Monday 25 January saw the coming-into-effect of a number of new fallbacks for derivatives linked to key interbank offered rates, such as LIBORs for euro, sterling, USD and yen.

Contracts that reference ISDA’s standard interest rate derivatives definitions will have the new fallbacks in play by default going forward.

In many cases, they will also be part of the terms for legacy non-cleared derivatives – either because the parties have agreed bilaterally to have them apply, or because both have adhered to ISDA’s IBOR Fallbacks protocol, which was published on 23 October 2020. Over 12,000 entities are said to have adhered to the protocol.

The fallbacks cover
• Australia’s Bank Bill Swap Rate,
• the Canadian Dollar Offered Rate,
• euro LIBOR,
• the Singapore dollar Swap Offer Rate,
• sterling LIBOR,
• Swiss franc LIBOR,
• the Thai baht Interest Rate Fixing, TIBOR,
• euroyen TIBOR,
• yen LIBOR and
• US dollar LIBOR.

The fallbacks for a each currency will apply after the permanent cessation of the IBOR in that currency.