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Derivatives

Planned Projects

The trade association is considering drafting a master confirm or publishing definitions of credit-default swaps on asset-backed securities.

CDS On ABS

The trade association is considering drafting a master confirm or publishing definitions of credit-default swaps on asset-backed securities. General counsel Kimberley Summe said ISDA will likely do one or the other, but will put forward both ideas for a vote at its annual documentation meeting, Jan. 22.

 

Recovery-Lock Credit-Default Swaps

A working group drafting documentation for recovery-lock CDS, or recovery swaps, is under way. Summe anticipates ISDA will publish a draft by the end of Q2.

 

Variance Swaps

At the January committee meeting, ISDA members will discuss publishing master confirms for variance swaps, alongside equity options and swaps. A variance swap template for Japan is on its way, scheduled for publication early next year.

 

Interest Rate Definitions

ISDA is in the process of updating its 2000 Interest Rate Definitions and is also making tweaks to its inflation derivative definitions to reflect changes in market use.

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