2006 ISDA Definitions

ISDA Definitions →Go uptown 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 There were 2000 ISDA Definitions, and they were superseded by the even drearier, more compendious, 2006 ISDA Definitions.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.

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