USD Swap Rate Fallbacks – Module to the ISDA 2021 Fallbacks Protocol

  • Source: ISDA

Treliant Takeaway:

Treliant helps global banking institutions manage the transition away from LIBOR settings, which ended for Sterling, Swiss franc, Japanese yen, and euro on December 31, 2021. The transition continues for U.S. dollar LIBOR to its replacement rate Secured Overnight Financing Rate (SOFR) ahead of it’s cessation in mid-2023. Our consultant team has deep experience helping our global banking clients prepare for and manage the complexity of regulatory change.

Highlights:

On June 15, 2022 ISDA announced its publication of the USD Swap Rate Fallbacks – Module of the ISDA 2021 Fallbacks Protocol (“June 2022 Benchmark Module”).  Adherence to the June 2022 Benchmark Module enables parties to include new fallbacks for USD LIBOR Swap Rate into their Protocol Covered Documents in advance of USD LIBOR discontinuation in June 2023. 

The June 2022 Benchmark Module was created in response to feedback to facilitate the inclusion of ISDA’s updated standard definitions which included fallbacks for certain swap rates, including the USD LIBOR ICE Swap Rate.  More information is available here.

For more information please see ISDA’s  June 2022 Benchmark Module FAQs.

Author

Elizabeth Legg

Elizabeth Legg, is a Principal Consultant in Treliant’s Capital Markets Regulatory Change Management practice, specializing in navigating global banks through significant regulatory reform initiatives and the end-to-end delivery of complex transformation programs. Elizabeth’s expertise spans operations, IT, and front office to deliver global and cross functional transformation. At Treliant and…