ISDA publishes new swaps protocol

The International Swaps and Derivatives Association (ISDA) last month published its European Variance Swap Protocol, which will standardise treatment of variance swaps across the industry and will provide a unified approach to what constitutes a market disruption event. The protocol facilitates a single standard for European variance swaps transacted on two existing agreements. It is open to ISDA members and non-members and the adherence period runs from 5 February 2008 until 29 February 200