SRP takes a closer look at the new fallbacks for derivatives linked to key interbank offered rates (Ibors) published by the International Swaps and Derivatives Association (Isda) in January.
In the second of a two-part interview, Suzanna Brunton (pictured) , managing associate, derivatives and structured products, at Linklaters, discusses the impact of the new Isda fallbacks for notes, after having looked at OTC transactions in part one . The SRP database lists 2,234 live structured products linked to Ibors – 85% of which are wrapped as notes. The products, worth a combined US$40.3 billion, include approximately 750 range accruals and 40 steepeners, structures for which imple
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