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
An Important Step Towards Efficient Reporting
Of all the problems that have hindered effective trade reporting in the derivatives market, one of the most difficult to resolve has been duplication. In the EU, both parties to a trade are mandated to submit the same information, while...
The ISDA Notices Hub: One Year On
In times of war, armed forces are often required to mobilize over large distances at short notice. The most dreaded response to the question of how they are to be transported is ‘by LPC’, meaning ‘leather personnel carrier’ – the...
ISDA Response to OSC Call for Feedback
On June 26, ISDA responded to the Ontario Securities Commission’s (OSC) consultation on facilitating access to its regulatory framework and reducing the burden for capital markets participants by publishing a machine-readable dataset of regulatory instruments. ISDA's comments are supportive of...
ISDA Comments on EP's MISP Draft Reports
On July 15, ISDA shared comments with policymakers in the European Union on the European Parliament’s (EP) draft reports by Member of the European Parliament (MEP) Markus Ferber and MEP Eero Heinäluoma on the Market Integration and Supervision Package (MISP)....