
Cash Collateral Currency
Cash Settlement
Cash Settlement Amount
Cash Settlement Currency
Cash Settlement Method
Cash Settlement Payment Date
Cash Settlement Reference Banks
Cash Settlement Valuation Date
Cash Settlement Valuation Time
Cashflow Currency
Category
CBR Key Rate
CDOR
Central Bank Rate
CHF Fallback Effective Date
CHF Fallback Trigger Date
CIBOR
Cleared Physical Settlement
Clearinghouse Discount Rate
Close of Business
CME Term SOFR
CME Term SOFR Recommended Rate
CNY 7-Repo Compounding Date
Collateralized Cash Price
Commencement Date
Compounded Floating Rate Option
Compounded Index Floating Rate Option
Compounded Index Method
Compounded Index Method with Observation Period Shift
Compounding Amount
Compounding Date
Compounding Method
Compounding Period
Compounding with Lockout
Compounding with Lookback
Compounding with Observation Period Shift
Confirmation
Constant Currency
Constant Currency Amount
Constant Currency Payer
Continuation Amendment
CORRA
Correction Cut-off Time
Correction Time Period
Credit Support Annex
Currency Amount
Currency Business Day
Currency Exchange Rate
Currency/Business Day Matrix
Cut-off Date
CZEONIA
CZK Recommended Rate
Daily Capped Rate
Daily Floored Rate
Danmarks Nationalbank Current Account Rate
Date for Payment
Day Count Fraction
Delayed Payment
Designated Maturity
DESTR
DESTR Compounded Index
DESTR Temporary Non-Publication Value
Discount Rate
Discounted Amount
Discounting
Discounting Day Count Fraction
Discounting Rate
DKK OIS
DKK Recommended Rate
DKK Recommended Rate (DKK Tom Next)
DKK Tom Next
DRM Protocol
Earliest Exercise Time
Early Payment
EC Treaty
ECB Recommended Rate
ECB Recommended Rate (EONIA)
EDFR
EDFR Spread
Effective Date
EFFR
End-of-month
EOM
EOM Convention
EONIA
EUR Fallback Effective Date
EUR Fallback Trigger Date
EUR Recommended Rate
EURIBOR
Euro LIBOR
Eurobond Basis
European
EuroSTR
EuroSTR 12M Average
EuroSTR 1M Average
EuroSTR 1W Average
EuroSTR 3M Average
EuroSTR 6M Average
EuroSTR Average
EuroSTR Compounded Index
EuroSTR ICE Compounded Index
EuroSTR ICE Compounded Index 0 Floor
EuroSTR ICE Compounded Index 0 Floor 2D Lag
EuroSTR ICE Compounded Index 0 Floor 5D Lag
EuroSTR ICE Compounded Index 2D Lag
EuroSTR ICE Compounded Index 5D Lag
Euroyen TIBOR
Euroyen TIBOR Swap Rate Transaction
Euro-zone
Exchange Date
Excluded Fallback Rate
Excluded Rate
Exercise Business Day
Exercise Date
Exercise Period
Exercise Threshold
Exercising Party
Existing CSA
Expiration Date
Expiration Time
Extreme Conditions Announcement
Fallback Cash Settlement Amount
Fallback Exercise
Fallback Observation Day
Fallback Rate (AONIA)
Fallback Rate (AONIA) Screen
Fallback Rate (CORRA)
Fallback Rate (CORRA) Screen
Fallback Rate (DESTR)
Fallback Rate (DESTR) Screen
Fallback Rate (EuroSTR)
Fallback Rate (EuroSTR) Screen
Fallback Rate (HONIA)
Fallback Rate (HONIA) Screen
Fallback Rate (MIFOR)
Fallback Rate (MIFOR) Screen
Fallback Rate (MYOR)
Fallback Rate (MYOR) Screen
Fallback Rate (NOWA)
Fallback Rate (NOWA) Screen
Fallback Rate (NZIONA)
Fallback Rate (NZIONA) Screen
Fallback Rate (PHIREF)
Fallback Rate (PHIREF) Screen
Fallback Rate (RUONIA)
Fallback Rate (SARON)
Fallback Rate (SARON) Screen
Fallback Rate (SHIR)
Fallback Rate (SHIR) Screen
Fallback Rate (SOFR)
Fallback Rate (SOFR) Screen
Fallback Rate (SONIA)
Fallback Rate (SONIA) Screen
Fallback Rate (SOR)
Fallback Rate (SOR) Screen
Fallback Rate (SWESTR)
Fallback Rate (SWESTR) Screen
Fallback Rate (THBFIX)
Fallback Rate (THBFIX) Screen
Fallback Rate (TONA)
Fallback Rate (TONA) Screen
Fallback Rate (WIRON)
Fallback Rate (WIRON) Screen
Fallback Trigger
Fed Funds
Fed Recommended Rate
Federal Reserve Board
Final Exchange Amount
Final Exchange Date
Firm Quotation
Fixed Amount
Fixed Amount Payer
Fixed Negative Interest Rate Method
Fixed Rate
Fixed Rate Day Count Fraction
Fixing Day
Fixing Time
Flat Compounding
Flat Compounding Period Amount
Floating Amount
Floating Amount Payer
Floating Negative Interest Rate Method
Floating Rate
Floating Rate Day Count Fraction
Floating Rate Matrix
Floating Rate Option
Floor Rate
Floor Transaction
Following
Following Business Day Convention
FOMC Target Rate
FRA Amount
FRA Discounting
FRA Yield Amount
FRA Yield Discounting
FRN Convention
FX Data
GBP LIBOR Applicable Index Cessation Effective Date
GBP LIBOR ICE Swap Rate
GBP LIBOR Index Cessation Event
GBP Recommended Rate
GBP SONIA ICE Swap Rate
Generic Fallback Provisions
HIBOR
HIBOR (CNH)
HIBOR Floating Rate Option Fallback Arrangements
HKD Recommended Rate
Hong Kong Black Rainstorm Day
Hong Kong Business Days and Additional Fallback Provisions
Hong Kong Typhoon Day
HONIA
HUFONIA
ICE EuroSTR Compounded Index
ICE SOFR Compounded Index
ICE SONIA Compounded Index
ICE Swap Rate
ICE Term SOFR
ICE Term SOFR Recommended Rate
ICE Term SONIA
ICE Term SONIA Recommended Rate
ICE TONA Compounded Index
IMM AUD
IMM CAD
IMM Dates
IMM NZD
IMM Settlement Dates
Impacted Index
Index
Index Cessation Effective Date
Index Cessation Event
Index Floating Rate Option
Index Method
Indicative Quotation
Initial Exchange Amount
Initial Exchange Date
INR Recommended Rate
Integral Multiple
Interest Rate Swap
Interim Exchange Amount
Interim Exchange Date
Interpolated Rate
In-the-Money
ISDA
ISDA Master Agreement
ISDA VM CSA
JPY LIBOR Applicable Index Cessation Effective Date
JPY LIBOR Index Cessation Event
JPY LIBOR Tokyo Swap Rate
JPY Recommended Rate
JPY TONA Tokyo Swap Rate-10:00
JPY TONA Tokyo Swap Rate-15:00
JPY ZTIBOR Tokyo Swap Rate
KLIBOR
KOFR
KRW Recommended Rate
Latest Exercise Time
LIBOR Floating Rate Option
LIBOR Swap Rate Transaction
Linear Interpolation
Local Business Day
Mandatory Early Termination
Mandatory Early Termination Date
Mark-to-Market Currency Swap
Mark-to-Market Matrix
MAS Recommended Rate
Matrices
Matrix
Maximum Notional Amount
MIBOR
Mid-market Valuation (Calculation Agent Determination)
Mid-market Valuation (Indicative Quotations)
Mid-market Valuation (Indicative Quotations) – Alternate Method
Mid-Point Quotation
MIFOR
MIFOR Cut-off Time
Minimum Notional Amount
MMV Applicable CSA
Modified Danmarks Nationalbank Current Account Rate
Modified DESTR
Modified EDFR
Modified EDFR (EONIA)
Modified EuroSTR
Modified Fallback Rate (MIFOR)
Modified Fallback Rate (PHIREF)
Modified Fallback Rate (SOR)
Modified Fallback Rate (THBFIX)
Modified Following
Modified Following Business Day Convention
Modified MIFOR
Modified MIFOR Recommended Rate
Modified NBP Reference Rate
Modified SNB Policy Rate
Money Market Yield
MosPrime
MTM Amount
MTM Payment Date
Multiple Exercise
Mutually Agreed Clearinghouse
MYOR
NB Policy Rate
NBP Reference Rate
NBP Spread
New York Fed Business Day
NIBOR
No Adjustment
No Adjustment Business Day Convention
No CSA
NOK Recommended Rate
Non-exercising Party
Non-Representative
Notification Deadline
Notional Amount
NOWA
NWG Recommended Rate
NYSE Business Day
NZIONA
OBFR
OIS Compounding
Option Transaction
Optional Early Termination
Optional Early Termination Date
Optional Early Termination Right
Original Currency
Original IBOR Rate Record Day
Original PHIREF Rate Record Day
Original SOR Rate Record Day
Original THBFIX Rate Record Day
Other
Out-of-the-Money
Overnight Averaging
Overnight Floating Rate Option
Overnight Rate
Overnight Rate Averaging Method
Overnight Rate Compounding Method
Overnight TIIE Funding Rate
Overriding Fallback Provision
Par Yield Curve – Unadjusted
Partial Exercise
Payment Date
Period End Date
Period End Date/Termination Date adjustment for Unscheduled Holiday
Permanent Cessation Fallback
Permanent Cessation Fallbacks for AMERIBOR Term and AMERIBOR Term Structure
Permanent Cessation Fallbacks for AONIA
Permanent Cessation Fallbacks for BBSW
Permanent Cessation Fallbacks for BKBM
Permanent Cessation Fallbacks for BSBY
Permanent Cessation Fallbacks for CDOR
Permanent Cessation Fallbacks for CIBOR and CIBOR2
Permanent Cessation Fallbacks for CME Term SOFR
Permanent Cessation Fallbacks for CORRA
Permanent Cessation Fallbacks for CZEONIA
Permanent Cessation Fallbacks for DESTR
Permanent Cessation Fallbacks for DESTR Compounded Index
Permanent Cessation Fallbacks for DKK Tom Next
Permanent Cessation Fallbacks for EONIA
Permanent Cessation Fallbacks for EURIBOR and Euro LIBOR
Permanent Cessation Fallbacks for EuroSTR
Permanent Cessation Fallbacks for EuroSTR Compounded Index and Averages
Permanent Cessation Fallbacks for GBP LIBOR ICE Swap Rate
Permanent Cessation Fallbacks for HIBOR
Permanent Cessation Fallbacks for HONIA
Permanent Cessation Fallbacks for ICE EuroSTR Compounded Indices
Permanent Cessation Fallbacks for ICE SOFR Compounded Indices
Permanent Cessation Fallbacks for ICE SONIA Compounded Indices
Permanent Cessation Fallbacks for ICE Term SOFR
Permanent Cessation Fallbacks for ICE Term SONIA
Permanent Cessation Fallbacks for ICE TONA Compounded Indices
Permanent Cessation Fallbacks for JPY LIBOR Tokyo Swap Rate
Permanent Cessation Fallbacks for KLIBOR
Permanent Cessation Fallbacks for KOFR
Permanent Cessation Fallbacks for MIFOR
Permanent Cessation Fallbacks for Modified MIFOR
Permanent Cessation Fallbacks for MosPrime
Permanent Cessation Fallbacks for MYOR
Permanent Cessation Fallbacks for NIBOR
Permanent Cessation Fallbacks for NOWA 162
Permanent Cessation Fallbacks for NZIONA
Permanent Cessation Fallbacks for PHIREF
Permanent Cessation Fallbacks for Refinitiv Term SONIA
Permanent Cessation Fallbacks for RUONIA
Permanent Cessation Fallbacks for SARON
Permanent Cessation Fallbacks for SARON Compounded Index and Averages
Permanent Cessation Fallbacks for SOFR
Permanent Cessation Fallbacks for SOFR Compounded Index and Averages
Permanent Cessation Fallbacks for SONIA
Permanent Cessation Fallbacks for SONIA Compounded Index
Permanent Cessation Fallbacks for SOR
Permanent Cessation Fallbacks for SORA
Permanent Cessation Fallbacks for Sterling LIBOR
Permanent Cessation Fallbacks for STIBOR
Permanent Cessation Fallbacks for SWESTR
Permanent Cessation Fallbacks for SWESTR Compounded Index and Averages
Permanent Cessation Fallbacks for Swiss Franc LIBOR
Permanent Cessation Fallbacks for TELBOR
Permanent Cessation Fallbacks for Term EuroSTR
Permanent Cessation Fallbacks for THBFIX
Permanent Cessation Fallbacks for THOR
Permanent Cessation Fallbacks for TONA
Permanent Cessation Fallbacks for TONA Compounded Index and Averages
Permanent Cessation Fallbacks for TORF
Permanent Cessation Fallbacks for U.S. Dollar LIBOR
Permanent Cessation Fallbacks for USD LIBOR ICE Swap Rate
Permanent Cessation Fallbacks for WIBOR
Permanent Cessation Fallbacks for WIRON
Permanent Cessation Fallbacks for Yen LIBOR, Yen TIBOR and Euroyen TIBOR
Permanent Cessation Trigger
PHIREF
PHIREF Cut-off Time
PHP Recommended Rate
Physical Settlement
PLN Fallback Effective Date
PLN Fallback Trigger Date
PLN Recommended Rate
POLONIA
Preceding
Preceding Business Day Convention
Premium
Premium Payment Date
Prescribed Documentation
Prescribed Documentation Adjustment
Prescribed Methodology
Protected Party
Publication Calendar Day
Publicly Available Information
Published Average Rate
Published GBP ISR Fallback Rate
Published JPY TSR Fallback Rate
Published USD ISR Fallback Rate
Quotation Rate
Quotations
Rate Cut-off Date
Rate Record Date
RBA Bond Basis
RBA Recommended Rate
RBNZ Recommended Rate
Reference Banks
Reference Banks (Settlement Rate)
Reference VM CSA
Refinitiv Screen
Refinitiv Term SONIA
Refinitiv Term SONIA Recommended Rate
Relevant Arithmetic Mean
Relevant Collateral Agreement
Relevant HIBOR Floating Rate Option
Relevant Index Level
Relevant Market Data
Relevant Master Agreement
Relevant Nominating Body
Relevant Overnight Floating Rate Option
Relevant Rate
Relevant Swap Rate
Relevant Terms
Relevant Transaction
Replacement Benchmark
Replacement Value (Calculation Agent Determination)
Replacement Value (Firm Quotations)
Representative Amount
Required Quotations
Reset Date
RUB Recommended Rate
RUONIA
RUONIA Spread
RUONIA Spread Fixing Date
SARON
SARON 12M Average
SARON 1M Average
SARON 1W Average
SARON 2M Average
SARON 3M Average
SARON 6M Average
SARON 9M Average
SARON Average
SARON Compounded Index
Screen Rate
SEK Recommended Rate
Selection Notice
Seller
Seller’s Agent
Settlement FX Rate
Settlement Matrix
Settlement Rate
Settlement Rate Reference Banks
SFXROD
SHIR
Single Cash Settlement Currency
SNB Policy Rate
SNB Spread
SOFR
SOFR 180D Average
SOFR 30D Average
SOFR 90D Average
SOFR Average
SOFR Compounded Index
SOFR ICE Compounded Index
SOFR ICE Compounded Index 0 Floor
SOFR ICE Compounded Index 0 Floor 2D Lag
SOFR ICE Compounded Index 0 Floor 5D Lag
SOFR ICE Compounded Index 2D Lag
SOFR ICE Compounded Index 5D Lag
SONIA
SONIA Compounded Index
SONIA ICE Compounded Index
SONIA ICE Compounded Index 0 Floor
SONIA ICE Compounded Index 0 Floor 2D Lag
SONIA ICE Compounded Index 0 Floor 5D Lag
SONIA ICE Compounded Index 2D Lag
SONIA ICE Compounded Index 5D Lag
SOR
SOR Cut-off Time
SORA
Specified Formula
Specified IBOR Floating Rate Option
Specified Public Source
Spread
Spread Exclusive Compounding
Spread Exclusive Compounding Amount
Standard Index Method
Standard Temporary Non-Publication Trigger
Sterling LIBOR
STIBOR
Straight Compounding
Straight Compounding Amount
Style
Successor Benchmark
Successor Benchmark Effective Date
Successor Currency
Successor Source
Sveriges Riksbank Policy Rate
Swap Rate
Swaption
Swaption Straddle
SWESTR
SWESTR 1M Average
SWESTR 1W Average
SWESTR 2M Average
SWESTR 3M Average
SWESTR 6M Average
SWESTR Average
SWESTR Compounded Index
SWESTR Temporary Non-Publication Value
Swiss Franc LIBOR
T2
TARGET Settlement Day
TELBOR
Template Quotation Request Form
Temporary Non-Publication Fallback
Temporary Non-Publication Fallback – Alternative Rate
Temporary Non-Publication Fallback – Previous Day’s Rate
Temporary Non-Publication Fallback – Reference Banks
Temporary Non-Publication Fallback for CMT
Temporary Non-Publication Fallback for LTPR
Temporary Non-Publication Fallback for Modified MIFOR
Temporary Non-Publication Fallback for SOR
Temporary Non-Publication Fallback for STPR
Temporary Non-Publication Fallback for THBFIX
Temporary Non-Publication Trigger
Temporary Non-Publication Trigger for Modified MIFOR
Term
Term EuroSTR
Term EuroSTR Recommended Rate
Term Rate
Termination Date
THBFIX
THBFIX Cut-off Time
THB-THBFIX-Reference Banks
THOR
TLREF
Tokyo Swap Rate
TONA
TONA 180D Average
TONA 30D Average
TONA 90D Average
TONA Average
TONA Compounded Index
TONA ICE Compounded Index
TONA ICE Compounded Index 0 Floor
TONA ICE Compounded Index 0 Floor 2D Lag
TONA ICE Compounded Index 0 Floor 5D Lag
TONA ICE Compounded Index 2D Lag
TONA ICE Compounded Index 5D Lag
TORF
TORF Recommended Rate
Trade Date
Transaction
U.S. Dollar LIBOR
U.S. Government Securities Business Day
UK Bank Rate
Underlying Benchmark
Underlying Fallback Rate
Underlying Payer Transaction
Underlying Receiver Transaction
Underlying Transaction
Unscheduled Holiday
Unweighted Average
USD LIBOR Applicable Index Cessation Effective Date
USD LIBOR ICE Swap Rate
USD LIBOR Index Cessation Event
USD LIBOR ISR Fallback Fixing Day
USD SOFR ICE Swap Rate
Valuation Business Day
Variable Currency
Variable Currency Amount
Variable Currency Payer
VM Credit Support Annex
Weighted Average
WIBOR
WIRON
Yen LIBOR
Yen TIBOR
ZARONIA
Zero Interest Rate Method
Zero Interest Rate Method Excluding Spread

See also