Additional collateral documentation (as described above). at 1 (stating that such notice will be provided on the “ISDA 2020 IBOR Fallbacks Protocol” section of ISDA’s website or “by other suitable means”). implemented in the IBOR Fallbacks Supplement and the 2020 IBOR Fallbacks Protocol published by the International Swaps and Derivatives Association). This consultation sought input on the final parameters related for the adjustments that will apply to alternative RFRs if derivatives fallbacks are triggered. • Effective date of both the Protocol and of the Supplement 25 January 2021. To address the risk that one or more IBORs are discontinued while market participants continue to have exposure to that rate, counterparties are encouraged to agree to contractual fallback provisions that would provide for adjusted versions of the RFRs as replacement rates. In particular, ISDA has recently published the 2020 IBOR Fallbacks Protocol and IBOR Fallbacks Supplement, which introduce hardwired fallbacks from IBORs to relevant RFRs for new products and legacy products. ISDA has also published a related set of Frequently Asked Questions, as … This consultation sought input on whether to add a pre-cessation trigger to the permanent cessation fallbacks that ISDA is implementing for LIBOR in its standard documentation. effective risk management for all users of derivative products. The ISDA 2020 IBOR Fallbacks Protocol (the "Protocol") and ISDA IBOR Fallbacks Supplement (the "Supplement") have been much anticipated as they provide a global mechanism for the replacement of the current fallbacks in certain ISDA and non-ISDA agreements which are no longer fit for purpose.Existing fallbacks do not contemplate a permanent cessation of the rate … Supplemental Consultation on Spread and Term Adjustments for Fallbacks in Derivatives Referencing USD LIBOR, CDOR and HIBOR and Certain Aspects of Fallbacks for Derivatives Referencing SOR. TMA’s administered benchmarks are IOSCO-compliant. On October 11, 2019, the European Commission launched a public consultation on the EU Benchmarks Regulation Review, which included (among other things) questions regarding critical benchmarks, like the IBORs, and third country benchmarks. Video Interview with ISDA CEO Scott O’Malia: What’s Next for Derivatives Markets? Video: Introduction to Benchmark Fallbacks, FACTSHEET: Understanding IBOR Benchmark Fallbacks, FACTSHEET: Understanding IBOR Benchmark Fallbacks (Japanese), Video Interview with Ann Battle, Head of Benchmark Reform at ISDA: Understanding Benchmark Fallbacks, IBOR Fallbacks Supplement and IBOR Fallbacks Protocol webinar, Methodology and Bloomberg Publication webinar, Bilateral Templates, ISDA Create and IHS Markit Outreach360 webinar, RFR Conventions and IBOR Fallback Product Table (including guidance on how fallbacks operate for non-linear derivatives), U.S. Department of Justice Business Review Letter, FSB statement encouraging adherence to the IBOR Fallbacks Protocol, ARRC statement supporting IBOR Fallbacks Protocol and encouraging adherence, Federal Reserve Supervision and Regulation Letter SR20-22 regarding IBOR Fallbacks Supplement and Protocol, GBP RFR WG, FCA and Bank of England statement welcoming launch of IBOR Fallbacks Supplement and Protocol, ASIC statement urging adherence to the IBOR Fallbacks Protocol, EUR RFR WG, ECB, ESMA, EC and FSMA statement welcoming launch of IBOR Fallbacks Supplement and Protocol, Statement of CFTC Chairman Heath P. Tarbert regarding the transition away from IBORs, IBA Consultation on potential cessation of LIBOR, Outline of bilateral documents with descriptions, Webinar Recording: 2020 Consultation on How to Implement Pre-cessation Fallbacks in Derivatives, June 2020 Follow-up Letter to ISDA from the UK FCA, Workbook: Historical mean/median approach to the spread adjustment, Webinar Recording: ISDA Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR, Webinar Recording: ISDA Consultation on Final Parameters for Fallbacks, May 2019 IBOR Fallback Consultations – FAQs (Updated June 26, 2019), Bloomberg Graphs: May 2019 Supplemental Fallback Consultation, Market Education Call Recording: ISDA 2019 Fallback Consultations, Webcast Recording: ISDA IBOR Derivative Fallbacks: May 2019 Consultations, IBOR Fallbacks for 2006 ISDA Definitions – FAQs (Updated September 17, 2018), Bloomberg Graphs: 2018 Benchmark Fallbacks Consultation, Bloomberg Begins Publishing Calculations Related to IBOR Fallbacks, ISDA/Bloomberg/Linklaters IBOR Fallbacks Factsheet, Unofficial Japanese translation of ISDA/Bloomberg/Linklaters IBOR Fallbacks Factsheet, Bloomberg Webinar: LIBOR Transition Series / ISDA Fallback Rates, Bloomberg Test Data for IBOR Fallbacks (Complete Set), Bloomberg Rulebook for IBOR Fallback Methodology – Updated October 8, 2020, Bloomberg IBOR Fallbacks Technical Note – Updated August 11, 2020, IBOR Fallback Rate Adjustments FAQs – Updated September 29, 2020, Technical Note: Restatement of HKD HIBOR Fallback Restatement, Bloomberg IBOR Fallbacks Technical Note: EURIBOR and EUR LIBOR Rate Record Day Calculations, Bloomberg IBOR Fallbacks Technical Note: Ticker Migration & New Fields, Bloomberg IBOR Fallback Usage Terms (effective June 6, 2021), Bloomberg IBOR Fallback Usage Terms (valid through June 5, 2021), ISDA Guidance Note: Swaptions: ‘Agreed Discount Rate’ Supplement to the 2006 ISDA Definitions Published, Supplement 64 to the 2006 ISDA Definitions, Market Education Call Recording: Swaptions: ‘Agreed Discount Rate’ Supplement to the 2006 ISDA Definitions, Table of Outcomes Before and After Supplement 64, New Webinar Recording: Collateral Changes for US Dollar and Euro Derivatives, Template Form of Bilateral Agreement for Amending References to EUR Interest Rates and USD Interest Rates in Credit Support Documents, Template Form of Bilateral Agreement for Amending References to EUR Interest Rates in Credit Support Documents, Template Form of Bilateral Agreement for Amending References to USD Interest Rates in Credit Support Documents, Working Group on Euro Risk-free Rates recommended, Bilateral Template EONIA Amendment Agreement, Statement on Matters to Consider in Use of Financial, public consultation on the EU Benchmarks Regulation Review, SOFR & €STR Discounting Transition Process for Cleared Swaps, SOFR Discounting Transition Auction Results (October 16, 2020), SOFR Discounting Transition Mid-Price Auction (October 16, 2020), SOFR Discounting – Auction Portfolio (October 15, 2020), SOFR Discounting – SOFR Auction Indicative Portfolio Update (October 1, 2020), SOFR Discounting – SOFR Auction Indicative Portfolio (September 18, 2020), SOFR Discounting – Auction Process Technical Specification – Updated July 2020, SOFR Discounting: LCH Plan for the SwapClear Compensation Process, Transition to €STR Discounting: Updated Timing, Transition to €STR Discounting in SwapClear, EurexOTC Clear service: Discounting switch from EONIA to €STR for cleared OTC EUR derivatives, Publication of the EUR Discounting Switch Documentation, Publication of the Updated EUR Discounting Switch Time Line and Documentation, IBOR Transition Guide for Asia (July 2020) published by ISDA, APLMA, ICMA and ASIFMA, Adoption of Risk-Free Rates: Major Developments in 2021, Transition to RFRs Review: Full Year 2020 and the Fourth Quarter of 2020, Transition to RFRs Review: Third Quarter of 2020 and Year-to-September, 30 2020, Interest Rate Benchmarks Review: First Half of 2020 and Second Quarter of 2020, Interest Rate Benchmarks Review: First Quarter of 2020, Interest Rate Benchmarks Review: Full Year 2019 and the Fourth Quarter of 2019, Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019, Interest Rate Benchmarks Review: Second Quarter of 2019 and First Half of 2019, Interest Rate Benchmarks Review: First Quarter of 2019, Interest Rate Benchmarks Review: Full Year 2018 and the Fourth Quarter of 2018, Interest Rate Benchmarks Review: Third Quarter of 2018 and Nine Months Ended September 30, 2018, LIBOR Cessation and the Impact on Fallbacks, Pre-cessation Consultation: Responding to COVID-19, New Letters on Pre-cessation Issues Welcome, Now is the Time to Think About Benchmarks, Episode 2: The Milestones to LIBOR Transition, Episode 3: Building Momentum in Alternative Rates, ISDA Statement on JBATA TIBOR Announcement, ISDA Statement on UK FCA LIBOR Announcement, New IBOR Fallbacks Take Effect for Derivatives, ISDA Statement on IBA and UK FCA Announcements on LIBOR Consultations, ISDA Launches IBOR Fallbacks Supplement and Protocol, ISDA Board Statement on the IBOR Fallbacks Supplement and Protocol, ISDA Board Statement on Adherence to the IBOR Fallback Protocol, ISDA Publishes Report Summarizing Final Results of Consultation on Pre-cessation Fallbacks for LIBOR, ISDA Announces Preliminary Results of Consultation on Pre-cessation Fallbacks for LIBOR, ISDA Launches New Consultation on Pre-cessation Fallbacks, ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR, ISDA to Re-consult on Pre-cessation Fallbacks, ISDA Launches Consultation on Fallbacks for Euro LIBOR and EURIBOR, ISDA Letter to FSB OSSG on Pre-Cessation Issues, ISDA Publishes Results of Consultation on Final Parameters for Benchmark Fallback Adjustments, ISDA Publishes Report Summarizing Results of Benchmark Fallbacks Consultation on Pre-cessation Issues, ISDA Publishes Consultation on Final Parameters for Benchmark Fallback Adjustments, ISDA Publishes Preliminary Results of Benchmark Fallbacks Consultation on Pre-cessation Issues, Bloomberg Selected as Fallback Adjustment Vendor, ISDA Publishes Preliminary Results of Supplemental Benchmark Fallbacks Consultation, ISDA Publishes Two Consultations on Benchmark Fallbacks, ISDA Letter to the FSB OSSG – Update on Fallbacks for Derivatives, ISDA Issues Request for Proposal for Fallback Spread Vendor Role, ISDA Publishes Final Results of Benchmark Fallbacks Consultation, ISDA Publishes 2018 Benchmarks Supplement Protocol, ISDA Publishes Preliminary Results of Benchmark Consultation, ISDA Publishes Consultation on Benchmark Fallbacks, ISDA General Counsel Katherine Tew Darras Opening Remarks at Benchmark Strategies Forum, ISDA General Counsel Katherine Tew Darras Opening Remarks at ISDA European Annual Legal Forum, ISDA General Counsel Katherine Tew Darras Opening Remarks at Understanding the New IBOR Fallbacks Virtual Event, ISDA CEO Scott O’Malia Opening Remarks at Next Steps for the EU Benchmarks Regulation, ISDA CEO Scott O’Malia Opening Remarks at Benchmark Strategies Forum Asia-Pacific, ISDA CEO Scott O’Malia Opening Remarks at The Path Forward for LIBOR Transition Virtual Event, ISDA CEO Scott O’Malia Opening Remarks at ISDA/SIFMA AMG Benchmark Strategies Forum, ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London, ISDA CEO Scott O’Malia Guest Remarks at Exchequer Club Luncheon in Washington, DC, Benchmarks Update – Key 2020 Milestones and ISDA Deliverables for Derivatives, Webinar Recording: Collateral Changes for US Dollar and Euro Derivatives, AcadiaSoft Podcast: Leaving Libor: The Road to Risk Free Rates, American Banker Bankshot Podcast: Libor is out, but SOFR isn’t quite in, Webinar Recording: Interest Rate Benchmark Reform: Impact on Accounting under IFRS, Virtual Conference Recording: The Path Forward for LIBOR Transition.
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