[author: Heidi Wardle]

On November 27,the International Swaps and Derivatives Association (“ISDA“) published a statement of the preliminary results of its consultation on new benchmark fallbacks for derivatives contracts that reference certain interbank offered rates (“IBORs“).

The consultation suggests four options for calculating the applicable adjusted risk-free rates (“RFRs“), if fallbacks are triggered, and three options for calculating spread adjustments, as well as setting out which of the options the ISDA expects to proceed with and include in its standard definitions.

The information in the statement is subject to the final decision of the ISDA Benchmark Committee and only reflects its preliminary findings at this stage.

The full statement can be found here.