ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

The International Swaps and Derivatives Association, Inc. (ISDA) has today published a statement summarizing responses to a supplemental consultation on the spread and term adjustments that would apply to fallbacks for derivatives referencing euro LIBOR and EURIBOR.

The supplemental consultation, which was launched in December 2019, also covers technical issues related to the adjustment methodology, and seeks feedback on whether the adjustments would be appropriate for lesser-used interbank offered rates (IBORs) if ISDA implements fallbacks for those benchmarks in the future. It follows three earlier consultations – two setting out options for the adjustments that will apply to the relevant risk-free rates if fallbacks are triggered for derivatives referencing nine IBORs, and one on the final parameters for the adjustment methodology.

ISDA expects to publish additional information – including anonymized and aggregated responses to the supplemental consultation – in the coming weeks.

View the final results of the supplemental consultation here.

More information on benchmark fallbacks is available on the ISDA website.

 

For Press Queries, Please Contact:

Nick Sawyer, ISDA London, +44 20 3808 9740, nsawyer@isda.org

Lauren Dobbs, ISDA New York, +1 212 901 6019, ldobbs@isda.org

Joel Clark, ISDA London, +44 20 3808 9760, jclark@isda.org

Christopher Faimali, ISDA London, +44 20 3808 9736, cfaimali@isda.org

Nikki Lu, ISDA Hong Kong, +852 2200 5901, nlu@isda.org

Documents (1) for ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

ISDA/IIB/SIFMA request to extend 22-14

This joint ISDA/IIB/SIFMA letter requests reporting relief for certain non-US swap dealers in Australia, Canada, the European Union, Japan, Switzerland or the United Kingdom with respect to their swaps with non-US persons.  The joint trade association letter, submitted to CFTC...

A Positive Step to Improve the FRTB in the EU

As the Basel III capital reforms are finalized for implementation in key jurisdictions, ISDA is maintaining a laser focus on making sure the rules are robust and risk-appropriate. Simply put, if capital requirements are set disproportionately high, this will have...