The Recommendation has been prepared by the Derivatives and Valuation Stream of the National Working Group (NWG) for benchmark reform.
The Recommendation presents the recommended method of replacing the WIBOR benchmark with an Alternative Benchmark in WIBOR-based interest rate derivatives in the event where a Fallback Trigger of a permanent nature occurs.
Recommendation of the National Working Group (NWG) on applying a fallback rate for the WIBOR benchmark in interest rate derivativesfile .pdf, 256.5kB
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