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: benchmarkreform@isda.org.
This page is separated in seven sections:
1. Background
2. Benchmark Fallbacks/Consultations
3. Bloomberg: Fallback Spread Vendor
4. Other Related ISDA Benchmark Initiatives
5. Relevant Research/Reading Material
6. Press Releases/Latest News/Speeches/Presentations
7. 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, the UK Financial Conduct Authority (FCA) has announced that it will not compel or persuade LIBOR panel banks to submit to LIBOR after the end of 2021, calling into question LIBOR’s existence after that date and accelerating efforts to adopt alternative RFRs and fully transition away from LIBOR before it may cease.
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 and CDOR (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.
*Note that SORA is the identified alternative for SOR and THOR is the identified alternative for THBFIX. However, these alternatives are not the fallbacks. Instead, 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.
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.
Potential Legislation
- US ARRC New York State Legislative Proposal
- HMT and FCA Statements (June 23)
- European Commission’s Proposal to Amend EU Rules on Financial Benchmarks
Risk-free Rate Working Group Market Guidance
- ARRC Best Practices (includes August 2020 update)
- Working Group on Sterling Risk-free Reference Rates Roadmap
ISDA’s Work
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
Disclosures
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).
Recent Educational Materials
- New Brochure: Benchmark Reform at a Glance
- Video Interview with ISDA CEO Scott O’Malia: What’s Next for Derivatives Markets?
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 is amending 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 is also amending 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. As it has done from time to time, ISDA will amend the 2006 ISDA Definitions by publishing a ‘Supplement’ to the 2006 ISDA Definitions on January 25, 2021. Upon publication of the Supplement for the relevant IBOR, transactions incorporating the 2006 ISDA Definitions that are entered into on or after the date of the Supplement (i.e., January 25, 2021 which is the date that the 2006 ISDA Definitions are amended) will include the amended floating rate option (i.e., the floating rate option with the fallback). Transactions entered into prior to the date of the Supplement (so called “legacy derivative contracts”) will continue to be based on the 2006 ISDA Definitions as they existed before they were amended pursuant to the Supplement, and therefore will not include the amended floating rate option with the fallback.
ISDA has published a protocol to facilitate multilateral amendments to include the amended floating rate options, and therefore the fallbacks, in legacy derivative contracts. By adhering to the protocol, market participants would agree that their legacy derivative contracts with other adherents will include the amended floating rate option for the relevant IBOR and will therefore include the fallback. As always, the protocol is completely voluntary and will amend contracts only between two adhering parties (i.e., it will 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 will be 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.
RFR Conventions and IBOR Fallback Product Table
| Target Timing for Fallback Implementation | |
|---|---|
| Submission of final portion of Business Review Letter request to the US DoJ and outreach to other relevant competition authorities | Completed (July 2020) |
| Publication of Bloomberg indicative fallback rates | Completed (July 2020) |
| Launch of amendments to the 2006 ISDA Definitions and related protocol | Completed (October 23, 2020) |
| Effectiveness of amendments to the 2006 ISDA Definitions and related protocol (as between adhering parties) | January 25, 2021 |
ISDA Statements
- ISDA Board Statement on the launch of the IBOR Fallbacks Supplement and Protocol
- Letter to FSB OSSG – Timing Update for IBOR Fallbacks Protocol
- ISDA Board Statement in Support of IBOR Fallbacks
- Letter to RFR WGs – ISDA IBOR Fallback Protocol
Recent Educational Materials
- Video: Introduction to Benchmark Fallbacks
- FACTSHEET: Understanding IBOR Benchmark Fallbacks
- Video Interview with Ann Battle, Head of Benchmark Reform at ISDA: Understanding Benchmark Fallbacks
- IBOR Fallbacks Supplement and IBOR Fallbacks Protocol webinar and slides
- Methodology and Bloomberg Publication webinar and slides
- Bilateral Templates, ISDA Create and IHS Markit Outreach360 webinar and slides
- User Guide to IBOR Fallbacks and RFRs
Other Materials
Final IBOR Fallbacks Documentation
- IBOR Fallbacks Supplement
- IBOR Fallbacks Protocol
- IBOR Fallbacks Protocol FAQs
- Bilateral documents
- Outline of bilateral documents with descriptions
Benchmark Fallback Consultations
Note that the materials in this section are for historical background information only and you should refer to section 3 (Bloomberg: Fallback Spread Vendor) below for information regarding the final adjustments and fallback rates.
Due to the fundamental differences in the nature of IBORs and the RFRs, key adjustments are necessary if fallbacks to RFRs are to take effect in contracts that were originally negotiated to reference the IBORs. ISDA ran public consultations to finalize the adjustment methodologies and subsequently issued a tender invitation for a vendor to perform and distribute these necessary adjustments.
At the request of the Financial Stability Board (FSB) Official Sector Steering Group (OSSG), ISDA also consulted on whether fallbacks for LIBOR should be triggered by a pre-cessation ‘non-representativeness’ determination by the UK FCA, as well as cessation.
These consultations ultimately yielded industry consensus, and more information about them can be found below.
The Brattle Group audited the results of the consultations and provided a memo confirming that the adjustments implemented via the Bloomberg Rulebook are consistent with such results.
Please email questions regarding these consultations to FallbackConsult@isda.org.
2020 Pre-cessation Fallback Consultation
This consultation sought input on whether to add a pre-cessation trigger to the permanent cessation fallbacks that ISDA is implementing for LIBOR in its standard documentation.
- Results
- Consultation
- Webinar Recording: 2020 Consultation on How to Implement Pre-cessation Fallbacks in Derivatives (Slide presentation with annex)
- June 2020 Follow-up Letter to ISDA from the UK FCA
Supplemental Consultation on Spread and Term Adjustments, including Final Parameters thereof, for Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR, as well as other less widely used IBORs
This consultation sought input on the approach for addressing certain issues associated with adjustments that would apply to €STR if fallbacks in EURIBOR or EUR LIBOR take effect, including the final parameters for these adjustments. It also asks about adjustments that could apply if fallbacks take effect in less widely used IBORs.
- Results
- Consultation
- Workbook: Historical mean/median approach to the spread adjustment (Instructions for using workbook)
- Webinar Recording: ISDA Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR
September 2019 Consultation on Final Parameters
This consultation sought input on the final parameters related for the adjustments that will apply to alternative RFRs if derivatives fallbacks are triggered.
- Results
- Consultation
- Workbook: Historical mean/median approach to the spread adjustment (Instructions for using workbook)
- Webinar Recording: ISDA Consultation on Final Parameters for Fallbacks
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 RFRs if fallbacks take effect for USD LIBOR, CDOR or HIBOR. It also asks a question about fallbacks for SOR, which uses USD LIBOR as an input.
- Results
- Consultation
- May 2019 IBOR Fallback Consultations – FAQs (Updated June 26, 2019)
- Bloomberg Graphs: May 2019 Supplemental Fallback Consultation
- Market Education Call Recording: ISDA 2019 Fallback Consultations
- Webcast Recording: ISDA IBOR Derivative Fallbacks: May 2019 Consultations
Consultation on Pre-cessation Issues for LIBOR and Certain Other IBORs
This consultation related to pre-cessation issues and sought comments on how derivatives contracts should address a regulatory announcement that LIBOR is no longer representative of an underlying market.
- Results
- Consultation
- May 2019 IBOR Fallback Consultations – FAQs (Updated June 26, 2019)
- Market Education Call Recording: ISDA 2019 Fallback Consultations
- Webcast Recording: ISDA IBOR Derivative Fallbacks: May 2019 Consultations
2018 Benchmark Fallbacks Consultation
This consultation sought input on the approach for addressing certain technical issues associated with adjustments that will apply to alternative RFRs if the fallbacks are triggered. These adjustments are necessary because of the differences between the interbank offered rates and the RFRs.
- Results
- Consultation
- IBOR Fallbacks for 2006 ISDA Definitions – FAQs (Updated September 17, 2018)
- Bloomberg Graphs: 2018 Benchmark Fallbacks Consultation
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.
- Bloomberg Begins Publishing Calculations Related to IBOR Fallbacks
- ISDA/Bloomberg/Linklaters IBOR Fallbacks Factsheet
- Bloomberg Webinar: LIBOR Transition Series / ISDA Fallback Rates
- Bloomberg IBOR Fallback Worked Example
- Bloomberg Test Data for IBOR Fallbacks (Complete Set)
- Bloomberg Rulebook for IBOR Fallback Methodology – Updated October 8, 2020
- Bloomberg IBOR Fallbacks Technical Note – Updated August 11, 2020
- IBOR Fallback Rate Adjustments FAQs – Updated September 29, 2020
Information about other ISDA benchmark reform initiatives is available below:
Swaptions
In anticipation of expected 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.
- 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
- Table of Outcomes Before and After Supplement 64
Collateral
New Webinar Recording: Collateral Changes for US Dollar and Euro Derivatives (GoToWebinar recording and slide presentation)
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.
EONIA & €STR
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).
EU Benchmarks Regulation and Review
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.
Additional information from external sources regarding certain non-ISDA initiatives is available below:
CCP PAI/Discounting Changes:
New Webinar Recording: Collateral Changes for US Dollar and Euro Derivatives (GoToWebinar recording and slide presentation)
- CME:
- SOFR & €STR Discounting Transition Process for Cleared Swaps
- Three-Part Webinar Series
• Introduction & Overview
• Operational Processes & Testing
• SOFR Auction Process
- LCH:
- 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
- Eurex:
- CFTC MRAC Interest Rate Benchmark Reform Subcommittee Report on CCP Discounting Transition Tabletop Exercise:
- IBOR Transition Guide for Asia (July 2020) published by ISDA, APLMA, ICMA and ASIFMA
- Adoption of Risk-Free Rates: Major Developments in 2020
Interest Rate Benchmarks Review
- Interest Rate Benchmarks Review: First Half of 2020 and Second Quarter of 2020
- Interest Rate Benchmarks Review: First Quarter of 2020
- Interest Rate Benchmarks Review: Full Year 2019 and the Fourth Quarter of 2019
- Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019
- Interest Rate Benchmarks Review: Second Quarter of 2019 and First Half of 2019
- Interest Rate Benchmarks Review: First Quarter of 2019
- Interest Rate Benchmarks Review: Full Year 2018 and the Fourth Quarter of 2018
- Interest Rate Benchmarks Review: Third Quarter of 2018 and Nine Months Ended September 30, 2018
ISDA-Clarus RFR Adoption Indicator Monthly Reports
- Whitepaper on the methodology
- September 2020 (interactive charts)
- August 2020 (interactive charts)
- July 2020 (interactive charts)
- June 2020
| derivatiViews | |
|---|---|
| Date | Title |
| October 26, 2020 | A Major Milestone for Benchmark Reform |
| September 23, 2020 | Updating the Fallbacks Timetable |
| July 2, 2020 | Reforming the EU BMR |
| June 26, 2020 | Tackling Tough Legacy |
| May 28, 2020 | From 2006 to 2020 |
| March 18, 2020 | Pre-cessation Consultation: Responding to COVID-19 |
| February 5, 2020 | Another Look at Pre-cessation |
| January 24, 2020 | New Letters on Pre-cessation Issues Welcome |
| December 19, 2020 | 2020 Looming Large |
| June 10, 2019 | Benchmarks and Accounting |
| May 29, 2019 | Another Step to Benchmark Fallbacks |
| July 4, 2018 | The Steps to Benchmark Reform |
| March 12, 2018 | Get Engaged on Benchmark Reform |
| February 5, 2018 | The $370 Trillion Benchmark Challenge |
| December 13, 2017 | Now is the Time to Think About Benchmarks |
| IQ: ISDA Quarterly | |
| Issue | Title |
| September 2020 | Asian Options |
| May 2020 | Seismic Shift |
| August 2019 | The Road Ahead |
| August 2018 | Benchmark Transformation |
| April 2018 | An Eye to the Future |
| Speeches | |
|---|---|
| Date | Title |
| February 12, 2020 | ISDA CEO Scott O’Malia Opening Remarks at ISDA/SIFMA AMG Benchmark Strategies Forum |
| September 19, 2019 | ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London |
| May 29, 2019 | The Industry Road Map |
| January 16, 2019 | ISDA CEO Scott O’Malia Guest Remarks at Exchequer Club Luncheon in Washington, DC |
| September 26, 2018 | ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London |
| May 15, 2018 | Overview of Benchmark Reform Initiatives |
| Presentations | |
|---|---|
| Date | Title |
| May 2020 | Benchmarks Update – Key 2020 Milestones and ISDA Deliverables for Derivatives |
| April 2020 | ISDA Benchmark Reform |
| Upcoming Events | ||
|---|---|---|
| Date | Title of Event | Region |
| November 9-10, 2020 | Understanding the New IBOR Fallbacks | Online |
| November 17, 2020 | Understanding the New IBOR Fallbacks (APAC) | Online |
| December 10, 2020 | Understanding the New IBOR Fallbacks (Japan) | Online |
| Past Events | ||
| Date | Title of Event | Region |
| October 23, 2020 | ISDA IBOR Fallbacks Webinar Series | Online |
| September 18, 2020 | Webinar Recording: Collateral Changes for US Dollar and Euro Derivatives (GoToWebinar recording and slide presentation) | Online |
| September 16, 2020 | AcadiaSoft Podcast: Leaving Libor: The Road to Risk Free Rates | Online |
| August 12, 2020 | American Banker Bankshot Podcast: Libor is out, but SOFR isn’t quite in | Online |
| July 15, 2020 | Webinar Recording: Interest Rate Benchmark Reform: Impact on Accounting under IFRS | Online |
| July 14, 2020 | Virtual Conference Recording: The Path Forward for LIBOR Transition | Online |