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
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...
Response on CSDD Guidelines
On August 6, ISDA responded to the European Commission’s (EC) consultation on due diligence guidelines under the Corporate Sustainability Due Diligence Directive (CSDDD). While ISDA acknowledges that model contractual clauses can be a helpful resource for in-scope companies, there are...
Response to BoE on Extension of Settlement Hours
On August 6, ISDA responded to the Bank of England’s (BoE) consultation paper on the extension of settlement hours for RTGS and CHAPS, the UK’s high-value payment system. ISDA supports the BoE’s plan to extend RTGS and CHAPS settlement hours...