Deals & Cases
Update of Supplemental Definitions for Interest Rates derivatives applicable under Swiss Master Agreement for OTC Derivatives
29.10.2023
Schellenberg Wittmer (led by Olivier Favre) acted as counsel to the Swiss Bankers Association (SBA) for the update of its definitions for interest rate products used for over-the-counter derivative transactions documented under the Swiss Master Agreement for OVER-THE-COUNTER (OTC) derivative instruments published by the SBA.
The update is published as "Supplemental Interest Rates, Risk Free Rates (RFR) and EONIA Definitions (2023)" together with a list of Floating Rate Options. The documentation is available on the Swiss Banking website and also includes frequently asked questions (FAQs).
The revised definitions bring the previous version from 2020 up to date regarding the use of overnight reference rates (e.g. SARON for CHF) and include an administrator/benchmark event as well as fallbacks in the event of a temporary non-publication of reference rates.
