May 2019 Benchmark Fallbacks Consultations

Supplemental Consultation on Spread and Term Adjustments for Fallbacks in Derivatives Referencing USD LIBOR, CDOR and HIBOR and Certain Aspects of Fallbacks for Derivatives Referencing SOR

This consultation sought input on the approach for addressing certain issues associated with adjustments that will apply to alternative risk-free rates (RFRs) if the fallbacks take effect. 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.

The deadline for responses to the consultation was July 12, 2019.

Consultation on Pre-Cessation Issues for LIBOR and Certain Other Interbank Offered Rates (IBORs)

This consultation related to pre-cessation issues and seeks comments on how derivatives contracts should address a regulatory announcement that LIBOR or certain other IBORs categorized as critical benchmarks under the EU Benchmarks Regulation are no longer representative of an underlying market.

The consultation is available here.

The deadline for responses to the consultation was July 12, 2019.

A webinar explaining the two consultations and featuring remarks from David Bowman of the US Federal Reserve Board and Edwin Schooling Latter of the UK Financial Conduct Authority is available here.

A recording of a market call answering questions about the two consultations is available here.

Written answers to frequently asked questions are available here.

Joint Paper on UK EMIR Reform

On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...

Response to FCA on UK EMIR Reporting

On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...

CDS Trading Activity in EU, UK and US Markets

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...