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
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...
Response on CSDD Guidelines
On August 6, ISDA responded to the European Commission’s (EC) consultation on due diligence guidelines under the Corporate Sustainability Due Diligence Directive (CSDDD). While ISDA acknowledges that model contractual clauses can be a helpful resource for in-scope companies, there are...
Response to BoE on Extension of Settlement Hours
On August 6, ISDA responded to the Bank of England’s (BoE) consultation paper on the extension of settlement hours for RTGS and CHAPS, the UK’s high-value payment system. ISDA supports the BoE’s plan to extend RTGS and CHAPS settlement hours...