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  • Melissa van der Merwe

Amendments to CSAs to Update Interest Rates on Cash Collateral to Reference New Alternative Rates


ISDA® have published the Collateral Agreement Interest Rate Definitions in order to allow parties to incorporate standardised definitions relating to overnight interest rates into their ISDA® credit support annexes ('CSAs'). These new definitions include fallbacks which apply if a relevant benchmark (which is referenced in a CSA and which incorporates the Collateral Agreement Interest Rate Definitions) is permanently discontinued, or temporarily fails to be published.


One can incorporate these Collateral Agreement Interest Rate Definitions into your existing CSAs by way of several amendment agreements which ISDA® have published. In addition these amendment agreements allow parties to amend references to EUR interest rate and/or USD interest rates to reference the EuroSTR and SOFR collateral rates. Parties can also agree within the scope of the amendment agreements whether compensation will be payable as a result of a financial impact which may occur in moving from an existing EUR/USD interest rate to a EuroSTR or SOFR collateral rate.


The template amendment agreement can be found on the ISDA® website at this link:

https://www.isda.org/book/template-form-of-bilateral-agreement-for-amending-references-to-eur-interest-rates-and-usd-interest-rates-in-credit-support-documents/


#benchmarks #collateral #interestrate

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