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July 29, 2020
ISDA Publishes Brattle-Prepared Report on Bloomberg/ISDA IBOR Fallback Rate Adjustments Rule Book

To prepare for the expected permanent discontinuation of certain key interbank offered rates (IBORs) at the end of 2021, the International Swaps and Derivatives Association (ISDA) is amending its standard documentation to implement fallback rates for derivatives. As part of this process, Bloomberg and ISDA published the IBOR Fallback Rate Adjustments Rule Book (Rule Book), which previews the implementation of the calculation of the new rate adjustments and fallback rates across various IBORs.

In a July 2020 report, “Report on Bloomberg/ISDA IBOR Fallback Rate Adjustments Rule Book,” a team of Brattle consultants assessed whether Bloomberg’s implementation of the calculations and the definitions of the different terms and concepts discussed in the Rule Book are consistent with the information provided in a series of ISDA consultations and the preferences of market participants summarized by Brattle for ISDA in a series of reports. Brattle’s team found that the implementation of the fallback rate calculations presented in the Rule Book is consistent with the information provided to market participants and the results of the ISDA consultations.

This report is the seventh in a series of reports that Brattle consultants prepared on behalf of ISDA and its counsel. Click here to learn more about the previous reports.

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

The full report, “Report on Bloomberg/ISDA IBOR Fallback Rate Adjustments Rule Book,” is available on the ISDA website.