This document outlines the settlement rate determination for automatic or fallback exercise of Swaptions, as well as the exercise of Swaption Straddles in European, American, or Bermuda styles. It specifies the conditions under which the ISDA Settlement Matrix applies and how the Settlement Rate is calculated based on various scenarios, including the use of ISDAFIX pages and quotations from Cash Settlement Reference Banks.
doj/DataSet10/EFTA01388302.pdf
{"document_type":"legal","document_subtype":"contract","key_organizations":["ISDA"],"reference_numbers":["DB-SDNY-0091779","SDNY_GM_00237963","EFTA01388302"]}