Please note that ISDA no longer supports the 2006 ISDA Definitions – see ISDA’s statementfor further information.
This page will be updated on a regular basis as relevant information becomes available and will serve as a repository for information from ISDA relating to the 2021 Interest Rate Derivatives Definitions.
On June 11, 2021, ISDA published the first version of the 2021 ISDA Interest Rate Derivatives Definitions, following a root and branch review of the current market standard definitional booklet for the interest rate derivatives market – the 2006 ISDA Definitions.
The 2021 Definitions have retained much of what worked well under the 2006 Definitions, but in some areas have been substantively updated to better reflect modern market practices, improve clarity and to make transactions more robust in the face of contingencies such as market closures and benchmark related events. An article discussing the benefits of the new 2021 ISDA Interest Rate Derivatives Definitions is available here: IQ: ISDA Quarterly, February 2021 – Transformational Change. A Japanese translation of this article is available here.
Since the October 4, 2021 implementation date all major global CCPs have adapted their rulebooks to adopt the 2021 Definitions and adoption in the non-cleared market has reached key milestones (approximately 2/3rds of electronically confirmed non-cleared trades now reference the 2021 Definitions) and many major market participants have switched to the new definitions by default or upon request. ISDA anticipates rapid and widespread adoption in the rest of the non-cleared market. ISDA continues to work with its member working groups to identify and resolve issues relating to the adoption and implementation of the 2021 Definitions and to draft subsequent versions of the 2021 Definitions. Versions 2, 3, 4, 5, 6, 7, 8, and 9 of the 2021 Definitions were published on September 30, 2021, November 10, 2021, December 16, 2021, March 25, 2022, May 27, 2022, November 18, 2022, March 10, 2023, and July 28, 2023 respectively. Please note that ISDA no longer supports the 2006 ISDA Definitions – see ISDA’s statement for further information.
2. Accessing the 2021 Definitions on the MyLibrary Platform
The 2021 Definitions also represent ISDA’s first natively digital definitional booklet, published exclusively on the ISDA MyLibrary platform. This enables users to view a consolidated version of the definitions, to see how they have changed over time and provides access to enhanced user facilities such as hyperlinking to definitions, bookmarking and additional resources. For more information on how to access the MyLibrary platform, please contact firstname.lastname@example.org. A fact sheet on MyLibrary is available here. A webinar on the 2021 Definitions and MyLibrary can be seen here.
The ISDA 2021 Definitions Implementation Subgroup met on a weekly basis in the run up to October 4, 2021, to identify and resolve issues relating to the adoption and implementation of the 2021 Definitions. Issues related to adoption and implementation are now being discussed in the ISDA Rates Market Infrastructure Group. The group is open to ISDA members and, given its focus on operational implementation, tends to be attended by operations staff from member firms. If you are interested in participating in the ISDA Rates Market Infrastructure Group, please contact email@example.com. Members of ISDA can access recordings of the Implementation Sub-group calls below.
Introduction to Implementation of the 2021 ISDA Interest Rate Definitions
On behalf of ISDA, consultancy firm Quorsus conducted several interviews across a cross-section of ISDA members to ascertain the steps firms are taking, or have identified as necessary, to implement the 2021 Interest Rate Derivatives Definitions. The Quorsus report, Implementation Interviews: Participant Recommendations, highlights suggested operational practices identified during the interviews to help firms in their preparations.
The phased approach to implementation of the 2021 Definitions means that some market participants will be ready to trade using the 2021 Definitions with their counter parties from October 4th while others will not be ready until a later date. In order to reduce the potential for breaks and in order to help facilitate a safe and efficient market, ISDA has agreed to post information regarding firms’ definitions preferences in a standardised format. ISDA takes no responsibility for the information any preference grid contains and makes no representation as to its accuracy or completeness. For a definitive understanding of a party’s definitional preferences, market participants should contact the relevant party. Contact details (to the extent they have been provided) can be found at the bottom of each preference grid. By accessing the information provided, users agree that they will not use the information for any anti-competitive purpose.
While the 2006 ISDA Definitions are amended by the publication of ‘Supplements’, component documents of the 2021 Definitions (such as the Main Book or Matrices) are amended and restated in their entirety in new versions. Versions of each component document are differentiated by number and date (eg, Main Book, Version 1, June 11, 2021 or Version 2, September 30, 2021). ISDA has also published confirmation templates for use with the 2021 Definitions.
ISDA has published the following releases of the 2021 Definitions:
June 11, 2021
September 30, 2021
November 10, 2021
December 16, 2021
March 25, 2022
May 27, 2022
November 18, 2022
March 10, 2023
July 28, 2023
The following Version map illustrates the current versions of the component parts of the 2021 Definitions with effect from July 28, 2023.
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.
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.
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.
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.