Collateral Agreement Interest Rate Definitions

The ISDA Collateral Agreement Interest Rate Definitions enable parties to include standardised definitions relating to overnight interest rates in ISDA published collateral agreements such as credit support annexes for variation margin.

The first version of the ISDA Collateral Agreement Interest Rate Definitions includes definitions of EONIA (Collateral Rate) and EuroSTR (Collateral Rate). The second version includes slightly modified versions of these definitions, as well as definitions of CORRA (Collateral Rate), SARON (Collateral Rate), SONIA (Collateral Rate), HONIA (Collateral Rate), TONA (Collateral Rate), SORA (Collateral Rate) and SOFR (Collateral Rate).

Other overnight interest rates may be added in subsequent iterations and will be differentiated through different publication dates and version numbers. Please refer to the pre-amble for guidance on the three methods of incorporation of the definitions.

Free downloads for Collateral Agreement Interest Rate Definitions (2)

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