This consultation sought input on the final parameters related for the adjustments that will apply to alternative risk-free rates (RFRs) if derivatives fallbacks are triggered. These adjustments are necessary because of the differences between the interbank offered rates and the RFRs.
The consultation is available here.
The deadline for responses to the consultation was October 23, 2019.
The Brattle Group has provided a workbook to help market participants understand the implications of the different options above and other variations for the historical mean/median approach to the spread adjustment. The Brattle Group has also provided a set of instructions for using the workbook. Bloomberg clients will be able to run this workbook based on historical data accessed through their desktop/Terminal environment. Please note that the actual compounded setting in arrears rate and spread adjustment may differ from what is produced in the spreadsheet once all technical issues related to the calculations are addressed. Importantly, the spread adjustment in the spreadsheet does not account for (a) a transitional period or (b) a “backward-shift” or “lockout” in calculating the compounded in arrears rate or with respect to the compounded RFR data in the spread adjustment. However, the spreadsheet should provide helpful information to market participants as they compare the different options and variations.
A recording of a market call answering questions about the consultation is available here.
Latest
Next Steps on a Much Improved Basel III Endgame
Publication of the revised Basel III endgame proposal earlier this month marks an important step towards completion of the global capital reforms, giving banks much-needed clarity on the likely calibration of the rules in the US. The new proposal is...
Paper on Market Integration Plans
On March 20, ISDA shared its position paper on better regulation and supervision within the European Commission’s (EC) Market Integration and Supervision Package (MISP) proposal with decision makers in the European Parliament, the Council of the European Union and the...
Gentek AI Selected to Develop DRR Traceability
ISDA has selected Gentek AI to develop a new traceability tool for the ISDA Digital Regulatory Reporting (DRR) solution, enhancing transparency for users of the ISDA DRR. The traceability tool will allow users to look back at the history of...
ISDA Guidance: SOFR Publication on Good Friday 2026
ISDA guidance for parties to over-the-counter derivative transactions affected by expected non-publication of SOFR on Good Friday in 2026. Please note that the guidance may be updated from time to time.
