ISDA Guidance Note – Linear Interpolation

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

Recognition of Cross-product Netting is Critical

US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...

ISDA, GFXD Response to FCA on SI Regime

On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...

ISDA Response on Clearing Costs

On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...