Consultation on IBOR fallbacks: Question 2
Game of Benchmarks: Season 2
Game of Benchmarks: Season 2 - Episode 2: Triggers
Question related to: Description of Fallbacks - Triggers
In the triggers description, the benchmark to which a fallback would be applied is called “the relevant IBOR”. The list of those relevant IBOR is “GBP LIBOR”, “CHF LIBOR”, “JPY LIBOR”, etc. The relevant IBOR does therefore not include the tenor.It is not clear from the text if the trigger applies on a tenor by tenor basis or on a full “family". Could there be a situation where one tenor, e.g. GBP-LIBOR-12M, is discontinued but not the others in the same family, e.g. GBP-LIBOR-3M. Would the discontinuation of one tenor trigger the fallback for all of them?
Could you clarify the tenor/family issue in the FAQ and potentially adapt the trigger wording?
Edit on 18-Aug-2018:
I have received an answer from ISDA regarding the above question:If the discontinuation is of one tenor only, then it is likely that market participants will follow the interpolation approach that they followed when certain LIBOR tenors were discontinued several years ago. The fallbacks we are implementing contemplate discontinuation of all tenors (although this is not yet a hard and fast rule because we are still confirming that there are no scenarios in which our fallbacks should apply to a tenor discontinuation - but I think that would be unlikely).
A list of FAQ is maintained by ISDA.
Season 2: The questions
Question 1: Question related to Option 3: Compounded Setting in Arrears Rate
Question 2: Question related to: Description of Fallbacks - Triggers
Question 3: Description of Adjusted RFR - Timing
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