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 seeks 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 is July 12, 2019This deadline will not be extended.  Please email your response to FallbackConsult@isda.org and clearly indicate that you are submitting a response in the subject line of your email.  For your convenience, you can use this form for your responses (but you are not required to do so).

Please submit questions to FallbackConsult@isda.org at any time during the consultation period.

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

This consultation relates 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 is July 12, 2019This deadline will not be extended.  Please email your response to FallbackConsult@isda.org and clearly indicate that you are submitting a response in the subject line of your email.  For your convenience, you can use this form for your responses (but you are not required to do so).

Please submit questions to FallbackConsult@isda.org at any time during the consultation period.

Update: 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.

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