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Clifford Chance

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IBOR fallbacks for derivatives – ISDA consultation on term and spread adjustments for floating rates

17 July 2018

ISDA released its "Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW" on 12 July 2018. The Consultation seeks feedback on proposed amendments to the 2006 ISDA Definitions to address fallbacks to the applicable risk-free rates ("RFRs") for derivatives in circumstances where an associated IBOR is not available. The Consultation proposes four options to account for the move from a term rate to an overnight rate and three options to calculate a spread adjustment. It is open to all market participants and responses may be submitted until 12 October 2018.

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IBOR fallbacks for derivatives – ISDA consultation on term and spread adjustments for floating rates

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