This page will be updated on a regular basis as relevant information becomes available globally and will serve as the central repository for information from ISDA relating to financial benchmark reform and the transition from LIBOR. If you have any questions or would like additional information in relation to these matters, please email: firstname.lastname@example.org.
This page is separated in eleven sections:
• IBORs and Risk-Free Rates
• ISDA’s Work
- Regulatory and Risk-free Rate Working Group Market Guidance
- ISDA-Clarus RFR Adoption Indicator
- Legislation and Potential Legislation
- Fallbacks for IBOR Derivatives
• ISDA Statements
• External Statements
• Competition Law Materials
• Educational Materials
• Bloomberg: Fallback Spread Vendor
- ISDA-Brattle Microsite: Understanding IBOR Benchmark Fallbacks
- Fallbacks for Swap Rates
- Other Benchmark Reform Initiatives
• Risk-Free Rate Compounding
• EONIA & €STR
• CCP PAI/Discounting Changes
• EU Benchmarks Regulation and Review
• CCP Active Transition from LIBOR
• Credit Sensitive Alternatives to USD LIBOR
• Term RFRs
- Relevant Research/Reading Material
- Press Releases/Latest News/Speeches/Presentations
- Market Education Calls/Webinars/Conferences
Key interbank offered rates (IBORs), types of interest rate benchmarks, are undergoing a period of change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs).
In the case of LIBOR, it has long been clear that market participants cannot rely on this rate after the end of 2021, but on March 5, 2021, following a consultation by ICE Benchmark Administration (IBA), the administrator of LIBOR, the UK Financial Conduct Authority (FCA) gave firms a clear timetable for when they need to shift to alternative reference rates.
Specifically, the FCA confirmed that all seven tenors for both euro and Swiss franc LIBOR, overnight, one-week, two-month and 12-month sterling LIBOR, spot next, one-week, two-month and 12-month yen LIBOR and one-week and two-month US dollar LIBOR will permanently cease immediately after December 31, 2021. Publication of the overnight and 12-month US dollar LIBOR settings will cease for good immediately after June 30, 2023.
Since the FCA’s announcement, the derivatives industry has had clarity on exactly when new fallbacks for outstanding LIBOR exposures will kick in for all 35 currency and tenor pairs pursuant to the IBOR Fallbacks Supplement and the IBOR Fallbacks Protocol (described below), as well as the spread adjustments that will be added to the adjusted RFRs in the fallback methodology.
Furthermore, the FCA is consulting on using proposed new powers under the UK Financial Services Bill to require IBA to continue publishing one-month, three-month and six-month sterling LIBOR on a synthetic basis for a further period after the end of 2021, and one-month, three-month and six-month yen LIBOR on a synthetic basis for an additional year after end-2021. The FCA also stated that it will consider the case for requiring IBA to continue publishing one-month, three-month and six-month US dollar LIBOR on a synthetic basis for a further period after the end of June 2023. Importantly, the FCA confirmed these settings would no longer be representative of their underlying market after December 31, 2021 (for the six sterling and yen LIBOR tenors) and June 30, 2023 (for the three US dollar LIBOR tenors). It also stressed that use of synthetic LIBOR by UK regulated firms will not be permitted for new trades, while use by regulated firms in legacy transactions will be subject to permission from the FCA under its proposed new powers.
UK FCA is the supervisor for the IBA, which is the administrator of LIBOR in all five currencies. It maintains information about the transition away from LIBOR on its website.
This section covers LIBOR in the five currencies in which it is currently published (US dollar, sterling, Swiss franc, Japanese yen and euro), EURIBOR, TIBOR, Euroyen TIBOR, BBSW, HIBOR, CDOR, BKBM and NIBOR (each an IBOR) and their current administrators, as well as information about the alternative RFR for each IBOR, the administrators for the alternative RFRs, and the designated public-/private-sector working group for each relevant jurisdiction. It also contains similar information about SOR, THBFIX, PHIREF and MIFOR, which are synthetic benchmarks that use USD LIBOR as an input.
*Note that Modified MIFOR is the identified alternative for MIFOR, SORA is the identified alternative for SOR and THOR is the identified alternative for THBFIX. However, these alternatives are not the fallbacks. Instead, FBIL will calculate and publish an Adjusted MIFOR that will be implemented as the contractual fallback for MIFOR, ABS Co will calculate and publish a Fallback Rate (SOR) that will be implemented as the contractual fallback for SOR and Bank of Thailand will calculate and publish a Fallback Rate (THBFIX) that will be implemented as the contractual fallback for THBFIX. Additionally, BAP will calculate and publish a fallback rate that will be implemented as the contractual fallback for PHIREF.
ISDA identifies various key ISDA workstreams relating to the reform of IBORs and other interest rate benchmarks and the development of alternative RFRs in this table. ISDA expects to update this document on a quarterly basis.
ISDA conducts its work through a variety of different working groups (WGs): ISDA Americas and Europe Benchmark WG, ISDA APAC Benchmark WG, ISDA JPY Benchmark WG, ISDA EU Benchmark Regulation Advocacy Group and the ISDA IBOR Fallback Implementation Subgroup.
To join one of the above WGs:
- Create an account on the ISDA website;
- After you create an account, click on the Committees tab and then view My ISDA Committee Dashboard. You can request to join and leave working groups and distribution lists
- FSB Global Transition Roadmap for LIBOR (Updated June 2, 2021)
- FSB Report: Interest rate benchmark reform: Overnight risk-free rates and term rates (June 2021)
- FSB OSSG Supports Use of the ISDA Spread Adjustments in Cash Products (June 2021)
- FSB statement on smooth and timely transition away from LIBOR (June 2021)
- Hong Kong
- United Kingdom
- United States
- Statement from CFTC Staff on Transition Away from LIBOR
- CFTC MRAC Interest Rate Benchmark Reform Subcommittee SOFR First
- ARRC Best Practices (includes August 2020 update)
- ARRC Guide on the Endgame for USD LIBOR (includes April 2021 update)
- ARRC Progress Report: The Transition from US Dollar (USD) Libor
- US Agencies Statement on LIBOR Transition (November 2020)
- US Federal Reserve Examiner Guidance for Assessing LIBOR Transition Efforts at Firms with Less Than $100 Billion in Total Consolidated Assets
- US Federal Reserve Examiner Guidance for Assessing LIBOR Transition Efforts at Supervised Firms with $100 Billion or More in Total Consolidated Assets
The ISDA-Clarus RFR Adoption Indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies.
- Whitepaper on the methodology
- Interactive charts
- Monthly reports
- European Union
- United Kingdom
- UK Financial Services Bill
- FCA consultation on synthetic rates for Sterling and Yen LIBOR (June 24, 2021)
- FCA consultation on power over use of critical benchmarks (May 2021)
- HMT Consultation on Supporting the Wind-down of Critical Benchmarks (safe harbour) (February 2021)
- FCA response to IBA’s proposed consultation on intention to cease USD LIBOR (November 30, 2020)
- FCA consultations on new benchmarks powers (November 18, 2020)
- HMT and FCA Statements (June 23)
- United States
To address the risk that one or more IBORs are discontinued while market participants continue to have exposure to that rate, counterparties are encouraged to agree to contractual fallback provisions that would provide for adjusted versions of the RFRs as replacement rates.
ISDA has amended certain ‘floating rate options’ in the 2006 ISDA Definitions to include fallbacks that would apply upon the permanent discontinuation of certain key IBORs and upon a ‘non-representative’ determination for LIBOR. ISDA also amended certain floating rate options that use USD LIBOR as an input to include fallbacks that would apply if USD LIBOR is permanently discontinued or upon a ‘non-representative’ determination for USD LIBOR.
On October 23, 2020, ISDA launched the IBOR Fallbacks Supplement and IBOR Fallbacks Protocol. The Supplement amends ISDA’s standard definitions for interest rate derivatives to incorporate robust fallbacks for derivatives linked to certain IBORs. These changes came into effect on January 25, 2021. Transactions incorporating the 2006 ISDA Definitions that are entered into on or after January 25, 2021 include the amended floating rate option (i.e., the floating rate option with the fallback). Transactions entered into prior to January 25, 2021 (so called “legacy derivative contracts”) continue to be based on the 2006 ISDA Definitions as they existed before they were amended pursuant to the Supplement, and therefore will not automatically include the amended floating rate option with the fallback.
The IBOR Fallbacks Protocol facilitates multilateral amendments to include the amended floating rate options, and therefore the fallbacks, in legacy derivative contracts. By adhering to the protocol, market participants agree that their legacy derivative contracts with other adherents include the amended floating rate option for the relevant IBOR and therefore include the fallback. As always, the protocol is completely voluntary and amends contracts only between two adhering parties (i.e., it does not amend contracts between an adhering party and a non-adhering party or between two non-adhering parties). The fallbacks included in legacy derivative contracts by adherence to the protocol are exactly the same as the fallbacks included in new transactions that incorporate the 2006 ISDA Definitions and that are entered into on or after January 25, 2021.
Information on consultations on potential cessation of IBORs can be found here.
On June 11, 2021, ISDA published the 2021 ISDA Interest Rate Derivatives Definitions (“2021 Definitions”), which is expected to succeed the 2006 ISDA Definitions as the market standard definitional booklet for the interest rate derivatives markets starting October 4, 2021. The provisions of the IBOR Fallback Supplement have been substantively ported into the 2021 Definitions alongside additional fallback related provisions. Further information on the 2021 Definitions can be found here.
- ISDA Statement on JBATA Announcement on Yen TIBOR and Euroyen TIBOR (March 2021)
- ISDA Guidance – LIBOR (March 2021)
- ISDA Statement on IBA, UK FCA and Federal Reserve Board Announcements on US Dollar LIBOR Consultation (November 2020)
- ISDA Tenor Cessation Guidance – 6m and 12m CDOR (November 2020)
- ISDA Statement on IBA and FCA Announcements on LIBOR Consultations (November 2020)
- ISDA Board Statement on the launch of the IBOR Fallbacks Supplement and Protocol (October 2020)
- Letter to FSB OSSG – Timing Update for IBOR Fallbacks Protocol (September 2020)
- ISDA Board Statement in Support of IBOR Fallbacks (July 2020)
- Letter to RFR WGs – ISDA IBOR Fallback Protocol (July 2020)
- EUR RFR WG, ECB, ESMA, EC and FSMA statement welcoming launch of IBOR Fallbacks Supplement and Protocol (November 2020)
- GBP RFR WG, FCA and Bank of England statement welcoming launch of IBOR Fallbacks Supplement and Protocol (October 2020)
- Statement of CFTC Chairman Heath P. Tarbert regarding the transition away from IBORs (November 2020)
- FSB statement encouraging adherence to the IBOR Fallbacks Protocol (October 2020)
- ARRC statement supporting IBOR Fallbacks Protocol and encouraging adherence (October 2020)
- Federal Reserve Supervision and Regulation Letter SR20-22 regarding IBOR Fallbacks Supplement and Protocol (October 2020)
- U.S. Department of Justice Business Review Letter (October 2020)
- Swaptions – Outcomes with and without Supplement 70
- User Guide to IBOR Fallbacks and RFRs (October 2020)
- RFR Conventions and IBOR Fallback Product Table (including guidance on how fallbacks operate for non-linear derivatives) (September 2020)
- FACTSHEET: Understanding IBOR Benchmark Fallbacks
- FACTSHEET: Understanding IBOR Benchmark Fallbacks (Japanese)
- Brochure: Benchmark Reform at a Glance
- Video Interview with Katherine Tew Darras, General Counsel at ISDA: Why should I update the fallbacks in my derivatives contracts? (December 8, 2020)
- ISDA Webinar: The Path Forward for LIBOR (webinar recording and full transcript) (December 4, 2020)
- Podcasts on LIBOR Transition (November 3, 2020)
- Video: Introduction to Benchmark Fallbacks (October 23, 2020)
- IBOR Fallbacks Supplement and IBOR Fallbacks Protocol webinar and slides (October 15, 2020)
- Methodology and Bloomberg Publication webinar and slides (October 15, 2020)
- Bilateral Templates, ISDA Create and IHS Markit Outreach360 webinar and slides (October 2020 and updated in December 2020 with ISDA Create demo)
- ISDA Create InfoHub
- Video Interview with ISDA CEO Scott O’Malia: What’s Next for Derivatives Markets? (June 9, 2020)
- Video Interview with Ann Battle, Head of Benchmark Reform at ISDA: Understanding Benchmark Fallbacks (June 3, 2020)
- IBOR Fallbacks Supplement
- IBOR Fallbacks Protocol
- IBOR Fallbacks Protocol FAQs
- Bilateral documents
Other materials relating to the ISDA IBOR Fallbacks Protocol, including information about how to adhere, can be found here.
In July 2019, ISDA announced that Bloomberg Index Services Limited (BISL) was selected to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions. These adjustments related to fallbacks and the ‘all in’ fallback rates calculated by Bloomberg are also available through authorized redistributors which include: Refinitiv.
- Bloomberg Rulebook for IBOR Fallback Methodology (Updated October 8, 2020)
- ISDA/Bloomberg/Linklaters IBOR Fallbacks Factsheet (Updated July 2021)
- Unofficial Japanese translation of ISDA/Bloomberg/Linklaters IBOR Fallbacks Factsheet
- IBOR Fallback Rate Adjustments FAQs (Updated July 2021)
- Bloomberg IBOR Fallback Worked Example
- Bloomberg IBOR Fallbacks Technical Note: CDOR Spread Adjustment Amendment (August 2021)
- Bloomberg IBOR Fallbacks Technical Note: Ticker Migration & New Fields (March 2021)
- Bloomberg IBOR Fallbacks Technical Note: EURIBOR and EUR LIBOR Rate Record Day Calculations (February 2021)
- Bloomberg IBOR Fallbacks Technical Note: Restatement of HKD HIBOR Fallback Restatement (January 2021)
- Bloomberg IBOR Fallbacks Technical Note – Additional Update on Phase 2 Roll Out (Updated August 11, 2020)
- Bloomberg IBOR Fallback Usage Terms (effective June 6, 2021)
- Bloomberg IBOR Fallback Usage Terms (valid through June 5, 2021)
The ISDA-Brattle microsite provides background information about the IBOR Fallbacks, including adoption rates for the IBOR Fallbacks Protocol, graphs comparing certain fallback rates for LIBOR to LIBOR in the corresponding currency and information about the consultations that resulted in the final fallbacks.
This resource can be best viewed on a desktop, laptop, or tablet in Chrome, Safari, Edge (excluding Microsoft Edge Legacy), and Firefox on Windows, Mac, Android, and iOS.
Fallbacks for GBP LIBOR® ICE Swap Rate®
On August 6, 2021, ISDA published to the 2006 ISDA Definitions, the addition of fallbacks to “GBP-ISDA-Swap Rate”. Transactions which incorporate the 2006 ISDA Definitions and are entered into on or after August 6, 2021 will incorporate the new triggers and fallbacks for the GBP LIBOR ICE Swap Rate. On August 18, 2021, ISDA published a Form of Amendment to enable parties to amend one or more existing confirmations to incorporate fallbacks for provisions in the 2006 ISDA Definitions that refer to or relate to the GBP LIBOR ICE Swap Rate.
- Supplement 82 (Addition of fallbacks to “GBP-ISDA-Swap Rate”, published August 6, 2021)
- Template Form of Amendment for adoption of GBP LIBOR ICE Swap Rate Fallback Provisions in Confirmations for legacy transactions
Fallbacks for JPY LIBOR Tokyo Swap Rate
ISDA expect to publish fallbacks for “JPY-TSR-Reuters-10:00” and “JPY-TSR-Reuters-15:00” in October 2021. More information about these fallbacks is available in this statement.
2021 Consultation on Fallbacks for GBP LIBOR® ICE Swap Rate® & USD LIBOR® ICE Swap Rate®
This consultation sought input on implementation of the (1) fallbacks for GBP LIBOR ICE Swap Rate suggested in the paper published by the Working Group on Sterling Risk-Free Rates Non-Linear Task Force (NLTF) and (2) fallbacks for USD LIBOR ICE Swap Rate suggested in the paper published by a Subcommittee of the Alternative Reference Rates Committee (ARRC).
- Consultation Results
- Final Report – Consultation Results (with Appendix Related to Fallbacks for JPY LIBOR Tokyo Swap Rate)
- Response Form
- ARRC White Paper
- NLTF White Paper
- Brattle Report
- Draft Amendments
- Webinar Recording: ISDA Consultation on Fallbacks for GBP LIBOR® ICE Swap Rate® & USD LIBOR® ICE Swap Rate® (webinar recording and slide presentation)
This consultation closed on July 2, 2021.
On August 4, 2021, IBA published a Feedback Statement on the Consultation on the Potential Cessation of GBP LIBOR ICE Swap Rate and announced that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
ISDA published a memorandum on documenting derivatives under the 2006 ISDA Definitions using floating rate options for overnight rates, including RFRs that have been identified as alternatives to key IBORs, using different compounding/averaging approaches that enable firms to more closely align with conventions for overnight rates that have been developed in cash markets. Supplement 75 to the 2006 ISDA Definitions includes the provisions required to implement the compounding/averaging approaches in confirmations. Supplement 74 adds floating rate options for overnight versions of key RFRs that can be used with the different compounding/averaging approaches.
Separately, Supplement 76 to the 2006 ISDA Definitions includes the provisions required to use indices published for certain RFRs in confirmations and a floating rate option for the SONIA index produced by the Bank of England. ISDA has also added floating rate options for the SOFR, €STR and TONA indices that can be used with the provisions in Supplement 76—please refer to Supplement 80 below.
- Approaches to compounded RFRs under the 2006 ISDA Definitions (Updated June 25, 2021)
- FAQs – Compounding and Averaging
- Supplement 74 (Overnight RFR FROs, published May 13, 2021)
- Supplement 74 (Updated ISDA Settlement Matrix, published May 13, 2021)
- Supplement 75 (Compounding and Averaging provisions, published May 13, 2021)
- Supplement 75 (Compounding and Averaging Matrix v1, published May 13, 2021)
- Supplement 76 (Compounded Index provisions and “GBP-SONIA Compounded Index”, published May 13, 2021)
- Supplement 80 (EuroSTR, TONA and SOFR Index and Average Rate Options, published August 4, 2021)
Supplement 77 to the 2006 ISDA Definitions updates (or, adds, in the case of NOWA) self-compounding Rate Options for the RFRs for which ISDA has published overnight Rate Options in Supplement 74 to provide consistency with the fallbacks, fallback triggers and certain other provisions in Supplement 74, as well as consistency with the lower order IBOR fallbacks (i.e., the fallbacks to the RFR fallbacks) in some cases.
- Supplement 77 (Updated self-compounding RFR FROs including NOK-NOWA-OIS Compound, published July 6, 2021)
The 2021 Definitions substantively incorporate the provisions of Supplements 74, 75, 76 and 77 and will continue to be updated to align with the 2006 Definitions (including Supplement 80) as further provisions related to compounding and RFRs are added.
In anticipation of changes in the discount rates used by clearing houses of euro and US dollar, ISDA published Supplement 64 to the 2006 ISDA Definitions on March 30, 2020 to allow parties to specify a discount rate in swaption confirmations for which ‘Cleared Physical Settlement’ or ‘Collateralized Cash Price Cash Settlement Method’ is applicable. At the same time, ISDA updated the ISDA Collateral Cash Price Matrix* to align the discount rates specified with expected changes in the discount rates.
- Swaptions – Outcomes with and without Supplement 70
- ISDA Guidance Note: Swaptions: ‘Agreed Discount Rate’ Supplement to the 2006 ISDA Definitions Published
- Supplement 64 to the 2006 ISDA Definitions
- Collateral Cash Price Matrix*
- Market Education Call Recording: Swaptions: ‘Agreed Discount Rate’ Supplement to the 2006 ISDA Definitions (Audio Recording and Slide Presentation)
- Table of Outcomes Before and After Supplement 64
The ISDA Collateral Agreement Interest Rate Definitions enable parties to include standardized definitions relating to overnight interest rates in ISDA published collateral agreements such as credit support annexes for variation margin.
- The first version of the ISDA Collateral Agreement Interest Rate Definitions includes definitions of EONIA (Collateral Rate) and EuroSTR (Collateral Rate).
- The second version includes slightly modified versions of these definitions, as well as definitions of CORRA (Collateral Rate), SARON (Collateral Rate), SONIA (Collateral Rate), HONIA (Collateral Rate), TONA (Collateral Rate), SORA (Collateral Rate) and SOFR (Collateral Rate).
Other overnight interest rates may be added in subsequent iterations and will be differentiated through different publication dates and version numbers. Please refer to the pre-amble for guidance on the three methods of incorporation of the definitions.
ISDA has also published several Template Amendment Agreements for market participants to use in amending collateral agreements by incorporating the Collateral Agreement Interest Rate Definitions and amending references to EUR interest rates and/or USD interest rates to refer instead to EuroSTR (Collateral Rate) and/or SOFR (Collateral Rate).
- The Template Form of Bilateral Agreement for Amending References to EUR Interest Rates and USD Interest Rates in Credit Support Documents enables parties to amend one or more existing credit support documents to refer to SOFR rather than another USD interest rate and €STR rather than another EUR interest Rate.
- The Template Form of Bilateral Agreement for Amending References to EUR Interest Rates in Credit Support Documents enables parties to amend one or more existing credit support documents to refer to €STR rather than another EUR interest rate.
- The Template Form of Bilateral Agreement for Amending References to USD Interest Rates in Credit Support Documents enables parties to amend one or more existing credit support documents to refer to SOFR rather than another USD interest rate.
- ISDA has also published FAQs for these Template Amendment Agreements.
- Collateral Changes for US Dollar and Euro Derivatives – GoToWebinar recording and slide presentation
On October 1, 2019, EONIA’s administrator, the European Money Market Institute (EMMI), changed EONIA’s methodology to become €STR + 8.5 basis points. €STR is the Euro Short Term Rate published by the European Central Bank. EMMI also announced that it will cease publication of EONIA after January 3, 2022. Consequently, the Working Group on Euro Risk-free Rates recommended that market participants pro-actively transition to €STR ahead of EONIA’s cessation and that a fallback to €STR + 8.5 basis points be embedded in contracts that continue to reference EONIA ahead of its cessation.
In response, ISDA published a number of documents:
- Supplement 59 and Supplement 60 to the 2006 ISDA Definitions provide a new Floating Rate Option (EuroSTR) for €STR and an amended version of the EONIA Floating Rate Options so that they have fallbacks based on the EU Risk Free Rate Working Group’s recommendation.
- A Bilateral Template EONIA Amendment Agreement, which parties can use to amend legacy transactions or existing collateral agreements so that they reference €STR instead of EONIA and/or embed the same fallbacks as provided for in the EONIA and EuroSTR Floating Rate Options and Collateral Agreement Interest Rate Definitions.
- Additional collateral documentation (as described above).
ISDA is currently drafting an EONIA Fallback Protocol for amending existing collateral agreements so that they embed the same fallbacks as provided for in the EONIA and EuroSTR Floating Rate Options and Collateral Agreement Interest Rate Definitions.
- SOFR & €STR Discounting Transition Process for Cleared Swaps
- Three-Part Webinar Series
• Introduction & Overview
• Operational Processes & Testing
• SOFR Auction Process
- SOFR Discounting Transition Auction Results (October 16, 2020)
- SOFR Discounting Transition Mid-Price Auction (October 16, 2020)
- SOFR Discounting – Auction Portfolio (October 15, 2020)
- SOFR Discounting – SOFR Auction Indicative Portfolio Update (October 1, 2020)
- SOFR Discounting – SOFR Auction Indicative Portfolio (September 18, 2020)
- SOFR Discounting – Auction Process Technical Specification (Updated July 2020)
- SOFR Discounting: LCH Plan for the SwapClear Compensation Process
- Transition to €STR Discounting: Updated Timing
- Transition to €STR Discounting in SwapClear
- CFTC MRAC Interest Rate Benchmark Reform Subcommittee Report on CCP Discounting Transition Tabletop Exercise:
Article 28(2) of the EU Benchmarks Regulation requires supervised users of benchmarks to reflect in their client contractual terms the steps they plan to take if certain contingencies occur in relation to a benchmark (such as its cessation). ISDA published the ISDA 2018 Benchmarks Supplement to provide generic fallbacks for use in relation to benchmarks that do not have their own specific fallbacks. For example, the ISDA IBOR fallbacks described above would apply in precedence to those set out in the Benchmarks Supplement in relation to permanent cessation or any pre-cessation trigger. The ISDA 2018 Benchmarks Supplement is jurisdiction agnostic and so may also be of interest to those looking to improve the robustness of their benchmark-referencing derivatives, for example, in response to IOSCO’s Statement on Matters to Consider in Use of Financial Benchmarks.
- ISDA 2018 Benchmarks Supplement
- ISDA 2018 Benchmarks Supplement FAQs
- ISDA 2018 Benchmarks Supplement Protocol
- ISDA Benchmarks Supplement Protocol FAQs
On October 11, 2019, the European Commission launched a public consultation on the EU Benchmarks Regulation Review, which included (among other things) questions regarding critical benchmarks, like the IBORs, and third country benchmarks. ISDA submitted a response to the BMR Review on December 31, 2019.
In 2019, the US CFTC Market Risk Advisory Committee (MRAC) Interest Rate Benchmark Reform Subcommittee recommended ‘plain English’ disclosures for counterparties who continue to transact based on LIBOR and other key IBORs. These disclosures provide helpful background about the potential outcomes for these transactions, including implications for the economics and valuation of the transactions, and are available at CFTC “Plain English” Disclosures for New Derivatives Referencing LIBOR and other IBORs. ISDA maintains a database of supplemental information referenced in these disclosures that provides helpful information for all market participants regarding the IBORs, the alternative RFRs, the administrators for the alternative RFRs and the designated public-/private-sector working group for each relevant jurisdiction.
The CFTC Disclosures contain standard form disclosures intended to relate primarily to the requirements of Rules 23.431, 23.450(g) and 23.605(e) of the Commodity Futures Trading Commission. Persons that intend to use the ISDA DF Disclosure in connection with such or other regulatory requirements should consult legal counsel and risk personnel regarding the appropriateness of the ISDA DF Disclosure for them, their counterparties and their transactions. Each user should consider how any additional disclosure that it may choose to make will relate to the ISDA DF Disclosure. The additional CFTC Disclosures may be found on ISDA’s website here (including the IBOR Alternative Reference Rates Disclosure).
Certain CCPs have announced that they will convert all cleared LIBOR transactions to RFR transactions that are similar, but not identical, to the ISDA IBOR fallbacks in advance of LIBOR ceasing in the relevant currency. More information about these plans is available via the links below.
- CME IBOR Conversion Plan for Cleared Swaps
- Eurex Transition Plan for Transactions Referencing the CHP, GBP, JPY and USD LIBOR Benchmarks
- LCH Solution for Outstanding Cleared LIBOR Contracts
Various administrators have published, or have indicated that they are considering publication of, new credit sensitive benchmarks that may be used in US dollar cash products for which a credit sensitive benchmark may be most appropriate. ISDA has published Rate Options for the benchmarks that have been published and expects to do the same for any additional credit sensitive benchmarks. Market participants have requested these Rate Options to facilitate hedging of cash products that may reference the credit sensitive benchmarks. These Rate Options have no effect on the RFR-based IBOR fallbacks that ISDA previously implemented for USD LIBOR.
- Supplement 71 (“USD-AMERIBOR”, “USD-AMERIBOR Average 30D”, and “USD-AMERIBOR Average 90D”, published February 22, 2021)
- Supplement 72 (“USD-AMERIBOR Term”, published May 6, 2021)
- Supplement 73 (“USD-BSBY”, published May 6, 2021)
- Supplement 78 (“USD-AMERIBOR Term Structure”, published August 4, 2021)
The UK FCA and the US FRB have sent letters to ISDA regarding fallbacks for certain credit sensitive rates. ISDA has responded and is taking the steps described in its responses.
Various administrators have published, or have indicated that they are considering publication of, new term benchmarks based on transactions referencing certain RFRs, including SONIA, TONA and SOFR. ISDA has published Rate Options for term benchmarks based on SONIA, TONA and SOFR and expects to do the same for any additional term benchmarks based on RFRs. Market participants have requested these Rate Options to facilitate hedging of cash products that may reference the term benchmarks. These Rate Options have no effect on the RFR-based IBOR fallbacks that ISDA previously implemented for the relevant IBORs.
- Supplement 81 (“GBP-SONIA ICE Term” and “GBP-SONIA Refinitiv Term”, published August 4, 2021)
- Supplement 83 (“JPY-TORF-QUICK”, published August 25, 2021)
- Supplement 84 (“USD-SOFR CME Term”, published September 8, 2021)
The 2021 Definitions substantively incorporate the provisions of Supplements 71, 72, and 73 and will continue to be updated to align with the 2006 Definitions as additional Rate Options for credit sensitive benchmarks and RFR-based term benchmarks are added.
Research and reading materials related to benchmark reform can be found here:
- Quarterly Transition to RFRs Review (formerly called Quarterly Interest Rate Benchmarks Review)
- Research Papers
- ISDA derivatiViews articles
- ISDA Quarterly (IQ) articles
- ISDA podcasts
Please find below links to: