ISDA: Results Of Consultation On Fallbacks For Derivatives
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.
Clients want short-dated options to hedge or trade with more flexibility around market-moving events.
IRS trading volumes have fragmented without an equivalence agreement.
The World Federation of Exchanges published its first-half highlights.
ICE Connect customers can see how changing weather forecasts influence live market prices.
The network is driving adoption of standardized post-trade swap data models and workflows.