Isda plans ‘modular’ RFR conventions

Swaps definitions will be updated in response to divergent compounding styles in loan markets

Modular-approach to RFRs
Risk.net montage

The International Swaps and Derivatives Association will change its rule book to support a wider range of coupon calculations for swaps referencing overnight risk-free rates (RFRs). The new ‘modular’ approach should allow for the creation of more accurate hedges for loans and other cash products, which have adopted different conventions for calculating interest payments.  

Ann Battle, Isda’s head of benchmark reform, said the trade body is updating its 2006 definitions “to allow for more

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: