Benchmark fallbacks are replacement rates that would apply to derivatives trades referencing a particular benchmark. These would take effect if the relevant benchmark becomes unavailable while market participants continue to have exposure to that rate.
ISDA plans to publish a supplement to the 2006 ISDA Definitions in July to incorporate new fallbacks for derivatives that reference certain key interbank offered rates (IBORs). Simultaneously, ISDA will publish a protocol that will allow market participants to choose to incorporate the revisions into their legacy derivatives trades.
Ahead of the publication, ISDA has published a factsheet, Understanding IBOR Benchmark Fallbacks, as well as a video interview with Ann Battle, Head of Benchmark Reform at ISDA, explaining why changes to fallbacks are necessary.
Latest
Joint Response to 2026 US G-SIB Surcharge Proposal
On June 18, ISDA, the Securities Industry and Financial Markets Association and the Institute of International Finance submitted a joint response to US agencies on proposed changes to the surcharge for global systemically important banks (G-SIBs). The associations welcome the...
Eyeing the Basel III Finish Line
An effective regulatory capital framework relies on multiple ingredients, from appropriate drafting to rigorous testing and consultation. Even minor calibration distortions can inflate capital requirements, which could negatively affect the capacity of banks to support deep and liquid markets, with...
Joint Comment Letter on Basel III Endgame Proposal
The Institute of International Finance (IIF), the International Swaps and Derivatives Association, Inc. (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) today submitted a joint comment letter to the Board of Governors of the Federal Reserve System, the...
Joint Response to 2026 US Basel III Proposal
On June 18, ISDA, the Institute of International Finance and the Securities Industry and Financial Markets Association submitted a joint response to the 2026 US Basel III notice of proposed rulemaking (NPR). The response focuses on the Fundamental Review of...