ISDA: Results Of Consultation On Fallbacks For Derivatives

The International Swaps and Derivatives Association, Inc. (ISDA) has  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.

The full ISDA statement is available on the ISDA website.

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

Source: ISDA

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