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 eleven sections:

  1. Background
    IBORs and Risk-Free Rates
    ISDA’s Work
  2. Regulatory and Risk-free Rate Working Group Market Guidance
  3. ISDA-Clarus RFR Adoption Indicator
  4. Legislation and Potential Legislation
  5. Fallbacks for IBOR Derivatives
    Background
    ISDA Statements
    External Statements
    Competition Law Materials
    Educational Materials
    Documentation
    Bloomberg: Fallback Spread Vendor
  6. ISDA-Brattle Microsite: Understanding IBOR Benchmark Fallbacks
  7. Fallbacks for Swap Rates
  8. Other Benchmark Reform Initiatives
    Risk-Free Rate Compounding
    Swaptions
    Collateral
    EONIA & €STR
    CCP PAI/Discounting Changes
    EU Benchmarks Regulation and Review
    Disclosures
    CCP Active Transition from LIBOR
    Credit Sensitive Alternatives to USD LIBOR
    Term RFRs
  9. Relevant Research/Reading Material
  10. Press Releases/Latest News/Speeches/Presentations
  11. Market Education Calls/Webinars/Conferences

1. Background
IBORs and Risk-Free Rates

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, while the 1-month, 3-month and 6-month settings will become non-representative from that date.

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 used new powers introduced into the UK Benchmarks Regulation by the Financial Services Act to require IBA to continue publishing one-month, three-month and six-month sterling LIBOR and one-month, three-month and six-month yen LIBOR on a synthetic basis for an additional year after end-2021 (after which synthetic yen LIBOR will stop being published). On September 29, 2022, the FCA announced that publication of 1- and 6-month synthetic sterling LIBOR will be required until end-March 2023, after which these settings will permanently cease. Importantly, the FCA confirmed the sterling and yen LIBOR tenors would no longer be representative of their underlying market after December 31, 2021. It has published a draft notice which confirms that, while use of synthetic LIBOR by UK regulated firms will be prohibited for new transactions under the UK Benchmark Regulation from January 1, 2022, use of synthetic LIBOR by regulated firms will be permitted for all legacy products other than cleared derivatives until at least end of 2022.

The FCA has 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 non-representative and synthetic basis for a further period after the end of June 2023. Importantly, though, the FCA has prohibited the use by UK supervised entities of all 5 continuing USD LIBOR tenors in new transactions with effect from January 1, 2022, except for specific activities which are designed to facilitate risk management or reduction of exposures incurred prior to January 1, 2022.  This approach follows similar supervisory guidance issued by US regulatory authorities (see “United States” under “Regulatory and Risk-free Rate Working Group Market Guidance”).

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.

 

IBOR Currency
IBOR IBOR Administrator Alternative RFR Alternative RFR Administrator Public-/Private Sector Working Group Fallback-related Announcements
Bank Bill Swap Rate (BBSW) Australian Securities Exchange (ASX) Reserve Bank of Australia Interbank Overnight Cash Rate (AONIA) Reserve Bank of Australia (RBA) The IBOR Transformation Australia Working Group
Canadian Dollar Offered Rate (CDOR) Refinitiv Canadian Overnight Repo Rate Average (CORRA) Bank of Canada Canadian Alternative Reference Rate Working Group (CARR) Refinitiv CDOR Cessation Notice

Refinitiv CDOR Consultation Outcome Statement

OSC CDOR Authorization

AMF CDOR Authorization

Bank of Canada CDOR Statement

Bloomberg Announcement on Spread Adjustment Fixing

ISDA Guidance

Refinitiv announcement regarding cessation of 6m and 12m CDOR

Bloomberg announcement regarding fallback spread for 6m and 12m CDOR

ISDA Tenor Cessation Guidance – 6m and 12m CDOR

Copenhagen Interbank Offered Rate (CIBOR) Danish Financial Benchmark Facility DESTR (Denmark Short-Term Rate) Danmarks Nationalbank Working group on short term reference rate Upcoming changes to the CIBOR and Tom/Next benchmarks
LIBOR IBA Euro Short-term Rate (€STR) European Central Bank (ECB) Working Group on Euro Risk-free Rates FCA Announcement on the Future of the LIBOR Benchmarks

IBA Press Release

ICE LIBOR Feedback Statement on Consultation on Potential Cessation

Bloomberg Announcement on the Spread Adjustment Fixing

ISDA Guidance

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)
Mumbai Interbank Forward Outright Rate (MIFOR) Financial Benchmark India Pvt. Ltd (FBIL) FBIL Modified Mumbai Interbank Forward Outright Rate (Modified MIFOR)* Financial Benchmark India Pvt. Ltd
Tel Aviv Inter-Bank Offered Rate (TELBOR) The Bank of Israel Shekel overnight Interest Rate (SHIR) The Bank of Israel
LIBOR IBA Tokyo Overnight Average Rate (TONA) Bank of Japan Cross-Industry Forum on Interest Rate Benchmarks FCA Announcement on the Future of the LIBOR Benchmarks

IBA Press Release

ICE LIBOR Feedback Statement on Consultation on Potential Cessation

Bloomberg Announcement on the Spread Adjustment Fixing

ISDA Guidance

Tokyo Interbank Offered Rate (TIBOR) Japanese Bankers Association TIBOR Administrator (JBATA)
Euroyen TIBOR JBATA
Kuala Lumpur Interbank Offered Rate (KLIBOR) Bank Negara Malaysia (BNM) Malaysia Overnight Rate (MYOR) Bank Negara Malaysia (BNM) Financial Markets Committee (FMC) BNM announcement on launch of MYOR
Interbank Equilibrium Interest Rate (TIIE) Bank of Mexico [Please see Update on transition of TIIE rates with tenors greater than one business day for further information] Working Group on Alternative Reference Rates in Mexico (GTTR)
Bank Bill Benchmark rate (BKBM) New Zealand Financial Markets Association (NZFMA) Official Cash Rate (OCR) Reserve Bank of New Zealand
Norwegian Interbank Offered Rate (NIBOR) Norske Finansielle Referanser AS (NoRe) Norwegian Overnight Weighted Average (NOWA) Norges Bank Working Group On Alternative Reference Rates For The Norwegian Krone (ARR)
Philippine interbank reference rate (PHIREF) Bankers Association of the Philippines (BAP) BAP Announcement on PHIREF
Warsaw Interbank Offered Rate (WIBOR) GPW Benchmark S.A. WIRD

[Please see Transactions-based Interest Rate Benchmarks Consultation for further information]

GPW Benchmark S.A. Steering Committee of the NWG
Moscow Prime Offered Rate (MosPrime) National Finance Association (NFA) Russian Ruble Overnight Index Average rate (RUONIA) Central Bank of the Russian Federation NFA Cessation Announcement

NFA Cessation Announcement UPDATE

ISDA Guidance

Singapore Dollar Swap Offer Rate (SOR) ABS Co Singapore Overnight Rate Average (SORA)* MAS Steering Committee for SOR Transition to SORA ABS/SC-STS Announcement on Key Settings of the MAS Recommended Rate and Supplementary Guidance for Active Transition of Legacy Wholesale Market SOR Contracts to SORA

SC-STS Consultation on Adjustment Spreads for the Conversion of Legacy SOR Contracts to SORA

Stockholm Interbank Offered Rate (STIBOR) Swedish Financial Benchmark Facility SWESTR (Swedish krona Short Term Rate) Riksbank
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 FCA Announcement on the Future of the LIBOR Benchmarks

IBA Press Release

ICE LIBOR Feedback Statement on Consultation on Potential Cessation

Bloomberg Announcement on the Spread Adjustment Fixing

ISDA Guidance

Thai Baht Interest Rate Fixing (THBFIX) Bank of Thailand Thai Overnight Repurchase Rate (THOR)* Bank of Thailand Steering Committee on Commercial Banks’ Preparedness on LIBOR Discontinuation BOT THBFIX Fallback Rates Factsheet
Turkish Lira Interbank Offer Rate (TRLIBOR) Banks Association of Türkiye (BAT) Turkish Lira Overnight Reference Rate (TLREF) Borsa Istanbul National Working Committee BAT Cessation Announcement

ISDA Guidance

LIBOR IBA Sterling Overnight Index Average (SONIA) Bank of England Working Group on Sterling Risk-free Reference Rates FCA Announcement on Cessation of 1- and 6-month Synthetic Sterling LIBOR

FCA Announcement on the Future of the LIBOR BenchmarksIBA Press Release

ICE LIBOR Feedback Statement on Consultation on Potential Cessation

Bloomberg Announcement on the Spread Adjustment Fixing

ISDA Guidance

LIBOR IBA Secured Overnight Financing Rate (SOFR) Federal Reserve Bank of New York (NY Fed) Alternative Reference Rates Committee (ARRC) FCA Announcement on the Future of the LIBOR Benchmarks

IBA Press Release

ICE LIBOR Feedback Statement on Consultation on Potential Cessation

Bloomberg Announcement on the Spread Adjustment Fixing

ISDA Guidance

*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’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 from time to time.

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. Regulatory and Risk-free Rate Working Group Market Guidance

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3. ISDA-Clarus RFR Adoption Indicator

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.

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4. Legislation and Potential Legislation

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5. Fallbacks for IBOR Derivatives
Background

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 (Supplement 70 to the 2006 ISDA Definitions) 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”). The 2021 Definitions succeeded the 2006 ISDA Definitions as the market standard definitional booklet for the interest rate derivatives markets effective 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.

On December 16, 2021, ISDA published Supplement 90 to the 2006 ISDA Definitions and a new version of the 2021 ISDA Interest Rate Derivative Definitions to enable parties to include fallbacks into new derivatives transactions referenced to certain interbank offered rates (IBORs) not covered by ISDA’s IBOR Fallbacks Supplement (Supplement 70 to the 2006 ISDA Definitions) and IBOR Fallbacks Protocol including BKBM Bid, BKBM FRA, NIBOR, MIFOR, PHIREF, KLIBOR, STIBOR and SIOR.  The ISDA 2021 Fallbacks Protocol and the December 2021 Benchmark Module of the ISDA 2021 Fallbacks Protocol were also published to allow firms to incorporate the fallbacks into all legacy derivatives contracts incorporating the 2006 ISDA Definitions or the 2021 ISDA Interest Rate Derivative Definitions with counterparties that also adhere to the protocol. The December 2021 Benchmark Module of the ISDA 2021 Fallbacks Protocol is effective from December 16, 2021.

On November 18, 2022, ISDA published a new version of the 2021 ISDA Interest Rate Derivative Definitions, which, among other things, enables parties to include fallbacks into new derivatives transactions for CIBOR, TELBOR and MosPrime.  The November 2022 Benchmark Module of the ISDA 2021 Fallbacks Protocol was published on November 21, 2022 to allow firms to incorporate the fallbacks into all legacy derivatives contracts incorporating the 2006 ISDA Definitions or the 2021 ISDA Interest Rate Derivative Definitions with counterparties that also adhere to the protocol. The November 2022 Benchmark Module of the ISDA 2021 Fallbacks Protocol is effective from November 21, 2022.

 

ISDA Statements

 

External Statements

Australia

Europe

FSB

United Kingdom

United States

 

Competition Law Materials

 

Educational Materials

Guides

Videos/Webinars

 

Documentation

 

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. These adjustments related to fallbacks and the ‘all in’ fallback rates calculated by Bloomberg are also available through authorized redistributors which include: Refinitiv.

Rule Book

Educational Materials

Webinars

Technical Notes

Usage Terms

Announcements

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6. ISDA-Brattle Microsite: Understanding IBOR Benchmark Fallbacks

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.

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7. Fallbacks for Swap Rates

Fallbacks for GBP LIBOR® ICE Swap Rate®

On August 6, 2021, ISDA published Supplement 82 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. Version 2.0 of the 2021 Definitions Main Book and Floating Rate Matrix, published on September 30, 2021, amends the triggers and fallbacks for the GBP LIBOR ICE Swap Rate. Transactions which incorporate the 2021 Definitions and are entered into on or after September 30, 2021 will incorporate the amended triggers and fallbacks for the GBP LIBOR ICE Swap Rate.

A second Form of Amendment was published on November 10, 2021 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), the USD LIBOR ICE Swap Rate and/or the JPY LIBOR Tokyo Swap Rate (Supplement 88).

Version 3.0 of the 2021 Definitions Main Book, Floating Rate Matrix and Settlement Matrix, published on November 10, 2021, amends the fallbacks for the GBP LIBOR ICE Swap Rate in order to align them with the fallbacks added for the USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates. Transactions which incorporate the 2021 Definitions and are entered into on or after November 10, 2021 will incorporate the amended fallbacks for the GBP LIBOR ICE Swap Rate and new fallbacks for the USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates.

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.

 

Fallbacks for USD LIBOR® ICE Swap Rate®

On November 10, 2021, ISDA published Supplement 88 to the 2006 ISDA Definitions, the addition of fallbacks to “USD-ISDA-Swap Rate,” “USD-ISDA-Swap Rate-3:00,” “USD-ISDAFIX3-Swap Rate” and “USD-ISDAFIX3-Swap Rate-3:00.” Transactions which incorporate the 2006 ISDA Definitions and are entered into on or after November 10, 2021 will incorporate the new triggers and fallbacks for the USD LIBOR ICE Swap Rate.

Fallbacks were added for USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates in version 3.0 of the 2021 Definitions Main Book and Floating Rate Matrix, published on November 10, 2021. The Settlement Rate in version 3.0 of the 2021 Definitions Settlement Matrix was also updated for USD SOFR and JPY TONA transactions to reference the relevant ICE Swap Rate. Transactions which incorporate the 2021 Definitions and are entered into on or after November 10, 2021 will incorporate the fallbacks for the USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates.

On November 10, 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), the USD LIBOR ICE Swap Rate and/or the JPY LIBOR Tokyo Swap Rate (Supplement 88).

On November 22, 2021, ISDA published a standalone 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 USD LIBOR ICE Swap Rate. On June 15, 2022, ISDA published a standalone Form of Agreement for adoption of USD LIBOR ICE Swap Rate Fallback Provisions in Confirmations for legacy transactions incorporating either the 2000 ISDA Definitions, the 2006 ISDA Definitions or the 2021 ISDA Interest Rate Derivatives Definitions or Confirmations referencing the “USD LIBOR ICE Swap Rate.”

On June 15, 2022, ISDA published the June 2022 Benchmark Module of the ISDA 2021 Fallbacks Protocol enabling parties to Protocol Covered Documents which incorporate or reference the USD LIBOR Swap Rate as defined in a Covered ISDA Definitions Booklet, to amend the terms of each such Protocol Covered Document to include in the terms of such Protocol Covered Document the terms of, or a particular defined term included in, either version 3.0 of the 2021 Definitions or Supplement 88 to the 2006 Definitions, each as published by ISDA and effective on November 10, 2021 (as applicable), or such equivalent provisions as they relate to that Covered ISDA Definitions Booklet.

On November 14, 2022, IBA published a Feedback Statement on the Consultation on the Potential Cessation of USD LIBOR ICE Swap Rate and announced that it will cease the publication of USD LIBOR ICE Swap benchmark runs (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.

 

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).

This consultation closed on July 2, 2021.

 

Fallbacks for JPY LIBOR® Tokyo Swap Rate®

On November 10, 2021 ISDA published Supplement 88 to the 2006 ISDA Definitions, the addition of fallbacks for “JPY-TSR-Reuters-10:00” and “JPY-TSR-Reuters-15:00”. More information about these fallbacks is available in this statement. Transactions which incorporate the 2006 ISDA Definitions and are entered into on or after November 10, 2021 will incorporate the new triggers and fallbacks for the JPY LIBOR Tokyo Swap Rate.

Fallbacks were added for USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates in version 3.0 of the 2021 Definitions Main Book and Floating Rate Matrix, published on November 10, 2021. The Settlement Rate in version 3.0 of the 2021 Definitions Settlement Matrix was also updated for USD SOFR and JPY TONA transactions to reference the relevant ICE Swap Rate. Transactions which incorporate the 2021 Definitions and are entered into on or after November 10, 2021 will incorporate the fallbacks for the USD LIBOR ICE Swap Rates and JPY LIBOR Tokyo Swap Rates.

On November 10, 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), the USD LIBOR ICE Swap Rate and/or the JPY LIBOR Tokyo Swap Rate (Supplement 88). On November 22, 2021, ISDA published a standalone 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 JPY LIBOR Tokyo Swap Rate.

On December 10, 2021, Refinitiv announced publication of each tenor of the JPY LIBOR Tokyo Swap Rate for both the morning and afternoon settings (which is the JPY LIBOR Tokyo Swap Rate with an underlying rate of 6-month JPY LIBOR) will cease immediately after publication of the afternoon settings on December 30, 2021.  On the same date, Refinitiv also announced that the Tokyo Swap Rate fallback rate will become a production benchmark administered by Refinitiv Benchmark Services (UK) Limited (RBSL).

 

JPY TIBOR® Tokyo Swap Rate®

TIBOR TSR is not directly referenced in either of the 2006 Definitions or the 2021 Definitions. However, there are Floating Rate Options in both the 2006 and 2021 Definitions which reference Euroyen TIBOR (also known as Z-TIBOR) and Yen TIBOR (also known as D-TIBOR).

Refinitiv published a consultation on the Tokyo Swap Rate (for swaps referencing TIBOR) on January 19, 2022.  ISDA published guidance on January 25, 2022 that describes potential outcomes if a cessation date were to occur.

On January 31, 2022, Refinitiv announced a change in the methodology for Tokyo Swap Rate (for swaps referencing TIBOR) and published an outcome statement with further details on the feedback received in response to its consultation. Refinitiv did not announce a future cessation date for the Tokyo Swap Rate (for swaps referencing TIBOR).

On October 31, 2022 Refinitiv announced that it will cease publication of Tokyo Swap Rate (for swaps referencing TIBOR®). The final publication will be at 15:30 (Tokyo time) on 31 March 2023.

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8. Other Benchmark Reform Initiatives
Risk-Free Rate Compounding

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.

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 89 to the 2006 ISDA Definitions adds overnight, self-compounding and compounded index and average Rate Options for SWESTR and Supplement 91 adds ICE RFR index Rate Options referencing each of SONIA, EuroSTR, TONA and SOFR .

The 2021 Definitions substantively incorporate the provisions of Supplements 74-77, 80, and 89- 91.

 

Swaptions

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.

*Please note that the Collateral Cash Price Matrix was restated as of August 6, 2021 to align with publication of Supplement 82, the addition of the fallbacks to “GBP-ISDA-Swap Rate”, further restated on November 10, 2021 to align with publication of Supplement 88, the amendment of the Settlement Rate for USD SOFR Transactions and JPY TONA Transactions, and subsequently restated on December 16, 2021 to align with publication of Supplement 89, the amendment of the Discount Rate for SEK to SWESTR.

The 2021 Definitions substantively incorporate the provisions of Supplements 88 and 89:

 

Collateral

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).

Documentation

Webinar

 

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.
  • ISDA 2021 EONIA Collateral Agreement Fallbacks Protocol, which parties can use to incorporate version 2.0 of the ISDA Collateral Agreement Interest Rate Definitions, published by ISDA on August 14, 2020, which will embed into existing ISDA published collateral agreements a fallback to €STR + 8.5 basis points applicable upon the cessation of EONIA, as well as other fallbacks applicable in the event that €STR is discontinued.
  • Additional collateral documentation (as described above).

 

CCP PAI/Discounting Changes
  • CFTC MRAC Interest Rate Benchmark Reform Subcommittee Report on CCP Discounting Transition Tabletop Exercise:

Webinar

 

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.

 

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).

 

CCP Active Transition from LIBOR

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.

 

Credit Sensitive Alternatives to USD LIBOR

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.

The 2021 Definitions substantively incorporate the provisions of Supplements 71-73, 78 and 87 and will continue to be updated as additional Rate Options for credit sensitive benchmarks are added.

The UK FCA and the US FRB have sent letters to ISDA regarding fallbacks for certain credit sensitive rates.  ISDA responded and took the steps described in its responses through the publication of Supplement 87 on November 10, 2021.

 

Term RFRs

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.

The 2021 Definitions substantively incorporate the provisions of Supplements 81, 83, and 84 and will continue to be updated as additional Rate Options for RFR-based term benchmarks are added.

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9. Relevant Research/Reading Material

Research and reading materials related to benchmark reform can be found here:

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10. Press Releases/Latest News/Speeches/Presentations

Please find below links to:

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11. Market Education Calls/Webinars/Conferences

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Documents (0) for Benchmark Reform and Transition from LIBOR InfoHub