ISDA consultation on IBOR fall-backs
The ASF has made a submission to ISDA’s global market-wide consultation of global reforms to interest rate benchmarks. The proposed reforms focus on the fall-back methodology for derivative contracts to transition from the various IBORs (such as LIBOR and BBSW) to overnight risk free rates (RFRs). .
Read the ASF submission (PDF)
AFMA market survey - ASF member feedback invited by 31 October
The ASF has also been in dialogue with AFMA, APLMA and the FTA in relation to the ISDA consultation. AFMA have invited ASF members to participate in a market survey designed to determine financial institutions’ preparedness for IBOR disruption.
Regulators have indicated the importance of market participants being ready for IBOR benchmarks disruptions and understand their IBOR exposures and have commensurate processes in place to address the associated risks.
This market survey seeks feedback on your firm’s preparedness for potential disruptions. To assist in assessing the readiness of members for the effects of IBOR disruption on the Australian market this survey is divided into two parts. The first part asks survey respondents about aspects of organisational readiness to deal with a range of operational and financial issues and risks. The second part seeks views on the methodologies put forward by ISDA for suggested approaches for calculating the credit and term liquidity spread adjustments to be applied to risk free rates (RFRs).
Survey feedback will be used to inform the members of the ASF and the wider group of associations on the current state of awareness and preparedness in the Australian market and local member sentiment on methodologies being favoured in responses to ISDA’s consultation. This is intended to inform the direction of future work that needs to be undertaken from an industry wide perspective.
Although there is no formal deadline for survey responses the ASF would appreciate you completing it by 31 October.
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