ISDA: Bloomberg Selected as Fallback Adjustment Vendor

ISDA today announced that Bloomberg Index Services Limited (BISL) has been selected to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions.

Bloomberg was chosen following an in-depth selection process, which began with a public invitation to tender published in February. The selection process was run by ISDA and included input from a selection committee with representation from buy- and sell-side market participants.

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 in a fair and independent manner, 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. Additional information about ISDA’s fallback work is available on the ISDA website.

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. Further details will be available before the adjustments are published.

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