Isda fallbacks ‘problematic’ for range accruals

The fallbacks, published by the International Swaps and Derivatives Association (Isda), ensure a viable safety net is in place in the event an Ibor becomes permanently unavailable while firms continue to have exposure to that rate. They will be incorporated into all new derivatives contracts that reference Isda’s standard interest rate derivatives definitions. ‘Having a fallback based on a clear, consistent and transparent methodology will significantly reduce the risk of market dis