07 May 2021

Eurex Clearing

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Implementation proposal for the 2021 ISDA Interest Rate Derivatives Definitions

Eurex Clearing Readiness Newsflash | EurexOTC Clear: Implementation proposal for the 2021 ISDA Interest Rate Derivatives Definitions

Dear Eurex Clearing participant,

With this newsflash, Eurex Clearing would like to inform about its implementation proposal for the 2021 ISDA Interest Rate Derivatives Definitions (the “2021 ISDA Definitions”).

The 2021 ISDA Definitions will replace the 2006 ISDA Definitions as the standard definitional book for bilateral interest rate derivatives. The International Swaps and Derivatives Association (ISDA) plans to publish the new definitions on 17 May 2021. The implementation date is targeted on the weekend of 2 - 3 October 2021.

Eurex Clearing plans to meet this implementation date and, as of 4 October 2021, will accept transactions for clearing in production that reference the 2021 ISDA Definitions in the ‘Contractual Definitions’ field or use 2021 ISDA Definitions-based Floating Rate Option labels. Clearing offering for other bilateral OTC transactions will remain unaffected. 

As of the acceptance of a bilateral OTC Transaction for clearing by Eurex Clearing AG by way of novation, the product-related terms in the Clearing Conditions or FCM Regulations of Eurex Clearing AG (as applicable) that correspond to the relevant market standard agreement under which the bilateral OTC Transaction was concluded, will apply to the cleared transaction. 

Eurex Clearing intends to maintain fungibility of cleared transactions that are 2021 ISDA Definitions-based with cleared transactions that are 2006 ISDA Definitions-based or DRV-based. It is not foreseen to update cleared transactions that are 2006 ISDA Definitions-based to 2021 ISDA Definitions-based at this stage.

More details about Eurex Clearing’s implementation proposal can be found in the Member Section of Deutsche Börse Group under the following path:

Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation > Overview

Further information about the necessary amendments to the Clearing Conditions and FCM Regulations will be published later via a separate circular.

Eurex Clearing’s proposal is subject to future adjustments. The final proposal, simulation as well as production go-live date will be communicated at later stage.

Learn now more about the EurexOTC Clear Releases on our dedicated initiative page under the following link: Support > Initiatives & Releases > EurexOTC Clear Releases. System documentation, circulars, timeline and much more information will be available there for you

...and on the go via the personalized Eurex App.

If you have any questions or comments, please do not hesitate to contact us at: client.services@eurex.com.

Kind regards,
Your Client Services Team

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