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
Date Written: July 6, 2019
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: Suggested Citation