Update: Interest rate benchmark reform

Update: Interest rate benchmark reform

Update: Interest rate benchmark reform

Feb 10 2020

Since the release of the ASF’s Interest Rate Benchmark Survey Report in November 2019, the ASF benchmark working group has continued to focus its efforts on developing an approach to standardisation of fallback and risk disclosure language that is suitable to the industry and regulators. 

With international harmonisation in mind, the ASF is awaiting ISDA’s publication of standard fallback language for inclusion within derivatives contracts.  The ASF recognises that ISDA’s fallback language may not be entirely suitable for Australian denominated securitisation transactions but will use it as a starting point and distinguish and tailor it where necessary in consultation with the industry and regulators. 

Progress will be largely driven by the timing of ISDA’s release of the language which has been delayed due to the consultation work currently being undertaken on pre-cessation fallbacks.  Further information on ISDA’s work on fallbacks can be found on page 26 of ISDA’s 1st issue of its annual Quarterly publication and to the ISDA update dated 6 Feburary 2020.

The ASF is also planning a lunchtime member briefing to be hosted at King & Wood Mallesons Sydney office on 26 March 2020 from 12.30pm to 2.00pm.  This session will review the progress that has been made in benchmark reform to date locally and offshore and share information and commentary on Australian IBOR and RFR linked deals.  The speaker panel will include representatives from ISDA, local issuers and investors.  Registration for this event will open shortly with dates for a Melbourne session to follow.