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.

This page is divided into five sections:

  1. Background
  2. Accessing the 2021 Definitions on the MyLibrary Platform
  3. General Educational Materials
  4. Implementation
  5. Versions of the 2021 Definitions

 

1. Background

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.

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.  Version 2 of the 2021 Definitions was published on September 30th and was principally intended to maintain alignment with the 2006 ISDA Definitions at the point of the October 4 implementation date.

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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 onlinelibrary@isda.org. A fact sheet on MyLibrary is available here. A webinar on the 2021 Definitions and MyLibrary can be seen here.

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3. General Educational Materials

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4. Implementation
Working Group Participation

The ISDA 2021 Definitions Implementation Subgroup is meeting 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. The sub-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 Implementation Sub-group, please contact marketinfrastructureandtechnology@isda.org. Members of ISDA can access recordings of the Implementation Sub-group calls below.

 

Introduction to Implementation of the 2021 ISDA Interest Rate Definitions

 

Key Changes in the 2021 Definitions

 

Floating Rate Options

 

Confirmations

*based on version 1 of the 2021 ISDA Interest Rate Derivative Definitions

 

Cash Settlement Methods

 

Clearing Houses

 

Trading Venues

 

Middleware

 

Implementation Interviews: Participant Recommendations

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.

 

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.
Focus on Asia clearing houses June 24, 2021 ASX, HKEX and KRX present their 2021 implementation plans.
CME presentation June 30, 2021 CME presents their updated 2021 implementation plans.
Focus on trading venues July 15, 2021 TP ICAP, Tradeweb and Bloomberg present their 2021 implementation plans.
MarkitSERV presentation August 12, 2021 MarkitSERV present their 2021 implementation plans.
MarkitWire Default and Trade Reporting August 26, 2021 Discussion of MarkitWire’s default for contractual definitions in the absence of express election and update from the Trade Reporting Working Group.
MarkitWire Default and Trade Reporting September 2, 2021 MarkitWire update and discussion on the default for contractual definitions in the absence of express
Presentation by MarkitWire and Trading Venue implementation updates September 13, 2021 MarkitWire revised default proposal and Trading Venue implementation plan updates from Bloomberg, TradeWeb and TPICAP
Presentation by MarkitWire on Cash Settlement – Elections in MarkitWire September 16, 2021 Reminder for  High-level Implementation Survey submissions followed by a presentation from MarkitWire on Cash Settlement elections in MarkitWire.

 

2021 ISDA Interest Rate Derivatives Definitions Preferences Grids

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.

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5. Versions of the 2021 Definitions

While the 2006 ISDA Definitions are amended by the publication of ‘Supplements’, the 2021 Definitions will be amended and restated in their entirety in new ‘Versions’ of the Definitions. Versions will be differentiated by number and date (eg, Version 1, June 11, 2021). The 2021 Definitions consists of the main definitional book and a series of matrices. ISDA has also published confirmation templates for use with the 2021 Definitions. All these documents can be individually updated. For example, it is possible that at a point in time, the most current versions of the documents are Version 2 of the main definitional book, Version 3 of the FR Matrix and Version 1 of the Currency/Business Days Matrix.

ISDA published the second version of the 2021 Definitions on September 30, 2021.  The following Version map, illustrates the current versions of the component parts of the 2021 Definitions with effect from September 30, 2021. ISDA published Version 2 of the 2021 Definitions on September 30, 2021 to bring them into alignment with the 2006 ISDA Definitions prior to the implementation date.

The document below sets out which Supplements to the 2006 Definitions will be incorporated into Version 2 of the 2021 Definitions and which are expected to be brought into subsequent versions.

If you are interested in participating in the working group producing versions of the 2021 Definitions, please log on to your ISDA account and join the Interest Rate Definitions Working Group.

 

Version 1 Working Group Calls
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.

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