In 2021, ISDA published a new set of
Interest Rate Derivates Definitions (the
“2021 Definitions”), replacing the 2006 ISDA
Interest Rate Derivatives Definitions (the
“2006 Definitions”), which by then had
required around 90 supplements, or 600 pages
of amendments, to reflect changes in
regulations, technology, and market
practice.
The 2006 Definitions have routinely been incorporated into equity swap trading documentation to document the calculation of the floating, or interest, amount payable by one party to the other.
To promote uptake of the 2021 Definitions in
the equity derivatives market, in 2023, ISDA
released the
ISDA 2023 Equity Swap – 2021 Definitions
Protocol
(the “Protocol”). The Protocol enables
adhering parties to incorporate the 2021
Definitions into their equity swap master
confirmation agreements in place of the 2006
Definitions, with the aim of facilitating a
synchronized transition to the newer set of
definitions across the industry.
Banco de Madrid has adhered to the Protocol
on behalf of Banco de Madrid AG (LEI:
BFM8T61CT2L1QCEMIK50) and Banco de Madrid
Europe SE (LEI: 5299007QVIQ7IO64NX37).
How and when to adhere to the Protocol
The Protocol adherence window is open now, and we encourage all clients that trade equity swaps with Banco de Madrid AG or Banco de Madrid Europe SE under a master confirmation agreement to adhere to the Protocol at their earliest opportunity.
You can adhere to the Protocol via the ISDA website as a single entity and/or as an agent, for any underlying legal entities on behalf of which you are documented to trade equity swaps. Where you plan to adhere on behalf of certain underlying legal entities only, you should note that there are additional steps required to disclose details of the entities on whose behalf you are adhering through the ISDA Amend tool. For more information, please refer to the ISDA Equity Swaps FAQ which you can find on the ISDA website.
The Protocol changes will take effect as of 18th March 2024 for clients adhering to the Protocol before that date (or as of the date of their adherence for clients adhering after that date).
