ICMA and ISDA explanatory note on calculation agent role for Certain Derivative-Linked Securities

10 October 2006

The International Capital Market Association (ICMA) and the International Swaps and Derivatives Association (ISDA) announced joint publication of an explanatory note which aims to promote awareness among market participants of certain issues with respect to the role of calculation agent in the issuance of debt securities with embedded derivatives.

The note addresses the need to identify as early as possible who is to be the calculation agent in relation to the securities and allow adequate time to agree the terms of its appointment. It emphasises the need for clarity as to the role and responsibilities of the calculation agent, and finally discusses the interrelationship between the derivative securities and any associated hedge

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