The International Swaps and Derivatives Association, Inc. (ISDA) has published a statement summarizing responses to a supplemental consultation on the spread and term adjustments that would apply to fallbacks for derivatives referencing euro LIBOR and EURIBOR.
The supplemental consultation, which was launched in December 2019, also covers technical issues related to the adjustment methodology, and seeks feedback on whether the adjustments would be appropriate for lesser-used interbank offered rates (IBORs) if ISDA implements fallbacks for those benchmarks in the future.
It follows three earlier consultations – two setting out options for the adjustments that will apply to the relevant risk-free rates if fallbacks are triggered for derivatives referencing nine IBORs, and one on the final parameters for the adjustment methodology.
The full ISDA statement is available on the ISDA website.
ISDA expects to publish additional information – including anonymized and aggregated responses to the supplemental consultation – in the coming weeks.
Source: ISDA
NEWSLETTER SIGN UP
And receive exclusive articles on securities markets
As Technology Evolves, Asset Managers Adapt and Innovate
Citi Changes Organizational Structure
SEC Charges Virtu for Disclosures Relating to Information Barriers
ICE Futures Singapore Partners with CoinDesk Indices
Related articles
-
Montréal Exchange intends to introduce the credit derivatives in the first quarter of 2026.
-
FIA has released a white paper on tokenisation and its potential to accelerate the movement of margin.
-
The platform brings automation to opaque, highly complex and manual futures block trading processes.
-
This suggests a growing sense of caution despite record trading volumes.
-
The crypto venue has launched 24/7 futures trading in the U.S.