ISDA®
INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION
NEWS
RELEASE
For Immediate Release
Friday, March 18, 2005
For More Information, Please
Contact:
Louise Marshall, +1 212 901 6000, lmarshall@isda.org
Susan Hartzell, Kennedy & Company, +1 914 961 2436, susan@kennedycom.com
ISDA PUBLISHES
2005 INFLATION DERIVATIVES DEFINITIONS
The Definitions provide
uniform index descriptions for the major global consumer price indices and
fallback provisions in the event of a delay or disruption in publication of one
of those indices. Wherever possible, the fallbacks reference the actions taken
under the related inflation-linked bond in the event of a delay or cessation of
publication. In these events, the calculation agent will take the same action
to determine the substitute index level for the affected payment day as that
taken under the related bond. Where there is no related bond, the Definitions
provide a formula for calculating the missing index level, or, where an index
has ceased to publish, provide methodology for a calculation agent to determine
the appropriate successor index.
“The Inflation Derivatives
Definitions will help the market by providing a mechanism that mirrors the
behavior of the underlying inflation-linked bond and by removing any potential
mismatch in market practice,” said Bob Pickel, Chief Executive Officer and Executive
Director of ISDA. “They will therefore
provide greater certainty and clarity for all participants in this burgeoning
marketplace and facilitate continued strong growth.”
Activity in inflation-linked derivatives
has been in existence since the mid-1990as, and has grown exponentially in the
past several years. According to figures in use by market participants, size of
this activity is now estimated to total $98 billion in notional outstanding
volume, a ten-fold growth rate in the past two years.
ISDA is the global trade
association representing leading participants in the privately negotiated
derivatives industry. ISDA was chartered in 1985, and today has more than 625
member institutions from 47 countries on six continents. These members include
most of the world's major institutions that deal in privately negotiated
derivatives, as well as many of the businesses, governmental entities and other end users
that rely on over-the-counter derivatives to manage efficiently the financial
market risks inherent in their core economic activities. Information about ISDA
and its activities is available on the Association's web site: www.isda.org.
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