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  2. December 2021 Benchmark Module of the ISDA 2021 Fallbacks Protocol

December 2021 Benchmark Module of the ISDA 2021 Fallbacks Protocol

Open from December 16, 2021

This December 2021 Benchmark Module is a “Benchmark Module” for purposes of the ISDA 2021 Fallbacks Protocol (the “Protocol”) and shall be binding with respect to each Adhering Party that adheres to this Benchmark Module.

ISDA has published this Benchmark Module to enable parties to Protocol Covered Documents to amend the terms of each such Protocol Covered Document to (i) in respect of a Protocol Covered Document which incorporates, or references a rate as defined in, a Covered ISDA Definitions Booklet, include in the terms of such Protocol Covered Document the terms of, or a particular defined term included in, the Supplement to the 2006 ISDA Definitions, published by ISDA and effective on December 16, 2021 (the “2021 IBOR Fallbacks Supplement”) or such equivalent provisions as they relate to that Covered ISDA Definitions Booklet and (ii) in respect of a Protocol Covered Document which otherwise references a Relevant Benchmark, include in the terms of such Protocol Covered Document new fallbacks for that Relevant Benchmark. The Relevant Benchmarks are BKBM Bid, BKBM FRA, NIBOR, MIFOR, PHIREF, KLIBOR, STIBOR and SIOR.

This Benchmark Module does not amend LIBOR contracts: Neither the Protocol nor this Benchmark Module cover fallbacks for LIBOR in any currency. Please see the ISDA 2020 IBOR Fallbacks Protocol if you need to amend contracts to include fallbacks for LIBOR in any currency.

ISDA has prepared this list of frequently asked questions to assist in your consideration of the DECEMBER 2021 BENCHMARK MODULE to the ISDA 2021 FALLBACKS PROTOCOL.

THESE FREQUENTLY ASKED QUESTIONS DO NOT PURPORT TO BE AND SHOULD NOT BE CONSIDERED A GUIDE TO OR AN EXPLANATION OF ALL RELEVANT ISSUES OR CONSIDERATIONS IN CONNECTION WITH THE DECEMBER 2021 BENCHMARK MODULE. PARTIES SHOULD CONSULT WITH THEIR LEGAL ADVISERS AND ANY OTHER ADVISER THEY DEEM APPROPRIATE PRIOR TO USING OR ADHERING TO THE ISDA 2021 FALLBACKS PROTOCOL AND THE DECEMBER 2021 BENCHMARK MODULE. ISDA ASSUMES NO RESPONSIBILITY FOR ANY USE TO WHICH ANY OF ITS DOCUMENTATION MAY BE PUT.

These FAQs address the following questions:

  1. What does the December 2021 Benchmark Module do?
  2. What constitutes a Relevant Benchmark under the December 2021 Benchmark Module?
  3. What does the 2021 IBOR Fallbacks Supplement do?
  4. Are equivalent amendments to those set out in the 2021 IBOR Fallbacks Supplement being made to the 2021 Definitions?
  5. How does Supplement 70 to the 2006 Definitions relate to the 2021 IBOR Fallbacks Supplement and the 2021 Definitions?
  6. How are Protocol Covered Documents that incorporate Version 1.0, 2.0 or 3.0 of the 2021 Definitions amended by the December 2021 Benchmark Module?
  7. What happens if an Index Cessation Event occurs with respect to a Relevant Benchmark?
  8. What happens if a Relevant Benchmark permanently ceases to be available?
  9. What happens if only certain tenors of a Relevant Benchmark are permanently discontinued?
  10. How does the 2021 IBOR Fallbacks Supplement address Calculation Periods or Compounding Periods to which ‘Linear Interpolation’ is specified to apply (for example, stub periods or other non-standard periods)?
  11. Why do the 2021 IBOR Fallbacks Supplement and Version 4.0 of the 2021 Definitions include bespoke provisions for MIFOR and PHIREF?
  12. Why is there wording in the bespoke provisions for PHIREF and KLIBOR in the 2021 IBOR Fallbacks Supplement and Version 4.0 of the 2021 Definitions specifying the fallbacks which apply if a fallback rate does not exist or has not previously existed in respect of certain tenors?
  13. Do the amendments made by the December 2021 Benchmark Module constitute a “Spread Provision” (as defined in the ISDA 2014 Collateral Agreement Negative Interest Protocol published on May 12, 2014 by ISDA)?

You can download the full FAQs here.

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