Update of important definitions for derivative transactions

Under the leadership of the Swiss Bankers Association (SBA), bank representatives have updated the Supplemental Interest Rates, Risk Free Rates (RFR) and EONIA Definitions (2020). These are used for over-the-counter derivative transactions based on the SBA’s Swiss Master Agreement for OVER-THE-COUNTER (OTC) derivative instruments.

The revised definitions bring the previous version from 2020 up to date regarding the use of overnight reference rates. Market participants and financial institutions are advised to check the new definitions and their standardised usage.

One of the most significant changes is the introduction of a list for floating rate options, which is published as a separate document. The list will be updated periodically as a dynamic document in order to respond to ongoing changes in the relevant interest rates.

In addition, the updated definitions incorporate a number of improvements on the 2020 version, in particular concerning the handling of administrator/benchmark events and the inclusion of fallbacks in the event of a temporary non-publication of reference rates. These updates have been made in line with the standards applicable to the international derivatives markets.

The updated definitions can be found here:

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Dagmar Laub
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