Switzerland:
Update Of Supplemental Definitions For Interest Rates Derivatives Applicable Under Swiss Master Agreement For OTC Derivatives
29 January 2024
Schellenberg Wittmer Ltd
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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.
The content of this article is intended to provide a general
guide to the subject matter. Specialist advice should be sought
about your specific circumstances.
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