ISDA aims to finalize its Net Physical Settlement Supplement to the 2003 Credit Derivatives Definitions by June 20. ISDA held a meeting with traders and lawyers last month and plans another for March 2, to discuss formalizing settlement terms for credit-default swaps on single-name, index and tranche trades. The current proposal would apply to all new trades and certain legacy trades. "This is by far the biggest project across product categories we are working on this year," said Summe.
CDS dealers have been talking about a possible settlement supplement since the quantity of index contracts referencing Delphi triggered a squeeze on the bond price prior to settlement last year (DW, 11/11).
