Should the ISDA 2006 Definitions Contain Fallbacks for LIBOR?


ISDA has today published a report that summarizes the final responses to its consultation on the implementation of pre-cessation fallbacks for derivatives referenced to LIBOR.


  • 142 firms provided response, mainly from Europe
  • The outcome of the consultation is mixed, you'll have to read the report to see the voting

The report, Summary of Responses to the ISDA 2020 Consultation on How to Implement Pre-cessation Fallbacks in Derivatives, was prepared for ISDA by The Brattle Group and confirms the preliminary findings published by ISDA in April. The consultation, which was launched in February, asked whether the 2006 ISDA Definitions should be amended to include fallbacks that would apply to all covered derivatives referencing LIBOR following a permanent cessation of the benchmark or a ‘non-representative’ pre-cessation event, whichever occurs first.

The results of the consultation indicate that a significant majority of respondents support including pre-cessation and permanent cessation fallbacks without optionality or flexibility in the amended 2006 ISDA Definitions for LIBOR and in a single protocol for including the updated definitions in legacy trades.

Following these results, ISDA expects to publish amendments to the 2006 ISDA Definitions to incorporate the fallbacks for new trades in July. A protocol will simultaneously be launched to allow participants to incorporate the revisions into legacy trades if they choose too. Both will come into effect before the end of the year.

For the full report which is public to access click over to ISDA and download the report.