.jpg)
The International Swaps and Derivatives Association, Inc. (ISDA) has issued guidance for parties to over-the-counter (OTC) derivative transactions that are affected by the closing of US exchanges and bond markets on Monday, October 29 and Tuesday, October 30 due to Hurricane Sandy. The guidance is based on information available to ISDA at 3:00pm EST on October 29, 2012. Further guidance may become available, and participants should monitor information updates from exchanges and bond markets.
The guidance has been posted at the Association's web site: http://assets.isda.org/media/f5429293/909b8975.pdf. It covers operation of the following derivative transactions:
- Exercise, Valuation and Expiration of Option Transactions and Observation Days for Variance Swap Transactions under the 2002 ISDA Equity Derivatives Definitions
- Options, Rate Resets and Swaptions under the 2006 ISDA Definitions
- Commodity Derivative Transactions under the 2005 ISDA Commodity Definitions and the 1993 ISDA Commodity Derivatives Definitions
- Credit Derivative Transactions under the 2003 ISDA Credit Derivatives Definitions
- Payments
ISDA is issuing this guidance in the interest of mitigating market risk and the promotion of orderly valuation and settlement of positions by market participants. Parties are not obliged to follow the guidance set forth below and may choose alternate means of addressing these events.
