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Henrard, 2020 - Google Patents

Fallback protocol signature: a cautionary tale

Henrard, 2020

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Document ID
10640243901006997957
Author
Henrard M
Publication year
Publication venue
Available at SSRN

External Links

Snippet

The current plans for LIBOR fallback changes is to use an adjusted RFR and a spread. Those changes correspond to a payoff change. The CCPs will introduce the new fallback definitions for new and legacy trades while for uncleared swaps under ISDA master …
Continue reading at papers.ssrn.com (PDF) (other versions)

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