ISDA Equity Derivatives Definitions, User's Guides and Confirmations
2011 ISDA Equity Derivatives Definitions
The 2011 ISDA Equity Derivatives Definitions replace the 2002 ISDA Equity Derivatives Definitions. They include a Main Book and an Appendix, and are structured to allow for periodic updating. The Main Book contains the core definitions and provides a menu of provisions that can be combined to create different transactions. The Appendix to the Main Book contains tables setting out possible elections, consequences and fallbacks. The 2011 Definitions are drafted to be principles based, flexible and modular. The Definitions are part of a new process and structure for documenting equity derivatives that will be implemented incrementally, initially via transaction matrices. In contrast to the 2002 Equity Derivatives Definitions, which were based upon a standard confirmation template for each of the three major transaction types (Swaps, Options, and Forwards), the 2011 Definitions confirmation structure is based upon a universal framework which is designed to support a unique set of core definitions. Each transaction is a combination of unique terms, built on the same framework and may be documented, matched, and analyzed electronically.
2002 ISDA Equity Derivatives Definitions
The 2002 ISDA Equity Derivatives Definitions update the 1996 ISDA Equity Derivatives Definitions. A number of significant changes have been made in the 2002 ISDA Equity Derivatives Definitions, including: (i) expanded product coverage for forwards, barrier instruments and Bermuda options; (ii) amendments to the consequences of Merger Events and the approach to disruptions of trading activity; and (iii) the linkage of cash or physical settlement provisions to any instrument, rather than just options.
Confirmations for use with the 2002 ISDA Equity Derivatives Definitions
This document provides eighteen forms of Confirmations for use with different types of equity derivative transactions, as contemplated in the 2002 ISDA Equity Derivative Definitions.
User's Guide to the 2002 ISDA Equity Derivatives Definitions
The User's Guide to the 2002 Equity Derivatives Definitions is designed to assist in the understanding and use of the 2002 Equity Derivatives Definitions and forms of confirmation. This publication provides a detailed, section by section review of the provisions featured in the 2002 Equity Derivatives Definitions and how those provisions differ from those published in the 1996 ISDA Equity Derivatives Definitions. The Guide also contains examples of the operation of the various provisions of the Definitions, and provides some examples of jurisdiction specific provisions which may be of help to parties in customizing their transactions.
French Translation of the 2002 ISDA Equity Derivatives Definitions (For Educational Purposes Only)
This translation of the 2002 ISDA Equity Derivatives Definitions has been prepared for educational purposes only.
2006 ISDA Fund Derivatives Definitions
The 2006 ISDA Fund Derivatives Definitions are intended for use in confirmations of individual derivatives transactions linked to interests in various types of pooled investment vehicles, such as hedge funds and mutual funds. They are a streamlined version of the 2002 ISDA Equity Derivatives Definitions tailored to account for the particular valuation and settlement characteristics of fund interests. They differ from the 2002 Definitions primarily in that the 2006 ISDA Fund Derivatives Definitions do not contain market valuation methodologies, physical settlement mechanics or other provisions that are more suitable for equity securities whose value is primarily derived from secondary market transactions and in that they contain Extraordinary Events geared toward funds and events that may impact investors in such funds.
2007 Partial Lookthrough Depository Receipt Supplement to the 2002 ISDA Equity Derivatives Definitions
(published December 7, 2007)
This supplement to the 2002 ISDA Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. This form is based on the 2007 Full Lookthrough Depository Receipt Supplement published by ISDA on September 17, 2007, but with a narrower scope of circumstances in which the transaction will look through to events affecting the shares underlying the depository receipts.
2007 Full Lookthrough Depository Receipt Supplement to the 2002 Equity Derivatives Definitions
(published September 17, 2007)
This supplement to the 2002 Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. It is intended for use in particular where the parties may be hedging in the Underlying Shares and require the terms of the transaction to look through to events in respect of the Underlying Shares. Please note that ISDA also anticipates publishing a form of Partial Lookthrough Depository Receipt supplement, for intended use in transactions where the parties require less extensive lookthrough to the Underlying Shares.
Second Revised 2007 AEJ Master Variance Swap Confirmation Agreement
(published December 28, 2009 Note: This supersedes version dated March 9, 2009)
The Second Revised 2007 AEJ Master Variance Swap Confirmation Agreement incorporates the requisite amendments to give effect to the Market Practice Statement issued by ISDA on December 28, 2009 in regard to the circumstances which would constitute a Market Disruption Event for single stock share variance swaps and single exchange index variance swaps involving Australian shares. The Confirmation Agreement documents cash-settled index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand.
Amendment to the Revised 2007 AEJ Master Variance Swap Confirmation Agreement and the 2007 AEJ Master Variance Swap Confirmation Agreement
(published December 28, 2009)
Parties who have entered into the Revised 2007 AEJ Master Variance Swap Confirmation Agreement published on March 9, 2009 or the 2007 AEJ Master Variance Swap Confirmation Agreement published on February 12, 2007 can use this Amendment to incorporate the requisite amendments to give effect to the Market Practice Statement issued by ISDA on December 28, 2009 in regard to the circumstances which would constitute a Market Disruption Event for single stock share variance swaps and single exchange index variance swaps involving Australian shares.
Amendment to the Revised 2007 AEJ Master Variance Swap Confirmation Agreement | (word)
Market Practice Statement dated Dec 28, 2009 | (word)
Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement
(published October 7, 2009 Note: This supersedes version dated March 9, 2009)
The Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement incorporates Annex CMISO in addition to Annexes previously published. The Confirmation Agreement contains the following annexes: the Multiple Exchange Index Annex; Annex CMISO, which documents to document index and share Option Transactions referencing closed markets; the Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options; and the Open Market Annex OMEFS, which documents cash-settled equity finance share swaps. Open market annexes reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore; Closed market annexes reference underlying shares or indices in India, Indonesia, Korea, Malaysia, Taiwan and Thailand.
Revised ISDA AEJ Reference Price Source Matrix
(published October 7, 2009)
The purpose of this Closed Market Option General Terms Confirmation (this "CMISO General Terms Confirmation") is to document index and share Option Transactions referencing closed-markets entered into between counterparties under the Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement.
Second Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated March 13, 2007)
The Second Revised 2005 AEJ (Asia Excluding Japan) Interdealer Master Equity Derivatives Confirmation Agreement incorporates the amendments that were made to the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009. The Confirmation Agreement is designed to document Index Option, Index Swap, Share Option and Share Swap Transactions with respect to underlying shares or indices in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand in the interdealer market.
Revised Additional Provisions for Use with Indian Underliers
(published November 28, 2008)
The revised Additional Provisions for Use with Indian Underliers makes changes to the original version published on 6 June 2005 to take into account amendments made to the Securities and Exchange Board of India (Foreign Institutional Investors) Regulations in May 2008.
The Amendment to Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement allows parties to bilaterally amend their existing Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement to update the references therein from the Additional Provisions published in 2005 to the revised version.
Additional Provisions | (pdf)
Amendment | (word)
2008 AEJ Master Equity Derivatives Confirmation Agreement
(published March 31, 2008)
The 2008 AEJ Master Equity Confirmation Agreement contains the Open Market EFS Annex which documents cash-settled equity finance share swaps referencing underlying shares in Australia, Hong Kong, New Zealand or Singapore.
2010 EMEA EM Interdealer Master Equity Derivatives Confirmation Agreement
(published November 23, 2010)
The 2010 EMEA EM Interdealer Master Equity Confirmation Agreement includes Annex ISEMO. Annex ISEMO documents equity cash-settled index options and cash/physically-settled share option transactions with respect to an underlying index or share in Czech Republic, Egypt, Greece, Hungary, Israel, Kuwait, Poland, Qatar, Russia, South Africa, Turkey, the United Arab Emirates and any other country otherwise agreed between the parties.
Annex FVSS to the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published July 9, 2010)
Annex FVSS (Fair Value Interdealer Share Swap) documents interdealer fair value share swaps that reference an Exchange in a country specified under the terms of the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement.
ANNEX IIS to the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published April 16, 2010)
Annex IIS documents interdealer index swap transactions referencing a European index.
Annex IS and Component Security Index Annex to the 2007 European Master Equity Confirmation Agreement
(published December 15, 2009)
Annex IS provides documentation for Cash-settled Index Swaps. The Component Security Index Annex applies to a transaction unless otherwise specified in the Transaction Supplement.
Annex IS | (word)
CSIA | (word)
2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published August 4, 2009)
The 2009 European Interdealer Master Equity Confirmation Agreement includes Annex SS which documents equity finance Share Swap Transactions. Additional Annexes referenced in Exhibit I will be published when agreed by the market.
Annex SS | (word)
Confirmation | (word)
European Dispersion Variance Swap General Terms Confirmation
(published December 2, 2008)
The Dispersion Variance Swap General Terms Confirmation/Annex DVS ("DVS General Terms Confirmation") is designed to document variance swap transactions composed of an Index Variance Swap Transaction and a Share Variance Swap Transaction composed of several Share Variance Swap Transactions. The DVS General Terms Confirmation is to be used with the Revised 2007 European Variance Swap Master Confirmation Agreement.
European Master Equity Confirmation Agreement
(published May 10, 2007)
The 2007 European Master Equity Confirmation Agreement documents option transactions with respect to a European index or share (includes Multiple Exchange Index Annex and Index/Share Option Annex).
(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).
The Confirmations for the Cash-settled Index Option Transaction with respect to a Japanese Index and the Physically-settled Share Option Transaction with respect to Japanese Shares are designed to be used for the Japanese inter-dealer market.
1996 ISDA Equity Derivatives Definitions
The 1996 ISDA Equity Derivatives Definitions are intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements. The Definitions are primarily an expansion of the 1994 ISDA Equity Option Definitions and cover a wider range of basic transactions and include provisions that allow parties to modify or tailor the basic transactions to reflect common variations. The purpose of these Definitions is to provide the basic framework for the documentation of an OTC equity derivative transaction and parties may find these Definitions a useful starting point when drafting a confirmation for a more exotic product-type.
1994 ISDA Equity Option Definitions
The 1994 ISDA Equity Option Definitions are intended for use with the 1992 Master Agreements and confirmations of individual transactions governed by those Agreements. These Definitions reflect the terms of the two Long Form Confirmations (1992 OTC Equity Index Option Confirmation and 1994 OTC Single Share Option Transaction Confirmation) and includes a Short Form Confirmation for participants in the markets for OTC equity option transactions to document OTC equity and physically-settled single share options transactions.
1994 Confirmation of OTC Single Share Option Transaction (Physical Settlement)
The 1994 Confirmation of OTC Single Share Option Transaction is designed to facilitate the documentation of single share option transactions that settle by physical delivery.
1992 Confirmation for OTC Equity Index Option Transaction
The 1992 Confirmation for OTC Equity Index Option Transactions is designed to facilitate the documentation of equity index option transactions under the ISDA Master Agreement.
2009 Americas Master Equity Derivatives Confirmation Agreement
(published February 20, 2009 - updated August 5, 2009 and December 23, 2009)
The 2009 Americas Master Equity Derivatives Confirmation Agreement includes the following Annexes: Annex CSSS documents cash settled single share swaps; Annex IS documents index swap transactions; Annex ISO documents index and share option transactions; Annex ETCIO documents cash-settled Exchange-traded Contract Index Options; and Annex DCSO documents Physically-settled Designated Contract Share Options. Annexes ETCIO and DCSO were previously published under the 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement.
Annex IS | (word)
Annex ISO | (word)
Confirmation | (word)
2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement
(published March 28, 2008)
This new 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement is intended to document physically-settled share option transactions and cash-settled index option transactions that reference listed share options (Designated Contracts) and listed index options (Exchange-traded Contracts) on U.S. underliers. This Master Confirmation incorporates the 2002 Definitions and includes one General Terms Confirmation for Designated Contracts (Annex A) and Exchange-traded Contracts (Annex B), respectively, and is supplemented with a related Transaction Supplement for trade details.
Stand-alone 2007 Americas Master Variance Swap Confirmation Agreement
(published March 28, 2008)
This Stand-alone Agreement is for use where parties, such as hedge funds, do not have an equity Master Confirmation in place, but wish to take advantage of the Master Confirmation approach for index and share variance swap transactions.
Revised 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement
(Nothis supersedes the 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement published on March 29, 2004)
The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement was updated on August 11, 2006. A blackline is available to show updates from the March 29, 2004 version.
Revised 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (word)
Blackline Revised 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (word)
2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement and March 2004 Canadian Supplement to the Master Confirmation
The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (the "Master Confirmation") covers Index Options, Index Swaps and Index Basket Swaps, Share Options, and Share Swaps and Share Basket Swaps on U.S. underliers. ISDA has also published the March 2004 Canadian Supplement to the Master Confirmation for transactions on Canadian underliers. The publication of this Master Confirmation is intended to encourage wholesale adoption of the 2002 ISDA Equity Derivatives Definitions (the "2002 Definitions") and to simultaneously address large numbers of unsigned equity derivatives confirmations amongst the dealer community. This Master Confirmation is not intended to be a master confirmation for OTC equity derivative transactions with entities that are not dealers, as many dealers' elections under the 2002 Definitions differ depending on the particular risks that they are hedging. The Master Confirmation, which dealers will enter into bilaterally, incorporates the 2002 Definitions, is subject to the applicable ISDA Master Agreement between such dealers, includes four General Terms Confirmations (each an Annex) with agreed upon house elections, and is supplemented with a related Transaction Supplement including trade details. Dealers may also agree on a bilateral basis to subject outstanding trades to the Master Confirmation on a retroactive basis.
2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (word)
March 2004 Canadian Supplement to the Master Confirmation (word)
2009 Pan-Asia Interdealer Master Equity Derivatives Confirmation Agreement
(published September 11, 2009 - updated February 23, 2010)
The 2009 Pan-Asia Interdealer Master Equity Derivatives Confirmation Agreement includes Annex PAISS which documents Pan-Asia Interdealer Share Swaps in the countries specified and otherwise as agreed by the parties and Annex PAIIS which documents Pan-Asia Interdealer Index Swaps in the countries specified and otherwise as agreed by the parties.
Annex PAISS | (word)
Annex PAIIS | (word)
Confirmation | (word)
Share Variance Swap Confirmation |
(published December 21, 2006)
The Share Variance Swap Confirmation, to be used in conjunction with the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement expands product coverage under the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement to share variance swaps.
2006 Japan Interdealer Master Variance Swap Confirmation Agreement |
(Annex IVS published June 30, 2006, Annex SVS published December 21, 2006)
The 2006 Japan Interdealer Master Variance Swap Confirmation Agreement is designed to document index and share variance swap transactions with respect to a Japanese index or share.
Revised 2008 Japanese Dividend Swap Master Confirmation Agreement
(published January 19, 2010 Note: This supersedes version dated May 16, 2008)
The Revised 2008 Japanese Dividend Swap Master Confirmation Agreement (Annex IDS) is designed to document index dividend swap transactions based on a Japanese index.
Revised 2008 Japanese Dividend Swap Master Confirmation Agreement | (word)
Amendment to the 2008 Japanese Dividend Swap Master Confirmation Agreement | (word)
2008 Japanese Master Equity Derivatives Confirmation Agreement |
(published July 24, 2008)
The 2008 Japanese Master Equity Derivatives Confirmation Agreement is designed to document Cash-settled Index Option Transactions with respect to a Japanese Index and Cash or Physically-settled Share Option Transactions with respect to Japanese Share.
Revised 2007 European Variance Swap Master Confirmation Agreement
(published, June 25, 2007 Note: this version supersedes version dated March 7, 2007)
This amended version includes changes to Annex SVS in respect of the application of Related Exchange / Exchange when determining a Scheduled Trading Day for Share Variance Swaps. Related Exchange is no longer taken into account for the determination of a Scheduled Trading Day for a Share Variance Swaps.
The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.
(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).
Confirmation | (word)
Blackline | (word)
ISDA Standard Terms Appendix for use with European Variance Option Transactions
(published January 27, 2009)
By incorporating the ISDA Standard Terms Appendix for use with European Variance Option Transactions into a Transaction Supplement under a Revised 2007 European Variance Swap Master Confirmation Agreement, the parties agree to amend such MCA to add the provisions of Annex IVO (Index Variance Option) and Annex SVO (Share Variance Option).
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