FX defs look to calculation agents for close-out rates
New Isda rule book also set to streamline ‘impossibility’ standard for disruption events
Calculation agents will play a bigger role under the International Swaps and Derivatives Association’s new foreign exchange definitions, while the definition of “impossibility” in disruption events will also be updated.
Isda is updating its rule book for trading FX derivatives, after the Russian invasion of Ukraine in 2022 exposed flaws around the management of disruption events and disrupted price sources.
Deepak Sitlani, a partner in the derivatives and structured products group at law firm
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