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
ISDA In Review – August 2026
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in August 2026.
Remove Bureaucracy from Cross-margin Approvals
Cross-margining programs play a critical role in financial markets. By ensuring margin requirements more closely reflect the actual risk of a portfolio of products, they reduce liquidity strain and improve market efficiency, both of which will become even more important...
Joint Response on CCP Resolution
On September 7, ISDA and FIA responded to a Bank of England (BOE) discussion paper on central counterparty (CCP) resolution. The associations support greater clarity on valuation capabilities prior to a crisis scenario and the boundary between recovery and resolution,...
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...