ISDA 2006 definitions
a quick table of the main changes
| section | brief description | remarks |
| 1 | new currencies and financial centres | addition of renminbi/Beijing etc |
| 4 | day count fraction (4.16) | changes in Actual/Acutal and Actual/Acutal (ICMA) added; new formula of 30/360 and 30E/360 and new 30E/360 (ISDA) |
| 6 | Arrear setting (6.2(b)), cap and floor rate (6.2(j)) | |
| 7 | Rate option (7.1), successor source (7.2(b)) and currency replacement (7.2(c)) | annex incorporated and updated and new currencies added changes reflecting acquisition of Telerate by Reuters |
| 8 | FRA Yield Discounting (8.4(e)) | applicable mainly to AUD and NZ rate transactions |
| 10 | Mark-to-market currency transaction | cf. this article |
| 11 | Swaption straddle (11.3) | Exercise (13.10) European – buyer’s right to enter into either “Underlying Payer Swap” (14.1(d)) or “Underlying Buyer Swap” (14.1(e)) on Expiration Date American/Bermuda – may enter into UPS and UBS on different exercise dates |
| 13 | Settlement rate (13.9) | Application of “Settlement Matrix” (19.2) |
| 18 | Master agreement (18.2), cash price and alternate method (18.3) | agreement specified in the confirmation or 2002 |
| 19 | Settlement Matrix | |
| Exhibit II-E | swaption straddle included | |
| Exhibit II-H | new template for mark-to-market currency swap |
derivativeslawyer.com
Last updated February 2007
^The above notes are intended to provide only general outlines and should be read in conjunction with, and are qualified in their entirety by, the full provisions of the relevant ISDA provisions and definitions. They should never be used in place of professional advice. We accept no responsibility for any loss arising from any action taken or not taken by anyone using this material or using this material in conjunction with any ISDA documentation in reliance thereof.
