ISDA IBOR Fallbacks Supplement and Protocol
Produced in partnership with Carolyn Jackson and Guy Dempsey of Katten Muchin Rosenman LLP

The following Banking & Finance practice note produced in partnership with Carolyn Jackson and Guy Dempsey of Katten Muchin Rosenman LLP provides comprehensive and up to date legal information covering:

  • ISDA IBOR Fallbacks Supplement and Protocol
  • What is the Supplement?
  • What triggers use of an IBOR fallback rate?
  • What is the fallback rate for US Dollar LIBOR?
  • What is the effective date of the Supplement?
  • What is the Protocol?
  • How does one adhere to the Protocol?
  • What happens if you adhere to the Protocol?
  • What happens if you do not adhere to the Protocol?
  • Is there any alternative to Protocol adherence?
  • More...

ISDA IBOR Fallbacks Supplement and Protocol

On 23 October 2020, the International Swaps and Derivatives Association (ISDA) published two important documents that give swap and other market participants a convenient way to modify their swap and other financial agreements to account for the expected discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered rates (IBORs) (together with LIBOR, each, an IBOR) at the end of 2021. The two documents are the IBOR Fallbacks Supplement to the 2006 ISDA Definitions (Supplement) and the 2020 IBOR Fallbacks Protocol (Protocol).

For more information on the transition away from LIBOR, see Practice Notes: LIBOR transition and LIBOR developments tracker.

What is the Supplement?

The Supplement is (officially) Supplement No 70 to the 2006 ISDA Definitions. The Supplement amends the 2006 ISDA Definitions for all major currencies to provide more precise and detailed fallbacks when a particular IBOR rate is permanently discontinued due to an ‘Index Cessation Event’ (as discussed below).

What triggers use of an IBOR fallback rate?

The use of fallback rates are triggered by the occurrence of an ‘Index Cessation Event’, which is a public announcement

  1. by the administrator of an IBOR or a regulator that the administrator has ceased or will cease publication of the IBOR, or

  2. by a regulator stating that it has determined that the IBOR is no longer, or as of a specified future date

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