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


1. Background

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.

LIBOR Currency IBOR IBOR Administrator Alternative RFR Alternative RFR Administrator Public-/Private Sector Working Group
Bank Bill Swap Rate (BBSW) Australian Securities Exchange (ASX) Reserve Bank of Australia Interbank Overnight Cash Rate (AONIA) Reserve Bank of Australia (RBA)
Canadian Dollar Offered Rate (CDOR) Refinitiv Canadian Overnight Repo Rate Average (CORRA) Refinitiv Canadian Alternative Reference Rate Working Group (CARR)
LIBOR IBA Euro Short-term Rate (€STR) European Central Bank (ECB) Working Group on Euro Risk-free Rates
Euro Interbank Offered Rate (EURIBOR) European Money Markets Institute (EMMI)
Hong Kong Inter-bank Offered Rate (HIBOR) Treasury Markets Associations (TMA) Hong Kong Dollar Overnight Index Average (HONIA) TMA Working Group on Alternative Reference Rates (WGARR) under the Treasury Markets Association (TMA)
LIBOR IBA Tokyo Overnight Average Rate (TONA) Bank of Japan Cross-industry Committee on Japanese Yen Interest Rate Benchmarks
Tokyo Interbank Offered Rate (TIBOR) Japanese Bankers Association TIBOR Administrator (JBATA)
Euroyen TIBOR JBATA
London Interbank Offered Rate (LIBOR) ICE Benchmark Administration (IBA) Swiss Average Rate Overnight (SARON) SIX Swiss Exchange National Working Group (NWG) on Swiss Franc Reference Rates
LIBOR IBA Sterling Overnight Index Average (SONIA) Bank of England Working Group on Sterling Risk-free Reference Rates
LIBOR IBA Secured Overnight Financing Rate (SOFR) Federal Reserve Bank of New York (NY Fed) Alternative Reference Rates Committee (ARRC)

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 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 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 form LIBOR on its website.

*NEW* HMT and FCA Statements (June 23)

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

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2. Benchmark Fallbacks/Consultations

 

*CLICK HERE* NEW FACTSHEET: Understanding IBOR Benchmark Fallbacks

*CLICK HERE* Video Interview with Ann Battle, Head of Benchmark Reform at ISDA: Understanding Benchmark Fallbacks

*CLICK HERE* 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 plans to amend 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. As it has done from time to time, ISDA will amend the 2006 ISDA Definitions by publishing a ‘Supplement’ (or ‘Supplements’) to the 2006 ISDA Definitions. 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., 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 also expects to publish a protocol (or protocols) 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, any such protocol will be 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.

Target Timing for Fallback Implementation
Bloomberg publication of monthly test data in Excel files Roll outs on a currency-by-currency basis throughout May-July 2020
Submission of final portion of Business Review Letter request to the US DoJ and outreach to other relevant competition authorities July 2020
Publication of Bloomberg indicative fallback rates Mid-July 2020 (before publication of amendments to the 2006 ISDA Definitions and related protocol)
Publication of amendments to the 2006 ISDA Definitions and related protocol Late July 2020 (or later date after receive positive Business Review Letter from the US DoJ and similar comfort from other relevant competition law authorities)
Effectiveness of amendments to the 2006 ISDA Definitions and related protocol Late November 2020 (or 4 months after publication)

Benchmark Fallback Consultations

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. 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.

 

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.

 

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.

 

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.

 

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.

 

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.

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3. Bloomberg: Fallback Spread Vendor

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.

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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.

 

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 new set of definitions, the ISDA Collateral Agreement Interest Rate Definitions, provide stand-alone definitions of EONIA and €STR for use in collateral agreements with fallbacks which mirror those in the relevant Floating Rate Options. New versions of this definitional booklet will be published over the coming months which will add definitions of other risk free rates, such as SOFR.
  • 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.

 

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.

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:

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5. Relevant Research/Reading Material

Interest Rate Benchmarks Review

derivatiViews
Date Title
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
May 2020 Seismic Shift
August 2019 The Road Ahead
August 2018 Benchmark Transformation
April 2018 An Eye to the Future

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6. Press Releases/Latest News/Speeches/Presentations
Press Releases / Latest News
Date Title
May 14, 2020 ISDA Publishes Report Summarizing Final Results of Consultation on Pre-cessation Fallbacks for LIBOR
April 15, 2020 ISDA Announces Preliminary Results of Consultation on Pre-cessation Fallbacks for LIBOR
February 25, 2020 ISDA Launches New Consultation on Pre-cessation Fallbacks
February 24, 2020 ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR
February 5, 2020 ISDA to Re-consult on Pre-cessation Fallbacks
December 18, 2019 ISDA Launches Consultation on Fallbacks for Euro LIBOR and EURIBOR
December 4, 2019 ISDA Letter to FSB OSSG on Pre-Cessation Issues
November 15, 2019 ISDA Publishes Results of Consultation on Final Parameters for Benchmark Fallback Adjustments
October 21, 2019 ISDA Publishes Report Summarizing Results of Benchmark Fallbacks Consultation on Pre-cessation Issues
September 18, 2019 ISDA Publishes Consultation on Final Parameters for Benchmark Fallback Adjustments
August 9, 2019 ISDA Publishes Preliminary Results of Benchmark Fallbacks Consultation on Pre-cessation Issues
July 31, 2019 Bloomberg Selected as Fallback Adjustment Vendor
July 30, 2019 ISDA Publishes Preliminary Results of Supplemental Benchmark Fallbacks Consultation
May 16, 2019 ISDA Publishes Two Consultations on Benchmark Fallbacks
April 11, 2019 ISDA Letter to the FSB OSSG – Update on Fallbacks for Derivatives
February 4, 2019 ISDA Issues Request for Proposal for Fallback Spread Vendor Role
December 20, 2018 ISDA Publishes Final Results of Benchmark Fallbacks Consultation
December 10, 2018 ISDA Publishes 2018 Benchmarks Supplement Protocol
November 27, 2018 ISDA Publishes Preliminary Results of Benchmark Consultation
September 19, 2018 ISDA Publishes Benchmarks Supplement
July 12, 2018 ISDA Publishes Consultation on Benchmark Fallbacks

 

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

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7. Market Education Calls/Webinars/Conferences

 

Upcoming Events
Date Title of Event Region
July 14, 2020 The Path Forward for LIBOR Transition Online

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Documents (0) for Benchmark Reform and Transition from LIBOR