Sunday, 17 November 2019

Final parameters fallback consultation results - updated transformers

The results of "The Final Parameters Consultation" have been published by ISDA on 15 November 2019. The fallback will be based on "historical median approach over a five-year lookback period" with "two banking day backward shift adjustment period".

We have updated our "LIBOR fallback transformers" code to include the new fallback options introduced by the consultation. Now the choice of fallback extends to the compounding in arrears with two days shift on the IBOR period or two days shift on the calculation period.

Don't fallback, step forward!

Contact us for LIBOR fallback and discontinuation: trainings, workshops, advisory, tools, developments, solutions.