The LIBOR Transition and Protocol for U.S. Derivatives End-Users

Economic & Financial Consulting

December 3, 2020

Thursday, December 3, 2020
12:00 - 1:15 PM EST

FTI Consulting's Franck Risler and Michael Diodato join Hogan Lovells' Evan Koster and Adam Lapidusto to discuss an integrated approach to reviewing the current state of the LIBOR transition for derivatives and step-by-step documentation and economic analysis of the protocol and alternatives.

The following topics will be addressed:

  • The current state of the LIBOR transition.
  • The structure of ISDA's transition protocol and guidance on adherence for legacy and new trades.
  • LIBOR cessation events.
  • Fallbacks-SOFR-economic explanation, economic assumptions embedded in the protocol and possible effects.
  • Amendments to the 2006 ISDA Definitions.
  • Documentation alternatives to the protocol - harmonizing the cash and derivatives transition.
  • A cost-benefit analysis of bespoke negotiation.

Background:

Global regulators announced several years ago that 2021 was the target year to transition from LIBOR (London Interbank Offered Rate) to alternative reference rates. In October 2020, after a number of industry consultations, the International Swaps and Derivatives Association (ISDA) published a LIBOR transition protocol and modifications to the 2006 ISDA Definitions in order to implement the LIBOR transition.

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