The ISDA’s IBOR Fallbacks Supplement (the “Supplement”) and IBOR Fallbacks Protocol (the “Protocol”) were launched on 23 October 2020.
The Supplement amends ISDA’s standard interest rate derivatives definitions to incorporate robust fallbacks for derivatives linked to certain IBORs. The changes came formally into effect on 25 January 2021 under the Protocol. Since then, all new derivatives contracts that reference ISDA’s standard interest rate derivatives definitions include the fallbacks (unless the parties specifically agree to exclude them).
The Protocol enables market participants to incorporate the fallbacks into their legacy non-cleared derivatives trades with other counterparties that choose to adhere to the Protocol. As of 25 January 2021, more than 12,000 entities across nearly 80 jurisdictions have adhered to the Protocol, which will remain open for adherence.
As of 25 January 2021, the fallbacks for a particular currency will apply following a permanent cessation of the IBOR in that currency. For derivatives that reference LIBOR, the fallbacks in the relevant currency will also apply following a determination by the UK Financial Conduct Authority that LIBOR in that currency is no longer representative of its underlying market. In each case, the fallbacks will be adjusted versions of the risk-free rates identified for each currency.
Please see ISDA press release here: link
More information is available here: link