International Swaps and Derivatives Association recommends Treasury inflation protected securities fallback to set substitute October 2025 CPI-U for new inflation swap fixings

The International Swaps and Derivatives Association (ISDA) has published a voluntary market practice note recommending that firms use the fallback methodology for Treasury inflation-protected securities to determine a substitute October 2025 level for the Consumer Price Index for All Urban Consumers (CPI-U), after the US Bureau of Labor Statistics confirmed it would not publish an October CPI figure. The replacement value is intended for use in initial fixings for new inflation-linked swaps from November 28, when the missing October 2025 level is first needed for trading. A single recommended approach is aimed at avoiding inconsistent dealer methodologies that could reduce price transparency and certainty in the inflation swaps market. The note follows an earlier ISDA guidance note on applying the 2008 Inflation Derivatives Definitions to determine substitute CPI-U levels for final values of swaps maturing during the disruption, where non-cleared markets typically fall back first to the Treasury inflation-protected securities methodology and then to an ISDA-set formula, while clearing houses have set the ISDA methodology as the cleared-market fallback. ISDA’s working group considered a bifurcated approach mirroring these final-value conventions or a unified approach, and opted for the Treasury inflation-protected securities methodology for both cleared and non-cleared new trades to align derivatives practice with the cash market, despite short-notice technical and operational challenges.