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ISDA Selects Bloomberg for Fallback Adjustments

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The International Swaps and Derivatives Association has selected Bloomberg Index Services to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions. The adjustments reflect the fact that interbank offered rates (IBORs) are available in multiple tenors, while risk-free rates (RFRs) identified as fallbacks are overnight rates. The IBORs also incorporate a bank credit risk premium, while RFRs do not. The adjustments will be published after methodologies based on industry consultation are finalised. ISDA expects the fallbacks to take effect in early 2020.

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