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:

The reports were supported by Brattle Principals Ioannis Gkatzimas, Shaun Ledgerwood, and Torben Voetmann; Senior Consultant Hollie Mason; and Associate Nguyet Nguyen.