Isda plans ‘modular’ RFR conventions

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

Modular-approach to RFRs 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

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