Interpretative revisions to SSAP No. 86 Derivatives were adopted during the May 2021 virtual call through expanding the scope of INT 20-01 ASU-2020-04 Reference Rate Reform. Revisions provide an optional temporary expedient and exception guidance with a set expiration date of December 31, 2022.
Modifications clarify that derivative instruments affected by changes to the interest rates used for discounting, margining, or contract price alignment as a result of reference rate reform are in the scope of INT 20-01. This exception will allow the continuation of the existing hedge relationship and will not require hedge redesignation. Revisions further clarified that INT 20-01 captures all hedging transaction types within the scope of the interpretation, regardless of if the transaction occurred bilaterally or through a central clearing party.