Differences between 2000 Definitions and 2006 Definitions

Both the 2000 Definitions and 2006 Definitions are intended to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions.

The differences between the 2006 Definitions and 2000 Definitions are summarised below:

  • Consolidated Structure. 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. All definitions and provisions of the 2006 Definitions are contained in the body of the 2006 Definitions and there is no Annex to the 2006 Definitions.
  • Day Count Fractions. The day count fraction provisions have been changed with the goal of making them easier to use and to reflect market practice. The changes renaming the definitions of "Actual/365l", "Act/365" and "A/365" for the designation of the day count fraction in Section 4.16 (b), as "Actual/Actual (ISDA)", "Act/Act" and "Act/Act (ISDA)".  The substance of the definitions for these day count fractions remains unchanged from the 2000 Definitions.
  • Mark-to-Market Currency Swap Provisions. Article 10 of the 2006 Definitions provides definitions and provisions to enable parties to document mark-to-market currency swap transactions ("Mark-to-market Currency Swaps"). These transactions involve two currencies, with the Currency Amount in respect of one party being subject to periodic adjustment during the term of the transaction by reference to the then-prevailing currency exchange rate for the relevant currencies (the "Variable Currency Amount"), while the Currency Amount in respect of the other party remains constant (the "Constant Currency Amount"). In addition to any payments of Fixed Amounts and/or Floating Amounts, on each Payment Date an amount is payable by one party to the other on account of any such adjustment in the Variable Currency Amount. Exhibit II-E provides Additional Provisions for a Confirmation of a Swap Transaction that is a Mark-to-market Currency Swap.
  • Rate Options. Many of the rate option definitions contained in Section 7.1 of the 2006 Definitions have been amended, and various additional definitions have been included. In definitions of individual rate options that reference screen-based rate sources, the 2006 Definitions refer to only one Information Vendor due to the need to provide for one authoritative source in the event of a dispute. However, in response to requests from market participants and where warranted by market usage, the 2006 Definitions include multiple rate option definitions for certain floating rates, with each one referencing a different Information Vendor (e.g., separate AUD-LIBOR-BBA rate options reference Reuters, Bloomberg and SwapMarker sources).
  • Swaption straddles. Definitions and provisions with respect to swaption straddles which were previously in Supplement 14 to the 2000 Definitions have been included in Exhibit II-E to the 2006 Definitions.

Last Update Date 29 Jun 2011