ISDA Publishes Brattle-Prepared Summary Reports on IBOR Benchmark Fallback Rates
On May 14, 2020 the International Swaps and Derivatives Association (ISDA) published the sixth in a series of reports independently prepared for ISDA by Brattle consultants.
Each of these six reports followed an associated consultation starting with the first ISDA consultation on July 12, 2018. These ISDA consultations solicited market participants’ input on a series of questions related to new benchmark fallbacks for derivative contracts referencing key interbank offered rates (IBORs) that would apply in the event that one or more IBORs is permanently discontinued.
In each of these reports, Brattle consultants analyzed, discussed, and summarized the responses of market participants on an anonymized basis to questions raised in the consultations. With LIBOR currently expected to cease after 2021, ISDA expects to soon publish amendments to their 2006 ISDA Definitions to incorporate the new benchmark fallbacks for new derivative transactions. In addition, ISDA plans to simultaneously launch a protocol that will allow market participants to incorporate the same revisions into legacy trades on a voluntary basis. Brattle is continuing to work with ISDA on its planned addition of fallback reference rates to its standard documentation for derivatives.
The reports that Brattle’s team compiled can be found below:
- Anonymized Narrative Summary of Responses to the ISDA Consultation on Term Fixings and Spread Adjustment Methodologies (December 20, 2018) following ISDA’s Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR,1 CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW published on July 12, 2018.
- Summary of Responses to the ISDA Supplemental Consultation on Spread and Term Adjustments (September 18, 2019) following ISDA’s 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 published on May 16, 2019.
- Anonymized Narrative Summary of Responses to the ISDA Pre-Cessation Consultation (October 21, 2019) following ISDA’s Consultation on Pre-Cessation Issues for LIBOR and Certain Other Interbank Offered Rates (IBORs) on May 16, 2019.
- Summary of Responses to the ISDA Consultation on Final Parameters for the Spread and Term Adjustments (November 15, 2019) following ISDA’s Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives (Final Parameters Consultation) on September 18, 2019.
- Anonymized Summary of Responses to the ISDA Supplemental Consultation on Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR and Other Less Widely Used IBORs (March 5, 2020) following ISDA’s 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 (Euro Consultation) published on December 18, 2019.
- Summary of Responses to the ISDA 2020 Consultation on How to Implement Pre-Cessation Fallbacks in Derivatives (May 14, 2020) following ISDA’s 2020 Consultation on How to Implement Pre-Cessation Fallbacks in Derivatives (2020 Precessation Consultation) published on February 24, 2020.
The reports were supported by Brattle Principals Ioannis Gkatzimas, Shaun Ledgerwood, and Torben Voetmann; Senior Consultant Hollie Mason; and Associate Nguyet Nguyen.
