ISDA Interest Rate and Currency Derivative Definitions and Confirmations
The 2006 ISDA Definitions (the "2006 Definitions") are intended for use in confirmations of individual transactions governed by ISDA Master Agreements. The 2006 Definitions are an update of the 2000 ISDA Definitions (the “2000 Definitions”) which many parties to privately negotiated derivative transactions have incorporated into existing Confirmations or other documents.
The purpose of the 2006 Definitions is to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions. Although the 2006 Definitions were drafted with this purpose in mind, ISDA recognizes that parties documenting other types of privately negotiated derivative transactions might find it helpful to incorporate the 2006 Definitions into Confirmations for those transactions. Certain definitions and provisions of the 2000 Definitions (including the Rate Options and related provisions) that were anticipated to need periodic updating were published in the Annex to the 2000 Definitions. There is no Annex to the 2006 Definitions. All definitions and provisions of the 2006 Definitions, including the Rate Options and related provisions, are contained in the 2006 Definitions.
Blackline 2000 v 2006 ISDA Definitions
The 2000 ISDA Definitions (the "2000 Definitions") are intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements. The 2000 Definitions are a consolidation and update of the 1991 ISDA Definitions, the 1998 Supplement to the 1991 ISDA Definitions and certain provisions of the 1998 ISDA Euro Definitions which many parties to privately negotiated derivative transactions have incorporated into existing confirmations or other documents.
The purpose of the 2000 Definitions is to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions. Although the 2000 Definitions were drafted with this purpose in mind, parties documenting other types of privately negotiated derivative transactions might find it helpful to incorporate the 2000 Definitions into confirmations for those transactions.
Annex to the 2000 ISDA Definitions
The 2000 Definitions may be updated or replaced in the future to include additional definitions and provisions. However, it is anticipated that day count fraction, currency and floating rate option definitions (and related definitions and provisions) will be added or changed from time to time as transactions involving rates and currencies not included in the 2000 Definitions become more prevalent and as necessary to reflect market practice.
Currencies of member states of the European Union that adopted the euro as their new currency on January 1, 1999 had their national currencies cease to exist as currencies in their own right. Instead, for a limited transition period prior to their final disappearance on December 31, 2001, these currencies existed as distinct units of the euro ("national currency units"). Terms relating to national currency units are not reflected in the 2000 Definitions. However, ISDA has published the NCU Supplement to the 2000 Definitions (the "NCU Supplement") for use by parties that wish to document transactions involving one or more national currency units.
The NCU Supplement contains definitions of the various national currency units, together with certain other provisions, including associated business day definitions, that may be relevant to transactions involving national currency units. The NCU Supplement does not contain definitions for any national currency unit floating rate options. Parties that wish to specify a national currency unit floating rate option (to the extent that such floating rate options are still being published) may wish to define that floating rate option in their confirmation or specify a floating rate option by reference to the 1998 Supplement to the 1991 ISDA Definitions.
1998 Supplement to the 1991 ISDA Definitions
The 1998 Supplement to the 1991 ISDA Definitions is an update of certain sections of the 1991 ISDA Definitions, which many participants engaging in privately negotiated derivatives transactions incorporate into existing confirmations or other documents. The Supplement covers a greater number of currencies and rates than the 1991 ISDA Definitions, and updates certain floating rate options to reflect changes in the nature of quotations since 1991. The 1998 Supplement is intended for use in confirmations of individual transactions governed by agreements such as the 1992 ISDA Master Agreements.
In addition to the expanded floating rate options section, the Supplement introduces new sections on negative interest rates, options and cash settlement. The negative interest rates provisions, incorporate language from ISDA's November 1995 Negative Interest Rate Memorandum and make the presumption that the negative interest rate method will apply to all transactions, excepting floors and certain FRAs already addressed in the 1991 Definitions, unless otherwise specified. The Options provisions address terms relevant to swaptions, and rights of optional early termination and break clauses, including calculating a cash settlement amount. The Supplement includes provisions for calculating a cash settlement amount and provides a number of alternative cash settlement methods, which reflect the variety of methods currently used in practice.
The 1991 ISDA Definitions are intended for use with the 1987 ISDA Interest Rate and Currency Exchange Agreement and 1992 ISDA Master Agreement (Multi-currency, Cross-Border). The Definitions provide a set of standard terms, including floating rate options, and the basis for calculating fixed and floating amounts, for incorporation in each transaction confirmation under the multi-currency documents. The 1991 Definitions are an expansion of the 1987 Interest Rate and Currency Exchange Definitions and include new definitions, additional currencies, certain provisions from the 1989 and 1990 Addenda, and exhibits depicting forms of telex or letter agreement that may be used as a confirmation for an individual transaction.
ISDA Publishes the Vietnamese translation of Rates Glossary
(published April 25, 2011 )
The Rates Glossary contains relevant provisions from the 2006 ISDA Definitions, for documenting the following transactions:
a. Deliverable USD or VND interest rate swaps,
b. Deliverable USD/VND cross currency swaps,
c. Non-Deliverable VND interest rate swaps, and
d. Non-Deliverable USD/VND cross currency swaps.
ISDA Publishes the Vietnamese translation of FX Confirmation templates
(published April 25, 2011 )
The templates, which are to be used in conjunction with the FX Glossary and the Rates Glossary, are designed to document the following types of transactions:
a. Deliverable USD/VND FX spots, FX forwards and FX swaps,
b. Deliverable USD/VND put and call currency options,
c. Deliverable USD/VND binary options,
d. Deliverable and Non-Deliverable USD or VND interest rate swaps, and
e. Deliverable and Non-Deliverable USD/VND cross currency swaps
- For more information please contact us
