Market favours retrospective over forward-looking approach to Ibor benchmark fallbacks, says Isda

By Dan Alderson

New benchmark fallbacks for derivatives contracts that reference interbank offered rates are likely to be based on the “compounded setting in arrears rate” and the “historical mean/median approach to the spread adjustment”, the International Swaps and Derivatives Association has said

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TAGS: Asia CDS Europe Regulation CLO Credit derivatives Leveraged loans North America