ISDA is currently working with members to draft the 2021 ISDA Interest Rate Derivatives Definitions, a root and branch update of the 2006 ISDA Definitions. To facilitate engagement with the project, recordings of the working group calls will be uploaded to this page and an implementation timeline is attached below. Please see details set out below.

If you are interested in participating in this project and future calls, please log on to your ISDA account and join the Interest Rate Definitions Working Group.

IQ: ISDA Quarterly, February 2021 – Transformational Change: ISDA’s Jonathan Martin, director of market infrastructure and technology, and Rick Sandilands, senior counsel for Europe, discuss the benefits of the new 2021 ISDA Interest Rate Derivatives Definitions, including a web-based user interface that will make the definitions much easier to navigate. A Japanese translation of this article is available here.

Access to the 2021 ISDA Interest Rate Definitions: The 2021 Definitions are the first natively digital definitions booklet and will be published exclusively on ISDA’s MyLibrary user platform. For more information on the functionality available on MyLibrary and how to subscribe for access please contact onlinelibrary@isda.org. A fact sheet on MyLibrary is available here.

Recent Educational Materials:

 

Implementation Working Group Calls

WG Call Recording & Title Date of Call Description
Focus on trading venues May 27, 2021 Discussion with major trading venues on proposed approaches for implementing 2021 Definitions.
Focus on clearing houses June 3, 2021 LCH, Eurex and CME present their plans for implementing the 2021 Definitions.

 

WG Call Recording & Title Date of Call Description
General Overview March 17, 2020 The major aims of the project and a high level walk through of the consolidated draft booklet as it currently stands.
Calculation Agent / Dispute Resolution March 31, 2020 Changes to the Calculation Agent language and the new dispute resolution provision.
Dates/Periods April 7, 2020 Changes to terms relating to dates and periods, including Business Days, Payment Dates and Period End Dates.
Payments/Calculations and Floating Amounts April 14, 2020 Changes to terms relating to payments/calculations and floating amounts (note there have been no changes to the fixed amounts), including formulae, interpolation and other concepts associated with calculating payments due.
Miscellaneous April 21, 2020 Minor updates to various miscellaneous concepts, including options, cleared settlement and mark-to-market swaps.
Cash Settlement (including APAC WG) May 6, 2020 Changes to the cash settlement provisions for use in connection with optional early termination, mandatory early termination and swaptions.
Focus on APAC May 27, 2020 Unscheduled Holiday, Hong Kong Typhoon and Black Rainstorm Days and potential Deliverable Currency FX provisions.
Feedback on Calculation Agent / Dispute Resolution June 16, 2020 Discussion of the Request for Feedback on the Calculation Agent/Dispute Resolution provisions and initial working group responses.
Feedback on Calculation Agent / Dispute Resolution June 23, 2020 Second discussion of the Request for Feedback on the Calculation Agent/Dispute Resolution provisions and initial working group responses.
Follow Up Feedback on Calculation Agent / Dispute Resolution July 7, 2020 Discussion of the Follow Up Request for Feedback on the Calculation Agent/Dispute Resolution provisions.
Summary of Proposal for Calculation Agent Provisions July 21, 2020 Summary of the proposed changes to the calculation agent provisions reflecting the conclusions drawn from previous working group discussions and responses to feedback requests.
Feedback on Dates / Periods July 28, 2020 Further discussion of the Request for Feedback on the proposed changes to terms relating to dates and periods, including Business Days, Payment Dates and Period End Dates.
Feedback on Dates / Periods August 6, 2020 Further discussion of the Request for Feedback on the proposed changes to terms relating to dates and periods, including Business Days, Payment Dates and Period End Dates.
Feedback on Dates / Periods September 3, 2020 Summary of the proposed changes to the terms relating to dates and periods, including Business Days, Payment Dates and Period End Dates reflecting the conclusions drawn from previous working group discussions and responses to feedback requests.
Feedback on Deliverable Currency Disruption Events and Update on Publication Timing September 29, 2020 Discussion of the Request for Feedback on the Deliverable Currency Disruption Events provisions and an update on publication timing.
Implementation Plan and Timeline October 27, 2020 Discussion of the updated implementation plan and timeline working towards May 17, 2021 for publication and June 21, 2021 for adoption of the new definitions.
Cash Settlement Feedback Request November 3, 2020 Discussion of the Request for Feedback on the Cash Settlement provisions, including member questions.
Cash Settlement Feedback November 19, 2020 Discussion of the feedback received on the Request for Feedback relating to the Cash Settlement provisions.
Cash Settlement Feedback November 24, 2020 Further discussion of the feedback received on the Request for Feedback relating to the Cash Settlement provisions.
Cash Settlement Feedback December 1, 2020 Continuation of the discussion of the feedback received on the Request for Feedback relating to the Cash Settlement provisions.
Cash Settlement Feedback December 8, 2020 Continuation of discussions relating to feedback on the cash settlement provisions.
Cash Settlement Feedback December 15, 2020 Continuation of discussions relating to feedback on the cash settlement provisions.
Cash Settlement Feedback December 17, 2020 Continuation of discussions relating to feedback on the cash settlement provisions, including coverage of the most recently circulated additional feedback request.
APAC Update January 12, 2021 Update to APAC members on the implementation timeline, User Interface, cash settlement provisions/feedback and proposal for FROs.
Implementation Update and Cash Settlement Reference Banks Proposal January 12, 2021 Update on the implementation timeline, including certain milestones and a recap on the proposal for Cash Settlement Reference Banks.
FRO Matrix January 21, 2021 Discussion of the Floating Rate Option Matrix and proposed naming convention.
Generic Fallbacks January 26, 2021 Discussion of the proposal to introduce generic temporary and permanent cessation fallbacks for benchmarks not covered by the IBOR Fallbacks Supplement.
Generic Fallbacks February 2, 2021 Continued discussion of the proposal to introduce generic temporary and permanent cessation fallbacks for benchmarks not covered by the IBOR Fallbacks Supplement, focusing on the FRO Matrix and certain features of a benchmark.
Floating Amounts (Section 6) February 9, 2021 A work through of Section 6 – Floating Amounts and an update on implementation timeline.
Floating Amounts (Section 6) February 16, 2021 Continued work through of Section 6 – Floating Amounts.
Implementation and FR Matrix March 9, 2021 Discussion of the Implementation Timeline, FR Matrix, Day Count Fractions, Temporary Non-Publication triggers and fallbacks and Permanent Cessation Fallbacks for Swap Rates.
Main Book March 16, 2021 Discussion of miscellaneous outstanding points from the Main Book including the definition of Close of Business, Determinations by the Calculation Agent, Modified Preceding Business Day, Unscheduled Holidays, FRA Yield Discounting, Mark-to-Market Matrix, In-the-Money/Out-of-the-Money/Settlement Rate Fallbacks and Settlement Rate on Automatic Exercise.
Main Book March 23, 2021 Continuation of discussion of miscellaneous outstanding points from the Main Book including Settlement Rate Fallbacks, Settlement Rate on Automatic Exercise and the Settlement Matrix.
Section 6 (Floating Amounts)
Section 7 (Fallbacks)
FR Matrix
March 23, 2021 Walk through of the proposed approaches taken in light of responses to a variety of questions put to members relating to Section 6 (Floating Amounts), Section 7 (Fallbacks) and the FR Matrix
Implementation timeline update and Section 8 (Bespoke Triggers and Fallbacks)
April 6, 2021 Announcement of 4th October 2021 as the implementation date and walk through of Section 8 (Bespoke Triggers and Fallbacks, including the IBOR Fallbacks)
Fatal flaw, pre-publication and ongoing work towards verification of the FRO Matrix May 4, 2021 Discussion of the fatal flaw and pre-publication phases, what to expect over the coming weeks and a walk through of the work to be done in populating and verifying the FRO Matrix.
FRO Matrix May 11, 2021 Discussion of the draft FRO Matrix, including the outstanding list of questions requiring member feedback and a summary of certain proposed approaches that will be adopted absent contrary feedback.
APAC Q&A Session May 27, 2021 Q&A session to discuss issues relating to the implementation of the 2021 ISDA Definitions.

Documents (2) for 2021 ISDA Interest Rate Derivatives Definitions