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Benchmark Fallback Consultations

Legal
Benchmarks July 19, 2021
3  min.read

Note that the materials in this section are for historical background information only and you should refer to the Benchmarks Hub, section 3 (Bloomberg: Fallback Spread Vendor) 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.

 

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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