Equity Derivatives

Useful documentation, relevant matrices, best practice statements, FAQs, memorandums and other useful material pertaining to the equity derivative industry.

For an archive of Equity Derivatives Market Practice Statements, please click here.

PLEASE NOTE:  ISDA does not maintain an exhaustive list of market events.  The events listed below are only those where ISDA has held market discussions and where general consensus was reached as to treatment of a particular event.  Absence of a particular event from the list should not be taken as an indication that the particular day or event is or is not a Disrupted Day,  Market Disruption Event or Pricing Disruption Event. 

As with all market information and guidance that ISDA disseminates, parties are free to choose alternate means of addressing the event. Each market participant remains responsible for considering its own documentation and the specific terms of its own trades and forming its own conclusion on the proper interpretation of events.


DateTitle / DescriptionDocuments
September 15, 2011
Market practice statement for dividend adjustments corresponding to Intesa Sanpaolo and Carrefour corporate actions
Market Practice statement with regard to the valuation of dividend amounts on trades referencing certain price return Stoxx indices (including, by way of example, SX5E), for which Intesa Sanpaolo and Carrefour are components, under Annex IDS to the European Dividend Swap Master Confirmation Agreement and Annex IIS to the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement to account for dividend distributions made by Intesa Sanpaolo in relation to the cash dividend of €0.08 which went ex on May 26, 2011 and separately by Carrefour, in relation to its special dividend of DIA shares, which went ex on July 5, 2011.
final ISDA Market Practice Statement Carrefour and Intesa Div Adj 20110913v2.pdf
August 16, 2011
LIFFE Disruption – August 4, 2011
Market consensus on treatment of LIFFE event of August 4, 2011 for FTSE Index Variance Swap transactions which are documented under Revised 2007 European Variance Master Confirmation Agreement and reference LIFFE as the Related Exchange.
LIFFE_August_2011posted.pdf
April 4, 2011
US Regulation SHO Rule 201
Market practice statement in regard to short sale price limitations triggered under Regulation SHO Rule 201 for U.S. share and index variance swaps
Reg_SHO_201_04-05-2011.docx
November 16, 2009
LSE Incident - 9 November 2009
Summary of responses received from Equity Steering Committee regarding the LSE incident on 9 November 2009 
LSE-Disruption.pdf
October 22, 2009
Japanese Index and Share Variance Swaps
Market Practice Statement for what would constitute a Market Disruption Event due to exchange-imposed daily price limitations. This Statement is intended to replace the statement published 10 March, 2009. 
MP-STATEMENT.pdf
March 25, 2009
NASDAQ disruption call summary
Summary of the discussion that took place on Wednesday, March 25 among market participants to discuss whether NASDAQ's cancellation of market on close orders on March 24 constitutes a Market Disruption Event. Also, Excel sheet with the S&P 500 constituents at the time.
FINAL-NASDAQ-MDE-Note.pdf SPX-nasdaq-weights.xls
March 10, 2009
Japanese Share Variance Swaps
Market Practice Statement for what would constitute a Market Disruption Event due to exchange-imposed daily price limitations
Market-Statement-031009.pdf
January 8, 2009
Single stock or single exchange index equity derivatives transactions involving shares traded on exchanges in the following countries: Korea, Taiwan, Hong Kong, India, Indonesia, Malaysia, Singapore, Thailand, Philippines, Vietnam and Pakistan (“Applicable Transactions”)
Market Practice Statement
MarketPracticeStatement.pdf
November 28, 2008
Single stock or single index equity derivatives transactions involving Korean or Taiwanese shares documented under the 2002 ISDA Equity Derivatives Definitions
Statement of temporary practice (as an interim approach) for certain Equity Derivative Transactions involving Korean or Taiwanese Shares or Indices regarding when Exchange-imposed price limitations would constitute a Market Disruption Event due to a Trading Disruption (including as the relevant terms are modified under the 2007 AEJ Master Variance Swap Confirmation Agreement) (“Applicable Transactions”)
INTERIM-STATEMENT.pdf
October 24, 2008
Index Variance Swaps on Nikkei 225
Summary of the discussion that took place on Friday, October 10 among market participants on a potential Trading Disruption Event on Nikkei 225 Index Variance Swaps.
index-variance-swaps-nikkei.pdf