The International Swaps and Derivatives Association plans to issue two consultations this month on introducing fallback benchmarks in derivative contracts that reference Libor rates at risk of discontinuation.
The consultations, supported by the Financial Stability Board, the regulatory coordinator for the Group of 20 economic powers, are part of a push to announce a market protocol by year-end, the bank group’s letter last week said.
“We look forward to working with our members and the public sector to address issues related to regulatory margin, capital, tax, accounting and collateral in order to ensure broad market adoption of [risk-free rates] and implementation of robust fallbacks,” the letter to an FSB steering group said.
Libor fallback rates in derivative contracts to get public consults this month
15 April 2019 9:27pm