This consultation sought input on the approach for addressing certain technical issues associated with adjustments that will apply to alternative risk-free rates (RFRs) if the fallbacks are triggered. These adjustments are necessary because of the differences between the interbank offered rates 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.
ISDA accepted consultation responses from market participants until October 22, 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, 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.
Latest
ISDA Publishes Updated ISDA SIMM Governance
ISDA has published an updated version of the ISDA SIMM® Governance Framework, which sets out the principles under which the ISDA Standard Initial Margin Model® operates and the process through which it will be reviewed and amended on a consistent...
ISDA Response to PRA IMA Consultation
On September 18, ISDA, the Association for Financial Markets in Europe, the Institute of International Finance and UK Finance submitted a joint response to the UK Prudential Regulation Authority consultation on adjustments to the internal model approach (IMA) for the...
Calibration Test – IQ September 2026
Calibrating capital requirements is a highly complex undertaking and getting it wrong can have serious consequences. Too much lenience might lead to banks holding insufficient capital to mitigate their risks. But excess conservatism can put balance sheets under strain, forcing...
US Treasury Repo Clearing Indicators July 2026
The ISDA-Actrix US Treasury Repo Market Clearing Indicators illustrate central clearing adoption in the US Treasury repo market. Sponsored cleared repo volumes are used as a proxy to monitor client participation in central clearing, a key objective of the Securities...