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2022 Benchmark Module to the ISDA 2021 Fallbacks Protocol

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Authored by: Simon Deane and Natalie Chan

On 15 June 2022, ISDA published the June 2022 Benchmark Module (“2022 Benchmark Module”) to the 2021 Fallbacks Protocol. The 2022 Benchmark Module allows parties to incorporate the fallbacks into all legacy derivatives contracts incorporating the 2000 ISDA Definitions, the 2006 ISDA Definitions or the 2021 ISDA Interest Rate Derivative Definitions with counterparties that also adhere to the ISDA 2021 Fallbacks Protocol. In practice, this means that the amendments contemplated by the 2022 Benchmark Module will be included in Protocol Covered Documents (i.e. ISDA documents which incorporate or reference the USD LIBOR Swap Rate as defined in a Covered ISDA Definitions Booklet) entered into between parties that have both adhered to the 2022 Benchmark Module.

The relevant benchmark included in the 2022 Benchmark Module is the USD LIBOR Swap Rate (i.e. the swap rate for US dollar swap transactions with a floating leg of US dollar LIBOR), which is not a LIBOR benchmark. As such, the 2022 Benchmark Module will only enable parties to include new fallbacks for the USD LIBOR Swap Rate, but will not amend contracts referencing LIBOR in any currency. To amend existing ISDA contracts that reference LIBOR, parties should adhere to the ISDA 2020 LIBOR Fallbacks Protocol.

To access a full copy of the 2022 Benchmark Module, please see here.

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Email or call +852 2825 9209

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