SRP looks at the impact of the new fallbacks for derivatives linked to key interbank offered rates (Ibors) published by the International Swaps and Derivatives Association (Isda) in January.
Suzanna Brunton ( pictured ), managing associate, derivatives and structured products, at Linklaters, explains why implementing the new Isda fallbacks could be problematic for range accruals. In part one of a two-part interview, we look at OTC transactions. The fallbacks, which ensure a viable safety net is in place in the event an Ibor becomes permanently unavailable, are drafted to work with linear interest rate derivatives, such as fixed/floating swaps, where the rate is fixed at the beginni