Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW

ISDA is amending its standard documentation to implement fallbacks for certain key interbank offered rates (IBORs). The fallbacks will apply if the relevant IBOR is permanently discontinued, based on defined triggers. The fallbacks will be to alternative risk-free rates (RFRs) that have been identified for the relevant IBORs as part of recent global benchmark reform work.

This consultation seeks input on the approach for addressing certain technical issues associated with adjustments that will apply to the RFRs if the fallbacks are triggered. These adjustments are necessary because of the differences between the IBORs and the RFRs.

The consultation is available here.  A set of graphs provided by Bloomberg to illustrate certain of the options for adjustments under consideration in the consultation is available here.

Market participants may submit responses in one of two ways. Please coordinate internally and provide only one response per institution.

1. Submit your responses via the online response tool available here.
2. Email responses to the consultation questions to FallbackConsult@isda.org. Please attach your responses in a Word or PDF document and clearly indicate “Response” in the subject line of your email.

ISDA will accept responses until October 12^th, 2018.

A webinar describing the approaches under consideration in the consultation and explaining the background of ISDA’s work to implement fallbacks for derivatives referencing key IBORs is available here.  This webinar also describes the graphs provided by Bloomberg.

ISDA is also maintaining a list of FAQs (updated September 17^th, 2018). A second webinar covering many of the FAQs is available here. You can continue to submit questions to FallbackConsult@isda.org at any time during the consultation period.