ISDA Summarizes Consultation On Benchmark Fallbacks For Derivatives

ISDA summarized the final results of a consultation (the "Consultation") related to new benchmark fallbacks for derivative contracts that reference certain interbank offered rates ("IBORs"). As previously covered, the Consultation requested feedback on alternatives for adjusted risk-free rates ("RFRs") and spread adjustments that would apply to derivatives contracts referencing an IBOR in the event such IBOR is permanently discontinued.

The report, which was prepared for ISDA by The Brattle Group, affirmed the preliminary findings ISDA published in November. ISDA concluded that (i) the overwhelming majority of respondents ranked the "compounded setting in arrears rate" as their top preference for the RFR, (ii) a significant majority of respondents selected the "historical mean/median approach" for the spread adjustment, and (iii) a significant minority of respondents selected the "forward approach" for the spread adjustment. The report noted that most respondents