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 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.
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 12th, 2018.
During the consultation period, ISDA will host two webinars to introduce the consultation and answer questions. The first will be during the week of July 23rd, 2018. The second will be during week of September 10th, 2018. You can also submit questions to FallbackConsult@isda.org at any time during the consultation period. Beginning during the week of July 30th, 2018, ISDA will maintain a list of FAQs.