OTC Derivatives Disclosures
The information and documentation contained on this page may be updated from time to time
Terms of Dealing
Disclaimer: Pre-trade mark methodology and assumptions
Mark-to-market valuations and scenario mark-to-market valuations for a derivative are calculated as the arbitrage-free price. The arbitrage-free price is comprised of the present value of the future rights and obligations between the two parties to receive or deliver future cash flows or exchange of other assets or liabilities. Future obligations are valued as the sum of the present values (as of the valuation date) of contractually fixed future amounts and expected variable future amounts, the expected size of which are calculated from the projected levels of underlying variables. Future rights are valued as the sum of the Present Values of the expected values of contingent future amounts, the existence and size of which are calculated from the projected levels of underlying variables.
Dodd-Frank Product Disclosures, Definitions and Material Economic Terms
The International Swaps and Derivatives Association, Inc. (“ISDA”) owns the copyright on the ISDA Documentation accessible from this website. The ISDA Documentation may not be reproduced or distributed without ISDA’s written permission, except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA, which may be reproduced and distributed solely for use in documenting specific commercial transactions. In no event may any copyright or trademark notice from ISDA be removed; and this instrument's use should be undertaken only after securing appropriate legal advice on its provisions and ISDA makes no warranty or assurance, express or implied, concerning this instrument's suitability for use in any particular transaction and bears no responsibility or liability whatsoever, whether in tort or in contract, in respect of any use of this instrument.
General
ISDA Documents
- 1991 ISDA Definitions
- 2000 ISDA Definitions
- Annex to the 2000 ISDA Definitions
- 2006 ISDA Definitions
- 2006 ISDA Fund Derivatives Definitions
- IBOR Alternative Reference Rates Disclosure
- General Disclosure Statement for Transactions 2023
- 2024 Canadian Business Conduct Disclosure Statement
TD Documents
Credit
ISDA Documents
- 1999 ISDA Credit Derivatives Definitions
- 2003 ISDA Credit Derivatives Definitions
- 2003 ISDA Credit Derivatives incorporating the "May 2003 Supplement" and the "July 2009 Supplement"
- Exhibit A to 2003 ISDA Credit Derivatives Definitions
- May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions
- Disclosure Annex for Credit Derivative Transactions
Rates
ISDA Documents
- 1987 ISDA Interest Rate and Currency Exchange Definitions
- 2021 ISDA Interest Rate Derivatives Definitions
TD Documents
Material Economic Terms
Equity
ISDA Documents
- 1994 ISDA Equity Option Definitions
- 1996 ISDA Equity Derivatives Definitions
- 2002 ISDA Equity Derivatives Definitions
- 2011 ISDA Equity Derivatives Definitions
TD Documents
Material Economic Terms
FX
ISDA Documents
- 1992 FX and Currency Option Definitions
- 1998 FX and Currency Option Definitions
- Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions
- Revised Annex A to 1998 FX and Currency Option Definitions
TD Documents
- Foreign Exchange Derivatives Disclosure Annex
- Foreign Exchange Derivatives Disclosure
- Addendum to Disclosure Annex for Foreign Exchange Transactions
Material Economic Terms
Commodities
ISDA Documents
- 1993 ISDA Commodity Derivatives Definitions
- 2000 Supplement to the 1993 ISDA Commodity Derivatives Definitions
- 2005 ISDA Commodity Definitions and User's Guide to the 2005 ISDA Commodity Definitions
- Supplement to Sub-Annex A to the 2005 ISDA Commodity Definitions