Benchmarks

2020 Looming Large

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It has sometimes felt like there’s barely been time to pause and take a breath over the past 12 months given the size and importance of the issues the industry faces. Well, get used to it, because 2020 will be the year the rubber really hits the road for some of these issues. Whether benchmark reform, initial margin requirements or local implementation of revised Basel rules, industry efforts will have to step up a gear – and ISDA will be working hard to develop and roll out solutions to help implementation in 2020.

Benchmarks

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ISDA launches Consultation on Fallbacks for Euro LIBOR and EURIBOR

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ISDA has launched a supplemental consultation on the spread and term adjustments that would apply to fallbacks for derivatives referencing euro LIBOR and EURIBOR in the event those benchmarks are permanently discontinued. The consultation 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.

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December 2019 Benchmark Fallbacks Supplemental Consultation

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Supplemental Consultation on Spread and Term Adjustments, including Final Parameters thereof, for Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR, as well as other less widely used IBORs

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Interest Rate Benchmarks Review: Third Quarter of 2019 and Year-to-September 30, 2019

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The ISDA Interest Rate Benchmarks Review analyzes trading volumes of interest rate derivatives (IRD) transactions in the US referencing the Secured Overnight Financing Rate (SOFR) and other selected alternative risk-free rates (RFRs), including the Sterling Overnight Index Average (SONIA), the Swiss Average Rate Overnight (SARON) and the Tokyo Overnight Average Rate (TONA). ISDA expects to add the Euro Short-Term Rate (€STR) to its analysis once there is trading activity.

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ISDA Publishes Report Summarizing Results of Benchmark Fallbacks Consultation on Pre-cessation Issues

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ISDA has today published a report that summarizes responses to a consultation on pre-cessation issues for LIBOR and certain other interbank offered rates (IBORs).

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ISDA’s Response to EFRAG on Benchmark Reform

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On October 3, ISDA responded to the European Financial Reporting Advisory Group’s (EFRAG) invitation to provide feedback on its interest rate benchmark reform assessment (amendments to IFRS 9, IAS 39 and IFRS 7). EFRAG has been asked by the European Commission (EC) to provide technical advice on the costs and benefits that would arise from implementation of the International Accounting Standards Board’s interest rate benchmark reform amendment in the European Union and European Economic Area.

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ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London

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ISDA Annual Europe Conference 

September 19, 2019

Opening Remarks

Scott O’Malia, ISDA Chief Executive

 

Good morning, everyone.

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ISDA Publishes Consultation on Final Parameters for Benchmark Fallback Adjustments

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ISDA has today launched a new consultation to finalize the methodologies for the adjustments that will be made to derivatives fallbacks in the event certain interbank offered rates (IBORs) are permanently discontinued.

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September 2019 Consultation on Final Parameters

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This consultation seeks input on the final parameters related for the adjustments that will apply to alternative risk-free rates (RFRs) if derivatives fallbacks are triggered. These adjustments are necessary because of the differences between the interbank offered rates and the RFRs.

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