ISDA issued a new consultation to finalize the parameters for "adjustments that will apply to alternative risk-free rates if derivatives fallbacks are triggered."
ISDA intends to use the responses to the September 18, 2019 "Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs" (the "Final Parameters Consultation") to finalize the methodologies for the "compounded setting in arrears rate" and the "historical mean/median approach" to the spread adjustment for such fallbacks. ISDA notes that it expects that the amendments for all IBORs other than EURIBOR and EUR LIBOR will be finalized by the end of 2019 and will take effect sometime in the first half of 2020.
The Final Parameters Consultations describes ISDA's determination that the fallback to each IBOR would be the applicable alternative risk-free rates ("RFRs") identified by the relevant public-private sector RFR working group.
The deadline for submitting responses to the questions in the Final Parameters Consultation is October 23, 2019. In addition, ISDA says: "The Brattle Group has provided a workbook to help market participants understand the implications of the different options variations for the historical mean/median approach to the spread adjustment. The Brattle Group has also provided a set of instructions for using the workbook."
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