Answer to 'Supplemental Consultation on Spread and Term Adjustments for Fallbacks in Derivatives Referencing USD LIBOR, CDOR and HIBOR and Certain Aspects of Fallbacks for Derivatives Referencing SOR' issued by ISDA

Market Infrastructure Analysis, muRisQ Advisory, July 2019.

11 Pages Posted: 10 Jul 2019

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: July 6, 2019

Abstract

This note is an answer to the consultation published by ISDA in May 2019 regarding the amendment of documentation to implement fallbacks for certain key IBORs.

Keywords: IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling, Achievability

JEL Classification: G13, G15, G23, K12

Suggested Citation

Henrard, Marc P. A., Answer to 'Supplemental Consultation on Spread and Term Adjustments for Fallbacks in Derivatives Referencing USD LIBOR, CDOR and HIBOR and Certain Aspects of Fallbacks for Derivatives Referencing SOR' issued by ISDA (July 6, 2019). Market Infrastructure Analysis, muRisQ Advisory, July 2019. . Available at SSRN: https://ssrn.com/abstract=3415930 or http://dx.doi.org/10.2139/ssrn.3415930

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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HOME PAGE: http://murisq.com

OpenGamma ( email )

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United Kingdom

University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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