Bloomberg Selected as RFR Fallback Adjustment Vendor

Bloomberg Index Services Limited (BISL) has been selected by ISDA to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions. The adjustments reflect the fact that interbank offered rates (IBORs) are available in multiple tenors, while the risk-free rates (RFRs) identified as fallbacks are overnight rates. The IBORs also incorporate a bank credit risk premium and a variety of other factors, while RFRs do not. A third-party service provider was sought to ensure the adjustments are calculated fairly and independently, based on the methodology chosen following various industry consultations. The adjustments are expected to be published after the methodologies are finalized and before the new fallbacks apply to ISDA’s amended definitions. ISDA currently expects the fallbacks to take effect in early 2020. The calculation will be managed by BISL, which is awaiting authorization from the UK Financial Conduct Authority to become a benchmark administrator under the EU Benchmarks Regulation.