ISDA published a Guidance Note on Linear Interpolation (the “Guidance Note”) that provides further clarity to the Best Practice Statement for Linear Interpolation issued on December 18th, 2009.
This updated Guidance Note seeks to clarify how to determine the number of calendar days corresponding to the next shorter and next longer Designated Maturities of the two known rates in certain situations, including, e.g., when ‘end-of-month’ convention applies. In addition, the Guidance Note seeks to provide further clarification for linear interpolations under the following documents: the ISDA 2013 Discontinued Rates Maturities Protocol, the IBOR Fallbacks Supplement (Supplement 70 to the 2006 ISDA Definitions) and the ISDA 2020 IBOR Fallbacks Protocol, the 2021 IBOR Fallbacks Supplement (Supplement 90 to the 2006 ISDA Definitions) and the December 2021 Benchmark Module to the ISDA 2021 Fallbacks Protocol and the 2021 ISDA Interest Rate Derivatives Definitions.
Documents (1) for ISDA Guidance Note – Linear Interpolation
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Episode 60: Modelling Margin
The ISDA Standard Initial Margin Model has proved to be one of the most consequential industry models ever developed. The Swap talks with two industry veterans involved in its development. Please view this page via Chrome to access the recording.
ISDA Wins Digital Solution of the Year Award
ISDA has won Digital Solution of the Year at the GlobalCapital Global Derivatives Awards 2026 for the ISDA Digital Regulatory Reporting (DRR) initiative and the ISDA Notices Hub. The award recognizes ISDA’s continued work to develop mutualized digital solutions that...
ISDA Launches Digital Emissions Definitions
ISDA has launched a natively digital version of its documentation for emissions allowance transactions, enabling the framework to be updated more efficiently as emissions trading systems (ETSs) evolve. The 2026 ISDA Emissions Transactions Definitions provide standardized documentation for physically settled...