A two business-day "lag" period and five-year
median credit-spread adjustments will be implemented.
The International Swaps and Derivatives Association, Inc.
("ISDA") has announced the results of its "Final Parameters" Consultation (the
"Consultation") on a number of important mechanical
details and specifications for interest rate swaps and other
derivatives to be denominated in "(nearly) risk-free"
overnight rates ("RFRs"). The Consultation sought further
input from the market on the approaches to RFR-denominated swaps
and London Inter-Bank Offered Rate ("LIBOR") transition
that had been decided in
prior consultations.
On the basis of the 90 responses to the Consultation, ISDA will
(i) implement a two business-day back-shift or
"lag" for payments to be calculated in arrears; and
(ii) derive the "static" credit spread adjustment for
each "tenor" from the median LIBOR-RFR spread over a
five-year look-back period. ISDA will incorporate these
specifications in the
