Isda amends Delphi index protocol

The International Swaps and Derivatives Association has amended the Delphi credit default swap index protocol, which was opened and closed only yesterday.

Isda said there were problems relating to the “auction fallback methodology”, but declined to go into further detail. Adherence letters to yesterday’s original protocol have therefore been “rescinded”, added the industry body.

The adherence period for the amended protocol will run from October 28 to November 2. The auction will take place on November 4.

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