Regulations Implementing the Adjustable Interest Rate (LIBOR) Act, 5204-5243 [2023-00213]

Download as PDF 5204 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations FEDERAL RESERVE SYSTEM 12 CFR Part 253 [Regulation ZZ; Docket No. R–1775] RIN 7100–AG34 Regulations Implementing the Adjustable Interest Rate (LIBOR) Act Board of Governors of the Federal Reserve System (Board). ACTION: Final rule. AGENCY: The Board is adopting a final rule (final rule) to implement the Adjustable Interest Rate (LIBOR) Act. The final rule establishes benchmark replacements for contracts governed by U.S. law that reference certain tenors of U.S. dollar LIBOR (the overnight and one-, three-, six-, and 12-month tenors) and that do not have terms that provide for the use of a clearly defined and practicable replacement benchmark rate following the first London banking day after June 30, 2023. The final rule also provides additional definitions and clarifications consistent with the Adjustable Interest Rate (LIBOR) Act. DATES: The final rule is effective February 27, 2023. FOR FURTHER INFORMATION CONTACT: David Bowman, Senior Associate Director, 202–452–2334, Division of Monetary Affairs; Lucy Chang, Special Counsel, 202–475–6331, or Cody Gaffney, Senior Attorney, 202–452– 2674, both of the Legal Division; or Lesley Chao, Lead Financial Institution Policy Analyst, 202–974–7063, Division of Supervision and Regulation. For users of TTY–TRS, please call 711 from any telephone, anywhere in the United States. SUPPLEMENTARY INFORMATION: SUMMARY: lotter on DSK11XQN23PROD with RULES2 I. Background A. LIBOR LIBOR, formerly known as the London Interbank Offered Rate, is an interest rate benchmark that was the dominant reference rate used in financial contracts in recent decades and remains in extensive use today, serving as the benchmark rate in more than $200 trillion worth of contracts worldwide.1 While over-the-counter and exchange-traded derivatives account for the vast majority of this estimated exposure to LIBOR, LIBOR is also referenced in trillions of dollars’ worth of business and consumer loans, bonds, securitizations, and nonfinancial corporate contracts. LIBOR is intended to reflect the rate at which large banks can borrow 1 12 U.S.C. 5801(a)(1). VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 wholesale funds on an unsecured basis. LIBOR is calculated based on submissions contributed by a panel of large, globally active banks (LIBOR panel banks). Until December 31, 2021, LIBOR’s administrator calculated and published LIBOR each London business day for five currencies (USD, GBP, EUR, CHF, and JPY) and seven borrowing periods, known as tenors (overnight, one week, one month, two months, three months, six months, and twelve months). Over the past decade, financial regulators have expressed growing concern regarding the structural vulnerabilities and robustness of LIBOR.2 Following the financial crisis of 2007–2009, other forms of borrowing have largely replaced short-term unsecured wholesale borrowing as a source of funds for most banks, resulting in far fewer market transactions on which LIBOR panel banks can base their submissions. At the same time, weaknesses in the governance of LIBOR created the opportunity for LIBOR panel banks to manipulate LIBOR, and numerous high-profile examples of such manipulation were exposed.3 Following these scandals, in 2013, the administration of LIBOR was transferred to a new administrator, ICE Benchmark Administration Limited (IBA), which is regulated by the U.K.’s Financial Conduct Authority (FCA). Despite increased regulatory oversight and efforts to improve LIBOR, confidence in LIBOR continued to wane, and financial regulators and market participants began to search for alternative reference rates and develop plans for a transition away from LIBOR. In the United States, this effort has been led by the Alternative Reference Rates Committee (ARRC), a group of privatesector firms convened jointly by the Board and the Federal Reserve Bank of New York (FRBNY) in 2014.4 Among 2 See e.g., Financial Stability Oversight Council, 2013 Annual Report at 137–42. 3 See, e.g., U.S. Dep’t of Justice, Barclays Bank PLC Admits Misconduct Related to Submissions for London Interbank Offered Rate and the Euro Interbank Offered Rate and Agrees to Pay $160 Million Penalty (June 27, 2012), https:// www.justice.gov/opa/pr/barclays-bank-plc-admitsmisconduct-related-submissions-london-interbankoffered-rate-and; U.S. Dep’t of Justice, Rabobank Admits Wrongdoing in Libor Investigation, Agrees to Pay $325 Million Criminal Penalty (Oct. 29, 2013), https://www.justice.gov/opa/pr/rabobankadmits-wrongdoing-libor-investigation-agrees-pay325-million-criminal-penalty; U.S. Dep’t of Justice, Deutsche Bank’s London Subsidiary Agrees to Plead Guilty in Connection with Long-Running Manipulation of LIBOR (Apr. 23, 2015), https:// www.justice.gov/opa/pr/deutsche-banks-londonsubsidiary-agrees-plead-guilty-connection-longrunning-manipulation. 4 See ARRC, About, https://www.newyorkfed.org/ arrc/about (last visited July 7, 2022). PO 00000 Frm 00002 Fmt 4701 Sfmt 4700 other work, the ARRC identified the Secured Overnight Financing Rate (SOFR) as its recommended replacement for USD LIBOR and developed a Paced Transition Plan to support the transition from USD LIBOR to SOFR.5 SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities.6 Similar groups were convened in other jurisdictions and identified comparable risk-free rates as recommended replacements for the other LIBOR currencies. In July 2017, following the departure of some panel banks, the FCA announced that the remaining LIBOR panel banks had voluntarily agreed to sustain LIBOR through the end of 2021 to facilitate an orderly transition away from LIBOR.7 On March 5, 2021, the FCA announced that, after December 31, 2021, IBA would cease publishing 24 currency and tenor pairs (known as settings). The discontinued LIBOR settings included one-week and twomonth USD LIBOR, as well as all EUR and CHF LIBOR tenors and most GBP and JPY LIBOR tenors.8 However, the FCA required IBA to continue publishing, on a temporary basis, certain GBP and JPY LIBOR tenors on a ‘‘synthetic’’ basis, stating that any such synthetic LIBOR settings ‘‘will no longer be representative of the underlying market and economic reality the setting is intended to measure.’’ 9 To allow most legacy USD LIBOR contracts governed by non-U.S. law to mature without disruption, the FCA also announced that the panels for the 5 ARRC, The ARRC Selects a Broad Repo Rate as its Preferred Alternative Reference Rate (June 22, 2017), https://www.newyorkfed.org/medialibrary/ microsites/arrc/files/2017/ARRC-press-release-Jun22-2017.pdf; ARRC, Second Report (Mar. 2018) at 17, https://www.newyorkfed.org/medialibrary/ Microsites/arrc/files/2018/ARRC-Second-report. 6 SOFR is published daily by the FRBNY in cooperation with the U.S. Department of the Treasury’s Office of Financial Research. See Fed. Res. Bk. of New York, Secured Overnight Financing Rate Data, https://www.newyorkfed.org/markets/ reference-rates/sofr (last visited Nov. 29, 2022). SOFR is calculated as a volume-weighted median of transaction-level tri-party repurchase agreement (repo) data collected from the Bank of New York Mellon, as well as general collateral financing repo transaction data and data on bilateral Treasury repo transactions cleared through the Fixed Income Clearing Corporation’s delivery-versus-payment service, which are obtained from the U.S. Department of the Treasury’s Office of Financial Research. Id. 7 See Andrew Bailey, Chief Executive, FCA, The Future of LIBOR (July 27, 2017), https:// www.fca.org.uk/news/speeches/the-future-of-libor. 8 See FCA, FCA Announcement on Future Cessation and Loss of Representativeness of the LIBOR Benchmarks (Mar. 5, 2021), https:// www.fca.org.uk/publication/documents/futurecessation-loss-representativeness-liborbenchmarks.pdf. 9 Id. E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 remaining five tenors of USD LIBOR would continue through, but cease after, June 30, 2023. The FCA has proposed to require IBA to continue publishing one-, three-, or six-month USD LIBOR on a synthetic basis until the end of September 2024 (synthetic LIBOR).10 As with synthetic GBP or JPY LIBOR settings, the FCA has announced that synthetic LIBOR settings are ‘‘not representative of the markets that the original LIBOR settings were intended to measure.’’ 11 In response to the planned cessation of USD LIBOR, U.S. financial regulators have encouraged market participants to transition away from USD LIBOR as a reference rate as soon as practicable. For example, in November 2020, the Office of the Comptroller of the Currency (OCC), the Board, and the Federal Deposit Insurance Corporation (FDIC) issued an interagency statement stating that banking organizations generally should not enter into new contracts referencing USD LIBOR after December 31, 2021.12 The ARRC and other private industry groups also have worked to encourage an orderly transition away from USD LIBOR. For example, as discussed further below, the International Swaps and Derivatives Association (ISDA) has developed a contractual protocol by which parties to derivative transactions governed by ISDA documentation and other financial contracts can agree to incorporate more robust contractual fallback provisions that replace references to LIBOR with an alternative benchmark based on SOFR in the event that a given LIBOR rate ceases publication or is found by the FCA to no longer be representative.13 The ARRC has developed guiding principles for similar fallback language for cash products such as business loans, securitizations, floating rating notes, and consumer products, including specific recommended 10 See FCA, Further Consultation and Announcements on the Wind-down of LIBOR (Nov. 23, 2022), https://www.fca.org.uk/news/newsstories/further-consultation-announcements-winddown-libor (discussing further consultation on synthetic LIBOR, https://www.fca.org.uk/ publication/consultation/cp22-21.pdf). 11 See FCA, Consultation on ‘Synthetic’ US Dollar LIBOR and Feedback to CP22/11 ¶ 1.7 (Nov. 2022), https://www.fca.org.uk/publication/consultation/ cp22-21.pdf; see also FCA, FCA Announcement on Future Cessation and Loss of Representativeness of the LIBOR Benchmarks (Mar. 5, 2021), https:// www.fca.org.uk/publication/documents/futurecessation-loss-representativeness-liborbenchmarks.pdf. 12 See Board, FDIC, OCC, Statement on LIBOR Transition (Nov. 30, 2020), https:// www.federalreserve.gov/supervisionreg/srletters/ SR2027a1.pdf. 13 ISDA, ISDA 2020 IBOR Fallbacks Protocol, https://www.isda.org/protocol/isda-2020-iborfallbacks-protocol/. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 language for certain cash products.14 ISDA’s IBOR protocol and the ARRC fallback language recommendations were both subject to numerous public consultations, and they have received widespread adoption subsequent to their release.15 B. Legacy Contracts and the Adjustable Interest Rate (LIBOR) Act Notwithstanding governmental and private-sector efforts to encourage market participants to prepare for the cessation of USD LIBOR, there are a significant number of existing contracts that reference USD LIBOR. Of particular concern are so-called ‘‘tough legacy contracts,’’ which are contracts that reference USD LIBOR and will not mature by June 30, 2023, but which lack adequate fallback provisions providing for a clearly defined or practicable replacement benchmark following the cessation of USD LIBOR. To address these tough legacy contracts, multiple states adopted legislation, initially proposed by the ARRC, to provide a statutory remedy for financial contracts governed by the laws of the enacting states that reference USD LIBOR, will not mature until after USD LIBOR ceases or becomes nonrepresentative, and have no effective means to replace USD LIBOR after it ceases or becomes nonrepresentative.16 While these state laws provided a solution for a large 14 See, e.g., ARRC, ARRC Guiding Principles for More Robust LIBOR Fallback Contract Language in Cash Products (July 9, 2018), https:// www.newyorkfed.org/medialibrary/Microsites/arrc/ files/2018/ARRC-principles-July2018; ARRC, Summary of ARRC’s LIBOR Fallback Language (Nov. 15, 2019), https://www.newyorkfed.org/ medialibrary/Microsites/arrc/files/2019/LIBOR_ Fallback_Language_Summary; ARRC, ARRC Recommendations Regarding More Robust Fallback Language for New Issuance of LIBOR Securitizations (May 31, 2019), https:// www.newyorkfed.org/medialibrary/Microsites/arrc/ files/2019/Securitization_Fallback_Language.pdf; ARRC, ARRC Recommendations Regarding More Robust LIBOR Fallback Contract Language for New Closed-End, Residential Adjustable Rate Mortgages (Nov. 15, 2019), https://www.newyorkfed.org/ medialibrary/Microsites/arrc/files/2019/ARM_ Fallback_Language.pdf. 15 See, e.g., ISDA, ISDA 20202 IBOR Fallbacks Protocol—List of Adhering Parties, https:// www.isda.org/protocol/isda-2020-ibor-fallbacksprotocol/adhering-parties (last visited Nov. 29, 2022). The U.S. Department of Justice (DOJ) also reviewed ISDA’s IBOR protocol, concluded that it is unlikely to harm competition, and stated that the DOJ would not challenge ISDA’s IBOR protocol under federal antitrust laws. See DOJ, Justice Department Issues Favorable Business Review Letter to ISDA for Proposed Amendments to Address Interest Rate Benchmarks (Oct. 1, 2020), https://www.justice.gov/opa/pr/justice-departmentissues-favorable-business-review-letter-isdaproposed-amendments-address. 16 See, e.g., N.Y. Gen. Oblig. Law art. 18–C; Ala. Code tit. 5, ch. 28; Fla. Stat. 687.15; Tenn. Code Ann. sec. 47–33–101 et seq.; Ind. Code 28–10–2; Neb. Rev. Stat. 8–3101 et seq. PO 00000 Frm 00003 Fmt 4701 Sfmt 4700 5205 number of tough legacy contracts, further legislative action was needed to address tough legacy contracts governed by the laws of other states. Recognizing the need for a uniform, nationwide solution for replacing references to USD LIBOR in tough legacy contracts, on March 15, 2022, Congress enacted the Adjustable Interest Rate (LIBOR) Act (the ‘‘LIBOR Act’’) as part of the Consolidated Appropriations Act, 2022.17 Among other things, the LIBOR Act lays out a set of default rules that apply to tough legacy contracts subject to U.S. law. The LIBOR Act broadly distinguishes between three categories of LIBOR contracts with different types of fallback provisions. For these purposes, the LIBOR Act defines ‘‘LIBOR contract’’ broadly to include any obligation or asset that, by its terms, uses the overnight, one-month, three-month, sixmonth, or 12-month tenors of USD LIBOR as a benchmark.18 Consistent with this definition, the final rule and the remainder of the discussion will focus on these stated tenors of USD LIBOR only. The LIBOR Act defines ‘‘fallback provisions’’ to mean the terms in a LIBOR contract for determining a benchmark replacement, including any terms relating to the date on which the benchmark replacement becomes effective.19 The first category of LIBOR contracts encompasses contracts that contain fallback provisions identifying a specific benchmark replacement that is not based in any way on any USD LIBOR values (except to account for the difference between LIBOR and the benchmark replacement) and that do not require any person (other than a benchmark administrator) to conduct a poll, survey, or inquiries for quotes or information concerning interbank lending or deposit rates.20 These LIBOR 17 Public Law 117–103, div. U, codified at 12 U.S.C. 5801 et seq. 18 See 12 U.S.C. 5802(16) (definition of ‘‘LIBOR contract’’), 5802(15) (definition of ‘‘LIBOR’’). The LIBOR Act does not apply to contracts that use the one-week or two-month tenors of USD LIBOR as a benchmark. Id. The LIBOR Act defines ‘‘benchmark’’ to mean an index of interest rates or dividend rates that is used, in whole or in part, as the basis of or as a reference for calculating or determining any valuation, payment, or other measurement. 12 U.S.C. 5802(1). 19 12 U.S.C. 5802(11). The LIBOR Act defines ‘‘benchmark replacement’’ to mean a benchmark, or an interest rate or dividend rate (which may or may not be based in whole or in part on a prior setting of LIBOR), to replace LIBOR or any interest rate or dividend rate based on LIBOR, whether on a temporary, permanent, or indefinite basis, under or with respect to a LIBOR contract. 12 U.S.C. 5802(3). 20 See 12 U.S.C. 5803(b). The LIBOR Act defines ‘‘benchmark administrator’’ to mean a person that E:\FR\FM\26JAR2.SGM Continued 26JAR2 5206 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 contracts generally can be expected to transition to the contractually agreedupon benchmark replacement as provided by their fallback provisions on or before the LIBOR replacement date— the first London banking day after June 30, 2023 (unless the Board determines that any LIBOR tenor will cease to be published or cease to be representative on a different date).21 The second category of LIBOR contracts encompasses (i) contracts that contain no fallback provisions, as well as (ii) LIBOR contracts with fallback provisions that do not identify a determining person (as described below) and that only (A) identify a benchmark replacement that is based in any way on USD LIBOR values (except to account for the difference between LIBOR and the benchmark replacement) or (B) require that a person (other than a benchmark administrator) conduct a poll, survey, or inquiries for quotes or information concerning interbank lending or deposit rates.22 For this second category of LIBOR contracts, the LIBOR Act provides that the benchmark replacement on the LIBOR replacement date will be the Board-selected benchmark replacement identified by the Board, which must be based on SOFR and include the tenor spread adjustments required under the LIBOR Act.23 Thus, any references to USD LIBOR in LIBOR contracts in this second category will, by operation of law, be replaced by the Board-selected benchmark replacement on the LIBOR replacement date. For contracts that fall into this second category, the LIBOR Act provides a series of statutory protections, including that no person shall be subject to any claim or cause of action in law or equity or request for equitable relief, or have liability for damages, arising out of the use of the Board-selected benchmark replacement as a benchmark replacement.24 These statutory publishes a benchmark for use by third parties. 12 U.S.C. 5802(2). 21 12 U.S.C. 5803(f)(2); see also 12 U.S.C. 5802(17) (definition of ‘‘LIBOR replacement date’’). The Board has not determined, and does not expect to determine, a LIBOR replacement date earlier than the first London banking day after June 30, 2023. 22 The LIBOR Act deems these types of fallback provisions to be null and void by operation of law. 12 U.S.C. 5803(b). To the extent a LIBOR contract contains fallback provisions that would be applied ahead of another, separate benchmark replacement, then under the LIBOR Act, these fallback provisions would be disregarded and the separate benchmark replacement would apply. 23 12 U.S.C. 5803(a)–(b); see also 12 U.S.C. 5802(6) (definition of ‘‘Board-selected benchmark replacement’’). 24 12 U.S.C. 5804(a)–(b), (c)(1), (d). VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 provisions are described in more detail below. The third category of LIBOR contracts encompasses LIBOR contracts that contain fallback provisions authorizing a determining person to determine a benchmark replacement.25 The application of the LIBOR Act to LIBOR contracts in this third category depends on the determination, if any, made by the determining person. Where a determining person does not select a benchmark replacement by the LIBOR replacement date or the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract (whichever is earlier), the LIBOR Act provides that the benchmark replacement for such LIBOR contract will be, by operation of law, the Boardselected benchmark replacement on and after the LIBOR replacement date.26 Where a determining person selects the Board-selected benchmark replacement as the benchmark replacement, the LIBOR Act provides that such selection shall be (i) irrevocable, (ii) made by the earlier of the LIBOR replacement date and the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract, and (iii) used in any determinations of the benchmark under or with respect to the LIBOR contract occurring on and after the LIBOR replacement date.27 Although the LIBOR Act does not require a determining person to select the Board-selected benchmark replacement as the benchmark replacement for a LIBOR contract, the statute provides a series of statutory protections for any determining person who does so, including that a determining person generally shall not be subject to any claim or cause of action in law or equity or request for equitable relief, or have liability for damages, arising out of the selection of the Board-selected benchmark replacement as a benchmark replacement.28 Where the Board-selected benchmark replacement becomes the benchmark replacement for a LIBOR contract (either by operation of law or through the selection of a determining person), the LIBOR Act contemplates that certain 25 The LIBOR Act defines ‘‘determining person’’ to mean, with respect to any LIBOR contract, any person with the authority, right, or obligation, including on a temporary basis (as identified by the LIBOR contract or by the governing law of the LIBOR contract, as appropriate) to determine a benchmark replacement. 12 U.S.C. 5802(10). 26 12 U.S.C. 5803(c)(3). 27 12 U.S.C. 5803(c)(2). 28 12 U.S.C. 5804(c)(1)–(2), 5804(a)–(d). This statutory safe harbor also applies to the use of the Board-selected benchmark replacement other than at the selection of a determining person. PO 00000 Frm 00004 Fmt 4701 Sfmt 4700 conforming changes to a LIBOR contract may be necessary to facilitate the transition from USD LIBOR to the Board-selected benchmark replacement. These ‘‘benchmark replacement conforming changes’’ may arise in one of two ways. First, the LIBOR Act authorizes the Board to determine benchmark replacement conforming changes that, in its discretion, would address one or more issues affecting the implementation, administration, and calculation of the Board-selected benchmark replacement in LIBOR contracts.29 Second, for a LIBOR contract that is not a consumer loan, a calculating person may, in its reasonable judgment, determine that benchmark replacement conforming changes are otherwise necessary or appropriate to permit the implementation, administration, and calculation of the Board-selected benchmark replacement under or with respect to a LIBOR contract after giving due consideration to any benchmark replacement conforming changes determined by the Board.30 For this purpose, the LIBOR Act defines ‘‘calculating person’’ to mean, with respect to any LIBOR contract, any person, including the determining person, responsible for calculating or determining any valuation, payment, or other measurement based on a benchmark.31 The LIBOR Act provides that all benchmark replacement conforming changes (whether determined by the Board or, if applicable, a calculating person) shall become an integral part of the LIBOR contract, and a calculating person shall not be required to obtain consent from any other person prior to the adoption of benchmark replacement conforming changes.32 In addition, the determination, implementation, and performance of benchmark replacement conforming changes are generally subject to certain statutory protections provided by the LIBOR Act, which are designed to ensure continuity of contract.33 Finally, where a calculating person implements or (in the case of a LIBOR contract that is not a consumer loan) determines benchmark replacement conforming changes, the LIBOR Act provides that the calculating person shall not be subject to any claim 29 12 U.S.C. 5802(4)(A). U.S.C. 5802(4)(B). The LIBOR Act defines ‘‘consumer loan’’ to mean a consumer credit transaction, which is defined by cross-reference to the Truth in Lending Act. 12 U.S.C. 5802(9) (definition of ‘‘consumer loan); 5802(8) (definitions of ‘‘consumer’’ and ‘‘credit’’). 31 12 U.S.C. 5802(7). 32 12 U.S.C. 5803(d). 33 See 12 U.S.C. 5804(a)–(d). 30 12 E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations or cause of action in law or equity or request for equitable relief, or have liability for damages.34 The LIBOR Act includes various other provisions beyond the main operative provisions and statutory protections described above. For example, the LIBOR Act generally provides that a bank may use any benchmark (including a benchmark that is not SOFR) in any non-IBOR loan made before, on, or after the date of enactment of the LIBOR Act that the bank determines to be appropriate, and that no Federal supervisory agency may take enforcement or supervisory action against the bank solely because that benchmark is not SOFR.35 Other provisions of the LIBOR Act amend the Trust Indenture Act of 1939 (15 U.S.C. 77ppp(b)) and the Higher Education Act of 1965 (20 U.S.C. 1087–1(b)(2)(I)), respectively, to facilitate the transition from USD LIBOR.36 Finally, the LIBOR Act expressly preempts any provision of State or local law relating to the selection or use of a benchmark replacement or related conforming changes, or expressly limiting the manner of calculating interest (including the compounding of interest) as that provision applies to the selection or use of a Board-selected benchmark replacement or benchmark replacement conforming changes.37 In July 2022, the Board invited public comment on a notice of proposed rulemaking (proposed rule) to implement the LIBOR Act.38 The comment period ended on August 29, 2022. lotter on DSK11XQN23PROD with RULES2 II. Overview of the Final Rule As required by the LIBOR Act, the Board’s final rule identifies SOFR-based Board-selected benchmark replacements for LIBOR contracts that will not mature prior to the LIBOR replacement date and do not contain clear and practicable benchmark replacements. The final rule identifies different SOFR-based Boardselected benchmark replacements for different categories of LIBOR contracts. In addition, the final rule identifies certain benchmark replacement conforming changes related to the implementation, administration, and calculation of the Board-selected benchmark replacement. Consistent with the LIBOR Act, the final rule also expressly indicates that a determining person may select the Board-selected 34 12 U.S.C. 5804(c). U.S.C. 5805. 36 LIBOR Act sections 108–09, codified at 15 U.S.C. 77ppp(b) and 20 U.S.C. 1087–1(b)(2)(I). 37 12 U.S.C. 5806. 38 87 FR 45268 (July 28, 2022). 35 12 VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 benchmark replacement for the relevant type of LIBOR contract, with any applicable benchmark replacement conforming changes. In addition, the final rule expressly provides that the LIBOR Act’s protections related to the selection or use of the Board-selected benchmark replacement shall apply to any LIBOR contract for which the Board-selected benchmark replacement becomes the benchmark replacement (whether by operation of law or by the selection of a determining person). Finally, the final rule indicates that, under the LIBOR Act, the Board’s final rule preempts any state or local law or standard relating to the selection or use of a benchmark replacement or conforming changes. III. Summary of Public Comments The Board received 29 comment letters in response to the proposed rule.39 Commenters included eight banks and banking trade associations; six other trade associations; four government-sponsored enterprises; four consultants and researchers; three individuals; one government agency; one consortium of consumer groups; and two anonymous comments. Ten of these comment letters included an explicit statement of support for the proposal. One commenter opposed the proposal based on disagreement with the policy objectives of the LIBOR Act.40 The LIBOR Act is federal law, and the Board is required to implement the LIBOR Act consistent with the stated policy objectives of Congress. As described below, the Board’s discretion under the LIBOR Act is limited to identifying SOFR-based Board selected benchmark replacements for LIBOR contracts subject to the act, plus a few other narrow areas. Most of the remaining commenters provided feedback on various topics related to the proposal (including the proposed Board-selected benchmark replacements for specific categories of contracts, synthetic LIBOR, conforming 39 Two of these commenters submitted additional comment letters that supplemented their original comment letters; these supplemental comment letters have not been included in the count of 29 comment letters. In addition, the count of 29 comment letters does not include two comment letters submitted to the Board that addressed topics unrelated to the LIBOR Act. 40 This commenter referenced the manipulation of LIBOR by panel banks and indicated that the identification of Board-selected benchmark replacements under the LIBOR Act and proposal would be most likely to benefit banks rather than certain individuals who may not be able directly to obtain LIBOR-based financing. The commenter further criticized the proposal for failing to address various social issues outside the scope of the LIBOR Act, including ethics standards and climate change effects. PO 00000 Frm 00005 Fmt 4701 Sfmt 4700 5207 changes, and certain protections expressly provided by the LIBOR Act), but did not express support or opposition for the overall proposal. Feedback from commenters related to particular aspects of the proposal is discussed, as applicable, in section IV. One commenter provided feedback on the Board’s analysis of the proposed rule under the Regulatory Flexibility Act. This comment is discussed in more detail in section V. Finally, a commenter requested that the prudential regulators engage in specific efforts to educate banks, consumers, other issuers of financial products, and impacted industry groups, potentially through partnerships with industry groups and capital market participants, on (i) the need to transition away from LIBOR to viable alternative rates like SOFR, and (ii) the likely impact such transition would have on financial instruments that currently reference LIBOR. As previously discussed, U.S. financial regulators have encouraged banks and market participants over the past several years to transition away from USD LIBOR as a reference rate as soon as practicable, including through issuance of an interagency statement.41 In addition, the ARRC and third parties such as ISDA have engaged in significant efforts to facilitate and to educate parties on the transition away from LIBOR as LIBOR’s cessation grows closer. Based on these and other industry efforts, the Board believes that ample information is available concerning the transition away from LIBOR. IV. Section-by-Section Analysis A. Section 253.1—Authority, Purpose, and Scope Section 253.1 of the final rule sets forth the authority for, purpose of, and scope of the final rule. Significantly, and consistent with the statute as described above, the final rule does not apply to (i) contracts that do not reference the overnight or one-, three-, six-, or 12-month tenors of LIBOR or (ii) LIBOR contracts that have fallback provisions providing for the use of a clearly defined and practicable replacement benchmark for LIBOR (including LIBOR contracts where the determining person selects a benchmark replacement other than the Boardselected benchmark replacement), except as provided in § 253.3(a)(1)(iii) and (c), which is discussed further 41 See, e.g., Board, FDIC, OCC, Statement on LIBOR Transition (Nov. 30, 2020), https:// www.federalreserve.gov/supervisionreg/srletters/ SR2027a1.pdf. E:\FR\FM\26JAR2.SGM 26JAR2 5208 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations below.42 The proposed rule included a similar provision that received a small number of comments.43 Section 253.1 also clarifies that any determining person’s selection of the applicable Board-selected benchmark replacement is subject to §§ 253.4 (identifying Boardselected benchmark replacements for specific categories of LIBOR contracts), 253.5 (concerning benchmark replacement conforming changes), 253.6 (concerning preemption), and 253.7 (concerning statutory protections for the selection or use of the Board-selected benchmark replacement). The rule also applies only to existing contracts governed by federal law or the law of any state. In addition, consistent with the LIBOR Act, § 253.1 states that the parties to a LIBOR contract may, by written agreement, specify that a LIBOR contract shall not be subject to the rule.44 lotter on DSK11XQN23PROD with RULES2 B. Section 253.2—Definitions Section 253.2 provides definitions for many of the terms used in the rule. As with the proposal, most of the defined terms in § 253.2 are substantially the same as the defined terms in the LIBOR Act. However, § 253.2 includes additional definitions for the terms ‘‘30day Average SOFR,’’ ‘‘90-day Average SOFR,’’ ‘‘CME Term SOFR,’’ ‘‘derivative transaction,’’ ‘‘derivative transaction fallback observation day,’’ ‘‘Federal Housing Finance Agency (FHFA)regulated entity,’’ ‘‘Federal Family Education Loan Program (FFELP) AssetBacked Securitization (ABS),’’ ‘‘FHFAregulated-entity contract,’’ ‘‘ISDA protocol,’’ and ‘‘relevant benchmark administrator,’’ each of which is discussed below in connection with their use in § 253.4 or § 253.5, as applicable.45 For ease of reference, the 42 12 U.S.C. 5803(f)(2)–(3). However, consistent with the LIBOR Act, the final rule applies to LIBOR contracts that identify a determining person if the determining person has not selected a benchmark replacement by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the contract. See section 253.3(a)(1)(iii). In addition, the final rule mirrors provisions in the LIBOR Act related to any selection by a determining person of the Board-selected benchmark replacement. See section 253.3(c). 43 Some commenters indicated that the proposed rule did not match the precise language of the LIBOR Act with respect to LIBOR contracts subject to the statute. These comments are discussed in more detail in section IV.C. 44 See 12 U.S.C. 5803(f)(1). 45 One commenter indicated that some mortgage contracts may include provisions referencing a LIBOR ‘‘index’’ which the commenter believed should be interpreted to mean 12-month LIBOR based on ‘‘common use of the term ‘index.’ ’’ That commenter suggested defining the term by regulation, since mortgage lenders otherwise may seek to broaden that definition. The LIBOR Act applies on an individual contract basis and looks VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 ISDA protocol in its entirety is republished in appendix A of the final rule. Definition of ‘‘determining person.’’ Several commenters requested that the term ‘‘determining person’’ be defined to include persons with the right to select a replacement benchmark even if that right would vest only in the future or is subject to some contingency. The definition of ‘‘determining person’’ in section 103(10) of the LIBOR Act does not specify whether a determining person must have a current authority, right, or obligation to determine a benchmark replacement, or whether a person with a contingent authority, right, or obligation to determine a benchmark replacement also is a determining person. The final rule clarifies this statutory ambiguity by defining the term ‘‘determining person’’ to include any person with the authority, right, or obligation, including on a temporary basis (as identified by the LIBOR contract or by the governing law of the LIBOR contract, as appropriate) to determine a benchmark replacement, whether or not the person’s authority, right, or obligation is subject to any contingencies specified in the LIBOR contract or by the governing law of the LIBOR contract. The Board believes that this clarification is consistent with Congressional intent and will promote a smooth transition away from LIBOR for contracts that authorize a person to select a benchmark replacement when LIBOR becomes unavailable or nonrepresentative. Under the final rule, such a person will qualify as a determining person before LIBOR becomes unavailable or nonrepresentative, and therefore will have a statutory right under section 104(c)(1) and (c)(2) of the LIBOR Act to select the Board-selected benchmark replacement by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract.46 The Board notes that, if the term ‘‘determining person’’ were interpreted to be limited only to persons with a to the particular provisions and definitions of that contract to evaluate whether the LIBOR Act applies. The final rule similarly applies to contracts on an individual basis, following evaluation of that contract’s provisions. As a result, the Board does not believe it would be reasonable to adopt one definition of ‘‘index’’. However, the Board observes that the final rule, consistent with the LIBOR Act, replaces the specific tenor of LIBOR referenced in the LIBOR contract with a corresponding Boardselected benchmark replacement that incorporates the applicable tenor spread adjustment specified by the LIBOR Act. 46 See 12 U.S.C. 5803(c)(1)–(2). PO 00000 Frm 00006 Fmt 4701 Sfmt 4700 current authority, right, or obligation to select a benchmark replacement, then, under certain LIBOR contracts, a person with a right to select a benchmark replacement when LIBOR becomes unavailable or non-representative would not become a determining person until the LIBOR replacement date—when LIBOR will actually become unavailable or non-representative. Accordingly, that person would need to wait until the LIBOR replacement date to exercise the statutory right under section 104(c)(1) and (c)(2) of the LIBOR Act to select the Board-selected benchmark replacement. The Board believes that this outcome— and the market disruption that would likely result from determining persons not selecting a benchmark replacement until the LIBOR replacement date— would be inconsistent with the Congressional intent to facilitate a smooth transition away from LIBOR and avoid disruptive litigation. A commenter also requested that the final rule clarify that a ‘‘determining person’’ must have sole authority to decide a benchmark replacement and would not include a person who is required under the LIBOR contract to collaborate with other persons. The final rule clarifies that the term ‘‘determining person’’ refers to a person with sole authority, right, or obligation, including on a temporary basis, to determine a benchmark replacement. Particularly when considered in the context of the various protections provided by the LIBOR Act with respect to a determining person’s selection of the Board-selected benchmark replacement, the most sensible interpretation is that such a selection would be made by only one person, rather than some group.47 Finally, as requested by a commenter, the Board hereby clarifies that a determining person selecting a Boardselected benchmark replacement pursuant to the authority and statutory protections of the LIBOR Act must choose the Board-selected benchmark replacement identified in § 253.4 for that contract type. C. Section 253.3—Applicability Section 253.3 addresses the applicability of the regulation to LIBOR contracts. Specifically, for the following LIBOR contracts, the applicable Boardselected benchmark replacement indicated in § 253.4 of the final rule shall be the benchmark replacement for the contract on and after the LIBOR replacement date unless an express exception applies: (i) LIBOR contracts that contain no fallback provisions; (ii) LIBOR contracts that contain fallback 47 See, E:\FR\FM\26JAR2.SGM e.g., 12 U.S.C. 5803(c), 5804(c). 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 provisions that identify neither a specific benchmark replacement nor a determining person; and (iii) LIBOR contracts that contain fallback provisions that identify a determining person, but where the determining person has not selected a benchmark replacement by the earlier of the LIBOR replacement date and the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract, for any reason.48 In evaluating whether a LIBOR contract has any of these characteristics on the LIBOR replacement date, the final rule mirrors the statute and disregards any reference in any fallback provisions of a LIBOR contract to the following: (i) a benchmark replacement that is based in any way on any LIBOR value, except to account for the difference between LIBOR and the benchmark replacement; or (ii) a requirement that a person (other than a benchmark administrator) conduct a poll, survey, or inquiries for quotes or information concerning interbank lending or deposit rates (collectively, ‘‘LIBOR- or poll-based fallback provisions’’).49 For example, if a LIBOR contract specifies the last published LIBOR value will be used if LIBOR is not published, but contains no other fallback provisions, then, pursuant to § 253.3(a)(2), this language would be disregarded as of the LIBOR replacement date. As a result, on the LIBOR replacement date, the LIBOR contract would be treated as having no fallback provisions and would transition to the Board-selected benchmark replacement under the final rule. Consistent with the LIBOR Act, § 253.3(b) lists three types of contracts that generally would not be subject to the act: (i) any LIBOR contract that the parties have agreed in writing shall not be subject to the act; (ii) any LIBOR contract that contains fallback provisions that identify a benchmark replacement that is not based in any way on any LIBOR value (including the prime rate or the effective Federal Funds rate), after disregarding any LIBOR- or poll-based fallback provisions; and (iii) any LIBOR contract as to which a determining person does not elect to use the Board-selected benchmark replacement, again after disregarding any LIBOR- or poll-based 48 Section 253.3(a) of the final rule. 49 Section 253.3(a)(2) of the final rule. Under the statute, any such references in any fallback provisions of the LIBOR contract would be disregarded as if not included in the fallback provisions of the contract and would be deemed null and void and without any force or effect. 12 U.S.C. 5803(b). VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 fallback provisions.50 Importantly, however, even if a determining person does not elect to use the Board-selected benchmark replacement, the LIBOR contract will transition to the Boardselected benchmark replacement by operation of law if the determining person does not select any benchmark replacement by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract.51 The proposed rule would have defined the term ‘‘covered contract’’ to mean those contracts that would be subject to the proposed rule and would transition to the applicable Boardselected benchmark replacement on and after the LIBOR replacement date. Similarly, the proposed rule would have defined the term ‘‘non-covered contract’’ to mean those contracts that generally would not be subject to the proposed rule. However, the proposed rule would have clarified that a determining person may select the Board-selected benchmark replacement specified in § 253.4 of the proposed rule as the benchmark replacement for a LIBOR contract, consistent with the LIBOR Act.52 Several commenters indicated that the proposed rule’s definitions of ‘‘covered contract’’ and ‘‘non-covered contract’’ did not fully align with the provisions of the LIBOR Act and were confusing. Therefore, these commenters recommended eliminating these terms. To avoid confusion, the final rule does not employ those terms and instead hews closely to the text of the LIBOR Act. A commenter requested that the Board clarify that a determining person may ‘‘transition’’ to the Board-selected benchmark replacement by the LIBOR replacement date or the first reset date following that date, which the commenter argued was the same as a practical matter. The LIBOR Act authorizes a determining person to select the Board-selected benchmark replacement, but requires the determining person to make such selection by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the contract.53 As a result, a determining person may not select the Board-selected benchmark 50 Section 253.3(b) of the final rule. As discussed further in section IV.G, nothing in the final rule is intended to alter or modify the availability or effect of the provisions of section 105(e) of the LIBOR Act, and those provisions may apply to these LIBOR contracts. See 12 U.S.C. 5804(e). 51 Section 253.3(a)(1)(iii) of the final rule. 52 Section 253.3(b)(2) of the proposed rule. 53 12 U.S.C. 5803(c)(2)(B). PO 00000 Frm 00007 Fmt 4701 Sfmt 4700 5209 replacement on any date after the LIBOR replacement date, including the first reset date following the LIBOR replacement date, and rely on the LIBOR Act’s protections for such a selection. The final rule mirrors the statute by authorizing a determining person to select the Board-selected benchmark replacement by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the contract.54 The Board notes that, under the LIBOR Act and the final rule, a determining person’s inaction with respect to selecting a benchmark replacement by the LIBOR replacement date will, in the absence of another fallback provision in the LIBOR contract identifying a clear and practicable benchmark replacement, cause the LIBOR contract to transition to the Board-selected benchmark replacement rate by operation of law.55 In its proposal, the Board invited public comment as to whether the final rule should require a determining person to provide notice to one or more parties concerning the determining person’s selection. Multiple commenters recommended that the final rule not impose any notice requirements on determining persons. No commenter expressed support for the imposition of notice requirements on determining persons. As a result, the final rule does not include impose any notice requirements. Eurodollar deposit and lending rates. Some commenters requested clarification that a fallback provision that requires an inquiry for Eurodollar deposit or lending rates would be considered a LIBOR- or poll-based fallback provision that should be disregarded under the LIBOR Act and the final rule.56 Eurodollars are 54 Section 253.3(c) of the final rule. Although selection of the benchmark replacement must occur by this date, since the LIBOR Act does not affect or alter the payment or reset dates under the LIBOR contract, the actual replacement of LIBOR for payment purposes may not occur until the first reset date after the LIBOR replacement date. 55 12 U.S.C. 5803(c)(3); see also § 253.3(a)(1)(iii) of the final rule. 56 Section 253.3(a)(2) of the final rule; 12 U.S.C. 5803(b). Under the statute, any such references in any fallback provisions of the LIBOR contract would be disregarded as if not included in the fallback provisions of the contract and would be deemed null and void and without any force or effect. 12 U.S.C. 5803(b). Another commenter argued that fallback provisions referencing any third-party funding rate or certificate of deposit rate also should be disregarded, regardless of the method by which such rates would be obtained. Such treatment, however, would be inconsistent with the text of the LIBOR Act, which considers the methodology by which interbank lending or deposit rate information E:\FR\FM\26JAR2.SGM Continued 26JAR2 5210 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 unsecured U.S. dollar deposits held at banks or bank branches outside of the United States, and many institutional parties, including foreign central banks, are active lenders in the Eurodollar market.57 U.S. depository institutions and U.S. branches of foreign banks indirectly borrow in Eurodollars by accepting Eurodollar deposits through offshore branches and then transferring the funds onshore.58 The Board has therefore clarified that Eurodollar deposit and lending rates are ‘‘interbank lending or deposit rates’’ for purposes of the LIBOR rule. Accordingly, any requirement to conduct an inquiry concerning Eurodollar deposit and lending rates in fallback provisions of LIBOR contracts should be disregarded as if not included in those fallback provisions and deemed null and void and without any force or effect for purposes of the final rule. Should the LIBOR contract not identify either (i) a determining person or (ii) another clear and practicable benchmark replacement recognized under the LIBOR Act, the LIBOR contract will transition to the applicable Board-selected benchmark replacement under the final rule. Relatedly, one commenter requested that the Board clarify how the rule applies to LIBOR contracts that give a determining person the right, authority, or obligation to select an ‘‘alternative index’’ or ‘‘alternative comparable index’’ that is ‘‘used for determining Eurodollar lending rates’’ (‘‘Eurodollar DP contracts’’). Section 104(c) of the LIBOR Act generally creates a statutory right for a determining person to select the Board-selected benchmark replacement; however, under section 104(f)(2) of the LIBOR Act, a determining person cannot exercise this right if the LIBOR contract identifies a benchmark replacement that is not based on any LIBOR value, such as the prime rate or the effective Federal funds rate. The commenter requested confirmation that references in Eurodollar DP contracts to an alternative index ‘‘used for determining Eurodollar lending rates’’ do not ‘‘identify a benchmark replacement’’ for purposes of section 104(f)(2), and thus that a would be obtained. See id. It also would conflict with other provisions of the LIBOR Act, such as section 104(f)(2), which expressly indicates that the act does not alter or impair fallback provisions that identify a benchmark replacement that is not based in any way on any LIBOR value, including the prime rate or the effective Federal funds rate. 12 U.S.C. 5803(f)(2). 57 Marco Cipriani and Julia Gouny, The Eurodollar Market in the United States, Liberty Street Economics (May 27, 2015), https:// libertystreeteconomics.newyorkfed.org/2015/05/theeurodollar-market-in-the-united-states. 58 Id. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 determining person for a Eurodollar DP contract may select the Board-selected benchmark replacement pursuant to section 104(c) of the LIBOR Act. Section 104(f)(2) of the LIBOR Act is intended to exclude from the act’s scope only those contracts that identify a specific benchmark replacement such as the prime rate. Eurodollar DP contracts provide certain guidelines for determining persons to follow in selecting a benchmark replacement, but they do not identify a specific benchmark replacement. Accordingly, the Board confirms that a determining person for a Eurodollar DP contract may exercise the statutory right to select the Board-selected benchmark replacement under section 104(c) of the LIBOR Act and § 253.3(c) of the final rule.59 Other provisions of LIBOR contracts. The final rule includes a new paragraph stating that LIBOR contracts that transition to the Board-selected benchmark replacement generally will not have their other provisions altered or impaired by the final rule.60 For example, the final rule states that provisions specifying the date for determining a benchmark (except in the case of derivative transactions and Federal Home Loan Bank advances, as discussed in more detail in section IV.D) would not be affected. This example is similar to a provision in the proposed rule that indicated that selection and use of the Board-selected benchmark replacement would not affect the dates on which the contractual rates are determined.61 Other contractual provisions that the final rule expressly does not affect include, but are not limited to, (i) provisions specifying rounding conventions for a benchmark; (ii) provisions referencing LIBOR or any LIBOR value prior to the LIBOR replacement date (including any provision requiring a person to look back to a LIBOR value as of a date preceding the LIBOR replacement date); (iii) provisions applying any cap, floor, modifier, or spread adjustment to which LIBOR had been subject pursuant to the terms of a LIBOR contract; (iv) certain provisions of Federal consumer financial law; and (v) except as provided in 12 U.S.C. 5804(c), the rights or obligations of any person, or the 59 The Board notes, however, that this statutory right would not be available to the determining person if the LIBOR contract does identify a specific benchmark replacement such as the prime rate. 60 Section 253.3(d) of the final rule. 61 Section 253.4(d) of the proposed rule. The proposed rule generally would have replaced references to ‘‘LIBOR’’ in LIBOR contracts with the proposed Board-selected benchmark replacement, without any modification of other contractual provisions. 87 FR 45268, 45276 (July 28, 2022). PO 00000 Frm 00008 Fmt 4701 Sfmt 4700 authorities of any agency, under Federal consumer financial law, as defined in 12 U.S.C. 5481.62 Some commenters had requested that the final rule expressly state its impact on these types of provisions, particularly provisions specifying rounding conventions or lookback periods that straddle the LIBOR replacement date, perhaps as benchmark replacement conforming changes. The Board believes it is most sensible to address provisions such as those listed above by clarifying that they would not be affected by the final rule.63 Synthetic LIBOR. When issuing the proposal, the Board sought feedback on whether the final rule should clarify how the LIBOR Act would apply if the FCA requires IBA (or any successor administrator) to publish synthetic LIBOR on and after the LIBOR replacement date. The Board specifically requested comment on how synthetic LIBOR might affect LIBOR contracts that contain fallback provisions that either identify a clear and practicable benchmark replacement or authorize a person to select a benchmark replacement, but where these fallback provisions are triggered only where LIBOR is unavailable (and are not expressly triggered where a benchmark called ‘‘LIBOR’’ is available but is not representative of the market that LIBOR is intended to measure). For example, the Board requested comment on whether the final rule should provide that a LIBOR contract containing fallback provisions that identify a clear and practicable benchmark replacement (e.g., the prime rate) but lack an express nonrepresentativeness trigger would transition to the benchmark replacement specified in the LIBOR contract (i.e., the prime rate) on the earlier of (i) the date specified pursuant to the LIBOR contract or (ii) the LIBOR replacement date. Several commenters supported the clarification outlined in the proposal. In general, these commenters argued that such clarification would (i) be consistent with the intent of the statute, (ii) promote an orderly transition away from LIBOR, (iii) reduce disruptive litigation, and (iv) be reasonable. However, some commenters argued that the Board lacks the legal authority to adopt the clarification outlined in the proposal. In particular, these commenters noted that LIBOR contracts containing fallback provisions that 62 Section 253.3(d) of the final rule. described further in section IV.E., the final rule does include certain benchmark replacement conforming changes. 63 As E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations identify a specific benchmark replacement (e.g., the prime rate) are outside the scope of the LIBOR Act, even if they lack an express nonrepresentativeness trigger. Accordingly, these commenters recommended that the Board clarify only the ambiguity described in the proposal with respect to LIBOR contracts that authorize a determining person to select a benchmark replacement when LIBOR is unavailable. Other commenters gave other suggestions for addressing synthetic LIBOR. For example, one commenter asked the Board to work with the FCA to avoid the publication of synthetic LIBOR altogether. Other commenters suggested that the Board should deem LIBOR to be unavailable for all LIBOR contracts within the scope of the LIBOR Act even if synthetic LIBOR would be published, unless a determining person affirmatively selects synthetic LIBOR as a benchmark replacement; these commenters argued that construing synthetic LIBOR’s publication as continued availability of LIBOR would be inconsistent with the purposes of the LIBOR Act. The Board has considered this issue in light of the comments received. The Board believes that LIBOR contracts containing fallback provisions that identify a specific benchmark replacement are outside the scope of the LIBOR Act, even if these fallback provisions lack an express nonrepresentativeness trigger. In particular, section 102(b)(3) of the LIBOR Act states that one purpose of the statute is to allow existing contracts that reference LIBOR but provide for the use of a clearly defined and practicable replacement to operate according to their terms.64 Further, section 104(f)(2) of the LIBOR Act expressly provides that nothing in the statute may be construed to alter or impair any LIBOR contract that contains fallback provisions that identify a benchmark replacement and are not LIBOR- or pollbased fallback provisions.65 The Board believes these provisions of the statute unambiguously remove LIBOR contracts that identify a specific benchmark replacement (e.g., the prime rate) from the scope of the LIBOR Act, even if these fallback provisions lack an express non-representativeness trigger. However, consistent with the suggestion of some commenters, the Board is clarifying in the final rule how synthetic LIBOR would affect a LIBOR contract that includes fallback provisions authorizing a person to select 64 12 65 12 U.S.C. 5801(b)(3). U.S.C. 5803(f)(2). VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 a benchmark replacement only when LIBOR is unavailable. As noted in section IV.B, the final rule defines a determining person to include a person with a contingent authority, right, or obligation to determine a benchmark replacement. Under the final rule, a person who has the authority, right, or obligation to select a benchmark replacement when LIBOR is unavailable is a ‘‘determining person;’’ accordingly, such person has a statutory right under section 104(c)(1) and (c)(2) of the LIBOR Act to select the Board-selected benchmark replacement by the earlier of (i) the LIBOR replacement date and (ii) the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract.66 If the determining person does not select a benchmark replacement by the LIBOR replacement date, the applicable Board-selected benchmark replacement will be the benchmark replacement for the LIBOR contract under section 104(c)(3) of the LIBOR Act.67 D. Section 253.4—Board-Selected Benchmark Replacements Section 253.4 identifies the Boardselected benchmark replacements for various types of contracts subject to the LIBOR Act. As indicated in the proposal, the Board agrees with the ARRC’s observation that different benchmark replacements may be appropriate for derivative transactions and other transactions (hereafter, ‘‘cash transactions’’).68 Therefore, the final rule identifies different benchmark replacements for derivative transactions and for different types of cash transactions, as under the proposal. Consistent with the LIBOR Act, all of the Board-selected benchmark replacements (i) are based upon SOFR and (ii) incorporate spread adjustments for each specified tenor of LIBOR.69 The spread adjustments specified in the LIBOR Act are intended to address certain differences between SOFR and LIBOR, including the fact that LIBOR is unsecured and therefore includes an element of bank credit risk which may cause it to be higher than SOFR.70 66 See 12 U.S.C. 5803(c)(1)–(2); section 253.3(c) of the final rule. 67 See 12 U.S.C. 5803(c)(3); § 253.3(a)(1)(iii) of the final rule. The Board notes that the statute does not accelerate a determining person’s contingent right under a LIBOR contract to select a benchmark replacement other than the Board-selected benchmark replacement. See 12 U.S.C. 5803(c)(2). 68 ARRC, ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate (May 4, 2022), https://www.newyorkfed.org/medialibrary/ Microsites/arrc/files/2021/ARRC_Scope_of_Use.pdf. 69 See § 253.4 of the final rule. See also 12 U.S.C. 5802–03. 70 ARRC, ARRC Consultation on Spread Adjustment Methodologies for Fallbacks in Cash PO 00000 Frm 00009 Fmt 4701 Sfmt 4700 5211 LIBOR also may include term premia and reflect supply and demand conditions in wholesale unsecured funding markets, each of which may cause LIBOR to be higher than SOFR.71 The LIBOR Act prescribes static spread adjustments based on the tenor of LIBOR referenced in the contract (tenor spread adjustments)—specifically, 0.644 basis points (bps) (0.00644 percent) for overnight LIBOR, 11.448 bps (0.11448 percent) for one-month LIBOR, 26.161 bps (0.26161 percent) for three-month LIBOR, 42.826 bps (0.42826 percent) for six-month LIBOR, and 71.513 bps (0.71513 percent) for 12-month LIBOR.72 For clarity, the final rule, like the proposed rule, reiterates these tenor spread adjustments in paragraph (c) of § 253.4.73 Two commenters requested that the final rule use different tenor spread adjustments than those specified in the LIBOR Act. As discussed, the LIBOR Act specifies tenor spread adjustments that shall be incorporated into the Board-selected benchmark replacements and does not authorize the Board to alter or modify those tenor spread adjustments. As a result, the final rule identifies Board-selected benchmark replacements that incorporate the tenor spread adjustments specified by the LIBOR Act, without modification. Another commenter requested that the Board avoid selecting benchmark replacements that are overly complex to calculate or that have the potential to conflict with other Board-selected replacements and result in ambiguous or confusing scenarios. That commenter noted that the Board’s selection of different benchmark replacements depending on contract type could create potential for hedging mismatch issues and urged the Board to consider issuing a broad range of alternative rates to allow individual firms flexibility to exercise their judgment in guarding against asset-liability mismatch issues while allowing them to rely on the LIBOR Act’s protections for use of the Board-selected benchmark replacement. Products Referencing USD LIBOR 7 (Jan. 21, 2020), https://www.newyorkfed.org/medialibrary/ Microsites/arrc/files/2020/ARRC_Spread_ Adjustment_Consultation.pdf. 71 Id. 72 See 12 U.S.C. 5802(20) (defining ‘‘tenor spread adjustment’’). These spread adjustments were based on a methodology originally advanced by ISDA that uses the historical median over a five-year lookback period calculating the difference between USD LIBOR and SOFR. ARRC, ARRC Announces Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products (June 30, 2020), https://www.newyorkfed.org/medialibrary/ Microsites/arrc/files/2020/ARRC_ Recommendation_Spread_Adjustments_Cash_ Products_Press_Release.pdf. 73 Section 253.4(c) of the final rule. E:\FR\FM\26JAR2.SGM 26JAR2 5212 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations As discussed in further detail below, and consistent with the ARRC’s recommendations, the Board continues to believe that different contract types warrant different benchmark replacements. However, since a key purpose of the LIBOR Act and final rule is to replace LIBOR with the applicable Board-selected benchmark replacement by operation of law, the final rule aims to create a simple, clear, and manageable taxonomy with as few categories as possible. In addition, the Board believes this purpose of the final rule—to replace LIBOR automatically with a Board-selected benchmark replacement—can function only if there is a single Board-selected benchmark replacement applicable to any particular LIBOR contract. Therefore, the final rule does not identify a broad range of alternative rates as ‘‘Board-selected benchmark replacements’’ from which a firm could choose and avail itself of the LIBOR Act’s protections for use of the Board-selected benchmark replacement. 1. Derivative Transactions lotter on DSK11XQN23PROD with RULES2 With respect to derivative transactions, the Board observed in the proposal that many derivative market participants have adhered to the ISDA 2020 IBOR Fallbacks Protocol (ISDA protocol) to amend their existing derivative transaction contracts to incorporate fallback provisions that would replace references to USD LIBOR with a SOFR-based rate.74 Specifically, the ISDA protocol replaces references to USD LIBOR in adhering parties’ derivative transaction contracts with a rate equal to (i) SOFR, compounded in arrears for the appropriate tenor,75 plus (ii) a stated spread adjustment based on the appropriate tenor (the ‘‘Fallback Rate (SOFR)’’). The stated spread adjustments of the ISDA protocol are identical to the tenor spread adjustments specified in the LIBOR 74 ISDA, ISDA 2020 IBOR Fallbacks Protocol (Oct. 23, 2020), https://assets.isda.org/media/3062e7b4/ 08268161-pdf. 75 For purposes of this calculation, SOFR generally is compounded in arrears over an accrual period corresponding to the tenor of the LIBOR referenced in the covered contract. That compounded rate is annualized, and the day count convention is adjusted to match that of LIBOR. Bloomberg Professional Services, Fact Sheet: IBOR Fallbacks (Dec. 13, 2021), https://assets.bbhub.io/ professional/sites/10/Factsheet-IBOR-Fallbacks_ V4_Dec2021.pdf (cited in response to FAQ 3 of ISDA’s ‘‘2020 IBOR Fallbacks Protocol (IBOR Fallbacks Protocol) FAQs’’). See also Bloomberg Professional Services, IBOR Fallback Rate Adjustments Rule Book (Dec. 13, 2021), https:// assets.bbhub.io/professional/sites/10/IBORFallback-Rate-Adjustments-Rule-Book_V3_ Dec2021.pdf (for complete discussion of the calculation). VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Act.76 As of November 29, 2022, over 15,400 entities have adhered to the ISDA protocol to amend their derivative transactions.77 The Board proposed to select the Fallback Rate (SOFR) as the Boardselected benchmark replacement for derivative transactions. The Board noted that because derivatives markets already appear to reference SOFR compounded in arrears and there has been significant adherence to the ISDA protocol, it would be sensible to avoid disruption to these markets’ efforts to transition away from referencing LIBOR.78 The Board also observed that promoting use of a consistent approach to replace LIBOR references in derivative transactions should enhance financial stability and that the proposed approach was consistent with the recommendations of the ARRC.79 The proposed rule defined a ‘‘derivative transaction’’ as ‘‘a contract that would satisfy the criteria to be a ‘Protocol Covered Document’ under the ISDA protocol but for the fact that one or more parties to such contract is not an ‘Adhering Party’ as such term is used in the ISDA protocol, provided that, for purposes of this definition, ‘Protocol Effective Date’ as such term is used in the ISDA protocol means the LIBOR replacement date for the relevant covered contract.’’ 80 76 ISDA based its spread adjustments on a historical median over a five-year lookback period calculating the difference between USD LIBOR and SOFR. ARRC, ARRC Announces Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products (June 30, 2020), https://www.newyorkfed.org/medialibrary/ Microsites/arrc/files/2020/ARRC_ Recommendation_Spread_Adjustments_Cash_ Products_Press_Release.pdf. 77 See ISDA, ISDA 20202 IBOR Fallbacks Protocol—List of Adhering Parties, https:// www.isda.org/protocol/isda-2020-ibor-fallbacksprotocol/adhering-parties (last visited Nov. 29, 2022). 78 87 FR 45268, 45274 (July 28, 2022). 79 Id. See also ARRC, ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate (May 4, 2022), https:// www.newyorkfed.org/medialibrary/Microsites/arrc/ files/2021/ARRC_Scope_of_Use.pdf (recommending against the use of CME Term SOFR for the vast majority of the derivatives markets because these markets already reference SOFR compounded in arrears). 80 Section 253.2 of the proposed rule. ‘‘Protocol Covered Documents’’ include (i) master agreements incorporating certain ISDA definitions booklets (each a ‘‘covered ISDA definitions booklet’’), including the 2006 ISDA Definitions and the 2000 ISDA Definitions, as published by ISDA, and referencing LIBOR or another specified IBOR (each a ‘‘covered master agreement’’); (ii) confirmations that supplement, form part of and are subject to, or are otherwise governed by, a covered master agreement; and (iii) any ISDA credit support document, including the 1994 ISDA Credit Support Annex and the 2014 Standard Credit Support Annex, that incorporates a covered ISDA definition booklet and references LIBOR or another specified IBOR. ISDA, ISDA 2020 IBOR Fallbacks Protocol PO 00000 Frm 00010 Fmt 4701 Sfmt 4700 As noted in the proposal, ISDA has selected Bloomberg Index Services Limited (Bloomberg) to calculate and publish the Fallback Rate (SOFR) referenced in its ISDA protocol.81 Similar to how IBA requires a license for certain uses of LIBOR,82 the use of the Fallback Rate (SOFR) is subject to certain licensing or other usage terms imposed by Bloomberg.83 Under its present usage terms, Bloomberg waives usage fees for users with less than $5 billion of total assets and charges one annual license fee for use of its IBOR fallbacks data.84 The Board did not receive comments regarding the proposed definition of ‘‘derivative transaction.’’ Most commenters supported use of the Fallback Rate (SOFR) in the ISDA protocol as the Board-selected benchmark replacement for derivative transactions, but some suggested that the Board incorporate certain technical amendments in the final rule to match precisely the calculation of the Fallback Rate (SOFR) under the ISDA protocol. In particular, these commenters requested that the Board clarify that the Fallback Rate (SOFR) should be determined on the ‘‘derivative transaction fallback observation day,’’ which essentially is defined in the ISDA Protocol as the day two payment business days prior to the payment date for the relevant calculation period. One commenter stated that it would have preferred that the Board propose to select a rate equal to CME Term SOFR (discussed in detail in section IV.D.2) as its benchmark replacement for derivative transactions pursuant to the LIBOR Act. The commenter argued that CME Term SOFR would be the ‘‘most economically equivalent and simplest’’ replacement for LIBOR for end-users. However, that commenter acknowledged that such an approach would differ from the ARRC’s recommendation and ultimately indicated that the Board should not make any changes from the ISDA 14–16 (Oct. 23, 2020), https://assets.isda.org/media/ 3062e7b4/08268161-pdf. 81 ISDA, Bloomberg Selected as Fallback Adjustment Vendor (July 31, 2019), https:// www.isda.org/2019/07/31/bloomberg-selected-asfallback-adjustment-vendor. 82 IBA, About, https://www.theice.com/iba/ about#licensing (last visited Nov. 29, 2022). 83 See Bloomberg Prof’l Servs., IBOR Fallback Usage Terms (Sept. 27, 2021), https:// assets.bbhub.io/professional/sites/27/ISDA-IBORFallbacks-Web-Terms1.pdf. 84 Id. The asset threshold of $5 billion applies to a user and its affiliates as one group and can be based on assets under management, the value of assets on its balance sheet, or another objective measure that Bloomberg may reasonably employ. Id. E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations protocol’s rate given the timing of the rule. Some commenters suggested that the Board identify separate benchmark replacements for certain categories of derivative contracts. One commenter requested that the final rule transition derivative transactions linked to certain securitizations to the same benchmark replacement as those of securities related to that securitization rather than the Fallback (SOFR) rate in order to avoid basis risk, potential ratings downgrades and defaults due to unplanned mismatches in cash flows, and potential disruptions arising from disputes over how excess cashflows and shortfalls should be treated. Another commenter requested that, where a derivative transaction is executed in connection with a cash asset-backed security and the cash security’s terms are structured to reflect payments under the related derivative transaction, the final rule should transition the derivative transaction to a benchmark replacement equal to a term SOFR rate so as to avoid circumventing the expectations of the parties and causing unexpected payment mismatches between the security and the derivative transaction. Similarly, another commenter recommended that the final rule allow a derivative transaction that specifically refers to the definition of LIBOR in an asset-backed security in order to hedge cashflows in the related securitization transaction to transition to the same benchmark replacement as the associated asset-backed security. This commenter acknowledged that it would not be practical or even advisable that every derivative transaction related to every cash security be transitioned in this way and that it is not operationally feasible for the parties to identify all such derivative transactions. As a result, the commenter suggested that the final rule acknowledge that, regardless of the original intent of the parties, there will be misalignments between many cash products and their related hedges because the Board-selected benchmark replacements for these products differ. As noted, because a key purpose of the LIBOR Act and final rule is to replace LIBOR with the applicable Board-selected benchmark replacement by operation of law, the Board believes it is important for the final rule to create as simple, clear, and manageable a taxonomy as possible. This should allow parties to determine quickly and easily the Board-selected benchmark replacement to which a particular LIBOR contract will transition in the absence of fallback provisions identifying either (i) a clear and practicable benchmark replacement or VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 (ii) a determining person. The addition of new sub-categories of derivatives transactions would increase greatly the complexity of the rule and increase burden associated with determining the applicable Board-selected benchmark replacement for a given LIBOR contract. The Board acknowledges that basis risk may arise to the extent that derivative transactions and related cash transactions transition to different Board-selected benchmark replacements; however, the parties typically involved in these types of derivative transactions frequently manage basis risk and other hedgingrelated risk in the ordinary course of business. In addition, nothing in the LIBOR Act or final rule prevents parties to LIBOR contracts from agreeing to transition a particular LIBOR contract to a benchmark replacement that is more suitable to that contract than the Boardselected benchmark replacement.85 For all the foregoing reasons, the final rule selects the Fallback Rate (SOFR) in the ISDA protocol as the Board-selected benchmark replacement for derivative transactions. In response to comments, the final rule includes certain technical amendments to ensure that the calculation of the Fallback Rate (SOFR) under the final rule matches precisely the manner in which that rate is calculated in the ISDA protocol. In particular, the final rule defines ‘‘derivative transaction fallback observation day’’ in the same way the term is defined in the ISDA protocol and incorporates additional technical related to the calculation of the Fallback Rate (SOFR). Incorporation of this term, together with the provision in § 253.3(d)(3) indicating that contractual provisions referencing LIBOR or any LIBOR value prior to the LIBOR replacement date (including any provision requiring a person to look back to a LIBOR value as of a date preceding the LIBOR replacement date) remain unaffected, aligns the Boardselected benchmark replacement in the final rule with the calculation of the Fallback Rate (SOFR) in the ISDA protocol. 2. Cash Transactions Under the proposed rule, references to overnight LIBOR in cash transactions would be replaced with SOFR plus a spread adjustment specified in the LIBOR Act,86 consistent with the 85 See, e.g., § 253.3(b)(1) of the final rule (providing that the rule does not apply to ‘‘[a]ny LIBOR contract that the parties have agreed in writing shall not be subject to the Adjustable Interest Rate (LIBOR) Act’’). 86 Section 253.4(b)(1)(i), (b)(2)(i)(A), (b)(2)(ii)(A), (b)(3)(i) of the proposed rule. As described further PO 00000 Frm 00011 Fmt 4701 Sfmt 4700 5213 ARRC’s recommendations.87 Similarly, consistent with the ARRC’s recommendations,88 references to one-, three-, six-, or 12-month LIBOR in cash transactions generally would have been replaced with the comparable tenor CME Term SOFR rate plus the spread adjustment specified LIBOR Act.89 As described further below, however, the Board proposed different Board-selected benchmark replacements for certain cash transactions involving entities regulated by the Federal Housing Finance Agency (FHFA).90 CME Group calculates and publishes CME Term SOFR in one-, three-, six-, and 12-month tenors.91 Similar to how IBA requires a license for certain uses of LIBOR,92 the use of CME Term SOFR is subject to certain licensing or other below, for one year following the LIBOR replacement date, the spread adjustment specified for cash transactions that are consumer loans will differ from the spread adjustment for LIBOR contracts that are not consumer loans. 87 See ARRC, ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate (May 4, 2022), https:// www.newyorkfed.org/medialibrary/Microsites/arrc/ files/2021/ARRC_Scope_of_Use.pdf. 88 ARRC, ARRC Formally Recommends Term SOFR (July 29, 2021), https://www.newyorkfed.org/ medialibrary/Microsites/arrc/files/2021/ARRC_ Press_Release_Term_SOFR.pdf. The ARRC made its recommendation after considering, among other things: (i) the fact that CME Group’s term rates were rooted in a robust and sustainable base of derivative transactions over time; (ii) the rates’ limited scope of use that should support their stability over time; (iii) continued growth in overnight SOFR-linked derivatives volumes; (iv) visible progress to deepen SOFR derivative transactions’ liquidity; and (v) visible growth in offerings of cash transactions linked to averages of SOFR. Id. For similar reasons, the Board believes that the forward-looking SOFR term rates administered by CME Group and published in one-, three-, six-, and 12-month tenors generally would be an appropriate basis for a benchmark replacement for one-, three-, six-, and 12-month LIBOR, respectively. 89 Section 253.4(b)(1)(ii), (b)(2)(i)(B), and (b)(2)(ii)(B) of the proposed rule. CME Term SOFR is a forward-looking term rate based on SOFR administered by CME Group Benchmark Administration, Ltd. (CME Group). These forwardlooking SOFR term rates are calculated by first projecting a possible path of overnight rates that is consistent with the observable averages implied by SOFR-based derivative contracts and then creating averages over standard tenors of that projected path of overnight rates. In projecting the path of overnight rates, CME Group uses a combination of one-month and three-month SOFR futures contracts to ensure that as many data points as possible are used to calculate the term structure. CME Grp., CME Term SOFR Reference Rates Benchmark Methodology (May 9, 2022), https:// www.cmegroup.com/market-data/files/cme-termsofr-reference-rates-benchmark-methodology.pdf. 90 Section 253.4(b)(3)(ii) of the proposed rule. 91 CME Grp., CME Term SOFR Rates, https:// www.cmegroup.com/market-data/cme-groupbenchmark-administration/term-sofr.html (last visited Nov. 29, 2022). 92 IBA, About, https://www.theice.com/iba/ about#licensing (last visited Nov. 29, 2022). E:\FR\FM\26JAR2.SGM 26JAR2 5214 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 usage terms imposed by CME Group.93 One commenter, whose letter appeared to focus on cash transactions, requested that the Board make every effort to ensure that Board-selected benchmark replacements be made available at low or no cost to credit unions and other not-for-profit institutions. As noted by the commenter, under its present usage terms, an end user seeking only to enter into a transaction does not need a license from CME Group.94 In addition, CME Group has waived fees for users of CME Term SOFR for cash transactions through 2026.95 Based on these facts, the Board believes that Board-selected benchmark replacements that are based on CME Term SOFR would be made available to market participants and end users at low to no cost. Similar to the proposal, the final rule generally replaces references to overnight LIBOR in cash transactions with SOFR plus a spread adjustment specified in the LIBOR Act.96 With respect to references to one-, three-, six-, or 12-month LIBOR in cash transactions other than those in the specific categories listed below, the final rule generally identifies as the Boardselected benchmark replacement the corresponding tenor of CME Term SOFR plus a spread adjustment specified in the LIBOR Act.97 As discussed further below, for one year following the LIBOR replacement date, the spread adjustment for cash transactions that are consumer loans will differ from the spread adjustment for LIBOR contracts that are not consumer loans. The final rule identifies separate Board-selected benchmark replacements for two categories of cash transactions: (i) similar to the proposal, certain cash transactions involving entities regulated by FHFA; and (ii) Federal Family Education Loan Program (FFELP) assetbacked securitizations (ABS). These categories of cash transactions are discussed in more detail below. 93 See CME Grp., CME Data Terms of Use, https:// www.cmegroup.com/trading/market-dataexplanation-disclaimer.html (last visited Nov. 29, 2022); CME Grp., CME Term SOFR Reference Rates—Frequently Asked Questions, FAQ 8–10 (Apr. 19, 2022), https://www.cmegroup.com/ articles/faqs/cme-term-sofr-reference-rates.html. 94 CME Group defines an ‘‘end user’’ as an individual or entity that is a counterparty or guarantor to the applicable cash transaction or derivative transaction with the licensee of CME Term SOFR. CME Grp., CME Term SOFR Reference Rates—Frequently Asked Questions, FAQ 10 (Apr. 19, 2022), https://www.cmegroup.com/articles/faqs/ cme-term-sofr-reference-rates.html. 95 CME Grp., CME Group Benchmark Fee List (Dec. 2021), https://www.cmegroup.com/files/ download/benchmark-data-fee-list.pdf. 96 Section 253.4(b)(1)(i), (b)(2)(i)(A), (b)(2)(ii)(A), and (b)(3)(i)(A) of the final rule. 97 Section 253.4(b)(1)(ii), (b)(2)(i)(B), and (b)(2)(ii)(B) of the final rule. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 a. Cash Transactions That Are Consumer Loans Under the LIBOR Act, any Boardselected benchmark replacement applicable to consumer loans shall, for the one-year period beginning on the LIBOR replacement date, incorporate an amount that modifies the otherwiseapplicable tenor spread adjustment specified in the LIBOR Act.98 Specifically, the LIBOR Act requires that, during the one-year period, the Board-selected benchmark replacement for consumer loans incorporate an amount that transitions linearly for each business day during that period from (i) the difference between the Boardselected benchmark replacement and the corresponding LIBOR tenor determined as of the day immediately before the LIBOR replacement date to (ii) the applicable tenor spread adjustment specified in the LIBOR Act (the transition tenor spread adjustment).99 This transition tenor spread adjustment is intended to prevent consumer borrowers from experiencing significant, unexpected shifts in borrowing rates on and immediately following the LIBOR replacement date. The proposed rule generally identified the same Board-selected benchmark replacements for consumer loans as for other cash transactions (i.e. SOFR for overnight LIBOR and CME Term SOFR for one-, three-, six-, and 12month LIBOR).100 Consistent with the LIBOR Act, however, the proposed rule provided that, for the one-year period beginning on the LIBOR replacement date, the Board-selected benchmark replacements for consumer loans would incorporate the applicable transition tenor spread adjustment.101 Refinitiv Limited has stated it will publish and provide rates for consumer loans that sum (i) CME Term SOFR and (ii) the transition tenor spread adjustment (for the one-year period beginning on the LIBOR replacement date) or the tenor spread adjustment specified in the LIBOR Act (after that one-year period), consistent with the proposed rule and the recommendations of the ARRC.102 Refinitiv identifies 98 12 U.S.C. 5803(e)(2). See § 253.2 of the final rule for the definition of ‘‘consumer loan.’’ 99 12 U.S.C. 5803(e)(2). 100 Section 253.4(b)(2) of the proposed rule. 101 Section 253.2(b)(2)(i) of the proposed rule. 102 The ARRC selected Refinitiv Limited to publish its recommended spread adjustments and spread-adjusted rates for cash products. ARRC, ARRC Announces Refinitiv as Publisher of its Spread Adjustment Rates for Cash Products (Mar. 17, 2021), https://www.newyorkfed.org/ medialibrary/Microsites/arrc/files/2021/20210317press-release-Spread-Adjustment-Vendor- PO 00000 Frm 00012 Fmt 4701 Sfmt 4700 these rates as ‘‘USD IBOR Cash Fallbacks’’ for ‘‘Consumer’’ products. For clarity, and particularly because calculation of the transition tenor spread adjustment applicable to consumer loans during the one-year period beginning on the LIBOR replacement date may be complex, the proposed rule indicated that these rates from Refinitiv would be deemed equal to the Board-selected benchmark replacement in the proposed rule.103 Use of these ‘‘USD IBOR Cash Fallbacks’’ for ‘‘Consumer’’ products may be subject to certain licensing or other usage terms imposed by Refinitiv Limited. The Board did not receive comments concerning the proposed Board-selected benchmark replacement for cash transactions that are consumer loans. As a result, the final rule generally retains these provisions as proposed, including a provision deeming the ‘‘USD IBOR Cash Fallbacks’’ for ‘‘Consumer’’ products published by Refinitiv equal to the Board-selected benchmark replacement for these transactions.104 b. Cash Transactions Involving Certain Entities Regulated by FHFA Since 2020, the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation— government-sponsored enterprises (GSEs) that are regulated by FHFA— have transitioned to using the 30calendar-day compounded average of SOFR (30-day Average SOFR), as Refinitiv.pdf. With respect to the transition tenor spread adjustment, Refinitiv has stated it will incorporate a two-week lookback period for SOFR (from June 19, 2023, through June 30, 2023) in determining the difference between the Boardselected benchmark replacement and the corresponding LIBOR tenor as of the day before the LIBOR replacement date. Refinitiv Benchmark Servs. (UK) Ltd., USD IBOR Institutional Cash Fallbacks Benchmark, USD IBOR Consumer Cash Fallbacks (1 Week, 2 Months) Benchmark, USD IBOR Consumer Cash Fallbacks (1, 3, 6 Months) Prototype Methodology 11 (Jan. 3, 2022), https:// www.refinitiv.com/content/dam/marketing/en_us/ documents/methodology/refinitiv-usd-ibor-cashfallbacks-methodology.pdf. The Board believes this method of determining the difference between the Board-selected benchmark replacement and the corresponding LIBOR tenor as of June 30, 2023, is consistent with the provision in the LIBOR Act. 103 See § 253.4(b)(2)(iii) of the proposed rule. Refinitiv also has stated it will publish ‘‘USD IBOR Cash Fallbacks’’ for ‘‘Institutional’’ products. These rates are expected to be consistent with the proposed rule’s benchmark replacement for cash transactions that are not consumer loans. The Board observes that parties to cash transactions that are not consumer loans should be able to compute easily the proposed benchmark replacement and, if needed, verify that any vendor’s reported rate (including that of Refinitiv) is consistent with that proposed replacement such that no provision similar to § 253.4(b)(2)(iii) is needed for these transactions. 104 See § 253.4(b)(2) of the final rule. E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 published by the FRBNY,105 in their newly issued multifamily loans and other structured products. Consistent with those GSEs’ current practices, the proposed rule would have selected as the benchmark replacement for LIBOR contracts involving those entities (i) in place of overnight LIBOR, SOFR, or in place of one-, three-, six, or 12-month tenors of LIBOR, 30-day Average SOFR; plus (ii) the applicable tenor spread adjustment specified in the LIBOR Act.106 Selection of this proposed benchmark replacement was expected to enhance liquidity for both newly issued and legacy LIBOR-based products issued by those GSEs.107 The proposed rule would have defined a ‘‘government-sponsored enterprise (GSE),’’ consistent with its definition under the Board’s capital rule, 12 CFR 217.2, as ‘‘an entity established or chartered by the U.S. government to serve public purposes specified by the U.S. Congress but whose debt obligations are not explicitly guaranteed by the full faith and credit of the U.S. government.’’ 108 The proposal would have defined the LIBOR contracts involving the GSEs that would use this benchmark replacement— termed a ‘‘covered GSE contract’’—as ‘‘a covered contract for which a GSE is identified as a party in the transaction documents and that is (i) a commercial or multifamily mortgage loan, (ii) a commercial or multifamily mortgagebacked security, (iii) a collateralized mortgage obligation, (iv) a credit risk transfer transaction, or (v) a Federal Home Loan Bank advance.’’ 109 Multiple commenters opposed the proposed rule’s definitions of ‘‘GSE’’ and ‘‘covered GSE contract’’ as overly broad in light of the Board’s stated intent to capture contracts involving entities regulated by FHFA.110 One commenter suggested that residential mortgage pass-through certificates issued by the Federal Home Loan 105 Fed. Res. Bk. of NY, Additional Information about Reference Rates Administered by the New York Fed, https://www.newyorkfed.org/markets/ reference-rates/additional-information-aboutreference-rates#sofr_ai_calculation_methodology (last visited Nov. 29, 2022) (detailing the calculation methodology for the SOFR averages and index). 106 See § 253.4(b)(3) of the proposed rule. 107 87 FR 45268, 45276 (July 28, 2022). 108 Section 253.2 of the proposed rule. 109 Id. 110 One of these commenters would prefer that LIBOR contracts involving the Federal Agricultural Mortgage Corporation (Farmer Mac) that reference one-, three-, six-, or 12-month LIBOR transition to the corresponding tenor of CME Term SOFR plus the applicable tenor spread adjustment specified in the LIBOR Act. This commenter noted that Farmer Mac does not use 30-day Average SOFR as a benchmark for its loan products or securities. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Mortgage Corporation should not be considered a ‘‘covered GSE contract’’ and should instead be considered a cash transaction that would transition to CME Term SOFR. Other commenters suggested that the Board-selected benchmark replacement for covered GSE contracts be a term SOFR rate rather than 30-day Average SOFR for several reasons: (i) that the ARRC did not recommend 30-day Average SOFR for contracts involving GSEs, (ii) that use of 30-day Average SOFR in advance could create volatility in earnings during periods of monetary policy activity; and (iii) that use of a term SOFR rate would avoid bifurcating the market and would be consistent with public statements made by the GSEs, including GSEs not regulated by FHFA. Another commenter—FHFA—generally supported the Board’s proposal but suggested certain technical amendments to the definition of ‘‘GSE-covered contract.’’ The Board continues to believe that, with the exception of Federal Home Loan Bank advances, which are discussed further below, it is appropriate to replace references to one-, three-, six, or 12-month LIBOR in contracts involving entities regulated by FHFA with 30-day Average SOFR plus the applicable tenor spread adjustment specified in the LIBOR Act. In response to comments suggesting that the ‘‘GSE’’ definition was too broad and would cover entities that are not regulated by FHFA, the final rule replaces the terms ‘‘GSE’’ and ‘‘covered GSE contract’’ with ‘‘FHFA-regulated entity’’ and ‘‘FHFAregulated-entity contract’’. ‘‘FHFAregulated entity’’ is defined as having the same meaning as ‘‘regulated entity’’ in 12 U.S.C. 4502(20).111 ‘‘FHFAregulated-entity contract’’ is defined to mean ‘‘a LIBOR contract that is a commercial or multifamily mortgage loan that has been purchased or guaranteed, in whole or in part, by an FHFA-regulated-entity, or for which an FHFA-regulated entity is identified as a party in the transaction documents, and that is (i) a commercial or multifamily mortgage-backed security (other than a security backed by consumer loans), (ii) a collateralized mortgage obligation, (iii) a credit risk transfer transaction, or (iv) a Federal Home Loan Bank advance.’’ These narrower definitions more closely track SOFR contracts executed by FHFA-regulated entities without 111 Section 253.2 of the final rule. Under 12 U.S.C. 4502(20), the term ‘‘regulated entity’’ means ‘‘(A) the Federal National Mortgage Association and any affiliate thereof; (B) the Federal Home Loan Mortgage Corporation and any affiliate thereof; and (C) any Federal Home Loan Bank.’’ PO 00000 Frm 00013 Fmt 4701 Sfmt 4700 5215 impacting LIBOR contracts of other GSEs. Similar to the proposal, the final rule identifies as the Board-selected benchmark replacement for FHFAregulated-entity contracts other than Federal Home Loan Bank advances (i) in place of overnight LIBOR, SOFR, or in place of one-, three-, six-, or 12-month tenors of LIBOR, 30-day Average SOFR; plus (ii) the applicable tenor spread adjustment specified in the LIBOR Act.112 Having consulted with FHFA, the Board believes that the final rule’s Board-selected benchmark replacement rate should enhance liquidity for both newly issued and legacy LIBOR-based products issued by FHFA-regulated entities. In addition, concerning a commenter’s request that any Boardselected benchmark replacement for a cash transaction be made available at low or no cost to credit unions and other not-for-profit institutions, the Board notes that 30-day Average SOFR is published by the Federal Reserve Bank of New York and available for free. Federal Home Loan Bank advances. As noted, the proposed rule would have included Federal Home Loan Bank advances as ‘‘covered GSE contracts’’ for which references to one-, three-, six-, or 12-month tenors of LIBOR would be replaced with 30-day Average SOFR plus the applicable tenor spread adjustment specified in the LIBOR Act. One commenter recommended that references to one-, three-, six-, or 12month tenors of LIBOR in Federal Home Loan Bank advances be replaced with a rate based on daily average SOFR in arrears matching the Fallback Rate (SOFR) in the ISDA protocol, and not with a rate based on 30-day Average SOFR. This commenter noted that, because the Federal Home Loan Banks utilize SOFR in-arrears indices for their established advance products, selection of the Fallback Rate (SOFR) in the ISDA protocol would align with the current practices of the Federal Home Loan Banks with respect to their advances.113 FHFA, the supervisor of the Federal Home Loan Banks, supported selection of the Fallback Rate (SOFR) in the ISDA protocol for an FHFA-regulated-entity contract that is a Federal Home Loan Bank advance. 112 See § 253.4(b)(3) of the final rule; see also section 253.2 of the final rule (defining ‘‘30-day Average SOFR’’). 113 This commenter noted also that, since the Federal Home Loan Banks use the same rate for their funding and hedging programs, selection of the Fallback Rate (SOFR) in the ISDA protocol would have the added benefit of aligning its funding costs where such funding has been created using derivative transactions with its lending rate for advances. E:\FR\FM\26JAR2.SGM 26JAR2 5216 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 Having consulted with FHFA, the Board believes it would be appropriate to identify a separate benchmark replacement for FHFA-regulated-entity contracts that are Federal Home Loan Bank advances so as to align the benchmark used in legacy contracts that are Federal Home Loan Bank advances with the current practices of the Federal Home Loan Banks. Therefore, the final rule identifies the Board-selected benchmark replacement for an FHFAregulated-entity contract that is a Federal Home Loan Bank advance as the ‘‘Fallback Rate (SOFR)’’ in the ISDA protocol, as calculated under the ISDA protocol.114 FFELP ABS. One group of commenters recommended that the Board identify a separate benchmark replacement for asset-backed securities that are predominantly secured by loans made under the FFELP that aligns with the LIBOR Act’s amendments to FFELP special allowance payments related to those loans. Specifically, section 109 of the LIBOR Act amended the Higher Education Act of 1965 to indicate that, among other things, in instances where one-month LIBOR ceases or is nonrepresentative, special allowance payments shall be calculated using 30day Average SOFR rates.115 The Board did not receive any comments recommending against identification of a separate benchmark replacement for these contracts. The Board believes it would be appropriate to identify a separate benchmark replacement for any assetbacked security for which more than 50 percent of the collateral pool consists of FFELP loans, as reported in the most recent servicer report available on the LIBOR replacement date (defined in the final rule as ‘‘Federal Family Education Loan Program (FFELP) asset-backed securitizations (ABS)’’).116 The Board understands that outstanding FFELP ABS do not reference overnight LIBOR; 114 Section 253.4(b)(3) of the final rule. Concerning a commenter’s request that any Boardselected benchmark replacement for a cash transaction be made available at low or no cost to credit unions and other not-for-profit institutions, the Board notes that, although use of the Fallback Rate (SOFR) is subject to certain licensing or other usage terms imposed by Bloomberg, Bloomberg presently waives usage fees for users with less than $5 billion of total assets and charges one annual license fee for use of its IBOR fallbacks data. See Bloomberg Prof’l Servs., IBOR Fallback Usage Terms (Sept. 27, 2021), https://assets.bbhub.io/ professional/sites/27/ISDA-IBOR-Fallbacks-WebTerms1.pdf. The asset threshold of $5 billion applies to a user and its affiliates as one group and can be based on assets under management, the value of assets on its balance sheet, or another objective measure that Bloomberg may reasonably employ. Id. 115 20 U.S.C. 1087–1(b)(2)(I)(viii). 116 See § 253.2 of the final rule. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 therefore, the final rule identifies benchmark replacements for one-, three-, six-, and 12-month LIBOR only.117 Consistent with the comment received, the final rule identifies the benchmark replacement for a FFELP ABS as follows: (i) one-month LIBOR will be replaced with 30-day Average SOFR plus the tenor spread adjustment specified in the LIBOR Act; (ii) threemonth LIBOR will be replaced with 90day Average SOFR plus the tenor spread adjustment specified in the LIBOR Act; and (iii) six- or 12-month LIBOR will be replaced with 30-day Average SOFR plus the applicable tenor spread adjustment specified in the LIBOR Act.118 E. Section 253.5—Benchmark Replacement Conforming Changes The LIBOR Act authorizes the Board to require any additional technical, administrative, or operational changes, alterations, or modifications to LIBOR contracts based on a determination that such changes, alterations, or modifications would address one or more issues affecting the implementation, administration, and calculation of the Board-selected benchmark replacement in LIBOR contracts (conforming changes).119 The Board’s proposed rule did not require any conforming changes, since it did not appear any additional conforming changes would be needed for successful implementation of the Board-selected benchmark replacements identified in the proposed rule. However, under the proposed rule, the Board reserved the authority, in its discretion, to require any additional conforming changes, by regulation or order.120 For clarity, the proposed rule also indicated that, with respect to a LIBOR contract that is not a consumer loan, a calculating person may make any additional technical, administrative, or operational changes, alterations or modifications that, in that person’s reasonable judgment, would be necessary or appropriate to permit the implementation, administration, and calculation of the Board-selected benchmark replacement under or with respect to a LIBOR contract after giving due consideration to any changes, alterations, or modifications otherwise 117 See § 253.4(b)(4) of the final rule. Concerning a commenter’s request that any Board-selected benchmark replacement for a cash transaction be made available at low or no cost to credit unions and other not-for-profit institutions, the Board notes that 30-day Average SOFR and 90day Average SOFR are published by the Federal Reserve Bank of New York and available for free. 119 12 U.S.C. 5803(e). 120 Section 253.5(a)(1) of the proposed rule. 118 Id. PO 00000 Frm 00014 Fmt 4701 Sfmt 4700 required by the Board under the proposed rule.121 This language in the proposed rule mirrored sections 103(4)(B) and 104(d) of the LIBOR Act.122 The Board did not receive any comments concerning the proposed rule’s provisions mirroring sections 103(4)(B) and 104(d) of the LIBOR Act. Some commenters agreed with the Board that no additional conforming changes were necessary. One commenter urged the Board to consider whether some conforming changes may be appropriate for complex consumer loans, since the LIBOR Act does not provide for a calculating person to make additional conforming changes for such loans. Another commenter recommended the Board include as a conforming change a provision that, should the Board-selected benchmark replacement not be published on a given day, then the prior day’s publication of the Board-selected benchmark replacement should be used. Several commenters requested conforming changes addressing provisions in LIBOR contracts that (i) specify a particular source where a LIBOR rate may be obtained (e.g., ‘‘LIBOR as published in The Wall Street Journal’’), (ii) specify a LIBOR rate in effect as of a particular time of day, (iii) require averaging of LIBOR over a period of time that spans the LIBOR replacement date, and (iv) define ‘‘business day’’ in a manner differently from the proposed rule.123 The final rule, like the proposed rule, includes provisions mirroring the language in sections 103(4) and 104(d) of the LIBOR Act, including the Board’s ability to, in its discretion, publish additional benchmark replacement conforming changes, by regulation or order, and a calculating person’s ability to make certain conforming changes with respect to a LIBOR contract that is not a consumer loan, consistent with the LIBOR Act.124 In response to comments, the final rule also specifies certain conforming changes and, consistent with the LIBOR Act, indicates that these conforming changes shall become an integral part of any LIBOR contract for 121 Section 253.5(a)(2) of the proposed rule. 12 U.S.C. 5802(4)(B), 5803(d). 123 As discussed in section IV.C, some commenters also requested conforming changes addressing provisions in LIBOR contracts that (i) specify rounding conventions, to the extent a particular source for the Board-selected benchmark replacement provides a different number of decimal places; and (ii) specify a lookback period that straddles the LIBOR replacement date. In the Board’s view, it is clearer and more reasonable to indicate that these contractual provisions are unaffected by the final rule, rather than to include these as conforming changes. 124 Section 253.5(a) of the final rule. 122 See E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations which the Board-selected benchmark replacement replaces the contract’s references to LIBOR.125 First, the final rule replaces references in a LIBOR contract to a specified source for LIBOR (such as a particular newspaper, website, or screen) with the publication of the applicable Boardselected benchmark replacement by either the relevant benchmark administrator for the applicable Boardselected benchmark replacement or any third party authorized by the relevant benchmark administrator to publish the applicable Board-selected benchmark replacement.126 Second, the final rule replaces references in a LIBOR contract to a particular time of day for determining LIBOR (such as 11:00 a.m. London time) with the standard publication time for the applicable Board-selected benchmark, as established by the relevant benchmark administrator.127 Third, the final rule modifies any provision of a LIBOR contract requiring use of a combination (such as an average) of LIBOR values over a period of time that spans the LIBOR replacement to provide that the combination shall be calculated consistent with that contractual provision using (i) the applicable LIBOR for any date prior to the LIBOR replacement date and (ii) the applicable Board-selected benchmark replacement for any date on or following the LIBOR replacement date, respectively.128 These conforming changes provide clarifications expressly requested by commenters. The final rule also provides, subject to § 253.4(a) and (b)(3)(ii) of the final rule, that to the extent a Board-selected benchmark replacement is not available or published on a particular day indicated in the LIBOR contract as the determination date, the most recently available publication of the Boardselected benchmark replacement will apply.129 The Board believes this provision, together with § 253.4(a) and (b)(3)(ii) of the final rule, addresses more directly an issue raised by a commenter concerning a provision of a LIBOR contract that defines ‘‘business day’’ differently from the final rule. A different definition of ‘‘business day’’ in the LIBOR contract could result in unavailability of the Board-selected benchmark replacement on the contractual determination date. This conforming change in the final rule would address that issue by directing 125 Section 253.5(a) and (b) of the final rule. 253.5(b)(1) of the final rule. 127 Section 253.5(b)(2) of the final rule. 128 Section 253.5(b)(3) of the final rule. 129 Section 253.5(b)(4) of the final rule. 126 Section VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 parties to use the most recently available publication of the Boardselected benchmark replacement in the event the Board-selected benchmark replacement is not available or published on a particular day indicated in the LIBOR contract as the determination date, without affecting other provisions in the LIBOR contract that may refer to ‘‘business day’’ for a different purpose.130 F. Section 253.6—Preemption As noted, section 107 of the LIBOR Act expressly preempts any provision of state or local law relating to the selection or use of a benchmark replacement or related conforming changes, or expressly limiting the manner of calculating interest (including the compounding of interest) as that provision applies to the selection or use of a Board-selected benchmark replacement or benchmark replacement conforming changes.131 For clarity, § 253.6 of the proposed rule referenced and repeated the statutory language concerning preemption of such state or local law, statute, rule, regulation, or standard by a final rule issued by the Board pursuant to the LIBOR Act. The Board did not receive any comments on this section of the proposed rule. Therefore, the final rule retains this section as proposed.132 G. Section 253.7—Continuity of Contract and Safe Harbor In its proposal, the Board noted that the LIBOR Act provides, among other things, certain statutory protections enumerated in section 105 related to the selection and use of the Board-selected benchmark replacement.133 The Board viewed these provisions as selfexecuting and, therefore, did not believe it was necessary to include any provisions in the proposed rule reiterating these sections of the LIBOR Act. However, the Board invited comment on whether the Board should 130 Another commenter initially requested that the Board permit the Federal Home Loan Banks to identify conforming changes for Federal Home Loan Bank advances related to terms such as determination dates, reset dates, payment dates, calculation periods, and adjustment spreads to better reflect the economics of replacing LIBOR with its preferred benchmark replacement for Federal Home Loan Bank advances. The Board notes that, for LIBOR contracts other than consumer loans, the LIBOR Act and the final rule expressly authorize a calculating person to identify benchmark replacement conforming changes. Additionally, consistent with a subsequent suggestion from the same commenter, the final rule identifies the Fallback Rate (SOFR) as the Boardselected benchmark replacement for Federal Home Loan Bank advances. 131 12 U.S.C. 5806. 132 Section 253.6 of the final rule. 133 87 FR 45268, 45271 (July 28, 2022). PO 00000 Frm 00015 Fmt 4701 Sfmt 4700 5217 incorporate into the regulation the statutory protections in section 105 of the LIBOR Act. Some commenters recommended that the final rule incorporate the statutory protections of section 105 of the LIBOR Act. Another commenter suggested that the Board expressly acknowledge in the final rule that section 105 of the LIBOR Act is self-executing and that nothing in the rule is intended to alter or modify the scope of those protections. Some commenters requested that the final rule expressly state, consistent with section 104(f)(6) of the LIBOR Act, that nothing in the final rule would alter or impair the rights or obligations of any person, or the authorities of any agency, under Federal consumer financial law, as defined in 12 U.S.C. 5481. One commenter suggested in the alternative that section 104(f)(6) of the LIBOR Act be expressly incorporated into the final rule. Consistent with the LIBOR Act, the Board affirms that the final rule does not affect any requirements imposed by any provision of Federal consumer financial law, as defined in 12 U.S.C. 5481. Having considered all of these comments, the Board’s final rule includes a new section expressly stating that the provisions of section 105(a)–(d) of the LIBOR Act shall apply to any LIBOR contract for which the Boardselected benchmark replacement becomes the benchmark replacement pursuant to § 253.3(a) or (c) of the final rule.134 The section separately states that nothing in the final rule is intended to alter or modify the availability or effect of the provisions of section 105(e) of the LIBOR Act.135 V. Regulatory Analyses A. Regulatory Flexibility Act The Regulatory Flexibility Act (RFA) (5 U.S.C. 601 et seq.) requires an agency to consider whether its rules will have a significant economic impact on a substantial number of small entities. Under the RFA, in connection with a final rule, an agency is generally required to publish a final regulatory flexibility analysis (FRFA), unless the head of the agency certifies that the rule will not have a significant economic impact on a substantial number of small entities and the agency publishes the factual basis supporting such certification. For the reasons described below, the Board certifies that the final rule will not have a significant economic impact on a substantial number of small entities. LIBOR is used in contracts subject to the LIBOR Act across all industries, and 134 Section 135 Section E:\FR\FM\26JAR2.SGM 253.7(a) of the final rule. 253.7(b) of the final rule. 26JAR2 5218 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 the Board does not believe that it is feasible to provide an estimate of the number of small entities to which the final rule will apply.136 Given the broad coverage of the LIBOR Act, the Board expects that the number of small entities to which the final rule will apply could be significant for one or more classes of small entities.137 However, for the reasons described below, the Board does not believe that the rule will have a significant economic impact on a substantial number of small entities. As the Board stated in the IRFA that was published with the proposal, although section 110 of the LIBOR Act directs the Board to promulgate regulations to carry out the LIBOR Act, the Board’s discretion under the LIBOR Act is limited to a small number of areas: (i) selecting SOFR-based benchmark replacements, (ii) determining any benchmark replacement conforming changes, and (iii) determining the LIBOR replacement date (in the event that any LIBOR tenor ceases or becomes nonrepresentative prior to the planned LIBOR cessation date). With respect to Board-selected benchmark replacements, the final rule establishes Board-selected benchmark replacements for six categories of LIBOR 136 The Board generally uses the industry-specific size standards adopted by the Small Business Administration for purposes of estimating the number of small entities to which a proposed rule would apply. See 13 CFR 121.201. As the Board stated in the initial regulatory flexibility analysis (IRFA) that was published with the proposed rule, parties to contacts subject to the LIBOR Act may include firms of any size and in any industry, and the Board does not believe that it has sufficient data to provide a reasonable estimate of the number of small entities to which the final rule would apply. 137 The Board received one comment letter in response to the IRFA that asked the Board to consider conducting a survey of a representative sample of small businesses to determine whether and how the rule will affect them. The Board has considered this commenter’s request, but in light of (i) the practical challenges associated with assembling a representative sample of small businesses across all sectors of the U.S. economy, (ii) the statutory deadline within which the Board must promulgate implementing regulations, and (iii) the Board’s conclusion that the final rule will not have a significant economic impact on a substantial number of small entities, the Board has declined to follow this commenter’s suggestion. The same commenter additionally recommend that the Board conduct a policy analysis illustrating the effect of the rule on small businesses, including an analysis of alternatives, and stated that the Board should grant an exemption from the rule for small businesses if the Board cannot determine how the rule will affect them. The LIBOR Act does not authorize the Board to grant exemptions from the LIBOR Act or the final rule. Elsewhere in this preamble, the Board has discussed the effect of the final rule on parties to LIBOR contracts and explained its reasoning in respect of the limited areas where the Board has discretion to adopt alternatives. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 contracts.138 As required by the LIBOR Act, all of these Board-selected benchmark replacements are based on SOFR. Although the Board recognizes that there are some differences between the different versions of SOFR that the Board could have selected as a benchmark replacement for LIBOR, the Board believes that there is a basic economic equivalence between all SOFR-based benchmark replacements. This basic economic equivalence is reflected in the LIBOR Act itself, which requires the Board to adjust any Boardselected benchmark replacement to include the same statutorily prescribed tenor spread adjustments (except for the transition tenor spread adjustment for consumer loans). In addition, the Board was guided by voluntary market practices in selecting the Board-selected benchmark replacement for each category of LIBOR contracts. For example, the Board selected CME Term SOFR as the Board-selected benchmark replacement for most cash transactions in large part because the loan market has already transitioned from LIBOR to Term SOFR on a voluntary basis. Thus, the Board has exercised its discretion to select SOFR-based benchmark replacements in a way that will minimize market disruption. Accordingly, the Board does not believe that the Board’s selection of a particular Board-selected benchmark replacement over an alternative SOFR-based rate for a particular category of LIBOR contracts is economically material. With respect to benchmark replacement conforming changes, the final rule identifies a small number of benchmark replacement conforming changes based on feedback from commenters. Specifically, as provided in § 253.5(b) of the final rule, the Board established benchmark replacement conforming changes related to (i) any reference to a specified source for LIBOR (such as a particular newspaper, website, or screen), (ii) any reference to a particular time of day for determining LIBOR, (iii) any provision of a LIBOR contract requiring the use of a combination of LIBOR values over a period of time that spans the LIBOR replacement date, and (iv) any provision 138 Specifically, as provided in § 253.4 of the final rule, the Board has selected different benchmark replacements for (i) derivatives transactions (‘‘Fallback Rate (SOFR)’’ in the ISDA protocol), (ii) FHFA-regulated-entity contracts other than Federal Home Loan Bank advances (30-day Average SOFR), (iii) FHFA-regulated-entity contracts that are Federal Home Loan Bank advances (‘‘Fallback Rate (SOFR)’’ in the ISDA protocol), (iv) FFELP ABS (30day Average SOFR and 90-day Average SOFR, as applicable), (v) consumer loans (CME Term SOFR), and (vi) all other transactions (i.e., cash transactions) (CME Term SOFR). PO 00000 Frm 00016 Fmt 4701 Sfmt 4700 of LIBOR contract specifying use of the most recently available publication of LIBOR for any day where LIBOR is not available or published. Because these benchmark replacement conforming changes are limited to technical, administrative changes to LIBOR contracts that facilitate the transition from LIBOR to the applicable Boardselected benchmark replacement, the Board does not believe that any of the benchmark replacement conforming changes will represent a material change to any LIBOR contract. To the contrary, the Board believes that these benchmark replacement conforming changes will provide clarity and reduce the possibility of disputes over the meaning of a LIBOR contract for which a Boardselected benchmark replacement becomes the benchmark replacement. Therefore, the Board believes that economic impact of these benchmark replacement conforming changes will be de minimis. With respect to determining the LIBOR replacement date, the Board did not propose, and the final rule does not include, a determination that any LIBOR tenor will cease or become nonrepresentative prior to the first London banking day after June 30, 2023. Beyond these three areas where the LIBOR Act expressly vests the Board with discretion, there is one additional aspect of the final rule in respect of which the Board has exercised discretion. Specifically, the Board in the final rule has interpreted the ambiguous statutory term ‘‘determining person’’ to include any person with sole authority, right, or obligation, including on a temporary basis, (as identified by the LIBOR contract or by the governing law of the LIBOR contract, as appropriate) to determine a benchmark replacement, whether or not the person’s authority, right or obligation is subject to any contingencies specified in the LIBOR contract or by the governing law of the LIBOR contract. The Board’s interpretation of ‘‘determining person’’ in the final rule does have implications for LIBOR contracts under the terms of which the determining person’s authority would be triggered on or after the LIBOR replacement date (i.e., LIBOR contracts where a determining person’s contractual authority arises when LIBOR becomes unavailable or nonrepresentative). As discussed elsewhere in this preamble, section 104(c)(2) of the LIBOR Act creates a statutory right for a determining person to select the Boardselected benchmark replacement by the earlier of the LIBOR replacement date and the latest date for selecting a benchmark replacement according to E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 the terms of the LIBOR contract, and the Board’s interpretation of ‘‘determining person’’ clarifies that this statutory right is available to a determining person even if the determining person’s contractual right to select a benchmark replacement is subject to any contingencies that have not yet occurred. If the determining person does not avail itself of this statutory right, then the LIBOR contract would be regarded on the LIBOR replacement date as a LIBOR contract for which the determining person has not selected a benchmark replacement, and thus, the applicable Board-selected benchmark replacement shall be the benchmark replacement for the LIBOR contract on and after the LIBOR replacement date under section 104(c)(3) of the LIBOR Act.139 Alternatively, the Board could have construed ‘‘determining person’’ to include only persons whose right to select a benchmark replacement has already been triggered.140 Under this alternative interpretation, where a LIBOR contract authorizes a person to select a benchmark replacement subject to any contingencies that do not occur before the LIBOR replacement date, such person would be unable to use the statutory right to select the Boardselected benchmark replacement rate in advance. On the LIBOR replacement date, such contract would be regarded, as applicable, as a LIBOR contract that contains no fallback provisions (or contains fallback provisions that identify neither a specific benchmark replacement nor a determining person), or a LIBOR contract for which a determining person does not select a 139 Alternatively, depending on the particular language of the LIBOR contract, the determining person may take the position that its authority to select a benchmark replacement under the terms of the LIBOR contract is triggered on the LIBOR replacement date, and select an alternative replacement benchmark on that date only. The LIBOR Act and the final rule generally do not apply to a LIBOR contract for which a determining person selects an alternative benchmark replacement. 140 As explained elsewhere in the preamble, the alternative interpretation of ‘‘determining person’’ is not preferable because, under that interpretation, a person who has a right to select a benchmark replacement when LIBOR becomes unavailable or non-representative would not become a determining person until the LIBOR replacement date—when LIBOR will actually become unavailable or non-representative. Accordingly, that person would need to wait until the LIBOR replacement date to exercise the statutory right under section 104(c)(1) and (c)(2) of the LIBOR Act to select the Board-selected benchmark replacement. The Board believes that this outcome—and the market disruption that would likely result from determining persons not selecting a benchmark replacement until the LIBOR replacement date—would be inconsistent with the Congressional intent to facilitate a smooth transition away from LIBOR and avoid disruptive litigation. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 benchmark replacement, and thus, the applicable Board-selected benchmark replacement shall be the benchmark replacement for the LIBOR contract on and after the LIBOR replacement date under section 104(a) or section 104(c)(3) of the LIBOR Act, respectively.141 As demonstrated above, the Board’s interpretation of ‘‘determining person’’ in the final rule may impact the timing of a determining person’s selection but does not affect the ultimate benchmark replacement for contracts under the terms of which the determining person’s authority is not triggered until on or after the LIBOR replacement date: Under either possible interpretation, the LIBOR contract would transition to the Board-selected benchmark replacement on and after the LIBOR replacement date.142 Accordingly, the Board does not believe its interpretation of ‘‘determining person’’ will have a material economic impact on any party to an affected LIBOR contract. For the reasons discussed above, the Board believes that the economic impact of the final rule on small entities, including any particular class, will not be significant. Therefore, the Board is certifying that the final rule will not have a significant economic impact on a substantial number of small entities. B. Paperwork Reduction Act In accordance with the Paperwork Reduction Act (PRA) of 1995 (44 U.S.C. 3506; 5 CFR part 1320, appendix A.1), the Board may not conduct or sponsor, and a respondent is not required to respond to, an information collection unless it displays a valid Office of Management and Budget (OMB) control number. The Board reviewed both the proposed rule and the final rule under the authority delegated to the Board by the OMB and determined that it contains no collections of information under the PRA.143 Accordingly, there is no paperwork burden associated with the final rule. The Board received no comments concerning paperwork burden associated with the proposed rule. 141 Alternatively, depending on the particular language of the LIBOR contract, the determining person may take the position that its authority to select a benchmark replacement under the terms of the LIBOR contract is triggered on the LIBOR replacement date, and select a replacement benchmark on that date only. The LIBOR Act and the final rule generally do not apply to a LIBOR contract for which a determining person selects an alternative benchmark replacement. 142 But see supra notes 139 and 141. 143 See 44 U.S.C. 3502(3). PO 00000 Frm 00017 Fmt 4701 Sfmt 4700 5219 C. Solicitation of Comments on Use of Plain Language Section 722 of the Gramm-LeachBliley Act (Pub. L. 106–102, 113 Stat. 1338, 1471, 12 U.S.C. 4809) requires the Federal banking agencies to use plain language in all proposed and final rules published after January 1, 2000. The Board received no comments on these matters and believes that the final rule is written plainly and clearly. D. Riegle Community Development and Regulatory Improvement Act of 1994 Section 302(a) of the Riegle Community Development and Regulatory Improvement Act (the ‘‘Riegle Act’’), Public Law 103–325, generally requires that, in determining the effective date and administrative compliance requirements for new regulations that impose additional reporting, disclosure, or other requirements on insured depository institutions, a Federal banking agency must consider, consistent with the principle of safety and soundness and the public interest, any administrative burdens that such regulations would place on depository institutions, including small depository institutions, and customers of depository institutions, as well as the benefits of such regulations.144 In addition, section 302(b) of the Riegle Act requires new regulations and amendments to existing regulations that impose additional reporting, disclosures, or other new requirements on insured depository institutions generally shall take effect on the first day of a calendar quarter that begins on or after the date of publication in the Federal Register.145 This requirement concerning the effective date does not apply in certain limited cases, including (i) if the agency determines, for good cause published with the regulation, that the regulation should become effective before such time, and (ii) if the regulation is required to take effect on a different date pursuant to an act of Congress.146 The Board believes that, in this case, there is good cause for an earlier effective date. In particular, an earlier effective date gives determining persons, including any determining person that is an insured depository institution, additional time to use the statutory right to select the Boardselected benchmark replacement, rather than requiring the determining person to wait until at least April 1, 2023, to make such selection. For this reason, the Board believes that an earlier effective 144 12 145 12 U.S.C. 4802(a). U.S.C. 4802(b). 146 Id. E:\FR\FM\26JAR2.SGM 26JAR2 5220 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations date will increase certainty for parties to LIBOR contracts involving determining persons and will facilitate a smooth transition away from LIBOR after the LIBOR replacement date. In addition, prompt effectiveness of the rule is consistent with congressional intent.147 List of Subjects in 12 CFR Part 253 Banks and banking, Interest rates. Authority and Issuance For the reasons stated in the preamble, the Board of Governors of the Federal Reserve System adds part 253 to 12 CFR chapter II to read as follows: ■ PART 253—REGULATIONS IMPLEMENTING THE ADJUSTABLE INTEREST RATE (LIBOR) ACT (REGULATION ZZ) Sec. 253.1 Authority, purpose, and scope. 253.2 Definitions. 253.3 Applicability. 253.4 Board-selected benchmark replacements. 253.5 Benchmark replacement conforming changes. 253.6 Preemption. 253.7 Continuity of contract and safe harbor. Appendix A to Part 253—ISDA Protocol Authority: 12 U.S.C. 5801 et seq. lotter on DSK11XQN23PROD with RULES2 § 253.1 Authority, purpose, and scope. (a) Authority. The Board of Governors of the Federal Reserve System (Board) has issued this part (Regulation ZZ) under the authority of Public Law 117– 103, division U (the ‘‘Adjustable Interest Rate (LIBOR) Act’’), codified at 12 U.S.C. 5801 et seq. (b) Purpose. The purposes of the Adjustable Interest Rate (LIBOR) Act are to establish a clear and uniform process, on a nationwide basis, for replacing the overnight and one-, three-, six-, and 12month tenors of U.S. dollar LIBOR in existing contracts that do not provide for the use of a clearly defined or practicable replacement benchmark rate; to preclude litigation related to such existing contracts; to allow existing contracts that reference LIBOR but provide for the use of a clearly defined and practicable replacement rate to operate according to their terms; and to address LIBOR references in Federal law.148 This part implements the statute by defining terms used in the statute and identifying Board-selected 147 12 U.S.C. 4802(b)(1)(C); see also 12 U.S.C. 5807. 148 The act does not affect the ability of parties to use any appropriate benchmark rate in new contracts. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 benchmark replacements for LIBOR contracts. (c) Scope. As described in § 253.3, the Adjustable Interest Rate (LIBOR) Act and this part apply by their terms to existing contracts governed by Federal law or the law of any state that reference the overnight and one-, three-, six-, and 12-month tenors of U.S. dollar LIBOR and do not have fallback provisions providing for the use of a clearly defined and practicable replacement benchmark rate following the LIBOR replacement date, unless the parties to that contract agree in writing that the contract is not subject to the Adjustable Interest Rate (LIBOR) Act. This part does not apply to or affect existing or prospective contracts that do not reference the overnight or one-, three-, six-, or 12-month tenors of U.S. dollar LIBOR, and except as provided in § 253.3(a)(1)(iii) and (c), generally does not apply to or affect LIBOR contracts that have fallback provisions providing for the use of a clearly defined and practicable replacement benchmark for LIBOR (either directly or through selection by a determining person), even if that rate differs from the otherwise applicable Board-selected benchmark replacement. Any determining person’s selection of the applicable Boardselected benchmark replacement pursuant to § 253.3(c) is subject to §§ 253.4, 253.5 (including any benchmark replacement conforming changes made by a calculating person), 253.6, and 253.7. § 253.2 Definitions. 30-day Average SOFR means the 30calendar-day compounded average of SOFR, as published by the Federal Reserve Bank of New York or any successor administrator. 90-day Average SOFR means the 90calendar-day compounded average of SOFR, as published by the Federal Reserve Bank of New York or any successor administrator. Benchmark means an index of interest rates or dividend rates that is used, in whole or in part, as the basis of or as a reference for calculating or determining any valuation, payment, or other measurement. Benchmark administrator means a person that publishes a benchmark for use by third parties. Benchmark replacement means a benchmark, or an interest rate or dividend rate (which may or may not be based in whole or in part on a prior setting of LIBOR) to replace LIBOR or any interest rate or dividend rate based on LIBOR, whether on a temporary, permanent, or indefinite basis, under or with respect to a LIBOR contract. PO 00000 Frm 00018 Fmt 4701 Sfmt 4700 Benchmark replacement conforming change means any technical, administrative, or operational change, alteration, or modification that: (1) The Board determines, in its discretion, would address one or more issues affecting the implementation, administration, and calculation of the Board-selected benchmark replacement in LIBOR contracts; or (2) Solely with respect to a LIBOR contract that is not a consumer loan, in the reasonable judgment of a calculating person, are otherwise necessary or appropriate to permit the implementation, administration, and calculation of the Board-selected benchmark replacement under or with respect to a LIBOR contract after giving due consideration to any benchmark replacement conforming changes determined by the Board under paragraph (1) of this definition. Board-selected benchmark replacement means the benchmark replacements identified in § 253.4. Business day means any day except for: (1) A Saturday; (2) A Sunday; (3) A day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in United States Government securities; or (4) A day on which the Federal Reserve Bank of New York, with advance notice, chooses not to publish its Treasury repurchase agreement reference rates if participants in the Treasury repurchase agreement market broadly expect to treat that day as a holiday. Calculating person means, with respect to any LIBOR contract, any person, including the determining person, responsible for calculating or determining any valuation, payment, or other measurement based on a benchmark. CME Term SOFR means the CME Term SOFR Reference Rates published for one-, three-, six-, and 12-month tenors as administered by CME Group Benchmark Administration, Ltd. (or any successor administrator thereof). Consumer has the same meaning as in section 103 of the Truth in Lending Act (15 U.S.C. 1602). Consumer loan means a consumer credit transaction. Credit has the same meaning as in section 103 of the Truth in Lending Act (15 U.S.C. 1602). Derivative transaction means a contract that would satisfy the criteria to be a ‘‘Protocol Covered Document’’ E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations under the International Swaps and Derivatives Association (ISDA) protocol (see appendix A to this part) but for the fact that one or more parties to such contract is not an ‘‘Adhering Party’’ as such term is used in the ISDA protocol, provided that, for purposes of this definition, ‘‘Protocol Effective Date’’ as such term is used in the ISDA protocol means the LIBOR replacement date for the relevant LIBOR contract. Derivative transaction fallback observation day means the day that is two payment business days prior to the payment date for the relevant calculation period. Determining person means, with respect to any LIBOR contract, any person with the sole authority, right, or obligation, including on a temporary basis (as identified by the LIBOR contract or by the governing law of the LIBOR contract, as appropriate) to determine a benchmark replacement, whether or not the person’s authority, right, or obligation is subject to any contingencies specified in the LIBOR contract or by the governing law of the LIBOR contract. Fallback provisions means terms in a LIBOR contract for determining a benchmark replacement, including any terms relating to the date on which the benchmark replacement becomes effective. Federal Housing Finance Agency (FHFA)-regulated entity has the same meaning as ‘‘regulated entity’’ in 12 U.S.C. 4502(20). Federal Family Education Loan Program (FFELP) asset-backed securitization (ABS) means an assetbacked security for which more than 50 percent of the collateral pool consists of FFELP loans, as reported in the most recent servicer report available on the LIBOR replacement date. FHFA-regulated-entity contract means a LIBOR contract that is a commercial or multifamily mortgage loan that has been purchased or guaranteed, in whole or in part, by an FHFA-regulated entity, or for which an FHFA-regulated entity is identified as a party in the transaction documents, and that is: (1) A commercial or multifamily mortgage-backed security (other than a security backed by consumer loans); (2) A collateralized mortgage obligation; (3) A credit risk transfer transaction; or (4) A Federal Home Loan Bank advance. ISDA protocol means the ISDA 2020 IBOR Fallbacks Protocol published by the International Swaps and Derivatives Association, Inc., on October 23, 2020, VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 and minor or technical amendments thereto (see appendix A to this part). LIBOR, as used in this part: (1) Means the overnight and one-, three-, six-, and 12-month tenors of U.S. dollar LIBOR (formerly known as the London interbank offered rate) as administered by ICE Benchmark Administration Limited (or any predecessor or successor administrator thereof); and (2) Does not include the one-week or two-month tenors of U.S. dollar LIBOR. LIBOR contract means any contract, agreement, indenture, organizational document, guarantee, mortgage, deed of trust, lease, security (whether representing debt or equity, including any interest in a corporation, a partnership, or a limited liability company), instrument, or other obligation or asset that, by its terms, uses LIBOR as a benchmark. LIBOR replacement date means the first London banking day after June 30, 2023, unless the Board determines that any LIBOR tenor will cease to be published or cease to be representative on a different date. Relevant benchmark administrator means: (1) Bloomberg Index Services Limited with respect to Fallback Rate (SOFR); (2) CME Group Benchmark Administration, Ltd. with respect to CME Term SOFR; (3) Refinitiv Limited with respect to the Board-selected benchmark replacement for a LIBOR contract that is a consumer loan; and (4) The Federal Reserve Bank of New York with respect to 30-day Average SOFR and 90-day Average SOFR. Security has the same meaning as in section 2(a) of the Securities Act of 1933 (15 U.S.C. 77b(a)). SOFR means the Secured Overnight Financing Rate published by the Federal Reserve Bank of New York or any successor administrator. State means any state, commonwealth, territory, or possession of the United States, the District of Columbia, the Commonwealth of Puerto Rico, the Commonwealth of the Northern Mariana Islands, American Samoa, Guam, or the United States Virgin Islands. § 253.3 Applicability. (a) General requirement. On and after the LIBOR replacement date, the applicable Board-selected benchmark replacement shall be the benchmark replacement for the following LIBOR contracts, except to the extent that an exception in paragraph (b) of this section applies: (1) A LIBOR contract with one of the following characteristics as of the PO 00000 Frm 00019 Fmt 4701 Sfmt 4700 5221 LIBOR replacement date, after giving effect to paragraph (a)(2) of this section: (i) The LIBOR contract contains no fallback provisions; (ii) The LIBOR contract contains fallback provisions that identify neither— (A) A specific benchmark replacement; nor (B) A determining person; or (iii) The LIBOR contract contains fallback provisions that identify a determining person, but the determining person has not selected a benchmark replacement by the earlier of the LIBOR replacement date and the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract, for any reason. (2) For purposes of this part, on the LIBOR replacement date, any reference in any fallback provisions of a LIBOR contract to the following shall be disregarded as if not included in the fallback provisions of such LIBOR contract and shall be deemed null and void and without any force or effect: (i) A benchmark replacement that is based in any way on any LIBOR value, except to account for the difference between LIBOR and the benchmark replacement; or (ii) A requirement that a person (other than a benchmark administrator) conduct a poll, survey, or inquiries for quotes or information concerning interbank lending or deposit rates (including, but not limited to, Eurodollar deposit or lending rates). (b) Exceptions. Notwithstanding paragraph (a) of this section, this part shall not apply to— (1) Any LIBOR contract that the parties have agreed in writing shall not be subject to the Adjustable Interest Rate (LIBOR) Act; (2) Any LIBOR contract that contains fallback provisions that identify a benchmark replacement that is not based in any way on any LIBOR value (including the prime rate or the effective Federal Funds rate) after application of paragraph (a)(2) of this section; or (3) Except as provided in paragraph (a)(2) or (a)(1)(iii) of this section, any LIBOR contract subject to paragraph (c) of this section as to which a determining person does not elect to use a Boardselected benchmark replacement pursuant to paragraph (c). (c) Selection of Board-selected benchmark replacement by determining person. Except for any LIBOR contract described in paragraph (b)(2) of this section, a determining person may select the Board-selected benchmark replacement specified in § 253.4 as the benchmark replacement for a LIBOR contract. Any such selection shall be— E:\FR\FM\26JAR2.SGM 26JAR2 5222 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations (1) Irrevocable; (2) Made by the earlier of the LIBOR replacement date and the latest date for selecting a benchmark replacement according to the terms of the LIBOR contract; and (3) Used in any determinations of the benchmark under or with respect to the LIBOR contract occurring on and after the LIBOR replacement date. (d) Other provisions of LIBOR contracts unchanged. Except as provided in paragraph (a)(2) of this section and in § 253.5, where the applicable Board-selected benchmark replacement becomes the benchmark replacement for a LIBOR contract on and after the LIBOR replacement date pursuant to paragraph (a) or (c) of this section, all other provisions of such contract shall not be altered or impaired and shall apply to such contract using the Board-selected benchmark replacement, including but not limited to: (1) Any provision specifying the date for determining a benchmark, except in the case of derivative transactions, which are subject to § 253.4(a)(2), and Federal Home Loan Bank advances, which are subject to § 253.4(b)(3)(ii)(B); (2) Any provision specifying rounding conventions for a benchmark; (3) Any provision referencing LIBOR or any LIBOR value prior to the LIBOR replacement date (including any provision requiring a person to look back to a LIBOR value as of a date preceding the LIBOR replacement date); (4) Any provision applying any cap, floor, modifier, or spread adjustment to which LIBOR had been subject pursuant to the terms of a LIBOR contract; (5) Any provision of Federal consumer financial law that— (i) Requires creditors to notify borrowers regarding a change-in-terms; or (ii) Governs the reevaluation of rate increases on credit card accounts under open-ended (not home-secured) consumer credit plans; or (6) Except as provided in 12 U.S.C. 5804(c), the rights or obligations of any person, or the authorities of any agency, under Federal consumer financial law, as defined in 12 U.S.C. 5481. lotter on DSK11XQN23PROD with RULES2 § 253.4 Board-selected benchmark replacements. (a) Derivative transactions. (1) A LIBOR contract subject to the requirements of this part that is a derivative transaction shall use the benchmark replacement identified as the ‘‘Fallback Rate (SOFR)’’ in the ISDA protocol (see appendix A to this part) for each day on which LIBOR would ordinarily be observed occurring on or VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 after the LIBOR replacement date. For clarity, the reference to ‘‘spread relating to U.S. dollar LIBOR’’ in the definition of ‘‘Fallback Rate (SOFR)’’ in the ISDA protocol is equal to the applicable tenor spread adjustment identified in paragraph (c) of this section. (2) The benchmark replacement used to calculate the payment due for the relevant calculation period shall be determined on the derivative transaction fallback observation day in respect of the day that, under the LIBOR contract, would have been used to determine the LIBOR-based rate that is being replaced or, if the Board-selected benchmark replacement in respect of that day is not available on the derivative transaction fallback observation day, the most recently available publication on the derivative transaction fallback observation day shall be used. (b) All other transactions. On the LIBOR replacement date, a LIBOR contract subject to the requirements of this part that is not a derivative transaction shall use the following benchmark replacements: (1) For a LIBOR contract that is not a consumer loan, an FHFA-regulatedentity contract, or a FFELP ABS— (i) In place of overnight LIBOR, the benchmark replacement shall be SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of this section; and (ii) In place of one-, three-, six-, or 12month tenors of LIBOR, the benchmark replacement shall be the corresponding one-, three-, six-, or 12-month CME Term SOFR plus the applicable tenor spread adjustment identified in paragraph (c) of this section. (2) For a LIBOR contract that is a consumer loan— (i) During the one-year period beginning on the LIBOR replacement date: (A) In place of overnight LIBOR, the benchmark replacement shall be SOFR plus an amount that transitions linearly for each business day during that period from: (1) The difference between SOFR and overnight LIBOR determined as of the day immediately before the LIBOR replacement date; to (2) The tenor spread adjustment identified in paragraph (c)(1) of this section; or (B) In place of the one-, three-, six-, or 12-month tenors of LIBOR, the benchmark replacement shall be the corresponding one-, three-, six-, or 12month CME Term SOFR plus an amount that transitions linearly for each business day during that period from: PO 00000 Frm 00020 Fmt 4701 Sfmt 4700 (1) The difference between the relevant CME Term SOFR and the relevant LIBOR tenor determined as of the day immediately before the LIBOR replacement date; to (2) The applicable tenor spread adjustment identified in paragraph (c) of this section. (ii) On the date one year after the LIBOR replacement date and thereafter: (A) In place of overnight LIBOR, the benchmark replacement shall be SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of this section; and (B) In place of one-, three-, six-, or 12month tenors of LIBOR, the benchmark replacement shall be the corresponding one-, three-, six-, or 12-month CME Term SOFR plus the applicable tenor spread adjustment identified in paragraph (c) of this section. (iii) The rates published or provided by Refinitiv Limited as ‘‘USD IBOR Cash Fallbacks’’ for ‘‘Consumer’’ products shall be deemed equal to the rates identified in paragraphs (b)(2)(i) and (ii) of this section. (3) For a LIBOR contract that is an FHFA-regulated-entity contract— (i) For an FHFA-regulated-entity contract that is not a Federal Home Loan Bank advance— (A) In place of overnight LIBOR, the benchmark replacement shall be SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of this section; and (B) In place of one-, three-, six-, or 12month tenors of LIBOR, the benchmark replacement shall be the 30-day Average SOFR plus the applicable tenor spread adjustment identified in paragraph (c) of this section. (ii) For an FHFA-regulated-entity contract that is a Federal Home Loan Bank advance— (A) The benchmark replacement shall be the ‘‘Fallback Rate (SOFR)’’ in the ISDA protocol (see appendix A to this part) for each day on which LIBOR would ordinarily be observed occurring on or after the LIBOR replacement date. For clarity, the reference to ‘‘spread relating to U.S. dollar LIBOR’’ in the definition of ‘‘Fallback Rate (SOFR)’’ in the ISDA protocol is equal to the applicable tenor spread adjustment identified in paragraph (c) of this section. (B) The benchmark replacement used to calculate the payment due for the relevant calculation period shall be determined on the derivative transaction fallback observation day in respect of the day that, under the LIBOR contract, would have been used to determine the LIBOR-based rate that is being replaced or, if the Board-selected E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations benchmark replacement in respect of that day is not available on the derivative transaction fallback observation day, the most recently available publication on the derivative transaction fallback observation day shall be used. (4) For a LIBOR contract that is a FFELP ABS— (i) In place of one-month LIBOR, the benchmark replacement shall be 30-day Average SOFR plus the tenor spread adjustment identified in paragraph (c)(2) of this section; (ii) In place of three-month LIBOR, the benchmark shall be 90-day Average SOFR plus the tenor spread adjustment identified in paragraph (c)(3) of this section; and (iii) In place of six- or 12-month tenors of LIBOR, the benchmark replacement shall be 30-day Average SOFR plus the tenor spread adjustment identified in paragraph (c)(4) or (5) of this section, as applicable. (c) Tenor spread adjustments. The following tenor spread adjustments shall be included as part of the Boardselected benchmark replacements as indicated in paragraphs (a) and (b) of this section: (1) 0.00644 percent for overnight LIBOR; (2) 0.11448 percent for one-month LIBOR; (3) 0.26161 percent for three-month LIBOR; (4) 0.42826 percent for six-month LIBOR; and (5) 0.71513 percent for 12-month LIBOR. lotter on DSK11XQN23PROD with RULES2 § 253.5 Benchmark replacement conforming changes. (a) Benchmark replacement conforming changes generally. (1) If the Board-selected benchmark replacement becomes the benchmark replacement for a LIBOR contract pursuant to § 253.3(a) or (c), all applicable benchmark replacement conforming changes shall become an integral part of the LIBOR contract. (2) Paragraph (b) of this section establishes specific benchmark replacement conforming changes. The Board may, in its discretion, publish additional benchmark replacement conforming changes by regulation or order. (3) Solely with respect to any LIBOR contract that is not a consumer loan, a calculating person may make any additional technical, administrative, or operational changes, alterations, or modifications that, in that person’s reasonable judgment, would be necessary or appropriate to permit the implementation, administration, and VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 calculation of the Board-selected benchmark replacement under or with respect to a LIBOR contract after giving due consideration to any changes, alterations, or modifications otherwise required by the Board, without any requirement to obtain consent from any other person prior to the adoption of such benchmark replacement conforming changes. (b) Specified benchmark replacement conforming changes. (1) Any reference to a specified source for LIBOR (such as a particular newspaper, website, or screen) shall be replaced with the publication of the applicable Boardselected benchmark replacement (inclusive or exclusive of the relevant tenor spread adjustment identified in § 253.4(c)) by either the relevant benchmark administrator for the applicable Board-selected benchmark replacement or any third party authorized by the relevant benchmark administrator to publish the applicable Board-selected benchmark replacement. (2) Any reference to a particular time of day for determining LIBOR (such as 11:00 a.m. London time) shall be replaced with the standard publication time for the applicable Board-selected benchmark replacement (inclusive or exclusive of the relevant tenor spread adjustment identified in § 253.4(c)), as established by the relevant benchmark administrator. (3) Any provision of a LIBOR contract requiring use of a combination (such as an average) of LIBOR values over a period of time that spans the LIBOR replacement date shall be modified to provide that the combination shall be calculated consistent with that contractual provision using: (i) The applicable LIBOR for any date prior to the LIBOR replacement date; and (ii) The applicable Board-selected benchmark replacement rate for any date on or following the LIBOR replacement date, respectively. (4) Subject to § 253.4(a) and (b)(3)(ii), to the extent a Board-selected benchmark replacement is not available or published on a particular day indicated in the LIBOR contract as the determination date, the most recently available publication of the Boardselected benchmark replacement will apply. § 253.6 Preemption. Pursuant to section 107 of the Adjustable Interest Rate (LIBOR) Act, 12 U.S.C. 5806, this part supersedes any provision of any state or local law, statute, rule, regulation, or standard— PO 00000 Frm 00021 Fmt 4701 Sfmt 4700 5223 (a) Relating to the selection or use of a benchmark replacement or related conforming changes; or (b) Expressly limiting the manner of calculating interest, including the compounding of interest, as that provision applies to the selection or use of a Board-selected benchmark replacement or benchmark replacement conforming changes. § 253.7 Continuity of contract and safe harbor. (a) The provisions of section 105(a)– (d) of the Adjustable Interest Rate (LIBOR) Act, 12 U.S.C. 5804(a)–(d), shall apply to any LIBOR contract for which the Board-selected benchmark replacement becomes the benchmark replacement pursuant to § 253.3(a) or (c). (b) Nothing in this part is intended to alter or modify the availability or effect of the provisions of section 105(e) of the Adjustable Interest Rate (LIBOR) Act, 12 U.S.C. 5804(e). Appendix A to Part 253—ISDA Protocol For ease of reference, the Board is republishing, with permission, the full text of the ISDA 2020 IBOR Fallbacks Protocol (ISDA protocol), published on October 23, 2020, by the International Swaps and Derivatives Association, Inc. The full text of the ISDA protocol follows: ISDA 2020 IBOR Fallbacks Protocol Published on October 23, 2020 By the International Swaps and Derivatives Association, Inc. The International Swaps and Derivatives Association, Inc. (ISDA) has published this ISDA 2020 IBOR Fallbacks Protocol (this Protocol) to enable parties to Protocol Covered Documents to amend the terms of each such Protocol Covered Document to (i) in respect of a Protocol Covered Document which incorporates, or references a rate as defined in, a Covered ISDA Definitions Booklet, include in the terms of such Protocol Covered Document either the terms of, or a particular defined term included in, the Supplement to the 2006 ISDA Definitions, finalized on October 23, 2020 and to be published by ISDA and effective on January 25, 2021 (the IBOR Fallbacks Supplement) and (ii) in respect of a Protocol Covered Document which otherwise references a Relevant IBOR, include in the terms of such Protocol Covered Document new fallbacks for that Relevant IBOR. Accordingly, a party may adhere to this Protocol and be bound by its terms by completing and delivering a letter substantially in the form of Exhibit 1 to this Protocol (an Adherence Letter) to ISDA, as agent, as described below (each such party, an Adhering Party). 1. Adherence to and Effectiveness of the Protocol (a) By adhering to this Protocol in the manner set forth in this paragraph 1, each E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5224 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations Adhering Party agrees, in consideration of the mutual promises and covenants contained herein, that the terms of each Protocol Covered Document between such Adhering Party and any other Adhering Party will be amended in accordance with the terms and subject to the conditions set forth in the Attachment hereto. (b) Adherence to this Protocol will be evidenced by the execution and online delivery, in accordance with this paragraph, to ISDA, as agent, of an Adherence Letter (in accordance with subparagraphs 1(b)(i) to 1(b)(iii) below). ISDA shall have the right, in its sole and absolute discretion, upon at least thirty calendar days’ notice on the ‘‘ISDA 2020 IBOR Fallbacks Protocol’’ section of its website at www.isda.org (or by other suitable means), to designate a closing date of this Protocol (such closing date, the Cut-off Date). After the Cut-off Date, ISDA will not accept any further Adherence Letters to this Protocol. (i) Each Adhering Party will access the ‘‘Protocols’’ section of the ISDA website at www.isda.org to enter information online that is required to generate its form of Adherence Letter and will submit payment of any applicable fee. Either by directly downloading the populated Adherence Letter from the Protocol system or upon receipt via email of the populated Adherence Letter, each Adhering Party will sign and upload the signed Adherence Letter as a PDF (portable document format) attachment into the Protocol system. Once the signed Adherence Letter has been approved and accepted by ISDA, such Adhering Party will receive an email confirmation of the Adhering Party’s adherence to this Protocol. (ii) A conformed copy of each Adherence Letter containing, in place of each signature, the printed or typewritten name of each signatory will be published by ISDA so that it may be viewed by all Adhering Parties. Each Adhering Party agrees that, for evidentiary purposes, a conformed copy of an Adherence Letter certified by the General Counsel (or other appropriate officer) of ISDA will be deemed to be an original. (iii) Each Adhering Party agrees that the determination of the date and time of acceptance of any Adherence Letter will be determined by ISDA in its absolute discretion. Any Adherence Letter which is dated and delivered to ISDA before the date on which this Protocol is published will be deemed to have been delivered on the date on which this Protocol is published. (c) As between two Adhering Parties, the agreement to make the amendments contemplated by this Protocol, on the terms and conditions set forth in this Protocol, will be effective on the Implementation Date and that agreement will form part of each Protocol Covered Document from the later of the Implementation Date and the related Protocol Covered Document Date. The amendments contemplated by this Protocol shall be made on the later of (i) the Implementation Date and (ii) the Protocol Effective Date. (A) The Protocol Effective Date with respect to a Protocol Covered Document shall be January 25, 2021. (B) The Implementation Date with respect to any two Adhering Parties shall be the date VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of such two Adhering Parties to adhere except that: (I) In respect of any Protocol Covered Document into which an Agent has entered on behalf of a Client, subject to paragraph 3(m) below, the Implementation Date shall be the date specified in subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B), subparagraph 3(g)(i)(C), paragraph 3(h), paragraph 3(i) or paragraph 3(j) below, as applicable; and (II) In respect of any Non-Agent Executed Protocol Covered Document, subject to paragraph 3(m) below, the Implementation Date shall be the day specified in paragraph 3(l) below. Acceptance by ISDA of a subsequent or revised Adherence Letter from either such Adhering Party will not have the effect of changing such Implementation Date. (d) This Protocol is intended for use without negotiation, but without prejudice to any amendment, modification or waiver in respect of a Protocol Covered Document that the parties may otherwise effect in accordance with the terms of that Protocol Covered Document. (i) In adhering to this Protocol, an Adhering Party may not specify additional provisions, conditions or limitations in its Adherence Letter. (ii) Any purported adherence that ISDA, as agent, determines in good faith is not in compliance with this Protocol will be void and ISDA will inform the relevant party of such fact as soon as reasonably possible after making such determination. (e) Each Adhering Party acknowledges and agrees that adherence to this Protocol is irrevocable, except that an Adhering Party may, after the Protocol Effective Date, deliver to ISDA, as agent, a notice substantially in the form of Exhibit 2 to this Protocol that is effective (determined pursuant to paragraph 3(f) below) on any Protocol Business Day (a Revocation Notice) to designate the next Revocation Date as the last date on which an Implementation Date can occur in respect of any Protocol Covered Document between the counterparty and such Adhering Party. Following the effective delivery of a Revocation Notice by an Adhering Party, this Protocol will not amend any Protocol Covered Document between that Adhering Party and another Adhering Party for which the Implementation Date would occur after the related Revocation Date. (i) If an Agent adheres to this Protocol on behalf of a Client, then, if the Client effectively delivers a Revocation Notice in accordance with this paragraph 1(e), this Protocol will not amend any Protocol Covered Document between another Adhering Party and that Client entered into by that Client itself or by the Agent on behalf of that Client or any Non-Agent Executed Protocol Covered Document (if applicable), in each case, for which the Implementation Date would occur after the Revocation Date designated as the last date on which an Implementation Date can occur in the Client’s Revocation Notice. (ii) If an Agent delivers a Revocation Notice in accordance with this paragraph 1(e) on behalf of a Client and the Client separately PO 00000 Frm 00022 Fmt 4701 Sfmt 4700 adheres to this Protocol directly rather than through the agency of an Agent, then the Revocation Notice delivered by the Agent will not prevent an Implementation Date from occurring after the Revocation Date in respect of any Protocol Covered Document into which the Client has entered with another Adhering Party (including through the Agent). (iii) Subparagraph 1(e)(i), subparagraph 1(e)(ii) and subparagraph 1(e)(iii) are without prejudice to any amendment effected pursuant to this Protocol to any Protocol Covered Document between two Adhering Parties for which the Implementation Date occurred on or before the day on which that Revocation Date occurs or is deemed to occur, regardless of the date on which such Protocol Covered Document is entered into, and any such amendment shall be effective notwithstanding the occurrence or deemed occurrence of such Revocation Date. (iv) Each Revocation Notice must be delivered by the means specified in paragraph 3(f) below. (v) Each Adhering Party agrees that, for evidentiary purposes, a conformed copy of a Revocation Notice certified by the General Counsel or an appropriate officer of ISDA will be deemed to be an original. (vi) Any purported revocation that ISDA, as agent, determines in good faith is not in compliance with this paragraph 1(e) will be void and ISDA will inform the relevant party of such fact as soon as reasonably possible after making such determination. 2. Representations and Undertakings (a) As of the later of (i) the date on which an Adhering Party adheres to this Protocol in accordance with paragraph 1 above (which will be the date of acceptance by ISDA of an Adherence Letter from that Adhering Party (in accordance with paragraph 1(b) above)) and (ii) the Protocol Covered Document Date, such Adhering Party represents to each other Adhering Party with which it has entered into a Protocol Covered Document (which representations will be deemed to be repeated on the Protocol Effective Date and the Implementation Date if one or both such dates are later than the date on which such Adhering Party adheres to this Protocol) each of the following matters: (A) Status. It is, if relevant, duly organized and validly existing under the laws of the jurisdiction of its organization or incorporation and, if relevant under such laws, in good standing or, if it otherwise represents its status in or pursuant to the Protocol Covered Document, has such status. (B) Powers. It has the power to execute and deliver the Adherence Letter and to perform its obligations under the Adherence Letter and the Protocol Covered Document as amended by the Adherence Letter and this Protocol (including the Attachment hereto), and has taken all necessary action to authorize such execution, delivery and performance. (C) No Violation or Conflict. Such execution, delivery and performance do not violate or conflict with any law applicable to it, any provision of its constitutional documents, any order or judgment of any court or other agency of government E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations applicable to it or any of its assets or any contractual restriction binding on or affecting it or any of its assets. (D) Consents. All governmental and other consents that are required to have been obtained by it with respect to the Adherence Letter and the Protocol Covered Document, as amended by the Adherence Letter and this Protocol (including the Attachment hereto), have been obtained and are in full force and effect and all conditions of any such consents have been complied with. (E) Obligations Binding. Its obligations under the Adherence Letter and the Protocol Covered Document, as amended by the Adherence Letter and this Protocol (including the Attachment hereto), constitute its legal, valid and binding obligations, enforceable in accordance with their respective terms (subject to applicable bankruptcy, reorganization, insolvency, moratorium or similar laws affecting creditors’ rights generally and subject, as to enforceability, to equitable principles of general application (regardless of whether enforcement is sought in a proceeding in equity or at law)). (F) Credit Support. Its adherence to this Protocol and any amendment contemplated by this Protocol (including the Attachment hereto) will not, in and of itself, adversely affect the enforceability, effectiveness or validity of any obligations owed, whether by it or by any third party, under any Credit Support Document or Third Party Credit Support Document in respect of its obligations relating to any Protocol Covered Document as amended by the Adherence Letter and this Protocol (including the Attachment hereto). (b) Each Adhering Party agrees with each other Adhering Party with which it has entered into a Protocol Covered Document that each of the foregoing representations will be deemed, in the case of a Protocol Covered Document that is an ISDA Master Agreement, to be a representation for purposes of Section 5(a)(iv) and in the case of any other Protocol Covered Document, to be a representation for purposes of any analogous provisions of each such Protocol Covered Document, that is made by each Adhering Party as of the later of (i) the date on which such Adhering Party adheres to this Protocol in accordance with paragraph 1 above and (ii) the Protocol Covered Document Date and which is deemed repeated on the Protocol Effective Date and the Implementation Date if one or both such dates are later than the date on which such Adhering Party adheres to this Protocol. (c) Undertakings in respect of Protocol Covered Documents with Third Party Credit Support Documents. With respect to Protocol Covered Documents with Third Party Credit Support Documents that expressly require the consent, approval, agreement, authorization or other action of a Third Party to be obtained, each Adhering Party whose obligations under such arrangements are secured, guaranteed or otherwise supported by such Third Party undertakes to each other Adhering Party with which it has entered into such arrangements that it has obtained the consent (including by way of paragraph 2(d) below), approval, agreement, VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 authorization or other action of such Third Party and that it will, upon demand, deliver evidence of such consent, approval, agreement, authorization or other action to such other Adhering Party. (d) Deemed Third Party Consent. Each Adhering Party which is also a Third Party in relation to a Third Party Credit Support Document is hereby deemed to have consented to the amendments imposed by this Protocol on the Protocol Covered Document supported by such Third Party Credit Support Document. 3. Miscellaneous (a) Entire Agreement; Restatement; Survival. (i) This Protocol constitutes the entire agreement and understanding of the Adhering Parties with respect to its subject matter and supersedes all oral communication and prior writings (except as otherwise provided herein) with respect thereto. Each Adhering Party acknowledges that in adhering to this Protocol it has not relied on any oral or written representation, warranty or other assurance (except as provided for or referred to elsewhere in this Protocol or in the Attachment) and waives all rights and remedies which might otherwise be available to it in respect thereof, except that nothing in this Protocol will limit or exclude any liability of an Adhering Party for fraud. (ii) Except for any amendment deemed to be made pursuant to this Protocol in respect of any Protocol Covered Document, all terms and conditions of each Protocol Covered Document will continue in full force and effect in accordance with its provisions as in effect immediately prior to the date on which it first becomes subject to this Protocol. Except as explicitly stated in this Protocol, nothing herein shall constitute a waiver or release of any rights of any Adhering Party under any Protocol Covered Document to which such Adhering Party is a party or a provider or recipient of credit support. This Protocol will, with respect to its subject matter, survive, and any amendments made or deemed to be made pursuant to this Protocol will form a part of each Protocol Covered Document between the Adhering Parties, notwithstanding any statements in a Protocol Covered Document to the effect that such Protocol Covered Document constitutes the entire agreement and understanding between the parties to such Protocol Covered Document with respect to the subject of such Protocol Covered Document. (b) Exclusion of Agreements. Notwithstanding anything in paragraph 1(a) above, with respect to any agreement between Adhering Parties, if the parties to such agreement have expressly stated in such agreement or otherwise agreed in writing that this Protocol shall not apply, then such agreement shall not be a Protocol Covered Document. (c) Amendments. An amendment, modification or waiver in respect of the matters contemplated by this Protocol (including, for the avoidance of doubt, any amendment, modification or waiver relating to the alignment of a Protocol Covered Document with an instrument for which such PO 00000 Frm 00023 Fmt 4701 Sfmt 4700 5225 Protocol Covered Document is intended to serve as a hedge (or vice versa)) will only be effective in respect of a Protocol Covered Document if made in accordance with the terms of the Protocol Covered Document and then only with effect between the parties to that Protocol Covered Document. (d) Headings. The headings used in this Protocol and any Adherence Letter are for convenience of reference only and are not to affect the construction of or to be taken into consideration in interpreting this Protocol or any Adherence Letter. (e) Governing Law. This Protocol and each Adherence Letter will, as between two Adhering Parties and in respect of each Protocol Covered Document between them, be governed by and construed in accordance with the laws of England and Wales, without reference to choice of law doctrine, provided that the amendments to each Protocol Covered Document shall be governed by and construed in accordance with the law specified to govern that Protocol Covered Document and otherwise in accordance with the applicable choice of law doctrine. (f) Notices. Any Revocation Notice must be in writing and delivered as a locked PDF (portable document format) attachment to an email to ISDA at isda@isda.org and will be deemed effectively delivered on the date it is delivered unless, on the date of that delivery, ISDA’s London office is closed or that communication is delivered after 5:00 p.m., London time, in which case that communication will be deemed effectively delivered on the next day ISDA’s London office is open. (g) Ability of an Agent to Adhere to the Protocol on Behalf of a Client. (i) An Agent may adhere to this Protocol: (A) On behalf of all Clients represented by such Agent (in which case, such Agent need not identify each Client through an online platform available generally to the industry, including, for example, the ISDA Amend platform provided by IHS Markit (a Platform) and, in respect of any Protocol Covered Document into which the Agent has entered on behalf of those Clients, the Implementation Date shall be the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere); (B) On behalf of only those Clients represented by such Agent that such Agent specifically names or identifies through a Platform and, in respect of any Protocol Covered Document into which the Agent has entered on behalf of any such Client, the Implementation Date shall be the date shown on the Platform as the date on which the Agent communicates the name or identity of that Client to the other Adhering Party (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from the other Adhering Party); or (C) On behalf of all Clients represented by such Agent, excluding any Clients whose name or identity the Agent communicates to the other Adhering Party through a Platform as a Client excluded from adherence, subject to subparagraph 3(h)(i) below, on or before the date of acceptance by ISDA of an Adherence Letter (in accordance with E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5226 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations paragraph 1(b) above) from the later of the two Adhering Parties to adhere (in which case, such Agent need not identify each Client on whose behalf it adheres through a Platform). In respect of any Protocol Covered Document into which the Agent has entered on behalf of any Client whose name or identity has not been communicated to the other Adhering Party through a Platform as a Client excluded from adherence, the Implementation Date shall (subject to subparagraph 3(h)(i) below) be the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere. If the Agent has not communicated the name or identity of any Clients excluded from adherence to the other Adhering Party through a Platform on or before the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere, then (subject to subparagraph 3(h)(i) below) in respect of any Protocol Covered Document into which the Agent has entered on behalf of any Client, the Implementation Date shall be the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere, and, in each case, if the Agent elects for Option 2 in its Adherence Letter, on behalf of those Clients whose name or identity the Agent communicates to the other Adhering Party through a Platform as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) below applies (in which case, the Implementation Date in respect of any NonAgent Executed Protocol Covered Document shall be as specified in subparagraph 3(l) below). (ii) In each case, the Agent can elect to apply the amendments in this Protocol to either: (A) In respect of all those Clients on whose behalf the Agent adheres pursuant to subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 3(g)(i)(C) above, each Protocol Covered Document into which the Agent has entered on behalf of those Clients (Option 1); or (B) In respect of all those Clients on whose behalf the Agent adheres pursuant to subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 3(g)(i)(C) above, each Protocol Covered Document into which the Agent has entered on behalf of those Clients and (II) in respect of those Clients on whose behalf the Agent adheres whose name or identity the Agent communicates to the other Adhering Party through a Platform as being a Client in respect of which this subparagraph 3(g)(ii)(B)(II) applies, each Protocol Covered Document into which the Agent did not enter on behalf of those Clients but which the Agent has the authority from the relevant Client to amend (for the purpose of this Protocol, documents described in this subparagraph 3(g)(ii)(B)(II) being Non-Agent Executed Protocol Covered Documents and the date shown on the Platform as the date on which the Agent communicates the name or identity of the Client to the other Adhering Party for the purposes of this subparagraph 3(g)(ii)(B)(II) being the Identification Date) (Option 2). If an Agent adheres to this VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Protocol and elects for Option 2, in respect of any Client on whose behalf the Agent adheres pursuant to subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 3(g)(i)(C) above whose name or identity is communicated to the other Adhering Party as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) above applies, Protocol Covered Documents referred to in both subparagraph 3(g)(ii)(B)(I) and subparagraph 3(g)(ii)(B)(II) above will be amended in accordance with the terms of this Protocol. For the avoidance of doubt, any Protocol Covered Document into which the Agent did not enter on behalf of a Client and which the Agent does not have the authority from the relevant Client to amend will not constitute a Non-Agent Executed Protocol Covered Document. (iii) The election for Option 1 or Option 2 shall be made in the Adherence Letter. Adherence by the Agent shall only be effective with respect to those Protocol Covered Documents described in Option 1 or Option 2, as applicable, and as elected in the Adherence Letter (subject to, if the Agent elects for Option 2 and with respect to NonAgent Executed Protocol Covered Documents, (A) Subparagraph 3(g)(iv) and paragraph 3(l) below and (B) the Agent communicating the name or identity of those Clients on behalf of which it is amending Non-Agent Executed Protocol Covered Documents to the other Adhering Party, in accordance with subparagraph 3(g)(ii)(B)(II) above (regardless of whether the Agent adheres to this Protocol using the approach described in subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 3(g)(i)(C) above)). (iv) If an Agent adheres to this Protocol and elects for Option 2 in its Adherence Letter, then, in respect of any Non-Agent Executed Protocol Covered Document only, the Agent shall, as soon as reasonably practicable following a written request (including by email) from the other Adhering Party, and in any event by no later than the end of the fifteenth calendar day following such request, provide reasonable evidence satisfactory to the other Adhering Party in its sole discretion supporting the Agent’s authority to amend such documents, provided that: (A) If, prior to the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the Agent and the other Adhering Party to adhere, the Agent has delivered to the other Adhering Party a copy, or relevant extracts, of the agreement (such as an investment management agreement) pursuant to which the relevant Client appoints the Agent to act on its behalf and authorizes the Agent to make the amendments contemplated by this Protocol to the Non-Agent Executed Protocol Covered Document (whether or not such authority expressly refers to this Protocol), then, subject to the other Adhering Party’s right to request (which request must be in writing (which includes by email)) an additional copy of that agreement or those relevant extracts (which request shall be made no later than the end of the fifteenth calendar day following the later of the Identification Date and the date of acceptance PO 00000 Frm 00024 Fmt 4701 Sfmt 4700 by ISDA, as agent, of an Adherence Letter from that other Adhering Party), the Agent need not provide any further evidence supporting its authority to amend that NonAgent Executed Protocol Covered Document on behalf of that Client for the purposes of this Protocol and, in respect of that NonAgent Executed Protocol Covered Document, shall be deemed to have provided reasonable evidence satisfactory to the other Adhering Party on (I) if the other Adhering Party does not request an additional copy of that agreement or those relevant extracts, the end of the fifteenth calendar day following the later of the Identification Date and the date of acceptance by ISDA, as agent, of an Adherence Letter from that other Adhering Party or (II) If the other Adhering Party does request an additional copy of that agreement or those relevant extracts, the day on which that additional copy is delivered to the other Adhering Party; (B) If the other Adhering Party does not request such evidence by the end of the fifteenth calendar day following the later of the Identification Date and the date of acceptance by ISDA, as agent, of an Adherence Letter from that other Adhering Party, then the Agent shall be deemed to have provided reasonable evidence satisfactory to the other Adhering Party at the end of that fifteenth calendar day; (C) Subject to subparagraph 3(g)(iv)(A) above, following the delivery of any such evidence by the Agent to the other Adhering Party, unless the other Adhering Party notifies the Agent to the contrary by the end of the fifteenth calendar day following the day on which such evidence is delivered, the Agent shall be deemed to have provided reasonable evidence satisfactory to the other Adhering Party at the end of that fifteenth calendar day; (D) If: (I) (I) following written request from the other Adhering Party, the Agent does not provide the other Adhering Party with any evidence supporting its authority to amend such documents or, if subparagraph 3(g)(iv)(A) above applies, with an additional copy of the relevant agreement or extracts, by the end of the fifteenth calendar day following such written request; or (II) subject to subparagraph 3(g)(iv)(A) above, the other Adhering Party determines that the evidence provided by the Agent is not satisfactory and notifies the Agent accordingly by the end of the fifteenth calendar day following the day on which such evidence is delivered, Then request for evidence and the Agent’s right to provide such evidence and, in respect of any such evidence, subject to subparagraph 3(g)(iv)(C) above, the NonAgent Executed Protocol Covered Document shall not be amended by this Protocol; and (E) Any failure by the Agent to provide the other Adhering Party with such evidence shall not give rise to a Potential Event of Default or an Event of Default (each as defined in the ISDA Master Agreement), or any similar event, under that Non-Agent Executed Protocol Covered Document or other contractual right of action under this Protocol or that Non-Agent Executed Protocol Covered Document. E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations (v) If an Agent adheres to this Protocol and specifically names or identifies one or more Clients (A) On whose behalf it is adhering (as contemplated in subparagraph 3(g)(i)(B) above), (B) which are excluded from adherence (as contemplated in subparagraph 3(g)(i)(C) above), and/or (C) on whose behalf it is amending Non-Agent Executed Protocol Covered Documents (as contemplated in subparagraph 3(g)(ii)(B)(II) above), as applicable, through a Platform, that Agent shall provide the legal entity identifier (LEI) of each such Client through such Platform. (vi) If an Agent adheres to this Protocol on behalf of a Client by executing and delivering an Adherence Letter on behalf of such Client in accordance with paragraph 1 above and this paragraph 3(g), references to the Adhering Party for purposes of this Protocol (including the Attachment hereto) and the Adherence Letter shall be interpreted to refer to such Client. If, in respect of a Client, more than one Adherence Letter is accepted by ISDA in accordance with paragraph 1(b) above (by virtue of the Client adhering on its own behalf and one or more Agents adhering on behalf of that Client), then: (A) If ISDA accepts an Adherence Letter from an Agent on behalf of a Client after it accepts an Adherence Letter from that Client, any document entered into by: (I) That Agent acting on behalf of that Client; or (II) If the Agent elects for Option 2 in its Adherence Letter, that Client on its own behalf but which the Agent has the authority from the relevant Client to amend, in each case, which has a Protocol Covered Document Date prior to: (1) The Protocol Effective Date; or (2) If later, the date of acceptance by ISDA, as agent, of an Adherence Letter from that Agent (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from the other Adhering Party), will be deemed to have ‘‘a Protocol Covered Document Date prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere)’’ for the purposes of the definitions of Protocol Covered Confirmation, Protocol Covered Credit Support Document and Protocol Covered Master Agreement below; and (B) If ISDA accepts an Adherence Letter from a Client after it accepts an Adherence Letter from an Agent on behalf of that Client, any document entered into by the Client, whether directly or through the agency of an Agent, which has a Protocol Covered Document Date prior to: (I) The Protocol Effective Date; or if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from that Client (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from the other Adhering Party), will be deemed to have ‘‘a Protocol Covered Document Date prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere)’’ for the purposes of the definitions of Protocol VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Covered Confirmation, Protocol Covered Credit Support Document and Protocol Covered Master Agreement below. (vii) If an Agent adheres to this Protocol on behalf of a Client, then as of the later of (A) the date on which such Agent adheres to this Protocol in accordance with paragraph 1 above and (B) the Protocol Covered Document Date, such Agent represents to each Adhering Party (I) with which it has entered into a Protocol Covered Document on behalf of such Client or (II) which is a party to any Non-Agent Executed Protocol Covered Document (which representation will be deemed to be repeated on the Protocol Effective Date and on the Implementation Date if one or both such dates are later than the date on which such Agent adheres to this Protocol) that it has, as at the relevant Implementation Date, all necessary authority to enter into the Adherence Letter on behalf of such Client. In respect of any Client referred to in paragraph 3(h), paragraph 3(i), paragraph 3(j) or paragraph 3(k) below, the Agent represents that it has, as at the relevant Implementation Date, all necessary authority to apply the terms of the Adherence Letter to such Client. (h) Clients Added to an Agent Protocol Covered Document after the date of acceptance by ISDA of an Adherence Letter from the later of the Agent and the other Adhering Party to adhere. (i) Subject to subparagraph 3(h)(ii) below, in respect of any Client added to an Agent Protocol Covered Document between an Agent and an Adhering Party after the date of acceptance by ISDA of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the Agent and the other Adhering Party to adhere (a New Client), the Agent and such Adhering Party agree that the terms of such Agent Protocol Covered Document as between such Adhering Party and any New Client will be subject to the amendments effected by this Protocol and as between the Adhering Party and the New Client the Implementation Date shall be the date on which the New Client is added to the Agent Protocol Covered Document, unless otherwise agreed between such Agent and such Adhering Party (which agreement may, if the Agent adheres to this Protocol using the approach in subparagraph 3(g)(i)(C) above, be reached by the Agent communicating to the other Adhering Party through a Platform, at the time the New Client is added to the Agent Protocol Covered Document, that the New Client is excluded from adherence). (ii) If an Agent adheres to this Protocol using the approach described in subparagraph 3(g)(i)(B) above and therefore specifically names or identifies one or more Clients on whose behalf it is adhering, then in order for the terms of an Agent Protocol Covered Document as between an Adhering Party and any New Client to be subject to the amendments effected by this Protocol, the Agent shall communicate the identity of each New Client (including the legal entity identifier (LEI)) to the other Adhering Party which is a party to the Agent Protocol Covered Document to which the New Client is added through a Platform and, as between the other Adhering Party and that New PO 00000 Frm 00025 Fmt 4701 Sfmt 4700 5227 Client, the Implementation Date shall be the date shown on the Platform as the date on which the Agent communicates the identity of that New Client to the other Adhering Party through that Platform. (i) Clients Added to an Agent’s List of Identified In-Scope Clients after the date of Acceptance by ISDA of the Agent’s Adherence Letter. If an Agent adheres to this Protocol using the approach described in subparagraph 3(g)(i)(B) above and therefore specifically names or identifies one or more Clients on whose behalf it is adhering, then for the purposes of subparagraph 3(g)(ii)(A) or 3(g)(ii)(B)(I) above, as applicable, it may communicate the name or identity of additional Clients on whose behalf it is adhering (through a Platform) to another Adhering Party after the date of acceptance by ISDA, as agent, of its Adherence Letter and, as between that other Adhering Party and the additional Client, the Implementation Date shall be the date shown on the Platform as the date on which the Agent communicates the identity of that additional Client to the other Adhering Party through that Platform for those purposes (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from that other Adhering Party), unless otherwise agreed between such Agent and such Adhering Party. (j) Clients Removed from an Agent’s List of Excluded Clients after the date of Acceptance by ISDA of the Agent’s Adherence Letter. If an Agent adheres to this Protocol using the approach described in subparagraph 3(g)(i)(C) above and therefore specifically names or identifies one or more Clients as excluded from adherence, then for the purposes of subparagraph 3(g)(ii)(A) or 3(g)(ii)(B)(I) above, as applicable, the Agent may, after the date of acceptance by ISDA, as agent, of its Adherence Letter, remove one or more of those Clients from its list of excluded Clients through a Platform and, as between any other Adhering Party and that Client, the Implementation Date shall be the date shown on the Platform as the date on which the Agent communicates to the other Adhering Party that the Client is removed from the list of excluded Clients (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter from that other Adhering Party), unless otherwise agreed between such Agent and such Adhering Party. (k) Clients Added to an Agent’s List of Clients in respect of which subparagraph 3(g)(ii)(B)(II) above applies. If an Agent adheres to this Protocol, elects for Option 2 in its Adherence Letter and therefore specifically names or identifies one or more Clients in respect of which subparagraph 3(g)(ii)(B)(II) above applies, then it may name or identify additional Clients in respect of which subparagraph 3(g)(ii)(B)(II) above applies (through a Platform) after the date of acceptance by ISDA, as agent, of its Adherence Letter. (l) Authority to amend Non-Agent Executed Protocol Covered Documents. If an Agent adheres to this Protocol and elects for Option 2 (as described in subparagraph 3(g)(ii) above), then, in respect of each NonAgent Executed Protocol Covered Document, the Implementation Date shall be the day on E:\FR\FM\26JAR2.SGM 26JAR2 5228 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 which the Agent is deemed to have provided evidence supporting the Agent’s authority to amend such Non-Agent Executed Protocol Covered Document to the other Adhering Party pursuant to subparagraph 3(g)(iv) above and, for the purposes of subparagraph 3(g)(iii) above, with respect to such NonAgent Executed Protocol Covered Documents only, the Agent’s adherence will be deemed effective on that day. (m) Implementation Date if both an Agent and a Client adhere to this Protocol or if more than one Agent adheres for a Client. If an Agent adheres to this Protocol and, in respect of a particular Client and a Protocol Covered Document into which the Agent has entered on behalf of that Client or a NonAgent Executed Protocol Covered Document, there is, pursuant to the terms of this Protocol, more than one Implementation Date, then, notwithstanding any provision to the contrary in this Protocol, the Implementation Date shall be the first of those dates to occur. (n) Adhering Party that is an Agent with respect to a Protocol Covered Document. An Adhering Party that executes a Protocol Covered Document (including an annex thereto) as agent with respect to that Protocol Covered Document, shall not for purposes of this Protocol be considered to be a party to or to have entered into such Protocol Covered Document solely by acting as agent with respect to that Protocol Covered Document except as expressly provided therein. 4. Definitions References in this Protocol and the Attachment to the following terms shall have the following meanings: Additional Credit Support Document means the documents (which, for the avoidance of doubt, shall be deemed to include any annexes or appendices thereto) set out in Part 2 of the Additional Documents Annex to this Protocol. Additional Master Agreement means the documents (which, for the avoidance of doubt, shall be deemed to include any annexes or appendices thereto) set out in Part 1 of the Additional Documents Annex to this Protocol. Adherence Letter has the meaning given to such term in the introductory paragraphs hereof. Adhering Party has the meaning given to such term in the introductory paragraphs hereof, as construed in accordance with subparagraph 3(g)(vi) above where relevant. Agent means an entity that enters into a Protocol Covered Document (or which has the authority to amend a Non-Agent Executed Protocol Covered Document) and executes and delivers an Adherence Letter with respect to this Protocol on behalf of, and as agent for, one or more Clients. With respect to paragraph 3(h) above, Agent also means an entity that enters into a Protocol Covered Document and executes and delivers an Adherence Letter pursuant to subparagraph 3(g)(i) above solely for purposes of amending such agreements to which New Clients may be added under paragraph 3(h) above. Agent Protocol Covered Document means any Protocol Covered Document signed by VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 the Agent on behalf of one or more Clients prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the Agent and the other Adhering Party to adhere), including any agreement that is signed as an umbrella agreement by an Agent and an Adhering Party prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the Agent and the other Adhering Party to adhere) which would be a Protocol Covered Document but for the absence of any underlying Client which is an Adhering Party. Client means, with respect to an Agent, a client, investor, fund, account and/or other principal on whose behalf the Agent acts. Confirmation means, in respect of a transaction, one or more documents or other confirming evidence exchanged between the parties or otherwise effective for the purpose of confirming or evidencing the transaction. Covered ISDA Definitions Booklet means each of the 2006 ISDA Definitions, the 2000 ISDA Definitions, the 1998 ISDA Euro Definitions, the 1998 Supplement to the 1991 ISDA Definitions and the 1991 ISDA Definitions, each as published by ISDA. Credit Support Document means, in respect of an Adhering Party and a Protocol Covered Document, any document in effect on the Implementation Date, which by its terms secures, guarantees or otherwise supports such Adhering Party’s obligations under such Protocol Covered Document from time to time, whether or not such document is specified as such therein or in the Protocol Covered Document. Cut-off Date has the meaning given to such term in paragraph 1(b) above. IBOR Fallbacks Supplement has the meaning given to such term in the introductory paragraphs hereof. Identification Date has the meaning given to such term in subparagraph 3(g)(ii)(B)(II) above. Implementation Date has the meaning given to such term in subparagraph 1(c)(B) above. ISDA has the meaning given to such term in the introductory paragraphs hereof. ISDA Credit Support Document means each of the following documents: (a) 1994 ISDA Credit Support Annex (Bilateral Form; ISDA Agreements Subject to New York Law Only); (b) 1995 ISDA Credit Support Annex (Bilateral Form—Transfer; ISDA Agreements Subject to English law); (c) 1995 ISDA Credit Support Deed (Bilateral Form—Security Interest; ISDA Agreements Subject to English Law); (d) 1995 ISDA Credit Support Annex (Bilateral Form—Loan and Pledge; Security Interest Subject to Japanese Law); (e) 1995 ISDA Credit Support Annex (Bilateral Form—Transfer; ISDA Agreement Subject to French Law); (f) 1995 ISDA Credit Support Annex (Bilateral Form—Transfer; ISDA Agreement Subject to Irish Law); (g) 2008 ISDA Credit Support Annex (Loan/Japanese Pledge); PO 00000 Frm 00026 Fmt 4701 Sfmt 4700 (h) 2013 Standard Credit Support Annex (New York Law); (i) 2013 Standard Credit Support Annex (English Law); (j) 2014 Standard Credit Support Annex (New York Law—Multicurrency Settlement); (k) 2014 Standard Credit Support Annex (English Law—Multicurrency Settlement); (l) 2014 ISDA Korean Law Credit Support Annex (Bilateral Form—Loan and Pledge; Credit Support Annex Subject to Korean Law); (m) 2016 Credit Support Annex for Variation Margin (VM) (Bilateral Form; ISDA Agreements Subject to New York Law Only), including any such form entered into between the Parties pursuant to the ISDA 2016 Variation Margin Protocol; (n) 2016 Credit Support Annex for Variation Margin (VM) (Bilateral Form— Transfer; ISDA Agreements Subject to English Law), including any such form entered into between the Parties pursuant to the ISDA 2016 Variation Margin Protocol; (o) 2016 Credit Support Annex for Variation Margin (VM) (Bilateral Form— Loan; ISDA Agreements Subject to Japanese Law), including any such form entered into between the Parties pursuant to the ISDA 2016 Variation Margin Protocol; (p) 2016 Credit Support Annex for Variation Margin (VM) (Bilateral Form— Transfer; ISDA Agreements Subject to French Law); or (q) 2016 Credit Support Annex for Variation Margin (VM) (Bilateral Form— Transfer; ISDA Agreements Subject to Irish Law). ISDA Master Agreement means an ISDA 2002 Master Agreement, an ISDA 2002 Master Agreement (French law), an ISDA 2002 Master Agreement (Irish law), a 1992 ISDA Master Agreement (Multicurrency— Cross Border), a 1992 ISDA Master Agreement (Local Currency—Single Jurisdiction), a 1987 ISDA Interest Rate Swap Agreement or a 1987 ISDA Interest Rate and Currency Exchange Agreement, in each case as published by ISDA. Master Agreement means an agreement which may be an ISDA Master Agreement or an Additional Master Agreement that has been entered into (a) by execution by the parties thereto (whether directly or through the agency of an Agent) or (b) by execution by the parties thereto (whether directly or through the agency of an Agent) of a Confirmation pursuant to which a party is deemed to have entered into an ISDA Master Agreement or an Additional Master Agreement with the other party. New Client has the meaning given to such term in paragraph 3(h)(i) above. Non-Agent Executed Protocol Covered Documents has the meaning given to such term in subparagraph 3(g)(ii)(B)(II) above. Platform has the meaning given to such term in paragraph 3(g)(i)(A) above. Protocol has the meaning given to such term in the introductory paragraphs hereof. Protocol Business Day means a day following the Protocol Effective Date on which commercial banks and foreign exchange markets are generally open to settle payments in both London and New York. Protocol Covered Confirmation means, subject to subparagraph 3(g)(vi) above, a E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations Confirmation which is entered into between two Adhering Parties (whether directly or through the agency of an Agent and, if through the agency of an Agent, whether executed by that Agent or by an entity on behalf of that Agent), has a Protocol Covered Document Date prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere) and: (a) supplements, forms part of and is subject to, or is otherwise governed by, a Master Agreement and incorporates a Covered ISDA Definitions Booklet; (b) supplements, forms part of and is subject to, or is otherwise governed by, a Master Agreement and references a Relevant IBOR ‘‘as defined’’ in, or otherwise provides that the Relevant IBOR has the meaning given in, a Covered ISDA Definitions Booklet (regardless of whether such Covered ISDA Definitions Booklet is incorporated in full in that Confirmation); and/or (c) supplements, forms part of and is subject to, or is otherwise governed by, a Master Agreement and references a Relevant IBOR, howsoever defined. Protocol Covered Credit Support Document 1 means, subject to subparagraph 3(g)(vi) above, any ISDA Credit Support Document or Additional Credit Support Document which is entered into between two Adhering Parties (whether directly or through the agency of an Agent and, if through the agency of an Agent, whether executed by that Agent or by an entity on behalf of that Agent), has a Protocol Covered Document Date prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere) and: (a) Incorporates a Covered ISDA Definitions Booklet; (b) References a Relevant IBOR ‘‘as defined’’ in, or otherwise provides that the Relevant IBOR has the meaning given in, a Covered ISDA Definitions Booklet (regardless of whether such Covered ISDA Definitions Booklet is incorporated in full in that ISDA Credit Support Document or Additional Credit Support Document); and/or (c) References a Relevant IBOR, howsoever defined. lotter on DSK11XQN23PROD with RULES2 1 Note that the parties to any credit support document that is amended by the Protocol should consider whether they need to take any steps to reconfirm or retake any security or otherwise satisfy any formalities under or in connection with the relevant credit support document as a result of the amendment made by the Protocol. Protocol Covered Document Date means, in respect of any document, the date of such document, howsoever described therein, provided that (a) if such document has different dates specified therein, one of which includes a date specified as an ‘‘as of’’ date, such date shall be the Protocol Covered Document Date, and (b) if such document is a Confirmation (other than a master confirmation agreement, including any VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 related general terms confirmation), the Protocol Covered Document Date shall be the Trade Date. Protocol Covered Documents means Protocol Covered Confirmations, Protocol Covered Master Agreements and Protocol Covered Credit Support Documents, other than any such documentation governing cleared transactions (including any transactions that are ‘‘Client Transactions’’ (or in substance equivalent) under a 2016 ISDA/FIA Client Cleared OTC Derivatives Addendum or any agreement that in substance relates to the same matters as those contemplated by the 2016 ISDA/FIA Client Cleared OTC Derivatives Addendum between a clearing member and its client). Protocol Covered Master Agreement means, subject to subparagraph 3(g)(vi) above, a Master Agreement which is entered into (or deemed entered into) between two Adhering Parties (whether directly or through the agency of an Agent and, if through the agency of an Agent, whether executed by that Agent or by an entity on behalf of that Agent), has a Protocol Covered Document Date prior to the Protocol Effective Date (or, if later, the date of acceptance by ISDA, as agent, of an Adherence Letter (in accordance with paragraph 1(b) above) from the later of the two Adhering Parties to adhere) and: (a) Incorporates a Covered ISDA Definitions Booklet; (b) References a Relevant IBOR ‘‘as defined’’ in, or otherwise provides that the Relevant IBOR has the meaning given in, a Covered ISDA Definitions Booklet (regardless of whether such Covered ISDA Definitions Booklet is incorporated in full in that Master Agreement); and/or (c) References a Relevant IBOR, howsoever defined. Protocol Effective Date has the meaning given to such term in subparagraph 1(c)(A) above. Relevant IBOR means: (a) Any of sterling LIBOR (London interbank offered rate), Swiss franc LIBOR (London interbank offered rate), U.S. dollar LIBOR (London interbank offered rate), euro LIBOR (London interbank offered rate), the euro interbank offered rate, Japanese yen LIBOR (London interbank offered rate), the Japanese yen Tokyo interbank offered rate, the euroyen Tokyo interbank offered rate, the bank bill swap rate, the Canadian dollar offered rate, the Hong Kong interbank offered rate, the Singapore dollar swap offer rate and the Thai baht interest rate fixing; and (b) LIBOR (London interbank offered rate) with no reference to, or indication of, the currency of the relevant LIBOR (London interbank offered rate) (including, for the avoidance of doubt, the reference in Section 7.3 (Corrections to Published Prices) of the 2005 ISDA Commodity Definitions to ‘‘the spot offered rate for deposits in the payment currency in the London interbank market as at approximately 11:00 a.m., London time’’), in each case, howsoever defined or described (whether in English or in any other language) in the relevant Protocol Covered Document. Revocation Date means, with respect to a Revocation Notice and an Adhering Party, the last Protocol Business Day of the calendar month following the calendar month in PO 00000 Frm 00027 Fmt 4701 Sfmt 4700 5229 which that Revocation Notice is effectively delivered by that Adhering Party to ISDA. Revocation Notice has the meaning given to such term in paragraph 1(e) above. Third Party means, in relation to an agreement supported by a Third Party Credit Support Document, any party to such Third Party Credit Support Document other than either of the Adhering Parties which are parties to the agreement. Third Party Credit Support Document means, with respect to an Adhering Party and a Protocol Covered Document, any Credit Support Document which is executed by one or more Third Parties (whether or not an Adhering Party is a party thereto), whether or not such document is specified as a Third Party Support Document or as a Credit Support Document therein or in the Protocol Covered Document. Trade Date means, in respect of a Protocol Covered Confirmation (other than a master confirmation agreement, including any related general terms confirmation), the date on which the parties enter into the related transaction. Exhibit 1 to the ISDA 2020 IBOR Fallbacks Protocol Form of Adherence Letter lllllllllllllllllllll [Letterhead of Adhering Party] [Date] International Swaps and Derivatives Association, Inc. Ladies and Gentlemen, ISDA 2020 IBOR Fallbacks Protocol The purpose of this letter is to confirm our adherence to the ISDA 2020 IBOR Fallbacks Protocol as published by the International Swaps and Derivatives Association, Inc. (ISDA) on October 23, 2020 (the Protocol). By submitting this Adherence Letter, we confirm that we are an Adhering Party to the Protocol. This letter constitutes, as between each other Adhering Party and us, an Adherence Letter as referred to in the Protocol. The definitions and provisions contained in the Protocol are incorporated into this Adherence Letter, which will supplement and form part of each Protocol Covered Document between us and each other Adhering Party. 1. Specified Terms for Adhering Party as Principal As between each Adhering Party and us, we acknowledge and agree that the amendments in the Attachment to the Protocol shall apply to each Protocol Covered Document to which we are a party in accordance with the terms of the Protocol and this Adherence Letter. 2. Appointment as Agent and Release We hereby appoint ISDA as our agent for the limited purposes of the Protocol and accordingly we waive any rights and hereby release ISDA from any claims, actions or causes of action whatsoever (whether in contract, tort or otherwise) arising out of or in any way relating to this Adherence Letter or our adherence to the Protocol or any actions contemplated as being required by ISDA. E:\FR\FM\26JAR2.SGM 26JAR2 5230 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations Yours faithfully, 3. Arbitration Agreement and Class Action Waiver [ADHERING PARTY]2 By adhering to the Protocol, we agree that all claims or disputes arising out of or in connection with adherence to the Protocol shall be finally settled under the Rules of Arbitration of the International Chamber of Commerce (the Rules) by three arbitrators, and hereby waive any right to assert any such claims or disputes against ISDA as a representative or member in any class or representative action. The claimant(s) (as defined in the Rules) shall nominate one arbitrator in the ‘Request for Arbitration’. The respondent(s) (as defined in the Rules) shall nominate one arbitrator in the ‘Answer to the Request’. The two party-nominated arbitrators shall then have 30 days to agree, in consultation with the parties to the arbitration, upon the nomination of a third arbitrator to act as president of the tribunal, barring which the International Chamber of Commerce Court shall select the third arbitrator (or any arbitrator that claimant(s) or respondent(s) shall fail to nominate in accordance with the foregoing). This agreement to arbitrate shall not be affected by the Revocation Notice as described in the Protocol. 4. Payment Each Adhering Party or, if such Adhering Party is a Client on whose behalf an Agent adheres to this Protocol, each Agent, that is classified by ISDA for purposes of membership of ISDA as an ‘‘ISDA Primary Member’’ must submit a one-time fee of U.S. $500 to ISDA at or before the submission of this Adherence Letter. Each Adhering Party or, if such Adhering Party is a Client on whose behalf an Agent adheres to this Protocol, each Agent, which is not an ‘‘ISDA Primary Member’’ is not required to submit a fee to ISDA if this Adherence Letter is submitted prior to the Protocol Effective Date. If an Adhering Party or, if such Adhering Party is a Client on whose behalf an Agent adheres to this Protocol, an Agent, which is not an ‘‘ISDA Primary Member’’ submits this Adherence Letter on or after the Protocol Effective Date, such Adhering Party or Agent (as applicable) must submit a onetime fee of U.S. $500 to ISDA at or before the submission of this Adherence Letter. lotter on DSK11XQN23PROD with RULES2 5. Contact Details Our contact details for purposes of this Adherence Letter are: Name: Company Name: Address: Phone: Fax: Email: We consent to the publication of a conformed copy of this letter by ISDA and to the disclosure by ISDA of the contents of this letter. VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 By: Name: Title: Note 2: Specify legal name of Adhering Party. If you are an Agent, you may sign the Adherence Letter using one of the options below. Please note that, if you would like to adhere on behalf of yourself, as principal, and also on behalf of your Clients, as Agent, you must submit one adherence letter for yourself, as principal, and a second adherence letter on behalf of your Clients, as Agent, in the latter case, in accordance with one of the options set out below. First, if you have the authority to adhere to this Protocol as Agent on behalf of all Clients, you may indicate the following in the signature block: ‘‘acting on behalf of [(a)] each fund, account or other principal (each, a ‘‘Client’’) on whose behalf we have entered, or will enter, into a Protocol Covered Document and any New Clients added to an Agent Protocol Covered Document in the future [and (b) in respect of any Non-Agent Executed Protocol Covered Documents, each Client which we name or identify through a Platform as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) of the Protocol applies]’’. If such a signature block is used, a separate Adherence Letter for each Client does not need to be submitted to ISDA and no specific names of Clients must be identified through a Platform (except if you elect for Option 2 in this Adherence Letter, in which case the Clients on whose behalf you are amending Non-Agent Executed Protocol Covered Documents should be identified through such Platform; you will be responsible for identifying such Clients and providing their LEIs. If you cannot or do not wish to name such Clients, then provided that you can identify the Clients by way of LEIs, you may identify such Clients using LEIs and without including any names). If you do not elect for Option 2 in this Adherence Letter, you should delete the wording in square brackets in the signature block. Second, if you adhere to this Protocol as an agent on behalf of certain Clients only by specifically identifying such Clients, you may indicate the following in the signature block: ‘‘acting on behalf of [(a)] each fund, account or other principal (each a ‘‘Client’’) which we name or identify through a Platform as being a Client on whose behalf we have entered, or will enter, into a Protocol Covered Document and any New Clients added to an Agent Protocol Covered Document and identified through a Platform as a New Client [and (b) in respect of any Non-Agent Executed Protocol Covered Documents, each Client which we name or identify through a Platform as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) of the Protocol applies]’’. You will be responsible for identifying any Clients on whose behalf you have entered into, or will enter into, a Protocol Covered Document, any New Clients and any Clients on whose behalf you amend Non-Agent PO 00000 Frm 00028 Fmt 4701 Sfmt 4700 Executed Protocol Covered Documents and, in each case, providing their LEIs. If you cannot or do not wish to name such Clients, then provided that you can identify the Clients by way of LEIs, you may identify such Clients using LEIs and without including any names. If you do not elect for Option 2 in this Adherence Letter, you should delete the wording in square brackets in the signature block. Third, if you adhere to this Protocol as an agent on behalf of certain Clients only by excluding certain Clients, you may indicate the following in the signature block: ‘‘acting on behalf of [(a)] each fund, account or other principal (each, a ‘‘Client’’) on whose behalf we have entered, or will enter, into a Protocol Covered Document (except for those Clients which we identify through a Platform as excluded from adherence) and any New Clients added to an Agent Protocol Covered Document (except for any New Clients which we identify through a Platform as excluded from adherence) [and (b) in respect of any Non-Agent Executed Protocol Covered Documents, each Client which we name or identify through a Platform as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) of the Protocol applies]’’. You will be responsible for identifying any excluded Clients and any Clients on whose behalf you amend Non-Agent Executed Protocol Covered Documents and, in each case, for providing their LEIs. If you cannot or do not wish to name those excluded Clients or those Clients on whose behalf you are amending Non-Agent Executed Protocol Covered Documents, then provided that you can identify them by way of LEIs, you may identify those Clients using LEIs and without including any names. If you do not elect for Option 2 in this Adherence Letter, you should delete the wording in square brackets in the signature block. Fourth, if you adhere to this Protocol as an agent on behalf of no current Clients, you may indicate the following in the signature block: ‘‘acting to amend each Protocol Covered Document (or other agreement which deems a Protocol Covered Document to have been created) between it (as agent) and each Adhering Party, with respect to New Clients.’’ Specified Terms for Adhering Party as Agent 3 The election for Option 1 or Option 2 below should only be made by an Agent. Any entity which adheres to the Protocol and which is not acting as an Agent should not complete the election below. As between each Adhering Party and us, we acknowledge and agree that the amendments in the Attachment to the Protocol shall apply to each: Option 1 b Protocol Covered Document into which we have entered on behalf of one or more Clients covered in accordance with the terms of the Protocol and this Adherence Letter (as contemplated by Option 1 in the Protocol); or Option 2 b Protocol Covered Document into (i) which we have entered on behalf of one or more Clients covered in accordance with the E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations terms of the Protocol and this Adherence Letter and (ii) which we did not enter on behalf of one or more Clients but which we otherwise have the authority from the relevant Client to amend in accordance with and subject to the terms of the Protocol and this Adherence Letter (as contemplated by Option 2 in the Protocol). We agree, in our capacity as Agent for the relevant Client(s), to provide each other Adhering Party, as soon as reasonably practicable following such other Adhering Party’s written request (including by email), and in any event by no later than the end of the fifteenth calendar day following such request (and as required by and in accordance with subparagraph 3(g)(iv) of the Protocol), with reasonable evidence satisfactory to such other Adhering Party in its sole discretion supporting our authority to amend any Protocol Covered Document into which we did not enter on behalf of one or more Clients (whose name or identity we communicate to the other Adhering Party through a Platform as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) of the Protocol applies). Failure to provide an Adhering Party with such evidence shall (unless the Agent is deemed to have provided such evidence, pursuant to subparagraph 3(g)(iv) of the Protocol), only in respect of those Non-Agent Executed Protocol Covered Documents between the relevant Client(s) and such Adhering Party, result in this Adherence Letter being ineffective unless and until we, in our capacity as Agent for the relevant Client(s), are deemed to have provided that Adhering Party with such evidence pursuant to subparagraph 3(g)(iv) of the Protocol. Failure to provide an Adhering Party with such evidence shall not give rise to a Potential Event of Default or an Event of Default (each as defined in the ISDA Master Agreement), or any similar event, under those Protocol Covered Documents or other contractual right of action under this Protocol or those Protocol Covered Documents. Note 3: The descriptions of Option 1 and Option 2 in this Adherence Letter and of related provisions within the Protocol are intended for convenience of reference only. Adhering Parties should read the provisions of the Protocol before submitting an Adherence Letter. In the event of any inconsistency between the descriptions of Option 1 and Option 2 and related provisions in this Adherence Letter and the provisions of the Protocol, the provisions of the Protocol shall take precedence. EXHIBIT 2 to the ISDA 2020 IBOR Fallbacks Protocol Form of Revocation Notice [Letterhead of Adhering Party] lotter on DSK11XQN23PROD with RULES2 [Date] International Swaps and Derivatives Association, Inc. Send to: isda@isda.org Ladies and Gentlemen, ISDA 2020 IBOR Fallbacks Protocol— Designation of a Revocation Date The purpose of this letter is to notify you that we wish to designate a Revocation Date VerDate Sep<11>2014 20:35 Jan 25, 2023 Jkt 259001 as the last date on which an Implementation Date can occur pursuant to the terms of the ISDA 2020 IBOR Fallbacks Protocol as published by the International Swaps and Derivatives Association, Inc. (ISDA) on October 23, 2020 (the Protocol) in respect of any Protocol Covered Document between us and any other Adhering Party. This letter constitutes a Revocation Notice as referred to in the Protocol. We consent to the publication of the conformed copy of this notice by ISDA on and after the Revocation Date and to the disclosure by ISDA of the contents of this letter. Yours faithfully, 5231 (c) 2013 FBF Master Agreement relating to Transactions on Forward Financial Instruments. (d) 1994 AFB Master Agreement for Foreign Exchange and Derivatives Transactions. (e) 1997 AFTI/FBF Master Agreement for Loans of Securities. (f) 2007 AFTI/FBF Master Agreement for Loans of Securities. (g) 2007 FBF Master Agreement for Repurchase Transactions. (h) 1994 AFTB Master Agreement for Repurchase Transactions with Delivery of Securities. (i) Execution Annex with respect to the AFB/FBF 1994/2001/2007/2013 Master [ADHERING PARTY]4 Agreements. By: (j) 1997 Spanish Master Agreement Name: lllllllllllllllll (Contrato Marco de Operaciones Financieras Title: llllllllllllllllll or CMOF) published by Asociacio´n Espan˜ola Signature: llllllllllllllll de Banca (Spanish Banking Association) and Confederacio´n Espan˜ola de Cajas de Ahorros Note 4: Specify legal name of Adhering (Spanish Confederation of Savings Banks). Party. (k) Annex III to the 1997 Spanish Master If you are an Agent and act on behalf of Agreement (Contrato Marco de Operaciones multiple Clients, you may sign a Revocation Financieras or CMOF) published by Notice using one of the methods below. Asociacio´n Espan˜ola de Banca (Spanish Alternatively, you may submit one Banking Association) and Confederacio´n Revocation Notice per Client. Espan˜ola de Cajas de Ahorros (Spanish First, if you have the authority to deliver Confederation of Savings Banks). a Revocation Notice for this Protocol as (l) 2009 Spanish Master Agreement Agent on behalf of all Clients, you may (Contrato Marco de Operaciones Financieras indicate the following in the signature block: or CMOF) published by Asociacio´n Espan˜ola ‘‘acting on behalf of each fund, account or other principal (each, a ‘‘Client’’) represented de Banca (Spanish Banking Association) and Confederacio´n Espan˜ola de Cajas de Ahorros by us (as agent)’’ or such other language (Spanish Confederation of Savings Banks). which indicates the Clients to which this (m) Annex III to the 2009 Spanish Master letter is applicable. If such a signature block is used, a separate Revocation Notice for each Agreement (Contrato Marco de Operaciones Client does not need to be submitted to ISDA Financieras or CMOF) published by and no specific names of Clients must be Asociacio´n Espan˜ola de Banca (Spanish identified in the Revocation Notice. Banking Association) and Confederacio´n Second, if you have the authority to deliver Espan˜ola de Cajas de Ahorros (Spanish a Revocation Notice for this Protocol as Confederation of Savings Banks). Agent on behalf of certain Clients only, you (n) 2013 Spanish Master Agreement may indicate the following in the signature (Contrato Marco de Operaciones Financieras block: ‘‘acting on behalf of each fund, or CMOF) published by Asociacio´n Espan˜ola account or other principal (each, a ‘‘Client’’) de Banca (Spanish Banking Association) and represented by us (as agent) identified in the Confederacio´n Espan˜ola de Cajas de Ahorros Revocation Notice or an appendix thereto’’. (Spanish Confederation of Savings Banks). If you cannot or do not wish to name such (o) Annex III to the 2013 Spanish Master Clients, then provided that you can identify Agreement (Contrato Marco de Operaciones the revoking Clients by way of specific Financieras or CMOF) published by identifiers which will be known and Asociacio´n Espan˜ola de Banca (Spanish recognized by allAdhering Parties with Banking Association) and Confederacio´n which the relevant Clients have entered into Espan˜ola de Cajas de Ahorros (Spanish Confirmations, Master Agreements and/or Confederation of Savings Banks). credit support documents, you may identify (p) 2003 Swiss Master Agreement for OTC such revoking Clients using specific identifiers and without including any names. Derivative Instruments published by the Swiss Bankers Association. Paragraph 1(e) of the Protocol sets out the (q) 2013 Swiss Master Agreement for OTC consequences of a Revocation Notice where Derivative Instruments published by the an Agent adheres to the Protocol on behalf Swiss Bankers Association (for use in of a Client. connection with certain ISDA definitions). ANNEX to the ISDA 2020 IBOR Fallbacks (r) 2013 Swiss Master Agreement for OTC Protocol Derivative Instruments published by the Swiss Bankers Association (non-ISDA Additional Documents Annex version not for use in connection with any Part 1: Additional Master Agreements ISDA definitions). (s) 1999 Bilateral Swiss Master Agreement (a) 2001 FBF Master Agreement relating to for Repo Transactions published by the Swiss Transactions on Forward Financial Bankers Association. Instruments. (t) 1999 Multilateral Swiss Master (b) 2007 FBF Master Agreement relating to Agreement for Repo Transactions published Transactions on Forward Financial by the Swiss Bankers Association. Instruments. PO 00000 Frm 00029 Fmt 4701 Sfmt 4700 E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5232 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations (u) 2011 Swiss Master Agreement for Securities Lending and Borrowing prepared by the Swiss Bankers Association. (v) 2001 Master Agreement for Financial Transactions sponsored by the Banking Federation of the European Union (EBF or FBE) in cooperation with the European Savings Banks Group (ESBG) and the European Association of Cooperative Banks (EACB). (w) 2004 Master Agreement for Financial Transactions sponsored by the Banking Federation of the European Union (EBF or FBE) in cooperation with the European Savings Banks Group (ESBG) and the European Association of Cooperative Banks (EACB). (x) 2020 Master Agreement for Financial Transactions sponsored by the Banking Federation of the European Union (EBF or FBE) in cooperation with the European Savings Banks Group (ESBG) and the European Association of Cooperative Banks (EACB). (y) Austrian Master Agreement for ¨ sterreichischer Financial Transactions (O Rahmenvertrag fu¨r Finanztermingescha¨fte or ¨ RV). O (z) 1997 International Foreign Exchange and Options Master Agreement (FEOMA). (aa) 1993 International Foreign Exchange Master Agreement (IFEMA). (bb) 1997 International Foreign Exchange Master Agreement (IFEMA). (cc) 1997 International Currency Options Market (ICOM) Master Agreement. (dd) 2005 International Foreign Exchange and Currency Option Master Agreement (IFXCO). (ee) 1992 PSA/ISMA Global Master Repurchase Agreement (GMRA). (ff) 1995 PSA/ISMA Global Master Repurchase Agreement (GMRA). (gg) 2000 TBMA/ISMA Global Master Repurchase Agreement (GMRA). (hh) 2011 SIFMA/ICMA Global Master Repurchase Agreement (GMRA). (ii) 2000 ISLA Global Master Securities Lending Agreement (GMSLA). (jj) 2010 ISLA Global Master Securities Lending Agreement (GMSLA). (kk) 2018 ISLA Global Master Securities Lending Agreement (GMSLA)—Security Interest over Collateral. (ll) 1993 TBMA/SIA Master Securities Loan Agreement (MSLA). (mm) 2000 TBMA/SIA Master Securities Loan Agreement (MSLA). (nn) 2017 SIFMA Master Securities Loan Agreement (MSLA). (oo) 1987 PSA Master Repurchase Agreement (MRA). (pp) 1996 TBMA Master Repurchase Agreement (MRA). (qq) 2000 SIFMA Master OTC Options Agreement. (rr) 1989 TBMA Master Dealer Agreement, OTC Option Transaction—U.S. Treasury Securities. (ss) Emissions Master LF–IETA Master Agreement. (tt) WSPP Agreement. (uu) 2004 FIA Grid Trade Master Agreement. (vv) EEI Master Power Purchase & Sale Agreement. (ww) VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 EL Master—Electricity Power Master Agreement. (xx) 1994 LBMA/FEC International Bullion Master Agreement (English law version). (yy) 1994 LBMA/FEC International Bullion Master Agreement (New York law version). (zz) 1997 ASLA Australian Master Securities Lending Agreement (AMSLA). (aaa) 2002 ASLA Australian Master Securities Lending Agreement (AMSLA). (bbb) 2003 ASLA Australian Master Securities Lending Agreement (AMSLA). (ccc) GISB Base Short-Term Contract for Sale and Purchase of Natural Gas. (ddd) NAESB Base Contract for Sale and Purchase of Natural Gas. (eee) 1996 Master Gilt Edged Stock Lending Agreement (GESLA). (fff) 1996 Master Equity and Fixed Interest Stock Lending Agreement (MEFISLA). (ggg) 1994 Equity and Fixed Interest Stock Lending (Agency) Agreement. (hhh) 1994 Overseas Securities Lender’s Agreement (OSLA). (iii) 1995 Overseas Securities Lender’s Agreement (OSLA). (jjj) globalCOAL Standard Coal Trading Agreement (SCoTA). (kkk) KOFIA Agreement on Margin Transactions. (lll) KOFIA Agreement on Foreign Exchange Margin Trading. (mmm) KOFIA Agreement on Securities Lending and Borrowing. (nnn) KOFIA Agreement on Repurchase Agreement (Repo) between Institutions. (ooo) KOFIA Agreement on Repurchase Agreement (Repo) with Customers. (ppp) KOFIA best practice Korean language agreement template for OTC derivatives. (qqq) Investment Industry Regulatory Organization of Canada (IIROC) Repurchase/ Reverse Repurchase Transaction Agreement. (rrr) Master Agreement Concerning Stock Lending Transactions (kabuken tou taishaku torihiki ni kansuru kihon keiyakusho) (including without limitation separate agreements to be executed pursuant to or in connection with that Master Agreement such as Supplemental Memorandum of Understanding (kabuken tou taishaku torihiki ni kansuru kihon keiyakusho fuzoku oboegaki)) published by Japan Securities Dealers Association. (sss) Master Agreement Concerning Bond Lending Transactions (saiken taishaku torihiki ni kansuru kihon keiyakusho) (including without limitation separate agreements to be executed pursuant to or in connection with that Master Agreement such as Supplemental Memorandum of Understanding (saiken taishaku torihiki ni kansuru kihon keiyakusho fuzoku oboegaki)) published by Japan Securities Dealers Association. (ttt) Master Agreement Concerning Bond Repo Transactions (saiken tou no gensaki torihiki ni kansuru kihon keiyakusho) (including without limitation separate agreements to be executed pursuant to or in connection with that Master Agreement such as Supplemental Memorandum of Understanding (saiken tou no gensaki torihiki ni kansuru kihon keiyakusho fuzoku oboegaki)) published by Japan Securities Dealers Association. PO 00000 Frm 00030 Fmt 4701 Sfmt 4700 (uuu) Mexican Master Derivatives Agreement (Contrato Marco para Operaciones Financieras Derivadas) published by Asociacio´n de Bancos de Mexico (ABM) y Asociacio´n Mexicana de Instituciones Bursatiles (AMIB). (vvv) Mexican Master Securities Purchase and Sale/Repo Agreement (Contrato Marco para Operaciones de Compraventa de Valores y Reporto) published by Asociacio´n de Bancos de Mexico (ABM) y Asociacio´n Mexicana de Instituciones Bursatiles (AMIB). Part 2: Additional Credit Support Documents (a) 2007 FBF Collateral Annex. (b) 1997 ABF Collateral Annex. (c) AFB/FBF Addendum to the ISDA 2016 Credit Support Annex for Variation Margin (VM). (d) 2008 Credit Support Appendix to the Swiss Master Agreement for OTC Derivative Instruments published by the Swiss Bankers Association. (e) 2015 Credit Support Appendix to the Swiss Master Agreement for OTC Derivative Instruments published by the Swiss Bankers Association. (f) Credit Support Appendix for Variation Margin to the Swiss Master Agreement for OTC Derivative Instruments published by the Swiss Bankers Association. (g) Mexican Credit Support Agreement related to Derivatives (Contrato Global para Otorgar Garantı´as respecto de Operaciones Financieras Derivadas) published by Asociacio´n de Bancos de Mexico (ABM) y Asociacio´n Mexicana de Instituciones Bursatiles (AMIB). Attachment to the ISDA 2020 IBOR Fallbacks Protocol 1. Amendments to Protocol Covered Documents Incorporating the 2006 ISDA Definitions If a Protocol Covered Document incorporates the 2006 ISDA Definitions, the version of the 2006 ISDA Definitions so incorporated shall be amended in accordance with the terms of the IBOR Fallbacks Supplement (and, if that Protocol Covered Document is a Protocol Covered Master Agreement, any reference to a term defined in the 2006 ISDA Definitions in a Confirmation which supplements, forms part of and is subject to that Protocol Covered Master Agreement will be a reference to the term as defined in the 2006 ISDA Definitions as amended in accordance with the IBOR Fallbacks Supplement). 2. Amendments to Protocol Covered Documents Incorporating the 2000 ISDA Definitions If a Protocol Covered Document incorporates the 2000 ISDA Definitions, the version of the 2000 ISDA Definitions so incorporated shall be amended in accordance with the terms of the IBOR Fallbacks Supplement (and, if that Protocol Covered Document is a Protocol Covered Master Agreement, any reference to a term defined in the 2000 ISDA Definitions in a Confirmation which supplements, forms part of and is subject to that Protocol Covered Master Agreement will be a reference to the E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 term as defined in the 2000 ISDA Definitions as amended in accordance with the IBOR Fallbacks Supplement), provided that the IBOR Fallbacks Supplement shall be deemed amended as follows: (a) Each of the following sections shall be deleted: (i) ‘‘GBP–LIBOR–BBA-Bloomberg’’; (ii) ‘‘CHF–LIBOR–BBA-Bloomberg’’; (iii) ‘‘USD–LIBOR–BBA-Bloomberg’’; (iv) ‘‘EUR–LIBOR–BBA-Bloomberg’’; (v) ‘‘JPY–LIBOR–FRASETT’’; (vi) ‘‘JPY–LIBOR–BBA-Bloomberg’’; (vii) ‘‘JPY–TIBOR–TIBM-(All Banks)Bloomberg’’; (viii) ‘‘AUD–BBR–BBSW-Bloomberg’’; (ix) ‘‘CAD–BA–CDOR-Bloomberg’’; and (x) ‘‘HKD–HIBOR–HKAB-Bloomberg’’; (b) The section titled ‘‘EUR–EURIBORReuters’’ will be re-titled ‘‘EUR–EURIBORTelerate’’ and references in such section (or in related sections) to ‘‘EUR–EURIBORReuters’’ will be deleted and replaced with ‘‘EUR–EURIBOR-Telerate’’; (c) The section titled ‘‘AUD–BBR– AUBBSW’’ will be re-titled ‘‘AUD–BBR– ISDC’’ and references in such section (or in related sections) to ‘‘AUD–BBR–AUBBSW’’ will be deleted and replaced with ‘‘AUDBBR–ISDC’’; (d) The section titled ‘‘SGD–SOR–VWAP’’ will be re-titled ‘‘SGD–SOR-Telerate’’ and references in such section (or in related sections) to ‘‘SGD–SOR–VWAP’’ will be deleted and replaced with ‘‘SGD–SORTelerate’’; (e) Tn the section titled ‘‘THB–THBFIXReuters’’, the paragraph entitled ‘‘No Index Cessation Effective Date’’ shall be deemed amended as follows: (i) The words ‘‘THB–THBFIX-Reference Banks’’ as the applicable Floating Rate Option’’ will be deleted and replaced with the words ‘‘‘‘THB–SOR-Reference Banks’’ as the applicable Floating Rate Option, but with the following variations:’’ and subparagraphs (a), (b) and (c) of Section 7.1(z)(iii) of the 2000 ISDA Definitions will be inserted immediately thereafter; and (ii) The last sentence in that paragraph will be deleted; and (f) All references to section numbers within the 2006 ISDA Definitions will be deemed to be references to the equivalent sections within the 2000 ISDA Definitions. 3. Amendments to Protocol Covered Documents Incorporating the 1991 ISDA Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions If a Protocol Covered Document incorporates the 1991 ISDA Definitions and/ or the 1998 Supplement to the 1991 ISDA Definitions, the version of the 1991 ISDA Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions (as applicable) so incorporated shall be amended in accordance with the terms of the IBOR Fallbacks Supplement (and, if that Protocol Covered Document is a Protocol Covered Master Agreement, any reference to a term defined in the 1991 ISDA Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions in a Confirmation which supplements, forms part of and is subject to that Protocol Covered Master Agreement will be a reference to the VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 term as defined in the 1991 ISDA Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions as amended in accordance with the IBOR Fallbacks Supplement), provided that the IBOR Fallbacks Supplement shall be deemed amended as follows: (a) If the Protocol Covered Document incorporates the 1991 ISDA Definitions only, the 1991 ISDA Definitions as supplemented by the 1998 Supplement to the 1991 ISDA Definitions or the 1998 Supplement to the 1991 ISDA Definitions only, each of the following sections shall be deleted: (i) ‘‘GBP–LIBOR–BBA-Bloomberg’’; (ii) ‘‘CHF–LIBOR–BBA-Bloomberg’’; (iii) ‘‘USD–LIBOR–BBA-Bloomberg’’; (iv) ‘‘EUR–LIBOR–BBA-Bloomberg’’; (v) ‘‘EUR–EURIBOR-Reuters’’; (vi) ‘‘JPY–LIBOR–FRASETT’’; (vii) ‘‘JPY–LIBOR–BBA-Bloomberg’’; (viii) ‘‘JPY–TIBOR–17097’’; (ix) ‘‘JPY–TIBOR–TIBM-(All Banks)Bloomberg’’; (x) ‘‘AUD–BBR–BBSW-Bloomberg’’; (xi) ‘‘CAD–BA–CDOR-Bloomberg’’; (xii) ‘‘HKD–HIBOR–HKAB-Bloomberg’’; and (xiii) ‘‘THB–THBFIX-Reuters’’; (b) If the Protocol Covered Document incorporates the 1991 ISDA Definitions only, each of the following sections shall be deleted: (i) ‘‘JPY–TIBOR–ZTIBOR’’; and (ii) ‘‘SGD–SOR–VWAP’’; (c) If the Protocol Covered Document incorporates the 1991 ISDA Definitions as supplemented by the 1998 Supplement to the 1991 ISDA Definitions or the 1998 Supplement to the 1991 ISDA Definitions only, the section titled ‘‘SGD–SOR–VWAP’’ will be re-titled ‘‘SGD–SOR-Telerate’’ and references in such section (or in related sections) to ‘‘SGD–SOR–VWAP’’ will be deleted and replaced with ‘‘SGD–SORTelerate’’; (d) The section titled ‘‘EUR–LIBOR–BBA’’ will be re-titled ‘‘XEU–LIBOR–BBA’’ and references in such section (or in related sections) to ‘‘EUR–LIBOR–BBA’’ will be deleted and replaced with ‘‘XEU- LIBOR– BBA’’; (e) The section titled ‘‘AUD–BBR– AUBBSW’’ will be re-titled ‘‘AUD–BBR– ISDC’’ and references in such section (or in related sections) to ‘‘AUD–BBR–AUBBSW’’ will be deleted and replaced with ‘‘AUD– BBR–ISDC’’; and (f) All references to section numbers within the 2006 ISDA Definitions will be deemed to be references to the equivalent sections within the 1991 ISDA Definitions or the 1998 Supplement to the 1991 ISDA Definitions (as applicable). 4. Amendments to Protocol Covered Documents Incorporating the 1998 ISDA Euro Definitions If a Protocol Covered Document incorporates the 1998 ISDA Euro Definitions: (a) the version of the 1998 ISDA Euro Definitions so incorporated shall be amended in accordance with the terms of the IBOR Fallbacks Supplement (and, if that Protocol Covered Document is a Protocol Covered Master Agreement, any reference to a term PO 00000 Frm 00031 Fmt 4701 Sfmt 4700 5233 defined in the 1998 ISDA Euro Definitions in a Confirmation which supplements, forms part of and is subject to that Protocol Covered Master Agreement will be a reference to the term as defined in the 1998 ISDA Euro Definitions as amended in accordance with the IBOR Fallbacks Supplement), provided that the IBOR Fallbacks Supplement shall be deemed amended as follows: (i) Each of the following sections shall be deleted: (A) ‘‘GBP–LIBOR–BBA’’; (B) ‘‘GBP–LIBOR–BBA-Bloomberg’’; (C) ‘‘CHF–LIBOR–BBA’’; (D) ‘‘CHF–LIBOR–BBA-Bloomberg’’; (E) ‘‘USD–LIBOR–BBA’’; (F) ‘‘USD–LIBOR–BBA-Bloomberg’’; (G) ‘‘EUR–LIBOR–BBA-Bloomberg’’; (H) ‘‘JPY–LIBOR–FRASETT’’; (I) ‘‘JPY–LIBOR–BBA’’; (J) ‘‘JPY–LIBOR–BBA-Bloomberg’’; (K) ‘‘JPY–TIBOR–17097’’; (L) ‘‘JPY–TIBOR–TIBM-(All Banks)Bloomberg’’; (M) ‘‘JPY–TIBOR–ZTIBOR’’; (N) ‘‘AUD–BBR–AUBBSW’’; (O) ‘‘AUD–BBR–BBSW’’; (P) ‘‘AUD–BBR–BBSW-Bloomberg’’; (Q) ‘‘CAD–BA–CDOR’’; (R) ‘‘CAD–BA–CDOR-Bloomberg’’; (S) ‘‘HKD–HIBOR–HKAB’’; (T) ‘‘HKD–HIBOR–HKAB-Bloomberg’’; (U) ‘‘SGD–SOR–VWAP’’; and (V) ‘‘THB–THBFIX-Reuters’’; (ii) the section titled ‘‘EUR–EURIBORReuters’’ will be re-titled ‘‘EUR–EURIBORTelerate’’ and references in such section (or in related sections) to ‘‘EUR–EURIBORReuters’’ will be deleted and replaced with ‘‘EUR–EURIBOR-Telerate’’; and (iii) all references to section numbers within the 2006 ISDA Definitions will be deemed to be references to the equivalent sections within the 1998 ISDA Euro Definitions. (b) If a Relevant Rate (as defined in the 1991 ISDA Definitions) is to be determined pursuant to Section 4.3(b) (Price Source Fallbacks) of the 1998 ISDA Euro Definitions and ‘‘rates for deposits in euros’’ referred to in that section are required for any determination but are not available, they shall be deemed to be references to a Relevant IBOR (and, in particular, the euro interbank offered rate) to which paragraph 6 of this Attachment applies. 5. Amendments to Protocol Covered Documents Which Reference a Relevant IBOR ‘‘as defined’’, or as Having the Meaning Given, in a Covered ISDA Definitions Booklet A Protocol Covered Document of the type described in subparagraph (b) of, respectively, the definition of Protocol Covered Confirmation, Protocol Covered Credit Support Document or Protocol Covered Master Agreement shall be amended so that the reference to the Relevant IBOR ‘‘as defined in’’, or the reference to the Relevant IBOR as having the meaning given in, the Covered ISDA Definitions Booklet will instead be a reference to the relevant Rate Option in the IBOR Fallbacks Supplement (or, if there is more than one relevant Rate Option, the first relevant Rate Option in the E:\FR\FM\26JAR2.SGM 26JAR2 5234 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 IBOR Fallbacks Supplement) for the Relevant IBOR ‘‘as defined in the IBOR Fallbacks Supplement’’ (and, if that Protocol Covered Document is a Protocol Covered Master Agreement, any reference to the Relevant IBOR (as defined in that Protocol Covered Master Agreement) in a Confirmation which supplements, forms part of and is subject to that Protocol Covered Master Agreement will be a reference to the relevant Rate Option in the IBOR Fallbacks Supplement (or, if there is more than one relevant Rate Option, the first relevant Rate Option in the IBOR Fallbacks Supplement) for the Relevant IBOR ‘‘as defined in the IBOR Fallbacks Supplement’’), provided that: (a) If the Relevant IBOR is: (i) ‘‘EUR–EURIBOR-Telerate’’, it will be deemed to be a reference to ‘‘EUR–EURIBORReuters’’; (ii) ‘‘AUD–BBR–ISDC’’, it will be deemed to be a reference to ‘‘AUD–BBR–AUBBSW’’; (iii) ‘‘XEU–LIBOR–BBA’’, it will be deemed to be a reference to ‘‘EUR–LIBOR–BBA’’; and (iv) ‘‘SGD–SOR-Telerate’’, it will be deemed to be a reference to ‘‘SGD–SOR– VWAP’’, in each case, as defined in the IBOR Fallbacks Supplement; and (b) If the Relevant IBOR is ‘‘THB–THBFIXReuters’’ and the Covered ISDA Definitions Booklet is the 2000 ISDA Definitions, the IBOR Fallbacks Supplement shall be deemed amended in accordance with subparagraph 2(e) of this Attachment. 6. Amendments to Certain Protocol Covered Documents That Reference a Relevant IBOR If a Protocol Covered Document is of the type described in subparagraph (c) of, respectively, the definition of Protocol Covered Confirmation, Protocol Covered Credit Support Document or Protocol Covered Master Agreement and, in each case, includes a reference to a Relevant IBOR pursuant to which the Relevant IBOR is required for any determination, and: (a) (i) the Relevant IBOR which is required for that determination is neither the Singapore dollar swap offer rate nor the Thai baht interest rate fixing, (ii) the Relevant IBOR which is required for that determination has not been published by the source that is specified or otherwise ordinarily used to determine the level of the Relevant IBOR on the day on which it is required, and (iii) an Index Cessation Effective Date with respect to the Relevant IBOR has not occurred, then the reference to the Relevant IBOR will be deemed to be a reference to the rate as provided by the administrator of the Relevant IBOR and published by an authorized distributor of the Relevant IBOR or the administrator of the Relevant IBOR itself in respect of the day on which it is required. If neither an authorized distributor nor the administrator has published or provided the Relevant IBOR in respect of that day and an Index Cessation Effective Date with respect to the Relevant IBOR has not occurred, then, unless otherwise agreed by the parties, the reference to the Relevant IBOR will be deemed to be a reference to: (A) A rate formally recommended for use by the administrator of the Relevant IBOR; or (B) A rate formally recommended for use by: VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 (I) If the Relevant IBOR which is required for that determination is Swiss franc LIBOR, the competent authority responsible for supervising that rate or the administrator of that rate; (II) If the Relevant IBOR which is required for that determination is sterling LIBOR, euro LIBOR or the euro interbank offered rate, the supervisor which is responsible for supervising the Relevant IBOR or the administrator of the Relevant IBOR; (III) If the Relevant IBOR which is required for that determination is Japanese yen LIBOR, the Japanese yen Tokyo interbank offered rate or the euroyen Tokyo interbank offered rate, a committee officially endorsed or convened by the Bank of Japan for the purposes of recommending an alternative rate for that Relevant IBOR (which rate may be produced by the Bank of Japan or another administrator) or any other supervisor which is responsible for supervising the Relevant IBOR or the administrator of the Relevant IBOR; (IV) If the Relevant IBOR which is required for that determination is U.S. dollar LIBOR, the Federal Reserve Board or the Federal Reserve Bank of New York or any other supervisor which is responsible for supervising the Relevant IBOR or the administrator of the Relevant IBOR; and (V) If the Relevant IBOR which is required for that determination is the bank bill swap rate, the Australian Securities and Investments Commission (or any successor to the Australian Securities and Investments Commission in its role as supervisor of the bank bill swap rate), In each case, during the period of nonpublication of the Relevant IBOR and for so long as an Index Cessation Effective Date has not occurred. If a rate described in subparagraph (A) above is available, that rate shall apply. If no such rate is available but, in respect of the Relevant IBOR, a rate described in subparagraph (B) above, if applicable, is available, that rate shall apply. If neither a rate described in subparagraph (A) above is available nor a rate described in subparagraph (B) above, if applicable, is available, then the Calculation Agent shall determine a commercially reasonable alternative for the Relevant IBOR, taking into account any rate implemented by central counterparties and/or futures exchanges, in each case with trading volumes in derivatives or futures referencing the Relevant IBOR that the Calculation Agent considers sufficient for that rate to be a representative alternative rate. If the Relevant IBOR is the Hong Kong interbank offered rate and the Protocol Covered Document provides that the Hong Kong Association of Banks’ (or any successor’s) typhoon and rainstorm arrangements (as published on the Hong Kong Association of Banks’ website or on any successor website) apply, then those typhoon and rainstorm arrangements shall continue to apply and shall take precedence over the provisions of this paragraph 6(a); (b) (i) The Relevant IBOR which is required for that determination is the Singapore dollar swap offer rate, (ii) the Singapore dollar swap offer rate has not been published by the source that is specified or otherwise PO 00000 Frm 00032 Fmt 4701 Sfmt 4700 ordinarily used to determine the level of the Singapore dollar swap offer rate on the day on which it is required and (iii) an Index Cessation Effective Date with respect to U.S. dollar LIBOR has not occurred, then the reference to the Singapore dollar swap offer rate will be deemed to be a reference to the substitute rate announced by ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of that rate) in respect of the Singapore dollar swap offer rate. If ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of that rate) has not announced a substitute rate by 9:00 p.m., Singapore time, on the Relevant Original Fixing Date and an Index Cessation Effective Date with respect to U.S. dollar LIBOR has not occurred, then, unless otherwise agreed by the parties, the reference to the Singapore dollar swap offer rate will be deemed to be a reference to: (A) A rate formally recommended for use by the administrator of the Singapore dollar swap offer rate; or (B) A rate formally recommended for use by the Monetary Authority of Singapore (or any other supervisor which is responsible for supervising the Singapore dollar swap offer rate or the administrator of the Singapore dollar swap offer rate) or a committee officially endorsed or convened by the Monetary Authority of Singapore (or any other supervisor which is responsible for supervising the Singapore dollar swap offer rate or the administrator of the Singapore dollar swap offer rate), in each case, during the period of non-publication of the Singapore dollar swap offer rate and for so long as an Index Cessation Effective Date with respect to U.S. dollar LIBOR has not occurred. If a rate described in subparagraph (A) above is available, that rate shall apply. If no such rate is available but a rate described in subparagraph (B) above is available, that rate shall apply. If neither a rate described in subparagraph (A) above nor a rate described in subparagraph (B) above is available, then the Calculation Agent shall determine a commercially reasonable alternative for the Singapore dollar swap offer rate, taking into account any rate implemented by central counterparties and/ or futures exchanges, in each case with trading volumes in derivatives or futures referencing the Singapore dollar swap offer rate that the Calculation Agent considers sufficient for that rate to be a representative alternative rate; (c) (i) the Relevant IBOR which is required for that determination is the Thai baht interest rate fixing, (ii) the Thai baht interest rate fixing has not been published by the source that is specified or otherwise ordinarily used to determine the level of the Thai baht interest rate fixing on the day on which it is required and (iii) an Index Cessation Effective Date with respect to U.S. dollar LIBOR has not occurred, then the reference to the Thai baht interest rate fixing will be deemed to be a reference to ‘‘THB– THBFIX-Reference Banks’’ (as defined in the 2006 ISDA Definitions) but with the references to (A) ‘‘Reset Date’’ being replaced by ‘‘the day on which the rate is required’’; (B) ‘‘Designated Maturity’’ being replaced by E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations ‘‘the period of time in respect of which the Thai baht interest rate fixing is to be determined’’; (C) ‘‘Calculation Period’’ being replaced by ‘‘period’’; and (D) ‘‘Representative Amount’’ being replaced by ‘‘an amount that is representative for a single transaction in the relevant market at the relevant time’’. If the rate cannot be determined pursuant to ‘‘THB–THBFIXReference Banks’’ (as defined in the 2006 ISDA Definitions) andan Index Cessation Effective Date with respect to U.S. dollar LIBOR has not occurred, the rate will be determined by the Calculation Agent taking into consideration all available information that in good faith it deems relevant; (d) Subject to paragraphs 6(e), (f) and (g) below, an Index Cessation Event has occurred with respect to the Relevant IBOR (or, if the Relevant IBOR is either the Singapore dollar swap offer rate or the Thai baht interest rate fixing, with respect to U.S. dollar LIBOR), then the reference to the Relevant IBOR will be deemed to be a reference to the Applicable Fallback Rate from and including either the Index Cessation Effective Date or, if the Relevant IBOR is observed on a day that is a period of time prior to the date for which the Relevant IBOR is set, such period of time following the Index Cessation Effective Date, provided that: (i) If the Applicable Fallback Rate is Fallback Rate (SONIA), Fallback Rate (SARON), Fallback Rate (SOFR), Fallback Rate (EuroSTR), Fallback Rate (TONA), Fallback Rate (AONIA), Fallback Rate (CORRA), Fallback Rate (HONIA), Fallback Rate (SOR) or Fallback Rate (THBFIX), then the rate for the Relevant Original Fixing Date will be the Applicable Fallback Rate for the ‘Original IBOR Rate Record Day’ (or, if Fallback Rate (SOR) or Fallback Rate (THBFIX) is the Applicable Fallback Rate, for the ‘Original SOR Rate Record Day’ or ‘Original THBFIX Rate Record Day’, as applicable) that corresponds to the Relevant Original Fixing Date, as most recently provided or published as at the Applicable Cut-off Time. If neither the provider of the Applicable Fallback Rate (or a successor provider, which, if the Applicable Fallback Rate is Fallback Rate (SONIA), Fallback Rate (SARON), Fallback Rate (SOFR), Fallback Rate (EuroSTR), Fallback Rate (TONA), Fallback Rate (AONIA), Fallback Rate (CORRA) or Fallback Rate (HONIA), is approved and/or appointed by ISDA from time to time) provides, nor any authorized distributors publish, the Applicable Fallback Rate for that ‘Original IBOR Rate Record Day’ (or that ‘Original SOR Rate Record Day’ or ‘Original THBFIX Rate Record Day’, as applicable) at, or prior to, the Applicable Cutoff Time and a Fallback Index Cessation Effective Date with respect to that Applicable Fallback Rate has not occurred, then the rate for the Relevant Original Fixing Date will be the Applicable Fallback Rate as most recently provided or published at the Applicable Cutoff Time for the most recent ‘Original IBOR Rate Record Day’ (or ‘Original SOR Rate Record Day’ or ‘Original THBFIX Rate Record Day’, as applicable), notwithstanding that such day does not correspond to the Relevant Original Fixing Date; VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 (ii) If (A) the Applicable Fallback Rate is SONIA, the GBP Recommended Rate, SARON, the NWG Recommended Rate, the Modified SNB Policy Rate, SOFR, the Fed Recommended Rate, OBFR, the FOMC Target Rate, EuroSTR, the ECB Recommended Rate, Modified EDFR, TONA, the JPY Recommended Rate, AONIA, the RBA Recommended Rate, CORRA, the CAD Recommended Rate, the BOC Target Rate, HONIA, the HKD Recommended Rate, the MAS Recommended Rate, SORA, the BOT Recommended Rate or THOR, (B) neither the administrator provides nor authorized distributors publish that Applicable Fallback Rate (or if the Applicable Fallback Rate is the Modified SNB Policy Rate or Modified EDFR, the index, benchmark or other price source that is referred to in the definition thereof) and (C) a Fallback Index Cessation Effective Date with respect to that Applicable Fallback Rate has not occurred, then, in respect of any day for which that Applicable Fallback Rate is required, references to that Applicable Fallback Rate will be deemed to be references to the last provided or published Applicable Fallback Rate. If the Applicable Fallback Rate is the Modified SNB Policy Rate or Modified EDFR, references to that Applicable Fallback Rate in subparagraph 6(d)(ii)(C) above shall be deemed to be references to the index, benchmark or other price source that is referred to in the definition of Modified SNB Policy Rate or Modified EDFR, as applicable; and (iii) If the Applicable Fallback Rate is UK Bank Rate, in respect of any day for which the UK Bank Rate is required, references to the UK Bank Rate will be deemed to be references to the last provided or published UK Bank Rate as at close of business in London on that day. If the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, an Index Cessation Event with respect to U.S. dollar LIBOR will also occur if the Relevant IBOR in the relevant tenor (which under the 2006 ISDA Definitions would be equivalent to the ‘‘Designated Maturity’’) has not been published by the source that is specified or otherwise ordinarily used to determine the level of the Relevant IBOR and, as of the Relevant Original Fixing Date, U.S. dollar LIBOR in the relevant tenor (which under the 2006 ISDA Definitions would be equivalent to the ‘‘Designated Maturity’’) has been permanently discontinued or is NonRepresentative and there is either no U.S. dollar LIBOR which has not been permanently discontinued and which is not Non-Representative for a period which is longer than that relevant tenor or no U.S. dollar LIBOR which has not been permanently discontinued and which is not Non-Representative for a period which is shorter than that relevant tenor. The related Index Cessation Effective Date shall be the first date on which there is no such longer or shorter rate or, if later, the first date on which U.S. dollar LIBOR in the relevant tenor (which under the 2006 ISDA Definitions would be equivalent to the ‘‘Designated Maturity’’) is permanently unavailable or Non-Representative. For the purposes of this paragraph 6(d), references to an ‘‘Original IBOR Rate Record PO 00000 Frm 00033 Fmt 4701 Sfmt 4700 5235 Day’’, ‘‘Original SOR Rate Record Day’’ and ‘‘Original THBFIX Rate Record Day’’ are to that term as used on the Fallback Rate Screen. For the purposes of the immediately preceding paragraph above, (A) references to a rate being ‘‘permanently discontinued’’ or ‘‘permanently unavailable’’ shall be deemed to be references to such rate being permanently discontinued or permanently unavailable following a public statement or publication of information which would constitute an Index Cessation Event in accordance with subparagraphs (a) and (b) of the definition thereof in respect of that rate in the relevant tenor and (B) references to ‘‘U.S. dollar LIBOR’’ in the definition of ‘‘Non-Representative’’ shall be deemed to be references to the relevant tenor of U.S. dollar LIBOR; (e) If the Relevant IBOR which is required for that determination is neither the Singapore dollar swap offer rate nor the Thai baht interest rate fixing and: (i) The determination for which the Relevant IBOR is required is ordinarily made by reference to linear interpolation between two rates, each of which is based on the Relevant IBOR, then (notwithstanding paragraph 6(d) above) the provisions of Section 7.9(a) of the 2006 ISDA Definitions shall be deemed to apply, provided that the Calculation Agent shall make such adaptations as are reasonable and necessary to the provisions of Section 7.9(a) of the 2006 ISDA Definitions in order to apply them to the relevant Protocol Covered Document; (ii) The Relevant IBOR which is required for that determination is to be determined by reference to one or more rates, either (A) at least one of which has been permanently discontinued, or (B) if the Relevant IBOR is a Relevant LIBOR, at least one of which is Non-Representative, and, in either case, at least two Relevant IBOR tenors, at least one of which is shorter than the period of time in respect of which the Relevant IBOR is to be determined and at least one of which is longer than the period of time in respect of which the Relevant IBOR is to be determined, have not been permanently discontinued (and, if the Relevant IBOR is a Relevant LIBOR, are not Non- Representative), then the provisions of Section 8.5 and Section 8.6 of the 2006 ISDA Definitions shall be deemed to apply, provided that the Calculation Agent shall make such adaptations as are reasonable and necessary to the provisions of Sections 8.5 and 8.6 of the 2006 ISDA Definitions in order to apply them to the relevant Protocol Covered Document; (iii) The Relevant IBOR which is required for that determination is to be determined by reference to a tenor of the Relevant IBOR which has been permanently discontinued (or, if the Relevant IBOR is a Relevant LIBOR, which is Non-Representative), and there are either no shorter or no longer tenors in respect of the Relevant IBOR which have not been permanently discontinued (or, if the Relevant IBOR is a Relevant LIBOR, which are not Non-Representative), then an Index Cessation Event shall be deemed to have occurred with respect to the Relevant IBOR and the Index Cessation Effective Date shall be the first date on which there is either no such shorter or no such longer tenor or, if E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5236 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations later, the first date on which the Relevant IBOR in the relevant tenor is permanently unavailable (or, if the Relevant IBOR is a Relevant LIBOR, Non-Representative); (iv) In the event of any inconsistency between the provisions of subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above and the provisions of subparagraph 6(e)(i) above, subparagraph 6(e)(i) above shall prevail; and (v) In the event of any inconsistency between the provisions of subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above and paragraph 6(d) above (including any terms used in paragraph 6(d) above and defined below), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above (as applicable) shall prevail, For the purposes of this paragraph 6(e), (A) references to a rate being ‘‘permanently discontinued’’ shall be deemed to be references to such rate being permanently discontinued following a public statement or publication of information which would constitute an Index Cessation Event in accordance with subparagraphs (a) and (b) of the definition thereof in respect of that rate in the relevant tenor, (B) references to the ‘‘Relevant LIBOR’’ in the definition of ‘‘NonRepresentative’’ shall be deemed to be references to the relevant tenor of the Relevant LIBOR and (C) Section 7.9(a), 8.5 and 8.6 of the 2006 ISDA Definitions shall be construed in accordance with Sections 7.3(r) and 7.3(s) of the 2006 ISDA Definitions; (f) If the Relevant IBOR which is required for that determination is the Singapore dollar swap offer rate or the Thai baht interest rate fixing and the determination for which the Relevant IBOR is required is ordinarily made by reference to linear interpolation between two rates, each of which is based on the Relevant IBOR, then (notwithstanding paragraph 6(d) above) the provisions of Section 7.10(a) of the 2006 ISDA Definitions shall be deemed to apply, provided that the Calculation Agent shall make such adaptations as are reasonable and necessary to the provisions of Section 7.10(a) of the 2006 ISDA Definitions in order to apply them to the relevant Protocol Covered Document. For the purposes of this paragraph 6(f), Section 7.10(a) of the 2006 ISDA Definitions shall be construed in accordance with Sections 7.3(r) and 7.3(s) of the 2006 ISDA Definitions; (g) If (i) the Relevant IBOR which is required for that determination is the Singapore dollar swap offer rate or the Thai baht interest rate fixing and the Applicable Fallback Rate is Fallback Rate (SOR) or Fallback Rate (THBFIX), as applicable, (ii) the determination for which the Relevant IBOR is required is not ordinarily made by reference to linear interpolation between two rates and (iii) the period of time for which the rate is required (which under the 2006 ISDA Definitions would be the ‘‘Calculation Period’’) is shorter than the Relevant IBOR in the relevant tenor (which under the 2006 ISDA Definitions would be the ‘‘Designated Maturity’’), then (notwithstanding paragraph 6(d) above) the provisions of Section 7.11(a) of the 2006 ISDA Definitions shall be deemed to apply, provided that the Calculation Agent shall make such adaptations as are reasonable and necessary to the provisions of Section 7.11(a) of the 2006 ISDA Definitions VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 in order to apply them to the relevant Protocol Covered Document; and (h) If the definition, methodology, formula or other means of calculating the Relevant IBOR or the Applicable Fallback Rate (or, if applicable, the index, benchmark or other price source that is referred to in the Relevant IBOR or the Applicable Fallback Rate) is modified, each party acknowledges that, unless otherwise specified or agreed, references to that Relevant IBOR or the Applicable Fallback Rate (or the index, benchmark or other price source that is referred to in the Relevant IBOR or the Applicable Fallback Rate) shall be to the Relevant IBOR or the Applicable Fallback Rate (or the index, benchmark or other price source that is referred to in the Relevant IBOR or the Applicable Fallback Rate) as modified. In the event of any inconsistency between this paragraph 6(h) and paragraphs 6(a) through 6(d) above (including any terms used in those paragraphs and defined below and including subparagraphs 6(e)(ii) and 6(e)(iii) above as they apply in priority to paragraph 6(d) above), paragraphs 6(a) through 6(d) above including subparagraphs 6(e)(ii) and 6(e)(iii) as they apply in priority to paragraph 6(d) above shall prevail. If the Relevant IBOR referenced in the Protocol Covered Document is LIBOR with no reference to, or indication of, the currency of the relevant LIBOR (including, for the avoidance of doubt, the reference in Section 7.3 (Corrections to Published Prices) of the 2005 ISDA Commodity Definitions to ‘‘the spot offered rate for deposits in the payment currency in the London interbank market as at approximately 11:00 a.m., London time’’), then the reference to LIBOR (howsoever defined or described) in the Protocol Covered Document will be deemed to be a reference to LIBOR in the currency of the related payment for which LIBOR is required pursuant to the terms of the Protocol Covered Document and paragraphs 6(a), 6(d) and 6(e) above, and the related definitions below, shall be construed accordingly. For the purposes of any Protocol Covered Document which does not include a definition of ‘‘Calculation Agent’’, the term ‘‘Calculation Agent’’ shall be deemed to be a reference to a party or parties who would ordinarily be responsible for calculating or determining any rates or amounts payable under the relevant Protocol Covered Document and performing any associated duties. If the Protocol Covered Document to which this paragraph 6 applies is a Protocol Covered Master Agreement, the Relevant IBOR is defined in the Protocol Covered Master Agreement and that definition is referenced in a Confirmation that supplements, forms part of and is subject to that Protocol Covered Master Agreement, then the reference in the Protocol Covered Master Agreement to the Relevant IBOR as amended by this paragraph 6 will also apply to the reference to the Relevant IBOR in that Confirmation. For these purposes: ‘‘Applicable Banking Days’’ means, if the Relevant IBOR is: (a) Swiss franc LIBOR, U.S. dollar LIBOR or Japanese yen LIBOR, London Banking PO 00000 Frm 00034 Fmt 4701 Sfmt 4700 Days (as defined in the 2006 ISDA Definitions); (b) Euro LIBOR or the euro interbank offered rate, TARGET Settlement Days (as defined in the 2006 ISDA Definitions); (c) The Japanese yen Tokyo interbank offered rate or the euroyen Tokyo interbank offered rate, Tokyo Banking Days (as defined in the 2006 ISDA Definitions); (d) The Singapore dollar swap offer rate, Singapore and London Banking Days (as defined in the 2006 ISDA Definitions); and (e) The Thai baht interest rate fixing, Bangkok Banking Days (as defined in the 2006 ISDA Definitions). ‘‘Applicable Cut-off Time’’ means: (a) for Fallback Rate (SONIA), 11:30 a.m., London time; (b) for Fallback Rate (SARON), 8:30 p.m., Zurich time; (c) for Fallback Rate (SOFR), 10:30 a.m., New York City time; (d) for Fallback Rate (EuroSTR), 11:30 a.m., Frankfurt time; (e) for Fallback Rate (TONA), 12:30 p.m., Tokyo time; (f) for Fallback Rate (AONIA), 11:30 a.m., Sydney time; (g) for Fallback Rate (CORRA), 11:30 a.m., Toronto time; (h) for Fallback Rate (HONIA), 7:30 p.m., Hong Kong time; (i) for Fallback Rate (SOR), 11:30 a.m., New York City time; and (j) for Fallback Rate (THBFIX), 10:00 a.m., Bangkok time, in each case, on the Fallback Observation Day. ‘‘Applicable Fallback Rate’’ means, in respect of a Relevant IBOR, for the purposes of: (a) Sterling LIBOR, Fallback Rate (SONIA) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (SONIA), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA) will be the Sterling Overnight Index Average (‘‘SONIA’’) rate administered by the Bank of England (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA), referred to in the definition of ‘‘Fallback Rate (SONIA)’’ after making such adjustments to SONIA as are necessary to account for any difference in term structure or tenor of SONIA by comparison to Fallback Rate (SONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (SONIA) and SONIA, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA) (or, if later, the Fallback Index Cessation Effective Date with respect to SONIA) will be the GBP Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA), referred to in the definition of ‘‘Fallback Rate (SONIA)’’ after E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations making such adjustments to the GBP Recommended Rate as are necessary to account for any difference in term structure or tenor of the GBP Recommended Rate by comparison to Fallback Rate (SONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If there is no GBP Recommended Rate before the end of the first London Banking Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA) (or, if later, the end of the first London Banking Day following the Fallback Index Cessation Effective Date with respect to SONIA), or there is a GBP Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA) (or, if later, the Fallback Index Cessation Effective Date with respect to SONIA) or the Fallback Index Cessation Effective Date with respect to the GBP Recommended Rate (as applicable) will be the UK Bank Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SONIA), referred to in the definition of ‘‘Fallback Rate (SONIA)’’ after making such adjustments to the UK Bank Rate as are necessary to account for any difference in term structure or tenor of the UK Bank Rate by comparison to Fallback Rate (SONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (b) Swiss franc LIBOR, Fallback Rate (SARON) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (SARON), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON) will be the Swiss Average Rate Overnight (‘‘SARON’’) administered by SIX Swiss Exchange AG (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON), referred to in the definition of ‘‘Fallback Rate (SARON)’’ after making such adjustments to SARON as are necessary to account for any difference in term structure or tenor of SARON by comparison to Fallback Rate (SARON) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (SARON) and SARON, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON) (or, if later, the Fallback Index Cessation Effective Date with respect to SARON) will be the NWG Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON), referred to in the definition of ‘‘Fallback Rate (SARON)’’ after VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 making such adjustments to the NWG Recommended Rate as are necessary to account for any difference in term structure or tenor of the NWG Recommended Rate by comparison to Fallback Rate (SARON) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If there is no NWG Recommended Rate before the end of the first Zurich Banking Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON) (or, if later, the end of the first Zurich Banking Day following the Fallback Index Cessation Effective Date with respect to SARON), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON) (or, if later, the Fallback Index Cessation Effective Date with respect to SARON) will be the Modified SNB Policy Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SARON), referred to in the definition of ‘‘Fallback Rate (SARON)’’ after making such adjustments to the Modified SNB Policy Rate as are necessary to account for any difference in term structure or tenor of the Modified SNB Policy Rate by comparison to Fallback Rate (SARON) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (c) U.S. dollar LIBOR, Fallback Rate (SOFR) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (SOFR), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR) will be the Secured Overnight Financing Rate (‘‘SOFR’’) administered by the Federal Reserve Bank of New York (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR), referred to in the definition of ‘‘Fallback Rate (SOFR)’’ after making such adjustments to SOFR as are necessary to account for any difference in term structure or tenor of SOFR by comparison to Fallback Rate (SOFR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (SOFR) and SOFR, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR) (or, if later, the Fallback Index Cessation Effective Date with respect to SOFR) will be the Fed Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR), referred to in the definition of ‘‘Fallback Rate (SOFR)’’ after making such adjustments to the Fed Recommended Rate as are necessary to account for any difference in term structure or tenor of the Fed Recommended Rate by comparison to Fallback Rate (SOFR) and by PO 00000 Frm 00035 Fmt 4701 Sfmt 4700 5237 reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If there is no Fed Recommended Rate before the end of the first U.S. Government Securities Business Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR) (or, if later, the end of the first U.S. Government Securities Business Day following the Fallback Index Cessation Effective Date with respect to SOFR), or there is a Fed Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR) (or, if later, the Fallback Index Cessation Effective Date with respect to SOFR) or the Fallback Index Cessation Effective Date with respect to the Fed Recommended Rate (as applicable) will be OBFR, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR), referred to in the definition of ‘‘Fallback Rate (SOFR)’’ after making such adjustments to OBFR as are necessary to account for any difference in term structure or tenor of OBFR by comparison to Fallback Rate (SOFR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If there is no Fed Recommended Rate, or there is a Fed Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, and a Fallback Index Cessation Effective Date also occurs with respect to OBFR, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to OBFR (or, if later, the Fallback Index Cessation Effective Date with respect to the Fed Recommended Rate, SOFR or Fallback Rate (SOFR), as applicable) will be the FOMC Target Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOFR), referred to in the definition of ‘‘Fallback Rate (SOFR)’’ after making such adjustments to the FOMC Target Rate as are necessary to account for any difference in term structure or tenor of the FOMC Target Rate by comparison to Fallback Rate (SOFR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (d) Euro LIBOR and the euro interbank offered rate, Fallback Rate (EuroSTR) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (EuroSTR), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR) will be the Euro Short-Term Rate (‘‘EuroSTR’’) administered by the European Central Bank (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR), referred to in the definition of ‘‘Fallback Rate (EuroSTR)’’ after E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5238 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations making such adjustments to EuroSTR as are necessary to account for any difference in term structure or tenor of EuroSTR by comparison to Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (EuroSTR) and EuroSTR, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR) (or, if later, the Fallback Index Cessation Effective Date with respect to EuroSTR) will be the ECB Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR), referred to in the definition of ‘‘Fallback Rate (EuroSTR)’’ after making such adjustments to the ECB Recommended Rate as are necessary to account for any difference in term structure or tenor of the ECB Recommended Rate by comparison to Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If no ECB Recommended Rate is recommended before the end of the first TARGET Settlement Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR) (or, if later, the end of the first TARGET Settlement Day following the Fallback Index Cessation Effective Date with respect to EuroSTR), or a Fallback Index Cessation Effective Date with respect to the ECB Recommended Rate subsequently occurs, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR) (or, if later, the Fallback IndexCessation Effective Date with respect to EuroSTR) or the Fallback Index Cessation Effective Date with respect to the ECB Recommended Rate (as applicable) will be Modified EDFR, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR), referred to in the definition of ‘‘Fallback Rate (EuroSTR)’’ after making such adjustments to Modified EDFR as are necessary to account for any difference in term structure or tenor of Modified EDFR by comparison to Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (e) Japanese yen LIBOR, the Japanese yen Tokyo interbank offered rate and the euroyen Tokyo interbank offered rate, Fallback Rate (TONA) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (TONA), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (TONA) will be the Tokyo Overnight Average Rate (‘‘TONA’’) administered by the Bank of Japan (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Fallback Rate (TONA), referred to in the definition of ‘‘Fallback Rate (TONA)’’ after making such adjustments to TONA as are necessary to account for any difference in term structure or tenor of TONA by comparison to Fallback Rate (TONA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (TONA) and TONA, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (TONA) (or, if later, the Fallback Index Cessation Effective Date with respect to TONA) will be the JPY Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (TONA), referred to in the definition of ‘‘Fallback Rate (TONA)’’ after making such adjustments to the JPY Recommended Rate as are necessary to account for any difference in term structure or tenor of the JPY Recommended Rate by comparison to Fallback Rate (TONA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (f) The bank bill swap rate, Fallback Rate (AONIA) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (AONIA), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (AONIA) will be the interbank overnight cash rate (‘‘AONIA’’) administered by the Reserve Bank of Australia (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (AONIA), referred to in the definition of ‘‘Fallback Rate (AONIA)’’ after making such adjustments to AONIA as are necessary to account for any difference in term structure or tenor of AONIA by comparison to Fallback Rate (AONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (AONIA) and AONIA, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (AONIA) (or, if later, the Fallback Index Cessation Effective Date with respect to AONIA) will be the RBA Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (AONIA), referred to in the definition of ‘‘Fallback Rate (AONIA)’’ after making such adjustments to the RBA Recommended Rate as are necessary to account for any difference in term structure or tenor of the RBA Recommended Rate by comparison to Fallback Rate (AONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (g) The Canadian dollar offered rate, Fallback Rate (CORRA) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (CORRA), then the Applicable PO 00000 Frm 00036 Fmt 4701 Sfmt 4700 Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA) will be the Canadian Overnight Repo Rate Average (‘‘CORRA’’) administered by the Bank of Canada (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA), referred to in the definition of ‘‘Fallback Rate (CORRA)’’ after making such adjustments to CORRA as are necessary to account for any difference in term structure or tenor of CORRA by comparison to Fallback Rate (CORRA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (CORRA) and CORRA, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA) (or, if later, the Fallback Index Cessation Effective Date with respect to CORRA) will be the CAD Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA), referred to in the definition of ‘‘Fallback Rate (CORRA)’’ after making such adjustments to the CAD Recommended Rate as are necessary to account for any difference in term structure or tenor of the CAD Recommended Rate by comparison to Fallback Rate (CORRA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If there is no CAD Recommended Rate before the end of the first Toronto Banking Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA) (or, if later, the end of the first Toronto Banking Day following the Fallback Index Cessation Effective Date with respect to CORRA), or there is a CAD Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA) (or, if later, the Fallback Index Cessation Effective Date with respect to CORRA) or the Fallback Index Cessation Effective Date with respect to the CAD Recommended Rate (as applicable) will be the BOC Target Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (CORRA), referred to in the definition of ‘‘Fallback Rate (CORRA)’’ after making such adjustments to the BOC Target Rate as are necessary to account for any difference in term structure or tenor of the BOC Target Rate by comparison to Fallback Rate (CORRA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; (h) The Hong Kong interbank offered rate, Fallback Rate (HONIA) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (HONIA), then the Applicable Fallback Rate for any Fallback Observation E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (HONIA) will be the Hong Kong Dollar Overnight Index Average (‘‘HONIA’’) rate administered by the Treasury Markets Association (or any successor administrator), to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (HONIA), referred to in the definition of ‘‘Fallback Rate (HONIA)’’ after making such adjustments to HONIA as are necessary to account for any difference in term structure or tenor of HONIA by comparison to Fallback Rate (HONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation Effective Date occurs with respect to each of Fallback Rate (HONIA) and HONIA, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (HONIA) (or, if later, the Fallback Index Cessation Effective Date with respect to HONIA) will be the HKD Recommended Rate, to which the Calculation Agent shall apply the most recently published spread, as at the Fallback Index Cessation Effective Date with respect to Fallback Rate (HONIA), referred to in the definition of ‘‘Fallback Rate (HONIA)’’ after making such adjustments to the HKD Recommended Rate as are necessary to account for any difference in term structure or tenor of the HKD Recommended Rate by comparison to Fallback Rate (HONIA) and by reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book; the Singapore dollar swap offer rate, Fallback Rate (SOR) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (SOR), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOR) will be the MAS Recommended Rate or, if there is no MAS Recommended Rate before the end of the first Singapore Banking Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOR), or there is a MAS Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (SOR) or the Fallback Index Cessation Effective Date with respect to the MAS Recommended Rate (as applicable) will be SORA, to which the Calculation Agent shall make such adjustments as are necessary to account for any difference in term structure or tenor of SORA by comparison to Fallback Rate (SOR) and by reference to the Calculation Methodology for Fallback Rate (SOR); and (i) The Thai baht interest rate fixing, Fallback Rate (THBFIX) or if a Fallback Index Cessation Event has occurred with respect to Fallback Rate (THBFIX), then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 Fallback Rate (THBFIX) will be the BOT Recommended Rate or, if there is no BOT Recommended Rate before the end of the first Bangkok Banking Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (THBFIX), or there is a BOT Recommended Rate and a Fallback Index Cessation Effective Date subsequently occurs with respect to it, then the Applicable Fallback Rate for any Fallback Observation Day that occurs on or after the Fallback Index Cessation Effective Date with respect to Fallback Rate (THBFIX) or the Fallback Index Cessation Effective Date with respect to the BOT Recommended Rate (as applicable) will be THOR, to which the Calculation Agent shall make such adjustments as are necessary to account for any difference in term structure or tenor of THOR by comparison to Fallback Rate (THBFIX) and by reference to the Bank of Thailand THBFIX Fallback Rate Adjustments Rule Book. ‘‘Bank of Thailand THBFIX Fallback Rate Adjustments Rule Book’’ means the THBFIX Fallback Rate Adjustments Rule Book published by the Bank of Thailand as updated from time to time. ‘‘Bloomberg IBOR Fallback Rate Adjustments Rule Book’’ means the IBOR Fallback Rate Adjustments Rule Book published by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time) as updated from time to time in accordance with its terms. ‘‘BOC Target Rate’’ means the Bank of Canada’s Target for the Overnight Rate as set by the Bank of Canada and published on the Bank of Canada’s website (as defined in the 2006 ISDA Definitions). ‘‘BOT Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for Fallback Rate (THBFIX) by the Bank of Thailand or by a committee officially endorsed or convened by the Bank of Thailand (which rate may be produced by the Bank of Thailand or another administrator) and as provided by the administrator of that rate in respect of the day for which that rate is required (which under the 2006 ISDA Definitions would be the ‘‘Reset Date’’) or, if that rate is not provided by the administrator of that rate (or a successor administrator), published by an authorized distributor. ‘‘CAD Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for CORRA by a committee officially endorsed or convened by the Bank of Canada for the purpose of recommending a replacement for CORRA (which rate may be produced by the Bank of Canada or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘Calculation Methodology for Fallback Rate (SOR)’’ means the Calculation Methodology for Fallback Rate (SOR) published by ABS Benchmarks Administration Co Pte. Ltd. as updated from time to time. ‘‘ECB Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) PO 00000 Frm 00037 Fmt 4701 Sfmt 4700 5239 recommended as the replacement for EuroSTR by the European Central Bank (or any successor administrator of EuroSTR) and/or by a committee officially endorsed or convened by the European Central Bank (or any successor administrator of EuroSTR) for the purpose of recommending a replacement for EuroSTR (which rate may be produced by the European Central Bank or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘EDFR Spread’’ means: (a) If no ECB Recommended Rate is recommended before the end of the first TARGET Settlement Day (as defined in the 2006 ISDA Definitions) following the Fallback Index Cessation Effective Date with respect to Fallback Rate (EuroSTR) (or, if later, before the end of the first TARGET Settlement Day following the Fallback Index Cessation Effective Date with respect to EuroSTR), the arithmetic mean of the daily difference between EuroSTR and the Eurosystem Deposit Facility Rate over an observation period of 30 TARGET Settlement Days starting 30 TARGET Settlement Days prior to the day on which the Fallback Index Cessation Event with respect to Fallback Rate (EuroSTR) occurs (or, if later, 30 TARGET Settlement Days prior to the day on which the first Fallback Index Cessation Event with respect to EuroSTR occurs) and ending on the TARGET Settlement Day immediately preceding the day on which the Fallback Index Cessation Event with respect to Fallback Rate (EuroSTR) occurs (or, if later, the TARGET Settlement Day immediately preceding the day on which the first Fallback Index Cessation Event with respect to EuroSTR occurs); or (b) If a Fallback Index Cessation Event with respect to the ECB Recommended Rate occurs, the arithmetic mean of the daily difference between the ECB Recommended Rate and the Eurosystem Deposit Facility Rate over an observation period of 30 TARGET Settlement Days starting 30 TARGET Settlement Days prior to the day on which the Fallback Index Cessation Event with respect to the ECB Recommended Rate occurs and ending on the TARGET Settlement Day immediately preceding the day on which that Fallback Index Cessation Event occurs. ‘‘Eurosystem Deposit Facility Rate’’ means the rate on the deposit facility, which banks may use to make overnight deposits with the Eurosystem and which is published on the ECB’s website (as defined in the 2006 ISDA Definitions). ‘‘Fallback Index Cessation Effective Date’’ means, in respect of a Fallback Index Cessation Event, the first date on which the Applicable Fallback Rate is no longer provided. If the Applicable Fallback Rate ceases to be provided on the same day that it would have been observed but it was provided at the time at which it is ordinarily observed (or, if no such time is specified, at the time at which it is ordinarily published), then the Fallback Index Cessation Effective Date will be the next day on which the rate would ordinarily have been published. If the E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5240 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations Applicable Fallback Rate is the Modified SNB Policy Rate or Modified EDFR, references to the Applicable Fallback Rate in this definition of ‘‘Fallback Index Cessation Effective Date’’ shall be deemed to be references to the index, benchmark or other price source that is referred to in the definition of Modified SNB Policy Rate or Modified EDFR, as applicable. ‘‘Fallback Index Cessation Event’’ means, in respect of an Applicable Fallback Rate: (a) A public statement or publication of information by or on behalf of the administrator or provider of the Applicable Fallback Rate announcing that it has ceased or will cease to provide the Applicable FallbackRate permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor administrator or provider that will continue to provide the Applicable Fallback Rate; or (b) If the Applicable Fallback Rate is: (i) Fallback Rate (SONIA), Fallback Rate (SARON), Fallback Rate (SOFR), Fallback Rate (EuroSTR), Fallback Rate (TONA), Fallback Rate (AONIA), Fallback Rate (CORRA) or Fallback Rate (HONIA), a public statement or publication of information by the regulatory supervisor for the administrator of the Underlying Rate, the central bank for the currency of the Underlying Rate, an insolvency official with jurisdiction over the administrator for the Underlying Rate, a resolution authority with jurisdiction over the administrator for the Underlying Rate or a court or an entity with similar insolvency or resolution authority over the administrator for the Underlying Rate, which states that the administrator of the Underlying Rate has ceased or will cease to provide the Underlying Rate permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor administrator that will continue to provide the Underlying Rate; or (ii) SONIA, the GBP Recommended Rate, SARON, the NWG Recommended Rate, the Modified SNB Policy Rate, SOFR, the Fed Recommended Rate, OBFR, the FOMC Target Rate, EuroSTR, the ECB Recommended Rate, Modified EDFR, TONA, the JPY Recommended Rate, AONIA, the RBA Recommended Rate, CORRA, the CAD Recommended Rate, the BOC Target Rate, HONIA, the HKD Recommended Rate, Fallback Rate (SOR), the MAS Recommended Rate, SORA, Fallback Rate (THBFIX), the BOT Recommended Rate or THOR, a public statement or publication of information by the regulatory supervisor for the administrator or provider of the Applicable Fallback Rate, the central bank for the currency of the Applicable Fallback Rate, an insolvency official with jurisdiction over the administrator or provider for the Applicable Fallback Rate, a resolution authority with jurisdiction over the administrator or provider for the Applicable Fallback Rate or a court or an entity with similar insolvency or resolution authority over the administrator or provider for the Applicable Fallback Rate, which states that the administrator or provider of the Applicable Fallback Rate has ceased or will cease to provide the Applicable Fallback Rate permanently or indefinitely, provided that, at the time of the VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 statement or publication, there is no successor administrator or provider that will continue to provide the Applicable Fallback Rate. If the Applicable Fallback Rate is the Modified SNB Policy Rate or Modified EDFR, references to the administrator or provider of such rate in this definition of ‘‘Fallback Index Cessation Event’’ shall be deemed to be references to the administrator or provider of the index, benchmark or other price source that is referred to in the definition of Modified SNB Policy Rate or Modified EDFR, as applicable. ‘‘Fallback Observation Day’’ means, in respect of an Applicable Fallback Rate and unless otherwise agreed, the day that is two Business Days (as defined in the relevant Protocol Covered Document or, if that term is not defined therein, as defined in the 2006 ISDA Definitions and, in each case, for the purposes of the payment which is calculated by reference to that Applicable Fallback Rate) preceding the day on which payment by reference to that rate is due (which under the 2006 ISDA Definitions would be equivalent to the ‘‘Payment Date’’). ‘‘Fallback Rate (AONIA)’’ means the term adjusted AONIA plus the spread relating to the bank bill swap rate, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted AONIA and the spread, on the Fallback Rate (AONIA) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (AONIA) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for the bank bill swap rate for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (CORRA)’’ means the term adjusted CORRA plus the spread relating to the Canadian dollar offered rate, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted CORRA and the spread, on the Fallback Rate (CORRA) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (CORRA) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for the Canadian dollar offered rate for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published PO 00000 Frm 00038 Fmt 4701 Sfmt 4700 source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (EuroSTR)’’ means: (a) The term adjusted EuroSTR; plus (b) If the Relevant IBOR is: (i) Euro LIBOR, the spread relating to euro LIBOR; or (ii) The euro interbank offered rate, the spread relating to the euro interbank offered rate, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted EuroSTR and the spread, on the Fallback Rate (EuroSTR) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (EuroSTR) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for euro LIBOR or the euro interbank offered rate, as applicable, for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (HONIA)’’ means the term adjusted HONIA rate plus the spread relating to the Hong Kong interbank offered rate, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted HONIA and the spread, on the Fallback Rate (HONIA) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (HONIA) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for the Hong Kong interbank offered rate for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (SARON)’’ means the term adjusted SARON plus the spread relating to Swiss franc LIBOR, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted SARON and the spread, on the Fallback Rate (SARON) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations ‘‘Fallback Rate (SARON) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for Swiss franc LIBOR for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate Screen’’ means, if the Applicable Fallback Rate is: (a) Fallback Rate (SONIA), the Fallback Rate (SONIA) Screen; (b) Fallback Rate (SARON), the Fallback Rate (SARON) Screen; (c) Fallback Rate (SOFR), the Fallback Rate (SOFR) Screen; (d) Fallback Rate (EuroSTR), the Fallback Rate (EuroSTR) Screen; (e) Fallback Rate (TONA), the Fallback Rate (TONA) Screen; (f) Fallback Rate (AONIA), the Fallback Rate (AONIA) Screen; (g) Fallback Rate (CORRA), the Fallback Rate (CORRA) Screen, (h) Fallback Rate (HONIA), the Fallback Rate (HONIA) Screen, (i) Fallback Rate (SOR), the Fallback Rate (SOR) Screen; and (j) Fallback Rate (THBFIX), the Fallback Rate (THBFIX) Screen. ‘‘Fallback Rate (SOFR)’’ means the term adjusted SOFR plus the spread relating to U.S. dollar LIBOR, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted SOFR and the spread, on the Fallback Rate (SOFR) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (SOFR) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for U.S. dollar LIBOR for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (SONIA)’’ means the term adjusted SONIA rate plus the spread relating to sterling LIBOR, in each case, for the period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted SONIA and the spread, on the Fallback Rate (SONIA) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (SONIA) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for sterling LIBOR for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fallback Rate (SOR)’’ means the rate based on actual transactions in the U.S. dollar/Singapore dollar foreign exchange swap market and a U.S. dollar interest rate calculated by reference to ‘‘Fallback Rate (SOFR)’’ as defined above and including any fallback rate that may apply pursuant to subparagraph (c) of the definition of ‘‘Applicable Fallback Rate’’ above for the period of time in respect of which the Relevant IBOR is to be determined provided by ABS Benchmarks Administration Co Pte. Ltd. (or a successor provider), as the provider of Fallback Rate (SOR), on the Fallback Rate (SOR) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (SOR) Screen’’ means the Refinitiv Screen (as defined in the 2006 ISDA Definitions) corresponding to the Refinitiv ticker for the fallback for the Singapore dollar swap offer rate for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Refinitiv Screen <FBKSORFIX> (or, if applicable, accessed via the relevant Refinitiv Screen for ‘price history’) or any other published source designated by ABS Benchmarks Administration Co Pte. Ltd. (or a successor provider). ‘‘Fallback Rate (THBFIX)’’ means the rate based on actual transactions in the U.S. dollar/Thai baht foreign exchange swap market and a U.S. dollar interest rate calculated by reference to ‘‘Fallback Rate (SOFR)’’ as defined above and including any fallback rate that may apply pursuant to subparagraph (c) of the definition of ‘‘Applicable Fallback Rate’’ above for the period of time in respect of which the Relevant IBOR is to be determined provided by the Bank of Thailand (or a successor provider), as the provider of Fallback Rate (THBFIX), on the Fallback Rate (THBFIX) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (THBFIX) Screen’’ means the Refinitiv Screen (as defined in the 2006 ISDA Definitions) corresponding to the Refinitiv ticker for the fallback for the Thai baht interest rate fixing for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Refinitiv Screen <FBKTHBFIX> (or, if applicable, accessed via the relevant Refinitiv Screen for ‘price history’) or any other published source designated by the Bank of Thailand (or a successor provider). ‘‘Fallback Rate (TONA)’’ means: (a) The term adjusted TONA; plus (b) If the Relevant IBOR is: (i) Japanese yen LIBOR, the spread relating to Japanese yen LIBOR; (ii) The Japanese yen Tokyo interbank offered rate, the spread relating to the Japanese yen Tokyo interbank offered rate; or the euroyen Tokyo interbank offered rate, the spread relating to the euroyen Tokyo interbank offered rate, in each case, for the PO 00000 Frm 00039 Fmt 4701 Sfmt 4700 5241 period of time in respect of which the Relevant IBOR is to be determined provided by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time), as the provider of term adjusted TONA and the spread, on the Fallback Rate (TONA) Screen (or by other means) or provided to, and published by, authorized distributors at, or prior to, the Applicable Cut-off Time. ‘‘Fallback Rate (TONA) Screen’’ means the Bloomberg Screen (as defined in the 2006 ISDA Definitions) corresponding to the Bloomberg ticker for the fallback for Japanese yen LIBOR, the Japanese yen Tokyo interbank offered rate or the euroyen Tokyo interbank offered rate, as applicable, for the period of time in respect of which the Relevant IBOR is to be determined accessed via the Bloomberg Screen <FBAK> <GO> Page (or, if applicable, accessed via the Bloomberg Screen <HP> <GO>) or any other published source designated by Bloomberg Index Services Limited (or a successor provider as approved and/or appointed by ISDA from time to time). ‘‘Fed Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for SOFR by the Federal Reserve Board or the Federal Reserve Bank of New York, or by a committee officially endorsed or convened by the Federal Reserve Board or the Federal Reserve Bank of New York for the purpose of recommending a replacement for SOFR (which rate may be produced by the Federal Reserve Bank of New York or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘FOMC Target Rate’’ means the short-term interest rate target set by the Federal Open Market Committee and published on the Federal Reserve’s website (as defined in the 2006 ISDA Definitions) or, if the Federal Open Market Committee does not target a single rate, the mid-point of the short-term interest rate target range set by the Federal Open Market Committee and published on the Federal Reserve’s website (calculated as the arithmetic average of the upper bound of the target range and the lower bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c) of the 2006 ISDA Definitions). ‘‘GBP Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for SONIA by (a) the administrator of SONIA if the administrator of SONIA is a national central bank, or (b) if the national central bank administrator of SONIA does not make a recommendation or the administrator of SONIA is not a national central bank, a committee designated for this purpose by one or both of the Financial Conduct Authority (or any successor thereto) and the Bank of England and as provided by the then administrator of that rate (or a successor administrator) or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘HKD Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) E:\FR\FM\26JAR2.SGM 26JAR2 lotter on DSK11XQN23PROD with RULES2 5242 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations recommended as the replacement for HONIA by the administrator of HONIA or by a committee officially endorsed or convened by the administrator of HONIA for the purpose of recommending a replacement for HONIA (which rate may be produced by the administrator of HONIA or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘Index Cessation Effective Date’’ means, in respect of a Relevant IBOR (or, if either the Singapore dollar swap offer rate or the Thai baht interest rate fixing is the Relevant IBOR, U.S. dollar LIBOR) and one or more Index Cessation Events, the first date on which the Relevant IBOR (or, if either the Singapore dollar swap offer rate or the Thai baht interest rate fixing is the Relevant IBOR, U.S. dollar LIBOR) is either (a) in respect of a Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, in respect of U.S. dollar LIBOR), Non-Representative by reference to the most recent statement or publication contemplated in subparagraph (c) of the definition of ‘‘Index Cessation Event’’ below and even if such rate continues to be provided on such date or (b) no longer provided. If the Relevant IBOR (or, if either the Singapore dollar swap offer rate or the Thai baht interest rate fixing is the Relevant IBOR, U.S. dollar LIBOR) ceases to be provided on the Relevant Original Fixing Date but it was provided (and, in respect of a Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, in respect of U.S. dollar LIBOR), is not NonRepresentative) at the time at which it is ordinarily observed, then the Index Cessation Effective Date will be the next day on which the rate would ordinarily have been published. An Index Cessation Effective Date may also occur in accordance with paragraph 6(d), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above. ‘‘Index Cessation Event’’ means, in respect of a Relevant IBOR: (a) A public statement or publication of information by or on behalf of the administrator of the Relevant IBOR announcing that it has ceased or will cease to provide the Relevant IBOR permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor administrator that will continue to provide the Relevant IBOR; (b) A public statement or publication of information by the regulatory supervisor for the administrator of the Relevant IBOR, the central bank for the currency of the Relevant IBOR, an insolvency official with jurisdiction over the administrator for the Relevant IBOR, a resolution authority with jurisdiction over the administrator for the Relevant IBOR or a court or an entity with similar insolvency or resolution authority over the administrator for the Relevant IBOR, which states that the administrator of the Relevant IBOR has ceased or will cease to provide the Relevant IBOR permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 administrator that will continue to provide the Relevant IBOR; or (c) If the Relevant IBOR is sterling LIBOR, Swiss franc LIBOR, U.S. dollar LIBOR, euro LIBOR, Japanese yen LIBOR, the Singapore dollar swap offer rate or the Thai baht interest rate fixing, a public statement or publication of information by the regulatory supervisor for the administrator of such Relevant IBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, by the regulatory supervisor for the administrator of U.S. dollar LIBOR) announcing that (i) the regulatory supervisor has determined that such Relevant IBOR is no longer, or as of a specified future date will no longer be, representative of the underlying market and economic reality that such Relevant IBOR is intended to measure and that representativeness will not be restored and (ii) it is being made in the awareness that the statement or publication will engage certain contractual triggers for fallbacks activated by pre-cessation announcements by such supervisor (howsoever described) in contracts, provided that, if either the Singapore dollar swap offer rate or the Thai baht interest rate fixing is the Relevant IBOR, references to the ‘‘Relevant IBOR’’ in subparagraphs (a), (b) and (c)(i) above of this definition of ‘‘Index Cessation Event’’ will be deemed to be references to U.S. dollar LIBOR. An Index Cessation Event may also occur in accordance with paragraph 6(d), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above. ‘‘JPY Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for TONA by a committee officially endorsed or convened by the Bank of Japan for the purpose of recommending a replacement for TONA (which rate may be produced by the Bank of Japan or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘MAS Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for Fallback Rate (SOR) by the Monetary Authority of Singapore or by a committee officially endorsed or convened by the Monetary Authority of Singapore (which rate may be produced by the Monetary Authority of Singapore or another administrator) and as provided by the administrator of that rate in respect of the day for which that rate is required (which under the 2006 ISDA Definitions would be the ‘‘Reset Date’’) or, if that rate is not provided by the administrator of that rate (or a successor administrator), published by an authorized distributor. ‘‘Modified EDFR’’ means a rate equal to the Eurosystem Deposit Facility Rate plus the EDFR Spread. ‘‘Modified SNB Policy Rate’’ means a rate equal to the SNB Policy Rate plus the SNB Spread. ‘‘Non-Representative’’ means, in respect of a Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, in respect of PO 00000 Frm 00040 Fmt 4701 Sfmt 4700 U.S. dollar LIBOR), the regulatory supervisor for the administrator of the Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, U.S. dollar LIBOR): (a) Has determined and announced that the Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, U.S. dollar LIBOR) is no longer representative of the underlying market and economic reality it is intended to measure and representativeness will not be restored; and (b) Is aware that certain contractual triggers for fallbacks activated by pre-cessation announcements by such supervisor (howsoever described) in contracts have been or are engaged, provided that such Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer rate or the Thai baht interest rate fixing, U.S. dollar LIBOR) will be ‘Non-Representative’ by reference to the date indicated in the most recent statement or publication contemplated in subparagraph (c) of the definition of ‘‘Index Cessation Event’’ above. ‘‘NWG Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for SARON by any working group or committee in Switzerland organized in the same or a similar manner as the National Working Group on Swiss Franc Reference Rates that was founded in 2013 for purposes of, among other things, considering proposals to reform reference interest rates in Switzerland, and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘OBFR’’ means the Overnight Bank Funding Rate, as provided by the Federal Reserve Bank of New York (or a successor administrator) on the New York Fed’s website (as defined in the 2006 ISDA Definitions) or, if that rate is not provided by the Federal Reserve Bank of New York (or a successor administrator), published by an authorized distributor. ‘‘RBA Recommended Rate’’ means the rate (inclusive of any spreads or adjustments) recommended as the replacement for AONIA by the Reserve Bank of Australia (which rate may be produced by the Reserve Bank of Australia or another administrator) and as provided by the administrator of that rate or, if that rate is not provided by the administrator thereof (or a successor administrator), published by an authorized distributor. ‘‘Relevant LIBOR’’ means sterling LIBOR, Swiss franc LIBOR, U.S. dollar LIBOR, euro LIBOR and Japanese yen LIBOR. ‘‘Relevant Original Fixing Date’’ means, in respect of a Relevant IBOR and unless otherwise agreed, the day on which that Relevant IBOR would have been observed (which under the 2006 ISDA Definitions would be the ‘‘Reset Date’’ or, if the Relevant IBOR is Swiss franc LIBOR, U.S. dollar LIBOR, euro LIBOR, the euro interbank offered rate, Japanese yen LIBOR, the Japanese yen Tokyo interbank offered rate, the euroyen Tokyo interbank offered rate, the Singapore dollar swap offer rate or the Thai E:\FR\FM\26JAR2.SGM 26JAR2 Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / Rules and Regulations lotter on DSK11XQN23PROD with RULES2 baht interest rate fixing, the day that is two Applicable Banking Days preceding a relevant ‘‘Reset Date’’, as applicable). ‘‘SNB Policy Rate’’ means the policy rate of the Swiss National Bank. ‘‘SNB Spread’’ means the historical median between SARON and the SNB Policy Rate over an observation period of two years starting two years prior to the day on which the Fallback Index Cessation Event with respect to Fallback Rate (SARON) occurs (or, if later, two years prior to the day on which the first Fallback Index Cessation Event with respect to SARON occurs) and ending on the Zurich Banking Day (as defined in the 2006 ISDA Definitions) immediately preceding the day on which the Fallback Index Cessation Event with respect to Fallback Rate (SARON) occurs (or, if later, the Zurich Banking Day immediately preceding the day on which the first Fallback Index Cessation Event with respect to SARON occurs), as determined by the Calculation Agent. ‘‘SORA’’ means the Singapore Overnight Rate Average as provided by the Monetary Authority of Singapore (or a successor VerDate Sep<11>2014 20:09 Jan 25, 2023 Jkt 259001 administrator) on the Monetary Authority of Singapore’s website (as defined in the 2006 ISDA Definitions) (or as published by its authorized distributors). ‘‘THOR’’ means the Thai Overnight Repurchase Rate as provided by the Bank of Thailand as administrator of the benchmark (or a successor administrator) on the Bank of Thailand’s website (as defined in the 2006 ISDA Definitions) (or as published by its authorized distributors). ‘‘UK Bank Rate’’ means the official bank rate as determined by the Monetary Policy Committee of the Bank of England and published by the Bank of England from time to time. ‘‘Underlying Rate’’ means, if the Applicable Fallback Rate is: (a) Fallback Rate (SONIA), SONIA; (b) Fallback Rate (SARON), SARON; (c) Fallback Rate (SOFR), SOFR; (d) Fallback Rate (EuroSTR), EuroSTR; (e) Fallback Rate (TONA), TONA; (f) Fallback Rate (AONIA), AONIA; (g) Fallback Rate (CORRA), CORRA; and (h) Fallback Rate (HONIA), HONIA. PO 00000 Frm 00041 Fmt 4701 Sfmt 9990 5243 7. Negative Interest Protocol The parties agree that the amendments made by this Protocol do not constitute a ‘‘Spread Provision’’ (as defined in the ISDA 2014 Collateral Agreement Negative Interest Protocol published on May 12, 2014 by ISDA). Published by permission of the International Swaps and Derivatives Association, Inc. (‘‘ISDA’’) ISDA® reserves all rights in the Protocol. Source: ISDA 2020 IBOR Fallbacks Protocol, published on October 23, 2020, by the International Swaps and Derivatives Association, Inc., https://assets.isda.org/ media/3062e7b4/08268161-pdf/. By order of the Board of Governors of the Federal Reserve System. Ann E. Misback, Secretary of the Board. [FR Doc. 2023–00213 Filed 1–25–23; 8:45 am] BILLING CODE P E:\FR\FM\26JAR2.SGM 26JAR2

Agencies

FEDERAL RESERVE SYSTEM

[Federal Register Volume 88, Number 17 (Thursday, January 26, 2023)]
[Rules and Regulations]
[Pages 5204-5243]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-00213]



[[Page 5203]]

Vol. 88

Thursday,

No. 17

January 26, 2023

Part III





Federal Reserve System





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12 CFR Part 253





Regulations Implementing the Adjustable Interest Rate (LIBOR) Act; 
Final Rule

Federal Register / Vol. 88, No. 17 / Thursday, January 26, 2023 / 
Rules and Regulations

[[Page 5204]]


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FEDERAL RESERVE SYSTEM

12 CFR Part 253

[Regulation ZZ; Docket No. R-1775]
RIN 7100-AG34


Regulations Implementing the Adjustable Interest Rate (LIBOR) Act

AGENCY: Board of Governors of the Federal Reserve System (Board).

ACTION: Final rule.

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SUMMARY: The Board is adopting a final rule (final rule) to implement 
the Adjustable Interest Rate (LIBOR) Act. The final rule establishes 
benchmark replacements for contracts governed by U.S. law that 
reference certain tenors of U.S. dollar LIBOR (the overnight and one-, 
three-, six-, and 12-month tenors) and that do not have terms that 
provide for the use of a clearly defined and practicable replacement 
benchmark rate following the first London banking day after June 30, 
2023. The final rule also provides additional definitions and 
clarifications consistent with the Adjustable Interest Rate (LIBOR) 
Act.

DATES: The final rule is effective February 27, 2023.

FOR FURTHER INFORMATION CONTACT: David Bowman, Senior Associate 
Director, 202-452-2334, Division of Monetary Affairs; Lucy Chang, 
Special Counsel, 202-475-6331, or Cody Gaffney, Senior Attorney, 202-
452-2674, both of the Legal Division; or Lesley Chao, Lead Financial 
Institution Policy Analyst, 202-974-7063, Division of Supervision and 
Regulation. For users of TTY-TRS, please call 711 from any telephone, 
anywhere in the United States.

SUPPLEMENTARY INFORMATION: 

I. Background

A. LIBOR

    LIBOR, formerly known as the London Interbank Offered Rate, is an 
interest rate benchmark that was the dominant reference rate used in 
financial contracts in recent decades and remains in extensive use 
today, serving as the benchmark rate in more than $200 trillion worth 
of contracts worldwide.\1\ While over-the-counter and exchange-traded 
derivatives account for the vast majority of this estimated exposure to 
LIBOR, LIBOR is also referenced in trillions of dollars' worth of 
business and consumer loans, bonds, securitizations, and nonfinancial 
corporate contracts.
---------------------------------------------------------------------------

    \1\ 12 U.S.C. 5801(a)(1).
---------------------------------------------------------------------------

    LIBOR is intended to reflect the rate at which large banks can 
borrow wholesale funds on an unsecured basis. LIBOR is calculated based 
on submissions contributed by a panel of large, globally active banks 
(LIBOR panel banks). Until December 31, 2021, LIBOR's administrator 
calculated and published LIBOR each London business day for five 
currencies (USD, GBP, EUR, CHF, and JPY) and seven borrowing periods, 
known as tenors (overnight, one week, one month, two months, three 
months, six months, and twelve months).
    Over the past decade, financial regulators have expressed growing 
concern regarding the structural vulnerabilities and robustness of 
LIBOR.\2\ Following the financial crisis of 2007-2009, other forms of 
borrowing have largely replaced short-term unsecured wholesale 
borrowing as a source of funds for most banks, resulting in far fewer 
market transactions on which LIBOR panel banks can base their 
submissions. At the same time, weaknesses in the governance of LIBOR 
created the opportunity for LIBOR panel banks to manipulate LIBOR, and 
numerous high-profile examples of such manipulation were exposed.\3\ 
Following these scandals, in 2013, the administration of LIBOR was 
transferred to a new administrator, ICE Benchmark Administration 
Limited (IBA), which is regulated by the U.K.'s Financial Conduct 
Authority (FCA).
---------------------------------------------------------------------------

    \2\ See e.g., Financial Stability Oversight Council, 2013 Annual 
Report at 137-42.
    \3\ See, e.g., U.S. Dep't of Justice, Barclays Bank PLC Admits 
Misconduct Related to Submissions for London Interbank Offered Rate 
and the Euro Interbank Offered Rate and Agrees to Pay $160 Million 
Penalty (June 27, 2012), https://www.justice.gov/opa/pr/barclays-bank-plc-admits-misconduct-related-submissions-london-interbank-offered-rate-and; U.S. Dep't of Justice, Rabobank Admits Wrongdoing 
in Libor Investigation, Agrees to Pay $325 Million Criminal Penalty 
(Oct. 29, 2013), https://www.justice.gov/opa/pr/rabobank-admits-wrongdoing-libor-investigation-agrees-pay-325-million-criminal-penalty; U.S. Dep't of Justice, Deutsche Bank's London Subsidiary 
Agrees to Plead Guilty in Connection with Long-Running Manipulation 
of LIBOR (Apr. 23, 2015), https://www.justice.gov/opa/pr/deutsche-banks-london-subsidiary-agrees-plead-guilty-connection-long-running-manipulation.
---------------------------------------------------------------------------

    Despite increased regulatory oversight and efforts to improve 
LIBOR, confidence in LIBOR continued to wane, and financial regulators 
and market participants began to search for alternative reference rates 
and develop plans for a transition away from LIBOR. In the United 
States, this effort has been led by the Alternative Reference Rates 
Committee (ARRC), a group of private-sector firms convened jointly by 
the Board and the Federal Reserve Bank of New York (FRBNY) in 2014.\4\ 
Among other work, the ARRC identified the Secured Overnight Financing 
Rate (SOFR) as its recommended replacement for USD LIBOR and developed 
a Paced Transition Plan to support the transition from USD LIBOR to 
SOFR.\5\ SOFR is a broad measure of the cost of borrowing cash 
overnight collateralized by U.S. Treasury securities.\6\ Similar groups 
were convened in other jurisdictions and identified comparable risk-
free rates as recommended replacements for the other LIBOR currencies.
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    \4\ See ARRC, About, https://www.newyorkfed.org/arrc/about (last 
visited July 7, 2022).
    \5\ ARRC, The ARRC Selects a Broad Repo Rate as its Preferred 
Alternative Reference Rate (June 22, 2017), https://www.newyorkfed.org/medialibrary/microsites/arrc/files/2017/ARRC-press-release-Jun-22-2017.pdf; ARRC, Second Report (Mar. 2018) at 
17, https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report.
    \6\ SOFR is published daily by the FRBNY in cooperation with the 
U.S. Department of the Treasury's Office of Financial Research. See 
Fed. Res. Bk. of New York, Secured Overnight Financing Rate Data, 
https://www.newyorkfed.org/markets/reference-rates/sofr (last 
visited Nov. 29, 2022). SOFR is calculated as a volume-weighted 
median of transaction-level tri-party repurchase agreement (repo) 
data collected from the Bank of New York Mellon, as well as general 
collateral financing repo transaction data and data on bilateral 
Treasury repo transactions cleared through the Fixed Income Clearing 
Corporation's delivery-versus-payment service, which are obtained 
from the U.S. Department of the Treasury's Office of Financial 
Research. Id.
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    In July 2017, following the departure of some panel banks, the FCA 
announced that the remaining LIBOR panel banks had voluntarily agreed 
to sustain LIBOR through the end of 2021 to facilitate an orderly 
transition away from LIBOR.\7\ On March 5, 2021, the FCA announced 
that, after December 31, 2021, IBA would cease publishing 24 currency 
and tenor pairs (known as settings). The discontinued LIBOR settings 
included one-week and two-month USD LIBOR, as well as all EUR and CHF 
LIBOR tenors and most GBP and JPY LIBOR tenors.\8\ However, the FCA 
required IBA to continue publishing, on a temporary basis, certain GBP 
and JPY LIBOR tenors on a ``synthetic'' basis, stating that any such 
synthetic LIBOR settings ``will no longer be representative of the 
underlying market and economic reality the setting is intended to 
measure.'' \9\
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    \7\ See Andrew Bailey, Chief Executive, FCA, The Future of LIBOR 
(July 27, 2017), https://www.fca.org.uk/news/speeches/the-future-of-libor.
    \8\ See FCA, FCA Announcement on Future Cessation and Loss of 
Representativeness of the LIBOR Benchmarks (Mar. 5, 2021), https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf.
    \9\ Id.
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    To allow most legacy USD LIBOR contracts governed by non-U.S. law 
to mature without disruption, the FCA also announced that the panels 
for the

[[Page 5205]]

remaining five tenors of USD LIBOR would continue through, but cease 
after, June 30, 2023. The FCA has proposed to require IBA to continue 
publishing one-, three-, or six-month USD LIBOR on a synthetic basis 
until the end of September 2024 (synthetic LIBOR).\10\ As with 
synthetic GBP or JPY LIBOR settings, the FCA has announced that 
synthetic LIBOR settings are ``not representative of the markets that 
the original LIBOR settings were intended to measure.'' \11\
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    \10\ See FCA, Further Consultation and Announcements on the 
Wind-down of LIBOR (Nov. 23, 2022), https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor 
(discussing further consultation on synthetic LIBOR, https://www.fca.org.uk/publication/consultation/cp22-21.pdf).
    \11\ See FCA, Consultation on `Synthetic' US Dollar LIBOR and 
Feedback to CP22/11 ] 1.7 (Nov. 2022), https://www.fca.org.uk/publication/consultation/cp22-21.pdf; see also FCA, FCA Announcement 
on Future Cessation and Loss of Representativeness of the LIBOR 
Benchmarks (Mar. 5, 2021), https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf.
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    In response to the planned cessation of USD LIBOR, U.S. financial 
regulators have encouraged market participants to transition away from 
USD LIBOR as a reference rate as soon as practicable. For example, in 
November 2020, the Office of the Comptroller of the Currency (OCC), the 
Board, and the Federal Deposit Insurance Corporation (FDIC) issued an 
interagency statement stating that banking organizations generally 
should not enter into new contracts referencing USD LIBOR after 
December 31, 2021.\12\ The ARRC and other private industry groups also 
have worked to encourage an orderly transition away from USD LIBOR. For 
example, as discussed further below, the International Swaps and 
Derivatives Association (ISDA) has developed a contractual protocol by 
which parties to derivative transactions governed by ISDA documentation 
and other financial contracts can agree to incorporate more robust 
contractual fallback provisions that replace references to LIBOR with 
an alternative benchmark based on SOFR in the event that a given LIBOR 
rate ceases publication or is found by the FCA to no longer be 
representative.\13\ The ARRC has developed guiding principles for 
similar fallback language for cash products such as business loans, 
securitizations, floating rating notes, and consumer products, 
including specific recommended language for certain cash products.\14\ 
ISDA's IBOR protocol and the ARRC fallback language recommendations 
were both subject to numerous public consultations, and they have 
received widespread adoption subsequent to their release.\15\
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    \12\ See Board, FDIC, OCC, Statement on LIBOR Transition (Nov. 
30, 2020), https://www.federalreserve.gov/supervisionreg/srletters/SR2027a1.pdf.
    \13\ ISDA, ISDA 2020 IBOR Fallbacks Protocol, https://www.isda.org/protocol/isda-2020-ibor-fallbacks-protocol/.
    \14\ See, e.g., ARRC, ARRC Guiding Principles for More Robust 
LIBOR Fallback Contract Language in Cash Products (July 9, 2018), 
https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-principles-July2018; ARRC, Summary of ARRC's LIBOR Fallback 
Language (Nov. 15, 2019), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/LIBOR_Fallback_Language_Summary; ARRC, 
ARRC Recommendations Regarding More Robust Fallback Language for New 
Issuance of LIBOR Securitizations (May 31, 2019), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/Securitization_Fallback_Language.pdf; ARRC, ARRC Recommendations 
Regarding More Robust LIBOR Fallback Contract Language for New 
Closed-End, Residential Adjustable Rate Mortgages (Nov. 15, 2019), 
https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/ARM_Fallback_Language.pdf.
    \15\ See, e.g., ISDA, ISDA 20202 IBOR Fallbacks Protocol--List 
of Adhering Parties, https://www.isda.org/protocol/isda-2020-ibor-fallbacks-protocol/adhering-parties (last visited Nov. 29, 2022). 
The U.S. Department of Justice (DOJ) also reviewed ISDA's IBOR 
protocol, concluded that it is unlikely to harm competition, and 
stated that the DOJ would not challenge ISDA's IBOR protocol under 
federal antitrust laws. See DOJ, Justice Department Issues Favorable 
Business Review Letter to ISDA for Proposed Amendments to Address 
Interest Rate Benchmarks (Oct. 1, 2020), https://www.justice.gov/opa/pr/justice-department-issues-favorable-business-review-letter-isda-proposed-amendments-address.
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B. Legacy Contracts and the Adjustable Interest Rate (LIBOR) Act

    Notwithstanding governmental and private-sector efforts to 
encourage market participants to prepare for the cessation of USD 
LIBOR, there are a significant number of existing contracts that 
reference USD LIBOR. Of particular concern are so-called ``tough legacy 
contracts,'' which are contracts that reference USD LIBOR and will not 
mature by June 30, 2023, but which lack adequate fallback provisions 
providing for a clearly defined or practicable replacement benchmark 
following the cessation of USD LIBOR. To address these tough legacy 
contracts, multiple states adopted legislation, initially proposed by 
the ARRC, to provide a statutory remedy for financial contracts 
governed by the laws of the enacting states that reference USD LIBOR, 
will not mature until after USD LIBOR ceases or becomes 
nonrepresentative, and have no effective means to replace USD LIBOR 
after it ceases or becomes nonrepresentative.\16\ While these state 
laws provided a solution for a large number of tough legacy contracts, 
further legislative action was needed to address tough legacy contracts 
governed by the laws of other states.
---------------------------------------------------------------------------

    \16\ See, e.g., N.Y. Gen. Oblig. Law art. 18-C; Ala. Code tit. 
5, ch. 28; Fla. Stat. 687.15; Tenn. Code Ann. sec. 47-33-101 et 
seq.; Ind. Code 28-10-2; Neb. Rev. Stat. 8-3101 et seq.
---------------------------------------------------------------------------

    Recognizing the need for a uniform, nationwide solution for 
replacing references to USD LIBOR in tough legacy contracts, on March 
15, 2022, Congress enacted the Adjustable Interest Rate (LIBOR) Act 
(the ``LIBOR Act'') as part of the Consolidated Appropriations Act, 
2022.\17\ Among other things, the LIBOR Act lays out a set of default 
rules that apply to tough legacy contracts subject to U.S. law.
---------------------------------------------------------------------------

    \17\ Public Law 117-103, div. U, codified at 12 U.S.C. 5801 et 
seq.
---------------------------------------------------------------------------

    The LIBOR Act broadly distinguishes between three categories of 
LIBOR contracts with different types of fallback provisions. For these 
purposes, the LIBOR Act defines ``LIBOR contract'' broadly to include 
any obligation or asset that, by its terms, uses the overnight, one-
month, three-month, six-month, or 12-month tenors of USD LIBOR as a 
benchmark.\18\ Consistent with this definition, the final rule and the 
remainder of the discussion will focus on these stated tenors of USD 
LIBOR only. The LIBOR Act defines ``fallback provisions'' to mean the 
terms in a LIBOR contract for determining a benchmark replacement, 
including any terms relating to the date on which the benchmark 
replacement becomes effective.\19\
---------------------------------------------------------------------------

    \18\ See 12 U.S.C. 5802(16) (definition of ``LIBOR contract''), 
5802(15) (definition of ``LIBOR''). The LIBOR Act does not apply to 
contracts that use the one-week or two-month tenors of USD LIBOR as 
a benchmark. Id. The LIBOR Act defines ``benchmark'' to mean an 
index of interest rates or dividend rates that is used, in whole or 
in part, as the basis of or as a reference for calculating or 
determining any valuation, payment, or other measurement. 12 U.S.C. 
5802(1).
    \19\ 12 U.S.C. 5802(11). The LIBOR Act defines ``benchmark 
replacement'' to mean a benchmark, or an interest rate or dividend 
rate (which may or may not be based in whole or in part on a prior 
setting of LIBOR), to replace LIBOR or any interest rate or dividend 
rate based on LIBOR, whether on a temporary, permanent, or 
indefinite basis, under or with respect to a LIBOR contract. 12 
U.S.C. 5802(3).
---------------------------------------------------------------------------

    The first category of LIBOR contracts encompasses contracts that 
contain fallback provisions identifying a specific benchmark 
replacement that is not based in any way on any USD LIBOR values 
(except to account for the difference between LIBOR and the benchmark 
replacement) and that do not require any person (other than a benchmark 
administrator) to conduct a poll, survey, or inquiries for quotes or 
information concerning interbank lending or deposit rates.\20\ These 
LIBOR

[[Page 5206]]

contracts generally can be expected to transition to the contractually 
agreed-upon benchmark replacement as provided by their fallback 
provisions on or before the LIBOR replacement date--the first London 
banking day after June 30, 2023 (unless the Board determines that any 
LIBOR tenor will cease to be published or cease to be representative on 
a different date).\21\
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    \20\ See 12 U.S.C. 5803(b). The LIBOR Act defines ``benchmark 
administrator'' to mean a person that publishes a benchmark for use 
by third parties. 12 U.S.C. 5802(2).
    \21\ 12 U.S.C. 5803(f)(2); see also 12 U.S.C. 5802(17) 
(definition of ``LIBOR replacement date''). The Board has not 
determined, and does not expect to determine, a LIBOR replacement 
date earlier than the first London banking day after June 30, 2023.
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    The second category of LIBOR contracts encompasses (i) contracts 
that contain no fallback provisions, as well as (ii) LIBOR contracts 
with fallback provisions that do not identify a determining person (as 
described below) and that only (A) identify a benchmark replacement 
that is based in any way on USD LIBOR values (except to account for the 
difference between LIBOR and the benchmark replacement) or (B) require 
that a person (other than a benchmark administrator) conduct a poll, 
survey, or inquiries for quotes or information concerning interbank 
lending or deposit rates.\22\ For this second category of LIBOR 
contracts, the LIBOR Act provides that the benchmark replacement on the 
LIBOR replacement date will be the Board-selected benchmark replacement 
identified by the Board, which must be based on SOFR and include the 
tenor spread adjustments required under the LIBOR Act.\23\ Thus, any 
references to USD LIBOR in LIBOR contracts in this second category 
will, by operation of law, be replaced by the Board-selected benchmark 
replacement on the LIBOR replacement date.
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    \22\ The LIBOR Act deems these types of fallback provisions to 
be null and void by operation of law. 12 U.S.C. 5803(b). To the 
extent a LIBOR contract contains fallback provisions that would be 
applied ahead of another, separate benchmark replacement, then under 
the LIBOR Act, these fallback provisions would be disregarded and 
the separate benchmark replacement would apply.
    \23\ 12 U.S.C. 5803(a)-(b); see also 12 U.S.C. 5802(6) 
(definition of ``Board-selected benchmark replacement'').
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    For contracts that fall into this second category, the LIBOR Act 
provides a series of statutory protections, including that no person 
shall be subject to any claim or cause of action in law or equity or 
request for equitable relief, or have liability for damages, arising 
out of the use of the Board-selected benchmark replacement as a 
benchmark replacement.\24\ These statutory provisions are described in 
more detail below.
---------------------------------------------------------------------------

    \24\ 12 U.S.C. 5804(a)-(b), (c)(1), (d).
---------------------------------------------------------------------------

    The third category of LIBOR contracts encompasses LIBOR contracts 
that contain fallback provisions authorizing a determining person to 
determine a benchmark replacement.\25\ The application of the LIBOR Act 
to LIBOR contracts in this third category depends on the determination, 
if any, made by the determining person. Where a determining person does 
not select a benchmark replacement by the LIBOR replacement date or the 
latest date for selecting a benchmark replacement according to the 
terms of the LIBOR contract (whichever is earlier), the LIBOR Act 
provides that the benchmark replacement for such LIBOR contract will 
be, by operation of law, the Board-selected benchmark replacement on 
and after the LIBOR replacement date.\26\ Where a determining person 
selects the Board-selected benchmark replacement as the benchmark 
replacement, the LIBOR Act provides that such selection shall be (i) 
irrevocable, (ii) made by the earlier of the LIBOR replacement date and 
the latest date for selecting a benchmark replacement according to the 
terms of the LIBOR contract, and (iii) used in any determinations of 
the benchmark under or with respect to the LIBOR contract occurring on 
and after the LIBOR replacement date.\27\
---------------------------------------------------------------------------

    \25\ The LIBOR Act defines ``determining person'' to mean, with 
respect to any LIBOR contract, any person with the authority, right, 
or obligation, including on a temporary basis (as identified by the 
LIBOR contract or by the governing law of the LIBOR contract, as 
appropriate) to determine a benchmark replacement. 12 U.S.C. 
5802(10).
    \26\ 12 U.S.C. 5803(c)(3).
    \27\ 12 U.S.C. 5803(c)(2).
---------------------------------------------------------------------------

    Although the LIBOR Act does not require a determining person to 
select the Board-selected benchmark replacement as the benchmark 
replacement for a LIBOR contract, the statute provides a series of 
statutory protections for any determining person who does so, including 
that a determining person generally shall not be subject to any claim 
or cause of action in law or equity or request for equitable relief, or 
have liability for damages, arising out of the selection of the Board-
selected benchmark replacement as a benchmark replacement.\28\
---------------------------------------------------------------------------

    \28\ 12 U.S.C. 5804(c)(1)-(2), 5804(a)-(d). This statutory safe 
harbor also applies to the use of the Board-selected benchmark 
replacement other than at the selection of a determining person.
---------------------------------------------------------------------------

    Where the Board-selected benchmark replacement becomes the 
benchmark replacement for a LIBOR contract (either by operation of law 
or through the selection of a determining person), the LIBOR Act 
contemplates that certain conforming changes to a LIBOR contract may be 
necessary to facilitate the transition from USD LIBOR to the Board-
selected benchmark replacement. These ``benchmark replacement 
conforming changes'' may arise in one of two ways. First, the LIBOR Act 
authorizes the Board to determine benchmark replacement conforming 
changes that, in its discretion, would address one or more issues 
affecting the implementation, administration, and calculation of the 
Board-selected benchmark replacement in LIBOR contracts.\29\ Second, 
for a LIBOR contract that is not a consumer loan, a calculating person 
may, in its reasonable judgment, determine that benchmark replacement 
conforming changes are otherwise necessary or appropriate to permit the 
implementation, administration, and calculation of the Board-selected 
benchmark replacement under or with respect to a LIBOR contract after 
giving due consideration to any benchmark replacement conforming 
changes determined by the Board.\30\ For this purpose, the LIBOR Act 
defines ``calculating person'' to mean, with respect to any LIBOR 
contract, any person, including the determining person, responsible for 
calculating or determining any valuation, payment, or other measurement 
based on a benchmark.\31\
---------------------------------------------------------------------------

    \29\ 12 U.S.C. 5802(4)(A).
    \30\ 12 U.S.C. 5802(4)(B). The LIBOR Act defines ``consumer 
loan'' to mean a consumer credit transaction, which is defined by 
cross-reference to the Truth in Lending Act. 12 U.S.C. 5802(9) 
(definition of ``consumer loan); 5802(8) (definitions of 
``consumer'' and ``credit'').
    \31\ 12 U.S.C. 5802(7).
---------------------------------------------------------------------------

    The LIBOR Act provides that all benchmark replacement conforming 
changes (whether determined by the Board or, if applicable, a 
calculating person) shall become an integral part of the LIBOR 
contract, and a calculating person shall not be required to obtain 
consent from any other person prior to the adoption of benchmark 
replacement conforming changes.\32\ In addition, the determination, 
implementation, and performance of benchmark replacement conforming 
changes are generally subject to certain statutory protections provided 
by the LIBOR Act, which are designed to ensure continuity of 
contract.\33\ Finally, where a calculating person implements or (in the 
case of a LIBOR contract that is not a consumer loan) determines 
benchmark replacement conforming changes, the LIBOR Act provides that 
the calculating person shall not be subject to any claim

[[Page 5207]]

or cause of action in law or equity or request for equitable relief, or 
have liability for damages.\34\
---------------------------------------------------------------------------

    \32\ 12 U.S.C. 5803(d).
    \33\ See 12 U.S.C. 5804(a)-(d).
    \34\ 12 U.S.C. 5804(c).
---------------------------------------------------------------------------

    The LIBOR Act includes various other provisions beyond the main 
operative provisions and statutory protections described above. For 
example, the LIBOR Act generally provides that a bank may use any 
benchmark (including a benchmark that is not SOFR) in any non-IBOR loan 
made before, on, or after the date of enactment of the LIBOR Act that 
the bank determines to be appropriate, and that no Federal supervisory 
agency may take enforcement or supervisory action against the bank 
solely because that benchmark is not SOFR.\35\ Other provisions of the 
LIBOR Act amend the Trust Indenture Act of 1939 (15 U.S.C. 77ppp(b)) 
and the Higher Education Act of 1965 (20 U.S.C. 1087-1(b)(2)(I)), 
respectively, to facilitate the transition from USD LIBOR.\36\ Finally, 
the LIBOR Act expressly preempts any provision of State or local law 
relating to the selection or use of a benchmark replacement or related 
conforming changes, or expressly limiting the manner of calculating 
interest (including the compounding of interest) as that provision 
applies to the selection or use of a Board-selected benchmark 
replacement or benchmark replacement conforming changes.\37\
---------------------------------------------------------------------------

    \35\ 12 U.S.C. 5805.
    \36\ LIBOR Act sections 108-09, codified at 15 U.S.C. 77ppp(b) 
and 20 U.S.C. 1087-1(b)(2)(I).
    \37\ 12 U.S.C. 5806.
---------------------------------------------------------------------------

    In July 2022, the Board invited public comment on a notice of 
proposed rulemaking (proposed rule) to implement the LIBOR Act.\38\ The 
comment period ended on August 29, 2022.
---------------------------------------------------------------------------

    \38\ 87 FR 45268 (July 28, 2022).
---------------------------------------------------------------------------

II. Overview of the Final Rule

    As required by the LIBOR Act, the Board's final rule identifies 
SOFR-based Board-selected benchmark replacements for LIBOR contracts 
that will not mature prior to the LIBOR replacement date and do not 
contain clear and practicable benchmark replacements. The final rule 
identifies different SOFR-based Board-selected benchmark replacements 
for different categories of LIBOR contracts. In addition, the final 
rule identifies certain benchmark replacement conforming changes 
related to the implementation, administration, and calculation of the 
Board-selected benchmark replacement. Consistent with the LIBOR Act, 
the final rule also expressly indicates that a determining person may 
select the Board-selected benchmark replacement for the relevant type 
of LIBOR contract, with any applicable benchmark replacement conforming 
changes. In addition, the final rule expressly provides that the LIBOR 
Act's protections related to the selection or use of the Board-selected 
benchmark replacement shall apply to any LIBOR contract for which the 
Board-selected benchmark replacement becomes the benchmark replacement 
(whether by operation of law or by the selection of a determining 
person). Finally, the final rule indicates that, under the LIBOR Act, 
the Board's final rule preempts any state or local law or standard 
relating to the selection or use of a benchmark replacement or 
conforming changes.

III. Summary of Public Comments

    The Board received 29 comment letters in response to the proposed 
rule.\39\ Commenters included eight banks and banking trade 
associations; six other trade associations; four government-sponsored 
enterprises; four consultants and researchers; three individuals; one 
government agency; one consortium of consumer groups; and two anonymous 
comments.
---------------------------------------------------------------------------

    \39\ Two of these commenters submitted additional comment 
letters that supplemented their original comment letters; these 
supplemental comment letters have not been included in the count of 
29 comment letters. In addition, the count of 29 comment letters 
does not include two comment letters submitted to the Board that 
addressed topics unrelated to the LIBOR Act.
---------------------------------------------------------------------------

    Ten of these comment letters included an explicit statement of 
support for the proposal. One commenter opposed the proposal based on 
disagreement with the policy objectives of the LIBOR Act.\40\ The LIBOR 
Act is federal law, and the Board is required to implement the LIBOR 
Act consistent with the stated policy objectives of Congress. As 
described below, the Board's discretion under the LIBOR Act is limited 
to identifying SOFR-based Board selected benchmark replacements for 
LIBOR contracts subject to the act, plus a few other narrow areas.
---------------------------------------------------------------------------

    \40\ This commenter referenced the manipulation of LIBOR by 
panel banks and indicated that the identification of Board-selected 
benchmark replacements under the LIBOR Act and proposal would be 
most likely to benefit banks rather than certain individuals who may 
not be able directly to obtain LIBOR-based financing. The commenter 
further criticized the proposal for failing to address various 
social issues outside the scope of the LIBOR Act, including ethics 
standards and climate change effects.
---------------------------------------------------------------------------

    Most of the remaining commenters provided feedback on various 
topics related to the proposal (including the proposed Board-selected 
benchmark replacements for specific categories of contracts, synthetic 
LIBOR, conforming changes, and certain protections expressly provided 
by the LIBOR Act), but did not express support or opposition for the 
overall proposal. Feedback from commenters related to particular 
aspects of the proposal is discussed, as applicable, in section IV.
    One commenter provided feedback on the Board's analysis of the 
proposed rule under the Regulatory Flexibility Act. This comment is 
discussed in more detail in section V.
    Finally, a commenter requested that the prudential regulators 
engage in specific efforts to educate banks, consumers, other issuers 
of financial products, and impacted industry groups, potentially 
through partnerships with industry groups and capital market 
participants, on (i) the need to transition away from LIBOR to viable 
alternative rates like SOFR, and (ii) the likely impact such transition 
would have on financial instruments that currently reference LIBOR. As 
previously discussed, U.S. financial regulators have encouraged banks 
and market participants over the past several years to transition away 
from USD LIBOR as a reference rate as soon as practicable, including 
through issuance of an interagency statement.\41\ In addition, the ARRC 
and third parties such as ISDA have engaged in significant efforts to 
facilitate and to educate parties on the transition away from LIBOR as 
LIBOR's cessation grows closer. Based on these and other industry 
efforts, the Board believes that ample information is available 
concerning the transition away from LIBOR.
---------------------------------------------------------------------------

    \41\ See, e.g., Board, FDIC, OCC, Statement on LIBOR Transition 
(Nov. 30, 2020), https://www.federalreserve.gov/supervisionreg/srletters/SR2027a1.pdf.
---------------------------------------------------------------------------

IV. Section-by-Section Analysis

A. Section 253.1--Authority, Purpose, and Scope

    Section 253.1 of the final rule sets forth the authority for, 
purpose of, and scope of the final rule. Significantly, and consistent 
with the statute as described above, the final rule does not apply to 
(i) contracts that do not reference the overnight or one-, three-, six-
, or 12-month tenors of LIBOR or (ii) LIBOR contracts that have 
fallback provisions providing for the use of a clearly defined and 
practicable replacement benchmark for LIBOR (including LIBOR contracts 
where the determining person selects a benchmark replacement other than 
the Board-selected benchmark replacement), except as provided in Sec.  
253.3(a)(1)(iii) and (c), which is discussed further

[[Page 5208]]

below.\42\ The proposed rule included a similar provision that received 
a small number of comments.\43\ Section 253.1 also clarifies that any 
determining person's selection of the applicable Board-selected 
benchmark replacement is subject to Sec. Sec.  253.4 (identifying 
Board-selected benchmark replacements for specific categories of LIBOR 
contracts), 253.5 (concerning benchmark replacement conforming 
changes), 253.6 (concerning preemption), and 253.7 (concerning 
statutory protections for the selection or use of the Board-selected 
benchmark replacement). The rule also applies only to existing 
contracts governed by federal law or the law of any state. In addition, 
consistent with the LIBOR Act, Sec.  253.1 states that the parties to a 
LIBOR contract may, by written agreement, specify that a LIBOR contract 
shall not be subject to the rule.\44\
---------------------------------------------------------------------------

    \42\ 12 U.S.C. 5803(f)(2)-(3). However, consistent with the 
LIBOR Act, the final rule applies to LIBOR contracts that identify a 
determining person if the determining person has not selected a 
benchmark replacement by the earlier of (i) the LIBOR replacement 
date and (ii) the latest date for selecting a benchmark replacement 
according to the terms of the contract. See section 
253.3(a)(1)(iii). In addition, the final rule mirrors provisions in 
the LIBOR Act related to any selection by a determining person of 
the Board-selected benchmark replacement. See section 253.3(c).
    \43\ Some commenters indicated that the proposed rule did not 
match the precise language of the LIBOR Act with respect to LIBOR 
contracts subject to the statute. These comments are discussed in 
more detail in section IV.C.
    \44\ See 12 U.S.C. 5803(f)(1).
---------------------------------------------------------------------------

B. Section 253.2--Definitions

    Section 253.2 provides definitions for many of the terms used in 
the rule. As with the proposal, most of the defined terms in Sec.  
253.2 are substantially the same as the defined terms in the LIBOR Act. 
However, Sec.  253.2 includes additional definitions for the terms 
``30-day Average SOFR,'' ``90-day Average SOFR,'' ``CME Term SOFR,'' 
``derivative transaction,'' ``derivative transaction fallback 
observation day,'' ``Federal Housing Finance Agency (FHFA)-regulated 
entity,'' ``Federal Family Education Loan Program (FFELP) Asset-Backed 
Securitization (ABS),'' ``FHFA-regulated-entity contract,'' ``ISDA 
protocol,'' and ``relevant benchmark administrator,'' each of which is 
discussed below in connection with their use in Sec.  253.4 or Sec.  
253.5, as applicable.\45\ For ease of reference, the ISDA protocol in 
its entirety is republished in appendix A of the final rule.
---------------------------------------------------------------------------

    \45\ One commenter indicated that some mortgage contracts may 
include provisions referencing a LIBOR ``index'' which the commenter 
believed should be interpreted to mean 12-month LIBOR based on 
``common use of the term `index.' '' That commenter suggested 
defining the term by regulation, since mortgage lenders otherwise 
may seek to broaden that definition. The LIBOR Act applies on an 
individual contract basis and looks to the particular provisions and 
definitions of that contract to evaluate whether the LIBOR Act 
applies. The final rule similarly applies to contracts on an 
individual basis, following evaluation of that contract's 
provisions. As a result, the Board does not believe it would be 
reasonable to adopt one definition of ``index''. However, the Board 
observes that the final rule, consistent with the LIBOR Act, 
replaces the specific tenor of LIBOR referenced in the LIBOR 
contract with a corresponding Board-selected benchmark replacement 
that incorporates the applicable tenor spread adjustment specified 
by the LIBOR Act.
---------------------------------------------------------------------------

    Definition of ``determining person.'' Several commenters requested 
that the term ``determining person'' be defined to include persons with 
the right to select a replacement benchmark even if that right would 
vest only in the future or is subject to some contingency. The 
definition of ``determining person'' in section 103(10) of the LIBOR 
Act does not specify whether a determining person must have a current 
authority, right, or obligation to determine a benchmark replacement, 
or whether a person with a contingent authority, right, or obligation 
to determine a benchmark replacement also is a determining person.
    The final rule clarifies this statutory ambiguity by defining the 
term ``determining person'' to include any person with the authority, 
right, or obligation, including on a temporary basis (as identified by 
the LIBOR contract or by the governing law of the LIBOR contract, as 
appropriate) to determine a benchmark replacement, whether or not the 
person's authority, right, or obligation is subject to any 
contingencies specified in the LIBOR contract or by the governing law 
of the LIBOR contract. The Board believes that this clarification is 
consistent with Congressional intent and will promote a smooth 
transition away from LIBOR for contracts that authorize a person to 
select a benchmark replacement when LIBOR becomes unavailable or non-
representative. Under the final rule, such a person will qualify as a 
determining person before LIBOR becomes unavailable or non-
representative, and therefore will have a statutory right under section 
104(c)(1) and (c)(2) of the LIBOR Act to select the Board-selected 
benchmark replacement by the earlier of (i) the LIBOR replacement date 
and (ii) the latest date for selecting a benchmark replacement 
according to the terms of the LIBOR contract.\46\
---------------------------------------------------------------------------

    \46\ See 12 U.S.C. 5803(c)(1)-(2).
---------------------------------------------------------------------------

    The Board notes that, if the term ``determining person'' were 
interpreted to be limited only to persons with a current authority, 
right, or obligation to select a benchmark replacement, then, under 
certain LIBOR contracts, a person with a right to select a benchmark 
replacement when LIBOR becomes unavailable or non-representative would 
not become a determining person until the LIBOR replacement date--when 
LIBOR will actually become unavailable or non-representative. 
Accordingly, that person would need to wait until the LIBOR replacement 
date to exercise the statutory right under section 104(c)(1) and (c)(2) 
of the LIBOR Act to select the Board-selected benchmark replacement. 
The Board believes that this outcome--and the market disruption that 
would likely result from determining persons not selecting a benchmark 
replacement until the LIBOR replacement date--would be inconsistent 
with the Congressional intent to facilitate a smooth transition away 
from LIBOR and avoid disruptive litigation.
    A commenter also requested that the final rule clarify that a 
``determining person'' must have sole authority to decide a benchmark 
replacement and would not include a person who is required under the 
LIBOR contract to collaborate with other persons. The final rule 
clarifies that the term ``determining person'' refers to a person with 
sole authority, right, or obligation, including on a temporary basis, 
to determine a benchmark replacement. Particularly when considered in 
the context of the various protections provided by the LIBOR Act with 
respect to a determining person's selection of the Board-selected 
benchmark replacement, the most sensible interpretation is that such a 
selection would be made by only one person, rather than some group.\47\
---------------------------------------------------------------------------

    \47\ See, e.g., 12 U.S.C. 5803(c), 5804(c).
---------------------------------------------------------------------------

    Finally, as requested by a commenter, the Board hereby clarifies 
that a determining person selecting a Board-selected benchmark 
replacement pursuant to the authority and statutory protections of the 
LIBOR Act must choose the Board-selected benchmark replacement 
identified in Sec.  253.4 for that contract type.

C. Section 253.3--Applicability

    Section 253.3 addresses the applicability of the regulation to 
LIBOR contracts. Specifically, for the following LIBOR contracts, the 
applicable Board-selected benchmark replacement indicated in Sec.  
253.4 of the final rule shall be the benchmark replacement for the 
contract on and after the LIBOR replacement date unless an express 
exception applies: (i) LIBOR contracts that contain no fallback 
provisions; (ii) LIBOR contracts that contain fallback

[[Page 5209]]

provisions that identify neither a specific benchmark replacement nor a 
determining person; and (iii) LIBOR contracts that contain fallback 
provisions that identify a determining person, but where the 
determining person has not selected a benchmark replacement by the 
earlier of the LIBOR replacement date and the latest date for selecting 
a benchmark replacement according to the terms of the LIBOR contract, 
for any reason.\48\
---------------------------------------------------------------------------

    \48\ Section 253.3(a) of the final rule.
---------------------------------------------------------------------------

    In evaluating whether a LIBOR contract has any of these 
characteristics on the LIBOR replacement date, the final rule mirrors 
the statute and disregards any reference in any fallback provisions of 
a LIBOR contract to the following: (i) a benchmark replacement that is 
based in any way on any LIBOR value, except to account for the 
difference between LIBOR and the benchmark replacement; or (ii) a 
requirement that a person (other than a benchmark administrator) 
conduct a poll, survey, or inquiries for quotes or information 
concerning interbank lending or deposit rates (collectively, ``LIBOR- 
or poll-based fallback provisions'').\49\ For example, if a LIBOR 
contract specifies the last published LIBOR value will be used if LIBOR 
is not published, but contains no other fallback provisions, then, 
pursuant to Sec.  253.3(a)(2), this language would be disregarded as of 
the LIBOR replacement date. As a result, on the LIBOR replacement date, 
the LIBOR contract would be treated as having no fallback provisions 
and would transition to the Board-selected benchmark replacement under 
the final rule.
---------------------------------------------------------------------------

    \49\ Section 253.3(a)(2) of the final rule. Under the statute, 
any such references in any fallback provisions of the LIBOR contract 
would be disregarded as if not included in the fallback provisions 
of the contract and would be deemed null and void and without any 
force or effect. 12 U.S.C. 5803(b).
---------------------------------------------------------------------------

    Consistent with the LIBOR Act, Sec.  253.3(b) lists three types of 
contracts that generally would not be subject to the act: (i) any LIBOR 
contract that the parties have agreed in writing shall not be subject 
to the act; (ii) any LIBOR contract that contains fallback provisions 
that identify a benchmark replacement that is not based in any way on 
any LIBOR value (including the prime rate or the effective Federal 
Funds rate), after disregarding any LIBOR- or poll-based fallback 
provisions; and (iii) any LIBOR contract as to which a determining 
person does not elect to use the Board-selected benchmark replacement, 
again after disregarding any LIBOR- or poll-based fallback 
provisions.\50\ Importantly, however, even if a determining person does 
not elect to use the Board-selected benchmark replacement, the LIBOR 
contract will transition to the Board-selected benchmark replacement by 
operation of law if the determining person does not select any 
benchmark replacement by the earlier of (i) the LIBOR replacement date 
and (ii) the latest date for selecting a benchmark replacement 
according to the terms of the LIBOR contract.\51\
---------------------------------------------------------------------------

    \50\ Section 253.3(b) of the final rule. As discussed further in 
section IV.G, nothing in the final rule is intended to alter or 
modify the availability or effect of the provisions of section 
105(e) of the LIBOR Act, and those provisions may apply to these 
LIBOR contracts. See 12 U.S.C. 5804(e).
    \51\ Section 253.3(a)(1)(iii) of the final rule.
---------------------------------------------------------------------------

    The proposed rule would have defined the term ``covered contract'' 
to mean those contracts that would be subject to the proposed rule and 
would transition to the applicable Board-selected benchmark replacement 
on and after the LIBOR replacement date. Similarly, the proposed rule 
would have defined the term ``non-covered contract'' to mean those 
contracts that generally would not be subject to the proposed rule. 
However, the proposed rule would have clarified that a determining 
person may select the Board-selected benchmark replacement specified in 
Sec.  253.4 of the proposed rule as the benchmark replacement for a 
LIBOR contract, consistent with the LIBOR Act.\52\ Several commenters 
indicated that the proposed rule's definitions of ``covered contract'' 
and ``non-covered contract'' did not fully align with the provisions of 
the LIBOR Act and were confusing. Therefore, these commenters 
recommended eliminating these terms. To avoid confusion, the final rule 
does not employ those terms and instead hews closely to the text of the 
LIBOR Act.
---------------------------------------------------------------------------

    \52\ Section 253.3(b)(2) of the proposed rule.
---------------------------------------------------------------------------

    A commenter requested that the Board clarify that a determining 
person may ``transition'' to the Board-selected benchmark replacement 
by the LIBOR replacement date or the first reset date following that 
date, which the commenter argued was the same as a practical matter. 
The LIBOR Act authorizes a determining person to select the Board-
selected benchmark replacement, but requires the determining person to 
make such selection by the earlier of (i) the LIBOR replacement date 
and (ii) the latest date for selecting a benchmark replacement 
according to the terms of the contract.\53\ As a result, a determining 
person may not select the Board-selected benchmark replacement on any 
date after the LIBOR replacement date, including the first reset date 
following the LIBOR replacement date, and rely on the LIBOR Act's 
protections for such a selection. The final rule mirrors the statute by 
authorizing a determining person to select the Board-selected benchmark 
replacement by the earlier of (i) the LIBOR replacement date and (ii) 
the latest date for selecting a benchmark replacement according to the 
terms of the contract.\54\ The Board notes that, under the LIBOR Act 
and the final rule, a determining person's inaction with respect to 
selecting a benchmark replacement by the LIBOR replacement date will, 
in the absence of another fallback provision in the LIBOR contract 
identifying a clear and practicable benchmark replacement, cause the 
LIBOR contract to transition to the Board-selected benchmark 
replacement rate by operation of law.\55\
---------------------------------------------------------------------------

    \53\ 12 U.S.C. 5803(c)(2)(B).
    \54\ Section 253.3(c) of the final rule. Although selection of 
the benchmark replacement must occur by this date, since the LIBOR 
Act does not affect or alter the payment or reset dates under the 
LIBOR contract, the actual replacement of LIBOR for payment purposes 
may not occur until the first reset date after the LIBOR replacement 
date.
    \55\ 12 U.S.C. 5803(c)(3); see also Sec.  253.3(a)(1)(iii) of 
the final rule.
---------------------------------------------------------------------------

    In its proposal, the Board invited public comment as to whether the 
final rule should require a determining person to provide notice to one 
or more parties concerning the determining person's selection. Multiple 
commenters recommended that the final rule not impose any notice 
requirements on determining persons. No commenter expressed support for 
the imposition of notice requirements on determining persons. As a 
result, the final rule does not include impose any notice requirements.
    Eurodollar deposit and lending rates. Some commenters requested 
clarification that a fallback provision that requires an inquiry for 
Eurodollar deposit or lending rates would be considered a LIBOR- or 
poll-based fallback provision that should be disregarded under the 
LIBOR Act and the final rule.\56\ Eurodollars are

[[Page 5210]]

unsecured U.S. dollar deposits held at banks or bank branches outside 
of the United States, and many institutional parties, including foreign 
central banks, are active lenders in the Eurodollar market.\57\ U.S. 
depository institutions and U.S. branches of foreign banks indirectly 
borrow in Eurodollars by accepting Eurodollar deposits through offshore 
branches and then transferring the funds onshore.\58\ The Board has 
therefore clarified that Eurodollar deposit and lending rates are 
``interbank lending or deposit rates'' for purposes of the LIBOR rule. 
Accordingly, any requirement to conduct an inquiry concerning 
Eurodollar deposit and lending rates in fallback provisions of LIBOR 
contracts should be disregarded as if not included in those fallback 
provisions and deemed null and void and without any force or effect for 
purposes of the final rule. Should the LIBOR contract not identify 
either (i) a determining person or (ii) another clear and practicable 
benchmark replacement recognized under the LIBOR Act, the LIBOR 
contract will transition to the applicable Board-selected benchmark 
replacement under the final rule.
---------------------------------------------------------------------------

    \56\ Section 253.3(a)(2) of the final rule; 12 U.S.C. 5803(b). 
Under the statute, any such references in any fallback provisions of 
the LIBOR contract would be disregarded as if not included in the 
fallback provisions of the contract and would be deemed null and 
void and without any force or effect. 12 U.S.C. 5803(b).
    Another commenter argued that fallback provisions referencing 
any third-party funding rate or certificate of deposit rate also 
should be disregarded, regardless of the method by which such rates 
would be obtained. Such treatment, however, would be inconsistent 
with the text of the LIBOR Act, which considers the methodology by 
which interbank lending or deposit rate information would be 
obtained. See id. It also would conflict with other provisions of 
the LIBOR Act, such as section 104(f)(2), which expressly indicates 
that the act does not alter or impair fallback provisions that 
identify a benchmark replacement that is not based in any way on any 
LIBOR value, including the prime rate or the effective Federal funds 
rate. 12 U.S.C. 5803(f)(2).
    \57\ Marco Cipriani and Julia Gouny, The Eurodollar Market in 
the United States, Liberty Street Economics (May 27, 2015), https://libertystreeteconomics.newyorkfed.org/2015/05/the-eurodollar-market-in-the-united-states.
    \58\ Id.
---------------------------------------------------------------------------

    Relatedly, one commenter requested that the Board clarify how the 
rule applies to LIBOR contracts that give a determining person the 
right, authority, or obligation to select an ``alternative index'' or 
``alternative comparable index'' that is ``used for determining 
Eurodollar lending rates'' (``Eurodollar DP contracts''). Section 
104(c) of the LIBOR Act generally creates a statutory right for a 
determining person to select the Board-selected benchmark replacement; 
however, under section 104(f)(2) of the LIBOR Act, a determining person 
cannot exercise this right if the LIBOR contract identifies a benchmark 
replacement that is not based on any LIBOR value, such as the prime 
rate or the effective Federal funds rate. The commenter requested 
confirmation that references in Eurodollar DP contracts to an 
alternative index ``used for determining Eurodollar lending rates'' do 
not ``identify a benchmark replacement'' for purposes of section 
104(f)(2), and thus that a determining person for a Eurodollar DP 
contract may select the Board-selected benchmark replacement pursuant 
to section 104(c) of the LIBOR Act.
    Section 104(f)(2) of the LIBOR Act is intended to exclude from the 
act's scope only those contracts that identify a specific benchmark 
replacement such as the prime rate. Eurodollar DP contracts provide 
certain guidelines for determining persons to follow in selecting a 
benchmark replacement, but they do not identify a specific benchmark 
replacement. Accordingly, the Board confirms that a determining person 
for a Eurodollar DP contract may exercise the statutory right to select 
the Board-selected benchmark replacement under section 104(c) of the 
LIBOR Act and Sec.  253.3(c) of the final rule.\59\
---------------------------------------------------------------------------

    \59\ The Board notes, however, that this statutory right would 
not be available to the determining person if the LIBOR contract 
does identify a specific benchmark replacement such as the prime 
rate.
---------------------------------------------------------------------------

    Other provisions of LIBOR contracts. The final rule includes a new 
paragraph stating that LIBOR contracts that transition to the Board-
selected benchmark replacement generally will not have their other 
provisions altered or impaired by the final rule.\60\ For example, the 
final rule states that provisions specifying the date for determining a 
benchmark (except in the case of derivative transactions and Federal 
Home Loan Bank advances, as discussed in more detail in section IV.D) 
would not be affected. This example is similar to a provision in the 
proposed rule that indicated that selection and use of the Board-
selected benchmark replacement would not affect the dates on which the 
contractual rates are determined.\61\
---------------------------------------------------------------------------

    \60\ Section 253.3(d) of the final rule.
    \61\ Section 253.4(d) of the proposed rule. The proposed rule 
generally would have replaced references to ``LIBOR'' in LIBOR 
contracts with the proposed Board-selected benchmark replacement, 
without any modification of other contractual provisions. 87 FR 
45268, 45276 (July 28, 2022).
---------------------------------------------------------------------------

    Other contractual provisions that the final rule expressly does not 
affect include, but are not limited to, (i) provisions specifying 
rounding conventions for a benchmark; (ii) provisions referencing LIBOR 
or any LIBOR value prior to the LIBOR replacement date (including any 
provision requiring a person to look back to a LIBOR value as of a date 
preceding the LIBOR replacement date); (iii) provisions applying any 
cap, floor, modifier, or spread adjustment to which LIBOR had been 
subject pursuant to the terms of a LIBOR contract; (iv) certain 
provisions of Federal consumer financial law; and (v) except as 
provided in 12 U.S.C. 5804(c), the rights or obligations of any person, 
or the authorities of any agency, under Federal consumer financial law, 
as defined in 12 U.S.C. 5481.\62\
---------------------------------------------------------------------------

    \62\ Section 253.3(d) of the final rule.
---------------------------------------------------------------------------

    Some commenters had requested that the final rule expressly state 
its impact on these types of provisions, particularly provisions 
specifying rounding conventions or lookback periods that straddle the 
LIBOR replacement date, perhaps as benchmark replacement conforming 
changes. The Board believes it is most sensible to address provisions 
such as those listed above by clarifying that they would not be 
affected by the final rule.\63\
---------------------------------------------------------------------------

    \63\ As described further in section IV.E., the final rule does 
include certain benchmark replacement conforming changes.
---------------------------------------------------------------------------

    Synthetic LIBOR. When issuing the proposal, the Board sought 
feedback on whether the final rule should clarify how the LIBOR Act 
would apply if the FCA requires IBA (or any successor administrator) to 
publish synthetic LIBOR on and after the LIBOR replacement date. The 
Board specifically requested comment on how synthetic LIBOR might 
affect LIBOR contracts that contain fallback provisions that either 
identify a clear and practicable benchmark replacement or authorize a 
person to select a benchmark replacement, but where these fallback 
provisions are triggered only where LIBOR is unavailable (and are not 
expressly triggered where a benchmark called ``LIBOR'' is available but 
is not representative of the market that LIBOR is intended to measure). 
For example, the Board requested comment on whether the final rule 
should provide that a LIBOR contract containing fallback provisions 
that identify a clear and practicable benchmark replacement (e.g., the 
prime rate) but lack an express non-representativeness trigger would 
transition to the benchmark replacement specified in the LIBOR contract 
(i.e., the prime rate) on the earlier of (i) the date specified 
pursuant to the LIBOR contract or (ii) the LIBOR replacement date.
    Several commenters supported the clarification outlined in the 
proposal. In general, these commenters argued that such clarification 
would (i) be consistent with the intent of the statute, (ii) promote an 
orderly transition away from LIBOR, (iii) reduce disruptive litigation, 
and (iv) be reasonable.
    However, some commenters argued that the Board lacks the legal 
authority to adopt the clarification outlined in the proposal. In 
particular, these commenters noted that LIBOR contracts containing 
fallback provisions that

[[Page 5211]]

identify a specific benchmark replacement (e.g., the prime rate) are 
outside the scope of the LIBOR Act, even if they lack an express non-
representativeness trigger. Accordingly, these commenters recommended 
that the Board clarify only the ambiguity described in the proposal 
with respect to LIBOR contracts that authorize a determining person to 
select a benchmark replacement when LIBOR is unavailable.
    Other commenters gave other suggestions for addressing synthetic 
LIBOR. For example, one commenter asked the Board to work with the FCA 
to avoid the publication of synthetic LIBOR altogether. Other 
commenters suggested that the Board should deem LIBOR to be unavailable 
for all LIBOR contracts within the scope of the LIBOR Act even if 
synthetic LIBOR would be published, unless a determining person 
affirmatively selects synthetic LIBOR as a benchmark replacement; these 
commenters argued that construing synthetic LIBOR's publication as 
continued availability of LIBOR would be inconsistent with the purposes 
of the LIBOR Act.
    The Board has considered this issue in light of the comments 
received. The Board believes that LIBOR contracts containing fallback 
provisions that identify a specific benchmark replacement are outside 
the scope of the LIBOR Act, even if these fallback provisions lack an 
express non-representativeness trigger. In particular, section 
102(b)(3) of the LIBOR Act states that one purpose of the statute is to 
allow existing contracts that reference LIBOR but provide for the use 
of a clearly defined and practicable replacement to operate according 
to their terms.\64\ Further, section 104(f)(2) of the LIBOR Act 
expressly provides that nothing in the statute may be construed to 
alter or impair any LIBOR contract that contains fallback provisions 
that identify a benchmark replacement and are not LIBOR- or poll-based 
fallback provisions.\65\ The Board believes these provisions of the 
statute unambiguously remove LIBOR contracts that identify a specific 
benchmark replacement (e.g., the prime rate) from the scope of the 
LIBOR Act, even if these fallback provisions lack an express non-
representativeness trigger.
---------------------------------------------------------------------------

    \64\ 12 U.S.C. 5801(b)(3).
    \65\ 12 U.S.C. 5803(f)(2).
---------------------------------------------------------------------------

    However, consistent with the suggestion of some commenters, the 
Board is clarifying in the final rule how synthetic LIBOR would affect 
a LIBOR contract that includes fallback provisions authorizing a person 
to select a benchmark replacement only when LIBOR is unavailable. As 
noted in section IV.B, the final rule defines a determining person to 
include a person with a contingent authority, right, or obligation to 
determine a benchmark replacement. Under the final rule, a person who 
has the authority, right, or obligation to select a benchmark 
replacement when LIBOR is unavailable is a ``determining person;'' 
accordingly, such person has a statutory right under section 104(c)(1) 
and (c)(2) of the LIBOR Act to select the Board-selected benchmark 
replacement by the earlier of (i) the LIBOR replacement date and (ii) 
the latest date for selecting a benchmark replacement according to the 
terms of the LIBOR contract.\66\ If the determining person does not 
select a benchmark replacement by the LIBOR replacement date, the 
applicable Board-selected benchmark replacement will be the benchmark 
replacement for the LIBOR contract under section 104(c)(3) of the LIBOR 
Act.\67\
---------------------------------------------------------------------------

    \66\ See 12 U.S.C. 5803(c)(1)-(2); section 253.3(c) of the final 
rule.
    \67\ See 12 U.S.C. 5803(c)(3); Sec.  253.3(a)(1)(iii) of the 
final rule. The Board notes that the statute does not accelerate a 
determining person's contingent right under a LIBOR contract to 
select a benchmark replacement other than the Board-selected 
benchmark replacement. See 12 U.S.C. 5803(c)(2).
---------------------------------------------------------------------------

D. Section 253.4--Board-Selected Benchmark Replacements

    Section 253.4 identifies the Board-selected benchmark replacements 
for various types of contracts subject to the LIBOR Act. As indicated 
in the proposal, the Board agrees with the ARRC's observation that 
different benchmark replacements may be appropriate for derivative 
transactions and other transactions (hereafter, ``cash 
transactions'').\68\ Therefore, the final rule identifies different 
benchmark replacements for derivative transactions and for different 
types of cash transactions, as under the proposal. Consistent with the 
LIBOR Act, all of the Board-selected benchmark replacements (i) are 
based upon SOFR and (ii) incorporate spread adjustments for each 
specified tenor of LIBOR.\69\
---------------------------------------------------------------------------

    \68\ ARRC, ARRC Best Practice Recommendations Related to Scope 
of Use of the Term Rate (May 4, 2022), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Scope_of_Use.pdf.
    \69\ See Sec.  253.4 of the final rule. See also 12 U.S.C. 5802-
03.
---------------------------------------------------------------------------

    The spread adjustments specified in the LIBOR Act are intended to 
address certain differences between SOFR and LIBOR, including the fact 
that LIBOR is unsecured and therefore includes an element of bank 
credit risk which may cause it to be higher than SOFR.\70\ LIBOR also 
may include term premia and reflect supply and demand conditions in 
wholesale unsecured funding markets, each of which may cause LIBOR to 
be higher than SOFR.\71\ The LIBOR Act prescribes static spread 
adjustments based on the tenor of LIBOR referenced in the contract 
(tenor spread adjustments)--specifically, 0.644 basis points (bps) 
(0.00644 percent) for overnight LIBOR, 11.448 bps (0.11448 percent) for 
one-month LIBOR, 26.161 bps (0.26161 percent) for three-month LIBOR, 
42.826 bps (0.42826 percent) for six-month LIBOR, and 71.513 bps 
(0.71513 percent) for 12-month LIBOR.\72\ For clarity, the final rule, 
like the proposed rule, reiterates these tenor spread adjustments in 
paragraph (c) of Sec.  253.4.\73\
---------------------------------------------------------------------------

    \70\ ARRC, ARRC Consultation on Spread Adjustment Methodologies 
for Fallbacks in Cash Products Referencing USD LIBOR 7 (Jan. 21, 
2020), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_Spread_Adjustment_Consultation.pdf.
    \71\ Id.
    \72\ See 12 U.S.C. 5802(20) (defining ``tenor spread 
adjustment''). These spread adjustments were based on a methodology 
originally advanced by ISDA that uses the historical median over a 
five-year lookback period calculating the difference between USD 
LIBOR and SOFR. ARRC, ARRC Announces Further Details Regarding Its 
Recommendation of Spread Adjustments for Cash Products (June 30, 
2020), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_Recommendation_Spread_Adjustments_Cash_Products_Press_Release.pdf.
    \73\ Section 253.4(c) of the final rule.
---------------------------------------------------------------------------

    Two commenters requested that the final rule use different tenor 
spread adjustments than those specified in the LIBOR Act. As discussed, 
the LIBOR Act specifies tenor spread adjustments that shall be 
incorporated into the Board-selected benchmark replacements and does 
not authorize the Board to alter or modify those tenor spread 
adjustments. As a result, the final rule identifies Board-selected 
benchmark replacements that incorporate the tenor spread adjustments 
specified by the LIBOR Act, without modification.
    Another commenter requested that the Board avoid selecting 
benchmark replacements that are overly complex to calculate or that 
have the potential to conflict with other Board-selected replacements 
and result in ambiguous or confusing scenarios. That commenter noted 
that the Board's selection of different benchmark replacements 
depending on contract type could create potential for hedging mismatch 
issues and urged the Board to consider issuing a broad range of 
alternative rates to allow individual firms flexibility to exercise 
their judgment in guarding against asset-liability mismatch issues 
while allowing them to rely on the LIBOR Act's protections for use of 
the Board-selected benchmark replacement.

[[Page 5212]]

    As discussed in further detail below, and consistent with the 
ARRC's recommendations, the Board continues to believe that different 
contract types warrant different benchmark replacements. However, since 
a key purpose of the LIBOR Act and final rule is to replace LIBOR with 
the applicable Board-selected benchmark replacement by operation of 
law, the final rule aims to create a simple, clear, and manageable 
taxonomy with as few categories as possible. In addition, the Board 
believes this purpose of the final rule--to replace LIBOR automatically 
with a Board-selected benchmark replacement--can function only if there 
is a single Board-selected benchmark replacement applicable to any 
particular LIBOR contract. Therefore, the final rule does not identify 
a broad range of alternative rates as ``Board-selected benchmark 
replacements'' from which a firm could choose and avail itself of the 
LIBOR Act's protections for use of the Board-selected benchmark 
replacement.
1. Derivative Transactions
    With respect to derivative transactions, the Board observed in the 
proposal that many derivative market participants have adhered to the 
ISDA 2020 IBOR Fallbacks Protocol (ISDA protocol) to amend their 
existing derivative transaction contracts to incorporate fallback 
provisions that would replace references to USD LIBOR with a SOFR-based 
rate.\74\ Specifically, the ISDA protocol replaces references to USD 
LIBOR in adhering parties' derivative transaction contracts with a rate 
equal to (i) SOFR, compounded in arrears for the appropriate tenor,\75\ 
plus (ii) a stated spread adjustment based on the appropriate tenor 
(the ``Fallback Rate (SOFR)''). The stated spread adjustments of the 
ISDA protocol are identical to the tenor spread adjustments specified 
in the LIBOR Act.\76\ As of November 29, 2022, over 15,400 entities 
have adhered to the ISDA protocol to amend their derivative 
transactions.\77\
---------------------------------------------------------------------------

    \74\ ISDA, ISDA 2020 IBOR Fallbacks Protocol (Oct. 23, 2020), 
https://assets.isda.org/media/3062e7b4/08268161-pdf.
    \75\ For purposes of this calculation, SOFR generally is 
compounded in arrears over an accrual period corresponding to the 
tenor of the LIBOR referenced in the covered contract. That 
compounded rate is annualized, and the day count convention is 
adjusted to match that of LIBOR. Bloomberg Professional Services, 
Fact Sheet: IBOR Fallbacks (Dec. 13, 2021), https://assets.bbhub.io/professional/sites/10/Factsheet-IBOR-Fallbacks_V4_Dec2021.pdf (cited 
in response to FAQ 3 of ISDA's ``2020 IBOR Fallbacks Protocol (IBOR 
Fallbacks Protocol) FAQs''). See also Bloomberg Professional 
Services, IBOR Fallback Rate Adjustments Rule Book (Dec. 13, 2021), 
https://assets.bbhub.io/professional/sites/10/IBOR-Fallback-Rate-Adjustments-Rule-Book_V3_Dec2021.pdf (for complete discussion of the 
calculation).
    \76\ ISDA based its spread adjustments on a historical median 
over a five-year lookback period calculating the difference between 
USD LIBOR and SOFR. ARRC, ARRC Announces Further Details Regarding 
Its Recommendation of Spread Adjustments for Cash Products (June 30, 
2020), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_Recommendation_Spread_Adjustments_Cash_Products_Press_Release.pdf.
    \77\ See ISDA, ISDA 20202 IBOR Fallbacks Protocol--List of 
Adhering Parties, https://www.isda.org/protocol/isda-2020-ibor-fallbacks-protocol/adhering-parties (last visited Nov. 29, 2022).
---------------------------------------------------------------------------

    The Board proposed to select the Fallback Rate (SOFR) as the Board-
selected benchmark replacement for derivative transactions. The Board 
noted that because derivatives markets already appear to reference SOFR 
compounded in arrears and there has been significant adherence to the 
ISDA protocol, it would be sensible to avoid disruption to these 
markets' efforts to transition away from referencing LIBOR.\78\ The 
Board also observed that promoting use of a consistent approach to 
replace LIBOR references in derivative transactions should enhance 
financial stability and that the proposed approach was consistent with 
the recommendations of the ARRC.\79\ The proposed rule defined a 
``derivative transaction'' as ``a contract that would satisfy the 
criteria to be a `Protocol Covered Document' under the ISDA protocol 
but for the fact that one or more parties to such contract is not an 
`Adhering Party' as such term is used in the ISDA protocol, provided 
that, for purposes of this definition, `Protocol Effective Date' as 
such term is used in the ISDA protocol means the LIBOR replacement date 
for the relevant covered contract.'' \80\
---------------------------------------------------------------------------

    \78\ 87 FR 45268, 45274 (July 28, 2022).
    \79\ Id. See also ARRC, ARRC Best Practice Recommendations 
Related to Scope of Use of the Term Rate (May 4, 2022), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Scope_of_Use.pdf (recommending against the use of CME Term SOFR 
for the vast majority of the derivatives markets because these 
markets already reference SOFR compounded in arrears).
    \80\ Section 253.2 of the proposed rule. ``Protocol Covered 
Documents'' include (i) master agreements incorporating certain ISDA 
definitions booklets (each a ``covered ISDA definitions booklet''), 
including the 2006 ISDA Definitions and the 2000 ISDA Definitions, 
as published by ISDA, and referencing LIBOR or another specified 
IBOR (each a ``covered master agreement''); (ii) confirmations that 
supplement, form part of and are subject to, or are otherwise 
governed by, a covered master agreement; and (iii) any ISDA credit 
support document, including the 1994 ISDA Credit Support Annex and 
the 2014 Standard Credit Support Annex, that incorporates a covered 
ISDA definition booklet and references LIBOR or another specified 
IBOR. ISDA, ISDA 2020 IBOR Fallbacks Protocol 14-16 (Oct. 23, 2020), 
https://assets.isda.org/media/3062e7b4/08268161-pdf.
---------------------------------------------------------------------------

    As noted in the proposal, ISDA has selected Bloomberg Index 
Services Limited (Bloomberg) to calculate and publish the Fallback Rate 
(SOFR) referenced in its ISDA protocol.\81\ Similar to how IBA requires 
a license for certain uses of LIBOR,\82\ the use of the Fallback Rate 
(SOFR) is subject to certain licensing or other usage terms imposed by 
Bloomberg.\83\ Under its present usage terms, Bloomberg waives usage 
fees for users with less than $5 billion of total assets and charges 
one annual license fee for use of its IBOR fallbacks data.\84\
---------------------------------------------------------------------------

    \81\ ISDA, Bloomberg Selected as Fallback Adjustment Vendor 
(July 31, 2019), https://www.isda.org/2019/07/31/bloomberg-selected-as-fallback-adjustment-vendor.
    \82\ IBA, About, https://www.theice.com/iba/about#licensing 
(last visited Nov. 29, 2022).
    \83\ See Bloomberg Prof'l Servs., IBOR Fallback Usage Terms 
(Sept. 27, 2021), https://assets.bbhub.io/professional/sites/27/ISDA-IBOR-Fallbacks-Web-Terms1.pdf.
    \84\ Id. The asset threshold of $5 billion applies to a user and 
its affiliates as one group and can be based on assets under 
management, the value of assets on its balance sheet, or another 
objective measure that Bloomberg may reasonably employ. Id.
---------------------------------------------------------------------------

    The Board did not receive comments regarding the proposed 
definition of ``derivative transaction.'' Most commenters supported use 
of the Fallback Rate (SOFR) in the ISDA protocol as the Board-selected 
benchmark replacement for derivative transactions, but some suggested 
that the Board incorporate certain technical amendments in the final 
rule to match precisely the calculation of the Fallback Rate (SOFR) 
under the ISDA protocol. In particular, these commenters requested that 
the Board clarify that the Fallback Rate (SOFR) should be determined on 
the ``derivative transaction fallback observation day,'' which 
essentially is defined in the ISDA Protocol as the day two payment 
business days prior to the payment date for the relevant calculation 
period.
    One commenter stated that it would have preferred that the Board 
propose to select a rate equal to CME Term SOFR (discussed in detail in 
section IV.D.2) as its benchmark replacement for derivative 
transactions pursuant to the LIBOR Act. The commenter argued that CME 
Term SOFR would be the ``most economically equivalent and simplest'' 
replacement for LIBOR for end-users. However, that commenter 
acknowledged that such an approach would differ from the ARRC's 
recommendation and ultimately indicated that the Board should not make 
any changes from the ISDA

[[Page 5213]]

protocol's rate given the timing of the rule.
    Some commenters suggested that the Board identify separate 
benchmark replacements for certain categories of derivative contracts. 
One commenter requested that the final rule transition derivative 
transactions linked to certain securitizations to the same benchmark 
replacement as those of securities related to that securitization 
rather than the Fallback (SOFR) rate in order to avoid basis risk, 
potential ratings downgrades and defaults due to unplanned mismatches 
in cash flows, and potential disruptions arising from disputes over how 
excess cashflows and shortfalls should be treated. Another commenter 
requested that, where a derivative transaction is executed in 
connection with a cash asset-backed security and the cash security's 
terms are structured to reflect payments under the related derivative 
transaction, the final rule should transition the derivative 
transaction to a benchmark replacement equal to a term SOFR rate so as 
to avoid circumventing the expectations of the parties and causing 
unexpected payment mismatches between the security and the derivative 
transaction. Similarly, another commenter recommended that the final 
rule allow a derivative transaction that specifically refers to the 
definition of LIBOR in an asset-backed security in order to hedge 
cashflows in the related securitization transaction to transition to 
the same benchmark replacement as the associated asset-backed security. 
This commenter acknowledged that it would not be practical or even 
advisable that every derivative transaction related to every cash 
security be transitioned in this way and that it is not operationally 
feasible for the parties to identify all such derivative transactions. 
As a result, the commenter suggested that the final rule acknowledge 
that, regardless of the original intent of the parties, there will be 
misalignments between many cash products and their related hedges 
because the Board-selected benchmark replacements for these products 
differ.
    As noted, because a key purpose of the LIBOR Act and final rule is 
to replace LIBOR with the applicable Board-selected benchmark 
replacement by operation of law, the Board believes it is important for 
the final rule to create as simple, clear, and manageable a taxonomy as 
possible. This should allow parties to determine quickly and easily the 
Board-selected benchmark replacement to which a particular LIBOR 
contract will transition in the absence of fallback provisions 
identifying either (i) a clear and practicable benchmark replacement or 
(ii) a determining person. The addition of new sub-categories of 
derivatives transactions would increase greatly the complexity of the 
rule and increase burden associated with determining the applicable 
Board-selected benchmark replacement for a given LIBOR contract.
    The Board acknowledges that basis risk may arise to the extent that 
derivative transactions and related cash transactions transition to 
different Board-selected benchmark replacements; however, the parties 
typically involved in these types of derivative transactions frequently 
manage basis risk and other hedging-related risk in the ordinary course 
of business. In addition, nothing in the LIBOR Act or final rule 
prevents parties to LIBOR contracts from agreeing to transition a 
particular LIBOR contract to a benchmark replacement that is more 
suitable to that contract than the Board-selected benchmark 
replacement.\85\
---------------------------------------------------------------------------

    \85\ See, e.g., Sec.  253.3(b)(1) of the final rule (providing 
that the rule does not apply to ``[a]ny LIBOR contract that the 
parties have agreed in writing shall not be subject to the 
Adjustable Interest Rate (LIBOR) Act'').
---------------------------------------------------------------------------

    For all the foregoing reasons, the final rule selects the Fallback 
Rate (SOFR) in the ISDA protocol as the Board-selected benchmark 
replacement for derivative transactions. In response to comments, the 
final rule includes certain technical amendments to ensure that the 
calculation of the Fallback Rate (SOFR) under the final rule matches 
precisely the manner in which that rate is calculated in the ISDA 
protocol. In particular, the final rule defines ``derivative 
transaction fallback observation day'' in the same way the term is 
defined in the ISDA protocol and incorporates additional technical 
related to the calculation of the Fallback Rate (SOFR). Incorporation 
of this term, together with the provision in Sec.  253.3(d)(3) 
indicating that contractual provisions referencing LIBOR or any LIBOR 
value prior to the LIBOR replacement date (including any provision 
requiring a person to look back to a LIBOR value as of a date preceding 
the LIBOR replacement date) remain unaffected, aligns the Board-
selected benchmark replacement in the final rule with the calculation 
of the Fallback Rate (SOFR) in the ISDA protocol.
2. Cash Transactions
    Under the proposed rule, references to overnight LIBOR in cash 
transactions would be replaced with SOFR plus a spread adjustment 
specified in the LIBOR Act,\86\ consistent with the ARRC's 
recommendations.\87\ Similarly, consistent with the ARRC's 
recommendations,\88\ references to one-, three-, six-, or 12-month 
LIBOR in cash transactions generally would have been replaced with the 
comparable tenor CME Term SOFR rate plus the spread adjustment 
specified LIBOR Act.\89\ As described further below, however, the Board 
proposed different Board-selected benchmark replacements for certain 
cash transactions involving entities regulated by the Federal Housing 
Finance Agency (FHFA).\90\
---------------------------------------------------------------------------

    \86\ Section 253.4(b)(1)(i), (b)(2)(i)(A), (b)(2)(ii)(A), 
(b)(3)(i) of the proposed rule. As described further below, for one 
year following the LIBOR replacement date, the spread adjustment 
specified for cash transactions that are consumer loans will differ 
from the spread adjustment for LIBOR contracts that are not consumer 
loans.
    \87\ See ARRC, ARRC Best Practice Recommendations Related to 
Scope of Use of the Term Rate (May 4, 2022), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Scope_of_Use.pdf.
    \88\ ARRC, ARRC Formally Recommends Term SOFR (July 29, 2021), 
https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Press_Release_Term_SOFR.pdf. The ARRC made its recommendation 
after considering, among other things: (i) the fact that CME Group's 
term rates were rooted in a robust and sustainable base of 
derivative transactions over time; (ii) the rates' limited scope of 
use that should support their stability over time; (iii) continued 
growth in overnight SOFR-linked derivatives volumes; (iv) visible 
progress to deepen SOFR derivative transactions' liquidity; and (v) 
visible growth in offerings of cash transactions linked to averages 
of SOFR. Id. For similar reasons, the Board believes that the 
forward-looking SOFR term rates administered by CME Group and 
published in one-, three-, six-, and 12-month tenors generally would 
be an appropriate basis for a benchmark replacement for one-, three-
, six-, and 12-month LIBOR, respectively.
    \89\ Section 253.4(b)(1)(ii), (b)(2)(i)(B), and (b)(2)(ii)(B) of 
the proposed rule. CME Term SOFR is a forward-looking term rate 
based on SOFR administered by CME Group Benchmark Administration, 
Ltd. (CME Group). These forward-looking SOFR term rates are 
calculated by first projecting a possible path of overnight rates 
that is consistent with the observable averages implied by SOFR-
based derivative contracts and then creating averages over standard 
tenors of that projected path of overnight rates. In projecting the 
path of overnight rates, CME Group uses a combination of one-month 
and three-month SOFR futures contracts to ensure that as many data 
points as possible are used to calculate the term structure. CME 
Grp., CME Term SOFR Reference Rates Benchmark Methodology (May 9, 
2022), https://www.cmegroup.com/market-data/files/cme-term-sofr-reference-rates-benchmark-methodology.pdf.
    \90\ Section 253.4(b)(3)(ii) of the proposed rule.
---------------------------------------------------------------------------

    CME Group calculates and publishes CME Term SOFR in one-, three-, 
six-, and 12-month tenors.\91\ Similar to how IBA requires a license 
for certain uses of LIBOR,\92\ the use of CME Term SOFR is subject to 
certain licensing or other

[[Page 5214]]

usage terms imposed by CME Group.\93\ One commenter, whose letter 
appeared to focus on cash transactions, requested that the Board make 
every effort to ensure that Board-selected benchmark replacements be 
made available at low or no cost to credit unions and other not-for-
profit institutions. As noted by the commenter, under its present usage 
terms, an end user seeking only to enter into a transaction does not 
need a license from CME Group.\94\ In addition, CME Group has waived 
fees for users of CME Term SOFR for cash transactions through 2026.\95\ 
Based on these facts, the Board believes that Board-selected benchmark 
replacements that are based on CME Term SOFR would be made available to 
market participants and end users at low to no cost.
---------------------------------------------------------------------------

    \91\ CME Grp., CME Term SOFR Rates, https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html (last 
visited Nov. 29, 2022).
    \92\ IBA, About, https://www.theice.com/iba/about#licensing 
(last visited Nov. 29, 2022).
    \93\ See CME Grp., CME Data Terms of Use, https://www.cmegroup.com/trading/market-data-explanation-disclaimer.html 
(last visited Nov. 29, 2022); CME Grp., CME Term SOFR Reference 
Rates--Frequently Asked Questions, FAQ 8-10 (Apr. 19, 2022), https://www.cmegroup.com/articles/faqs/cme-term-sofr-reference-rates.html.
    \94\ CME Group defines an ``end user'' as an individual or 
entity that is a counterparty or guarantor to the applicable cash 
transaction or derivative transaction with the licensee of CME Term 
SOFR. CME Grp., CME Term SOFR Reference Rates--Frequently Asked 
Questions, FAQ 10 (Apr. 19, 2022), https://www.cmegroup.com/articles/faqs/cme-term-sofr-reference-rates.html.
    \95\ CME Grp., CME Group Benchmark Fee List (Dec. 2021), https://www.cmegroup.com/files/download/benchmark-data-fee-list.pdf.
---------------------------------------------------------------------------

    Similar to the proposal, the final rule generally replaces 
references to overnight LIBOR in cash transactions with SOFR plus a 
spread adjustment specified in the LIBOR Act.\96\ With respect to 
references to one-, three-, six-, or 12-month LIBOR in cash 
transactions other than those in the specific categories listed below, 
the final rule generally identifies as the Board-selected benchmark 
replacement the corresponding tenor of CME Term SOFR plus a spread 
adjustment specified in the LIBOR Act.\97\ As discussed further below, 
for one year following the LIBOR replacement date, the spread 
adjustment for cash transactions that are consumer loans will differ 
from the spread adjustment for LIBOR contracts that are not consumer 
loans.
---------------------------------------------------------------------------

    \96\ Section 253.4(b)(1)(i), (b)(2)(i)(A), (b)(2)(ii)(A), and 
(b)(3)(i)(A) of the final rule.
    \97\ Section 253.4(b)(1)(ii), (b)(2)(i)(B), and (b)(2)(ii)(B) of 
the final rule.
---------------------------------------------------------------------------

    The final rule identifies separate Board-selected benchmark 
replacements for two categories of cash transactions: (i) similar to 
the proposal, certain cash transactions involving entities regulated by 
FHFA; and (ii) Federal Family Education Loan Program (FFELP) asset-
backed securitizations (ABS). These categories of cash transactions are 
discussed in more detail below.
a. Cash Transactions That Are Consumer Loans
    Under the LIBOR Act, any Board-selected benchmark replacement 
applicable to consumer loans shall, for the one-year period beginning 
on the LIBOR replacement date, incorporate an amount that modifies the 
otherwise-applicable tenor spread adjustment specified in the LIBOR 
Act.\98\ Specifically, the LIBOR Act requires that, during the one-year 
period, the Board-selected benchmark replacement for consumer loans 
incorporate an amount that transitions linearly for each business day 
during that period from (i) the difference between the Board-selected 
benchmark replacement and the corresponding LIBOR tenor determined as 
of the day immediately before the LIBOR replacement date to (ii) the 
applicable tenor spread adjustment specified in the LIBOR Act (the 
transition tenor spread adjustment).\99\ This transition tenor spread 
adjustment is intended to prevent consumer borrowers from experiencing 
significant, unexpected shifts in borrowing rates on and immediately 
following the LIBOR replacement date.
---------------------------------------------------------------------------

    \98\ 12 U.S.C. 5803(e)(2). See Sec.  253.2 of the final rule for 
the definition of ``consumer loan.''
    \99\ 12 U.S.C. 5803(e)(2).
---------------------------------------------------------------------------

    The proposed rule generally identified the same Board-selected 
benchmark replacements for consumer loans as for other cash 
transactions (i.e. SOFR for overnight LIBOR and CME Term SOFR for one-, 
three-, six-, and 12-month LIBOR).\100\ Consistent with the LIBOR Act, 
however, the proposed rule provided that, for the one-year period 
beginning on the LIBOR replacement date, the Board-selected benchmark 
replacements for consumer loans would incorporate the applicable 
transition tenor spread adjustment.\101\
---------------------------------------------------------------------------

    \100\ Section 253.4(b)(2) of the proposed rule.
    \101\ Section 253.2(b)(2)(i) of the proposed rule.
---------------------------------------------------------------------------

    Refinitiv Limited has stated it will publish and provide rates for 
consumer loans that sum (i) CME Term SOFR and (ii) the transition tenor 
spread adjustment (for the one-year period beginning on the LIBOR 
replacement date) or the tenor spread adjustment specified in the LIBOR 
Act (after that one-year period), consistent with the proposed rule and 
the recommendations of the ARRC.\102\ Refinitiv identifies these rates 
as ``USD IBOR Cash Fallbacks'' for ``Consumer'' products. For clarity, 
and particularly because calculation of the transition tenor spread 
adjustment applicable to consumer loans during the one-year period 
beginning on the LIBOR replacement date may be complex, the proposed 
rule indicated that these rates from Refinitiv would be deemed equal to 
the Board-selected benchmark replacement in the proposed rule.\103\ Use 
of these ``USD IBOR Cash Fallbacks'' for ``Consumer'' products may be 
subject to certain licensing or other usage terms imposed by Refinitiv 
Limited.
---------------------------------------------------------------------------

    \102\ The ARRC selected Refinitiv Limited to publish its 
recommended spread adjustments and spread-adjusted rates for cash 
products. ARRC, ARRC Announces Refinitiv as Publisher of its Spread 
Adjustment Rates for Cash Products (Mar. 17, 2021), https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/20210317-press-release-Spread-Adjustment-Vendor-Refinitiv.pdf. With respect 
to the transition tenor spread adjustment, Refinitiv has stated it 
will incorporate a two-week lookback period for SOFR (from June 19, 
2023, through June 30, 2023) in determining the difference between 
the Board-selected benchmark replacement and the corresponding LIBOR 
tenor as of the day before the LIBOR replacement date. Refinitiv 
Benchmark Servs. (UK) Ltd., USD IBOR Institutional Cash Fallbacks 
Benchmark, USD IBOR Consumer Cash Fallbacks (1 Week, 2 Months) 
Benchmark, USD IBOR Consumer Cash Fallbacks (1, 3, 6 Months) 
Prototype Methodology 11 (Jan. 3, 2022), https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/refinitiv-usd-ibor-cash-fallbacks-methodology.pdf. The Board believes this method 
of determining the difference between the Board-selected benchmark 
replacement and the corresponding LIBOR tenor as of June 30, 2023, 
is consistent with the provision in the LIBOR Act.
    \103\ See Sec.  253.4(b)(2)(iii) of the proposed rule. Refinitiv 
also has stated it will publish ``USD IBOR Cash Fallbacks'' for 
``Institutional'' products. These rates are expected to be 
consistent with the proposed rule's benchmark replacement for cash 
transactions that are not consumer loans. The Board observes that 
parties to cash transactions that are not consumer loans should be 
able to compute easily the proposed benchmark replacement and, if 
needed, verify that any vendor's reported rate (including that of 
Refinitiv) is consistent with that proposed replacement such that no 
provision similar to Sec.  253.4(b)(2)(iii) is needed for these 
transactions.
---------------------------------------------------------------------------

    The Board did not receive comments concerning the proposed Board-
selected benchmark replacement for cash transactions that are consumer 
loans. As a result, the final rule generally retains these provisions 
as proposed, including a provision deeming the ``USD IBOR Cash 
Fallbacks'' for ``Consumer'' products published by Refinitiv equal to 
the Board-selected benchmark replacement for these transactions.\104\
---------------------------------------------------------------------------

    \104\ See Sec.  253.4(b)(2) of the final rule.
---------------------------------------------------------------------------

b. Cash Transactions Involving Certain Entities Regulated by FHFA
    Since 2020, the Federal National Mortgage Association and the 
Federal Home Loan Mortgage Corporation--government-sponsored 
enterprises (GSEs) that are regulated by FHFA--have transitioned to 
using the 30-calendar-day compounded average of SOFR (30-day Average 
SOFR), as

[[Page 5215]]

published by the FRBNY,\105\ in their newly issued multifamily loans 
and other structured products. Consistent with those GSEs' current 
practices, the proposed rule would have selected as the benchmark 
replacement for LIBOR contracts involving those entities (i) in place 
of overnight LIBOR, SOFR, or in place of one-, three-, six, or 12-month 
tenors of LIBOR, 30-day Average SOFR; plus (ii) the applicable tenor 
spread adjustment specified in the LIBOR Act.\106\ Selection of this 
proposed benchmark replacement was expected to enhance liquidity for 
both newly issued and legacy LIBOR-based products issued by those 
GSEs.\107\
---------------------------------------------------------------------------

    \105\ Fed. Res. Bk. of NY, Additional Information about 
Reference Rates Administered by the New York Fed, https://www.newyorkfed.org/markets/reference-rates/additional-information-about-reference-rates#sofr_ai_calculation_methodology (last visited 
Nov. 29, 2022) (detailing the calculation methodology for the SOFR 
averages and index).
    \106\ See Sec.  253.4(b)(3) of the proposed rule.
    \107\ 87 FR 45268, 45276 (July 28, 2022).
---------------------------------------------------------------------------

    The proposed rule would have defined a ``government-sponsored 
enterprise (GSE),'' consistent with its definition under the Board's 
capital rule, 12 CFR 217.2, as ``an entity established or chartered by 
the U.S. government to serve public purposes specified by the U.S. 
Congress but whose debt obligations are not explicitly guaranteed by 
the full faith and credit of the U.S. government.'' \108\ The proposal 
would have defined the LIBOR contracts involving the GSEs that would 
use this benchmark replacement--termed a ``covered GSE contract''--as 
``a covered contract for which a GSE is identified as a party in the 
transaction documents and that is (i) a commercial or multifamily 
mortgage loan, (ii) a commercial or multifamily mortgage-backed 
security, (iii) a collateralized mortgage obligation, (iv) a credit 
risk transfer transaction, or (v) a Federal Home Loan Bank advance.'' 
\109\
---------------------------------------------------------------------------

    \108\ Section 253.2 of the proposed rule.
    \109\ Id.
---------------------------------------------------------------------------

    Multiple commenters opposed the proposed rule's definitions of 
``GSE'' and ``covered GSE contract'' as overly broad in light of the 
Board's stated intent to capture contracts involving entities regulated 
by FHFA.\110\ One commenter suggested that residential mortgage pass-
through certificates issued by the Federal Home Loan Mortgage 
Corporation should not be considered a ``covered GSE contract'' and 
should instead be considered a cash transaction that would transition 
to CME Term SOFR. Other commenters suggested that the Board-selected 
benchmark replacement for covered GSE contracts be a term SOFR rate 
rather than 30-day Average SOFR for several reasons: (i) that the ARRC 
did not recommend 30-day Average SOFR for contracts involving GSEs, 
(ii) that use of 30-day Average SOFR in advance could create volatility 
in earnings during periods of monetary policy activity; and (iii) that 
use of a term SOFR rate would avoid bifurcating the market and would be 
consistent with public statements made by the GSEs, including GSEs not 
regulated by FHFA. Another commenter--FHFA--generally supported the 
Board's proposal but suggested certain technical amendments to the 
definition of ``GSE-covered contract.''
---------------------------------------------------------------------------

    \110\ One of these commenters would prefer that LIBOR contracts 
involving the Federal Agricultural Mortgage Corporation (Farmer Mac) 
that reference one-, three-, six-, or 12-month LIBOR transition to 
the corresponding tenor of CME Term SOFR plus the applicable tenor 
spread adjustment specified in the LIBOR Act. This commenter noted 
that Farmer Mac does not use 30-day Average SOFR as a benchmark for 
its loan products or securities.
---------------------------------------------------------------------------

    The Board continues to believe that, with the exception of Federal 
Home Loan Bank advances, which are discussed further below, it is 
appropriate to replace references to one-, three-, six, or 12-month 
LIBOR in contracts involving entities regulated by FHFA with 30-day 
Average SOFR plus the applicable tenor spread adjustment specified in 
the LIBOR Act. In response to comments suggesting that the ``GSE'' 
definition was too broad and would cover entities that are not 
regulated by FHFA, the final rule replaces the terms ``GSE'' and 
``covered GSE contract'' with ``FHFA-regulated entity'' and ``FHFA-
regulated-entity contract''. ``FHFA-regulated entity'' is defined as 
having the same meaning as ``regulated entity'' in 12 U.S.C. 
4502(20).\111\ ``FHFA-regulated-entity contract'' is defined to mean 
``a LIBOR contract that is a commercial or multifamily mortgage loan 
that has been purchased or guaranteed, in whole or in part, by an FHFA-
regulated-entity, or for which an FHFA-regulated entity is identified 
as a party in the transaction documents, and that is (i) a commercial 
or multifamily mortgage-backed security (other than a security backed 
by consumer loans), (ii) a collateralized mortgage obligation, (iii) a 
credit risk transfer transaction, or (iv) a Federal Home Loan Bank 
advance.'' These narrower definitions more closely track SOFR contracts 
executed by FHFA-regulated entities without impacting LIBOR contracts 
of other GSEs.
---------------------------------------------------------------------------

    \111\ Section 253.2 of the final rule. Under 12 U.S.C. 4502(20), 
the term ``regulated entity'' means ``(A) the Federal National 
Mortgage Association and any affiliate thereof; (B) the Federal Home 
Loan Mortgage Corporation and any affiliate thereof; and (C) any 
Federal Home Loan Bank.''
---------------------------------------------------------------------------

    Similar to the proposal, the final rule identifies as the Board-
selected benchmark replacement for FHFA-regulated-entity contracts 
other than Federal Home Loan Bank advances (i) in place of overnight 
LIBOR, SOFR, or in place of one-, three-, six-, or 12-month tenors of 
LIBOR, 30-day Average SOFR; plus (ii) the applicable tenor spread 
adjustment specified in the LIBOR Act.\112\ Having consulted with FHFA, 
the Board believes that the final rule's Board-selected benchmark 
replacement rate should enhance liquidity for both newly issued and 
legacy LIBOR-based products issued by FHFA-regulated entities. In 
addition, concerning a commenter's request that any Board-selected 
benchmark replacement for a cash transaction be made available at low 
or no cost to credit unions and other not-for-profit institutions, the 
Board notes that 30-day Average SOFR is published by the Federal 
Reserve Bank of New York and available for free.
---------------------------------------------------------------------------

    \112\ See Sec.  253.4(b)(3) of the final rule; see also section 
253.2 of the final rule (defining ``30-day Average SOFR'').
---------------------------------------------------------------------------

    Federal Home Loan Bank advances. As noted, the proposed rule would 
have included Federal Home Loan Bank advances as ``covered GSE 
contracts'' for which references to one-, three-, six-, or 12-month 
tenors of LIBOR would be replaced with 30-day Average SOFR plus the 
applicable tenor spread adjustment specified in the LIBOR Act. One 
commenter recommended that references to one-, three-, six-, or 12-
month tenors of LIBOR in Federal Home Loan Bank advances be replaced 
with a rate based on daily average SOFR in arrears matching the 
Fallback Rate (SOFR) in the ISDA protocol, and not with a rate based on 
30-day Average SOFR. This commenter noted that, because the Federal 
Home Loan Banks utilize SOFR in-arrears indices for their established 
advance products, selection of the Fallback Rate (SOFR) in the ISDA 
protocol would align with the current practices of the Federal Home 
Loan Banks with respect to their advances.\113\ FHFA, the supervisor of 
the Federal Home Loan Banks, supported selection of the Fallback Rate 
(SOFR) in the ISDA protocol for an FHFA-regulated-entity contract that 
is a Federal Home Loan Bank advance.
---------------------------------------------------------------------------

    \113\ This commenter noted also that, since the Federal Home 
Loan Banks use the same rate for their funding and hedging programs, 
selection of the Fallback Rate (SOFR) in the ISDA protocol would 
have the added benefit of aligning its funding costs where such 
funding has been created using derivative transactions with its 
lending rate for advances.

---------------------------------------------------------------------------

[[Page 5216]]

    Having consulted with FHFA, the Board believes it would be 
appropriate to identify a separate benchmark replacement for FHFA-
regulated-entity contracts that are Federal Home Loan Bank advances so 
as to align the benchmark used in legacy contracts that are Federal 
Home Loan Bank advances with the current practices of the Federal Home 
Loan Banks. Therefore, the final rule identifies the Board-selected 
benchmark replacement for an FHFA-regulated-entity contract that is a 
Federal Home Loan Bank advance as the ``Fallback Rate (SOFR)'' in the 
ISDA protocol, as calculated under the ISDA protocol.\114\
---------------------------------------------------------------------------

    \114\ Section 253.4(b)(3) of the final rule. Concerning a 
commenter's request that any Board-selected benchmark replacement 
for a cash transaction be made available at low or no cost to credit 
unions and other not-for-profit institutions, the Board notes that, 
although use of the Fallback Rate (SOFR) is subject to certain 
licensing or other usage terms imposed by Bloomberg, Bloomberg 
presently waives usage fees for users with less than $5 billion of 
total assets and charges one annual license fee for use of its IBOR 
fallbacks data. See Bloomberg Prof'l Servs., IBOR Fallback Usage 
Terms (Sept. 27, 2021), https://assets.bbhub.io/professional/sites/27/ISDA-IBOR-Fallbacks-Web-Terms1.pdf. The asset threshold of $5 
billion applies to a user and its affiliates as one group and can be 
based on assets under management, the value of assets on its balance 
sheet, or another objective measure that Bloomberg may reasonably 
employ. Id.
---------------------------------------------------------------------------

    FFELP ABS. One group of commenters recommended that the Board 
identify a separate benchmark replacement for asset-backed securities 
that are predominantly secured by loans made under the FFELP that 
aligns with the LIBOR Act's amendments to FFELP special allowance 
payments related to those loans. Specifically, section 109 of the LIBOR 
Act amended the Higher Education Act of 1965 to indicate that, among 
other things, in instances where one-month LIBOR ceases or is non-
representative, special allowance payments shall be calculated using 
30-day Average SOFR rates.\115\ The Board did not receive any comments 
recommending against identification of a separate benchmark replacement 
for these contracts.
---------------------------------------------------------------------------

    \115\ 20 U.S.C. 1087-1(b)(2)(I)(viii).
---------------------------------------------------------------------------

    The Board believes it would be appropriate to identify a separate 
benchmark replacement for any asset-backed security for which more than 
50 percent of the collateral pool consists of FFELP loans, as reported 
in the most recent servicer report available on the LIBOR replacement 
date (defined in the final rule as ``Federal Family Education Loan 
Program (FFELP) asset-backed securitizations (ABS)'').\116\ The Board 
understands that outstanding FFELP ABS do not reference overnight 
LIBOR; therefore, the final rule identifies benchmark replacements for 
one-, three-, six-, and 12-month LIBOR only.\117\ Consistent with the 
comment received, the final rule identifies the benchmark replacement 
for a FFELP ABS as follows: (i) one-month LIBOR will be replaced with 
30-day Average SOFR plus the tenor spread adjustment specified in the 
LIBOR Act; (ii) three-month LIBOR will be replaced with 90-day Average 
SOFR plus the tenor spread adjustment specified in the LIBOR Act; and 
(iii) six- or 12-month LIBOR will be replaced with 30-day Average SOFR 
plus the applicable tenor spread adjustment specified in the LIBOR 
Act.\118\
---------------------------------------------------------------------------

    \116\ See Sec.  253.2 of the final rule.
    \117\ See Sec.  253.4(b)(4) of the final rule.
    \118\ Id. Concerning a commenter's request that any Board-
selected benchmark replacement for a cash transaction be made 
available at low or no cost to credit unions and other not-for-
profit institutions, the Board notes that 30-day Average SOFR and 
90-day Average SOFR are published by the Federal Reserve Bank of New 
York and available for free.
---------------------------------------------------------------------------

E. Section 253.5--Benchmark Replacement Conforming Changes

    The LIBOR Act authorizes the Board to require any additional 
technical, administrative, or operational changes, alterations, or 
modifications to LIBOR contracts based on a determination that such 
changes, alterations, or modifications would address one or more issues 
affecting the implementation, administration, and calculation of the 
Board-selected benchmark replacement in LIBOR contracts (conforming 
changes).\119\ The Board's proposed rule did not require any conforming 
changes, since it did not appear any additional conforming changes 
would be needed for successful implementation of the Board-selected 
benchmark replacements identified in the proposed rule. However, under 
the proposed rule, the Board reserved the authority, in its discretion, 
to require any additional conforming changes, by regulation or 
order.\120\
---------------------------------------------------------------------------

    \119\ 12 U.S.C. 5803(e).
    \120\ Section 253.5(a)(1) of the proposed rule.
---------------------------------------------------------------------------

    For clarity, the proposed rule also indicated that, with respect to 
a LIBOR contract that is not a consumer loan, a calculating person may 
make any additional technical, administrative, or operational changes, 
alterations or modifications that, in that person's reasonable 
judgment, would be necessary or appropriate to permit the 
implementation, administration, and calculation of the Board-selected 
benchmark replacement under or with respect to a LIBOR contract after 
giving due consideration to any changes, alterations, or modifications 
otherwise required by the Board under the proposed rule.\121\ This 
language in the proposed rule mirrored sections 103(4)(B) and 104(d) of 
the LIBOR Act.\122\
---------------------------------------------------------------------------

    \121\ Section 253.5(a)(2) of the proposed rule.
    \122\ See 12 U.S.C. 5802(4)(B), 5803(d).
---------------------------------------------------------------------------

    The Board did not receive any comments concerning the proposed 
rule's provisions mirroring sections 103(4)(B) and 104(d) of the LIBOR 
Act. Some commenters agreed with the Board that no additional 
conforming changes were necessary. One commenter urged the Board to 
consider whether some conforming changes may be appropriate for complex 
consumer loans, since the LIBOR Act does not provide for a calculating 
person to make additional conforming changes for such loans. Another 
commenter recommended the Board include as a conforming change a 
provision that, should the Board-selected benchmark replacement not be 
published on a given day, then the prior day's publication of the 
Board-selected benchmark replacement should be used. Several commenters 
requested conforming changes addressing provisions in LIBOR contracts 
that (i) specify a particular source where a LIBOR rate may be obtained 
(e.g., ``LIBOR as published in The Wall Street Journal''), (ii) specify 
a LIBOR rate in effect as of a particular time of day, (iii) require 
averaging of LIBOR over a period of time that spans the LIBOR 
replacement date, and (iv) define ``business day'' in a manner 
differently from the proposed rule.\123\
---------------------------------------------------------------------------

    \123\ As discussed in section IV.C, some commenters also 
requested conforming changes addressing provisions in LIBOR 
contracts that (i) specify rounding conventions, to the extent a 
particular source for the Board-selected benchmark replacement 
provides a different number of decimal places; and (ii) specify a 
lookback period that straddles the LIBOR replacement date. In the 
Board's view, it is clearer and more reasonable to indicate that 
these contractual provisions are unaffected by the final rule, 
rather than to include these as conforming changes.
---------------------------------------------------------------------------

    The final rule, like the proposed rule, includes provisions 
mirroring the language in sections 103(4) and 104(d) of the LIBOR Act, 
including the Board's ability to, in its discretion, publish additional 
benchmark replacement conforming changes, by regulation or order, and a 
calculating person's ability to make certain conforming changes with 
respect to a LIBOR contract that is not a consumer loan, consistent 
with the LIBOR Act.\124\ In response to comments, the final rule also 
specifies certain conforming changes and, consistent with the LIBOR 
Act, indicates that these conforming changes shall become an integral 
part of any LIBOR contract for

[[Page 5217]]

which the Board-selected benchmark replacement replaces the contract's 
references to LIBOR.\125\
---------------------------------------------------------------------------

    \124\ Section 253.5(a) of the final rule.
    \125\ Section 253.5(a) and (b) of the final rule.
---------------------------------------------------------------------------

    First, the final rule replaces references in a LIBOR contract to a 
specified source for LIBOR (such as a particular newspaper, website, or 
screen) with the publication of the applicable Board-selected benchmark 
replacement by either the relevant benchmark administrator for the 
applicable Board-selected benchmark replacement or any third party 
authorized by the relevant benchmark administrator to publish the 
applicable Board-selected benchmark replacement.\126\ Second, the final 
rule replaces references in a LIBOR contract to a particular time of 
day for determining LIBOR (such as 11:00 a.m. London time) with the 
standard publication time for the applicable Board-selected benchmark, 
as established by the relevant benchmark administrator.\127\ Third, the 
final rule modifies any provision of a LIBOR contract requiring use of 
a combination (such as an average) of LIBOR values over a period of 
time that spans the LIBOR replacement to provide that the combination 
shall be calculated consistent with that contractual provision using 
(i) the applicable LIBOR for any date prior to the LIBOR replacement 
date and (ii) the applicable Board-selected benchmark replacement for 
any date on or following the LIBOR replacement date, respectively.\128\ 
These conforming changes provide clarifications expressly requested by 
commenters.
---------------------------------------------------------------------------

    \126\ Section 253.5(b)(1) of the final rule.
    \127\ Section 253.5(b)(2) of the final rule.
    \128\ Section 253.5(b)(3) of the final rule.
---------------------------------------------------------------------------

    The final rule also provides, subject to Sec.  253.4(a) and 
(b)(3)(ii) of the final rule, that to the extent a Board-selected 
benchmark replacement is not available or published on a particular day 
indicated in the LIBOR contract as the determination date, the most 
recently available publication of the Board-selected benchmark 
replacement will apply.\129\ The Board believes this provision, 
together with Sec.  253.4(a) and (b)(3)(ii) of the final rule, 
addresses more directly an issue raised by a commenter concerning a 
provision of a LIBOR contract that defines ``business day'' differently 
from the final rule. A different definition of ``business day'' in the 
LIBOR contract could result in unavailability of the Board-selected 
benchmark replacement on the contractual determination date. This 
conforming change in the final rule would address that issue by 
directing parties to use the most recently available publication of the 
Board-selected benchmark replacement in the event the Board-selected 
benchmark replacement is not available or published on a particular day 
indicated in the LIBOR contract as the determination date, without 
affecting other provisions in the LIBOR contract that may refer to 
``business day'' for a different purpose.\130\
---------------------------------------------------------------------------

    \129\ Section 253.5(b)(4) of the final rule.
    \130\ Another commenter initially requested that the Board 
permit the Federal Home Loan Banks to identify conforming changes 
for Federal Home Loan Bank advances related to terms such as 
determination dates, reset dates, payment dates, calculation 
periods, and adjustment spreads to better reflect the economics of 
replacing LIBOR with its preferred benchmark replacement for Federal 
Home Loan Bank advances. The Board notes that, for LIBOR contracts 
other than consumer loans, the LIBOR Act and the final rule 
expressly authorize a calculating person to identify benchmark 
replacement conforming changes. Additionally, consistent with a 
subsequent suggestion from the same commenter, the final rule 
identifies the Fallback Rate (SOFR) as the Board-selected benchmark 
replacement for Federal Home Loan Bank advances.
---------------------------------------------------------------------------

F. Section 253.6--Preemption

    As noted, section 107 of the LIBOR Act expressly preempts any 
provision of state or local law relating to the selection or use of a 
benchmark replacement or related conforming changes, or expressly 
limiting the manner of calculating interest (including the compounding 
of interest) as that provision applies to the selection or use of a 
Board-selected benchmark replacement or benchmark replacement 
conforming changes.\131\ For clarity, Sec.  253.6 of the proposed rule 
referenced and repeated the statutory language concerning preemption of 
such state or local law, statute, rule, regulation, or standard by a 
final rule issued by the Board pursuant to the LIBOR Act.
---------------------------------------------------------------------------

    \131\ 12 U.S.C. 5806.
---------------------------------------------------------------------------

    The Board did not receive any comments on this section of the 
proposed rule. Therefore, the final rule retains this section as 
proposed.\132\
---------------------------------------------------------------------------

    \132\ Section 253.6 of the final rule.
---------------------------------------------------------------------------

G. Section 253.7--Continuity of Contract and Safe Harbor

    In its proposal, the Board noted that the LIBOR Act provides, among 
other things, certain statutory protections enumerated in section 105 
related to the selection and use of the Board-selected benchmark 
replacement.\133\ The Board viewed these provisions as self-executing 
and, therefore, did not believe it was necessary to include any 
provisions in the proposed rule reiterating these sections of the LIBOR 
Act. However, the Board invited comment on whether the Board should 
incorporate into the regulation the statutory protections in section 
105 of the LIBOR Act.
---------------------------------------------------------------------------

    \133\ 87 FR 45268, 45271 (July 28, 2022).
---------------------------------------------------------------------------

    Some commenters recommended that the final rule incorporate the 
statutory protections of section 105 of the LIBOR Act. Another 
commenter suggested that the Board expressly acknowledge in the final 
rule that section 105 of the LIBOR Act is self-executing and that 
nothing in the rule is intended to alter or modify the scope of those 
protections.
    Some commenters requested that the final rule expressly state, 
consistent with section 104(f)(6) of the LIBOR Act, that nothing in the 
final rule would alter or impair the rights or obligations of any 
person, or the authorities of any agency, under Federal consumer 
financial law, as defined in 12 U.S.C. 5481. One commenter suggested in 
the alternative that section 104(f)(6) of the LIBOR Act be expressly 
incorporated into the final rule. Consistent with the LIBOR Act, the 
Board affirms that the final rule does not affect any requirements 
imposed by any provision of Federal consumer financial law, as defined 
in 12 U.S.C. 5481.
    Having considered all of these comments, the Board's final rule 
includes a new section expressly stating that the provisions of section 
105(a)-(d) of the LIBOR Act shall apply to any LIBOR contract for which 
the Board-selected benchmark replacement becomes the benchmark 
replacement pursuant to Sec.  253.3(a) or (c) of the final rule.\134\ 
The section separately states that nothing in the final rule is 
intended to alter or modify the availability or effect of the 
provisions of section 105(e) of the LIBOR Act.\135\
---------------------------------------------------------------------------

    \134\ Section 253.7(a) of the final rule.
    \135\ Section 253.7(b) of the final rule.
---------------------------------------------------------------------------

V. Regulatory Analyses

A. Regulatory Flexibility Act

    The Regulatory Flexibility Act (RFA) (5 U.S.C. 601 et seq.) 
requires an agency to consider whether its rules will have a 
significant economic impact on a substantial number of small entities. 
Under the RFA, in connection with a final rule, an agency is generally 
required to publish a final regulatory flexibility analysis (FRFA), 
unless the head of the agency certifies that the rule will not have a 
significant economic impact on a substantial number of small entities 
and the agency publishes the factual basis supporting such 
certification. For the reasons described below, the Board certifies 
that the final rule will not have a significant economic impact on a 
substantial number of small entities.
    LIBOR is used in contracts subject to the LIBOR Act across all 
industries, and

[[Page 5218]]

the Board does not believe that it is feasible to provide an estimate 
of the number of small entities to which the final rule will 
apply.\136\ Given the broad coverage of the LIBOR Act, the Board 
expects that the number of small entities to which the final rule will 
apply could be significant for one or more classes of small 
entities.\137\ However, for the reasons described below, the Board does 
not believe that the rule will have a significant economic impact on a 
substantial number of small entities.
---------------------------------------------------------------------------

    \136\ The Board generally uses the industry-specific size 
standards adopted by the Small Business Administration for purposes 
of estimating the number of small entities to which a proposed rule 
would apply. See 13 CFR 121.201. As the Board stated in the initial 
regulatory flexibility analysis (IRFA) that was published with the 
proposed rule, parties to contacts subject to the LIBOR Act may 
include firms of any size and in any industry, and the Board does 
not believe that it has sufficient data to provide a reasonable 
estimate of the number of small entities to which the final rule 
would apply.
    \137\ The Board received one comment letter in response to the 
IRFA that asked the Board to consider conducting a survey of a 
representative sample of small businesses to determine whether and 
how the rule will affect them. The Board has considered this 
commenter's request, but in light of (i) the practical challenges 
associated with assembling a representative sample of small 
businesses across all sectors of the U.S. economy, (ii) the 
statutory deadline within which the Board must promulgate 
implementing regulations, and (iii) the Board's conclusion that the 
final rule will not have a significant economic impact on a 
substantial number of small entities, the Board has declined to 
follow this commenter's suggestion. The same commenter additionally 
recommend that the Board conduct a policy analysis illustrating the 
effect of the rule on small businesses, including an analysis of 
alternatives, and stated that the Board should grant an exemption 
from the rule for small businesses if the Board cannot determine how 
the rule will affect them. The LIBOR Act does not authorize the 
Board to grant exemptions from the LIBOR Act or the final rule. 
Elsewhere in this preamble, the Board has discussed the effect of 
the final rule on parties to LIBOR contracts and explained its 
reasoning in respect of the limited areas where the Board has 
discretion to adopt alternatives.
---------------------------------------------------------------------------

    As the Board stated in the IRFA that was published with the 
proposal, although section 110 of the LIBOR Act directs the Board to 
promulgate regulations to carry out the LIBOR Act, the Board's 
discretion under the LIBOR Act is limited to a small number of areas: 
(i) selecting SOFR-based benchmark replacements, (ii) determining any 
benchmark replacement conforming changes, and (iii) determining the 
LIBOR replacement date (in the event that any LIBOR tenor ceases or 
becomes nonrepresentative prior to the planned LIBOR cessation date).
    With respect to Board-selected benchmark replacements, the final 
rule establishes Board-selected benchmark replacements for six 
categories of LIBOR contracts.\138\ As required by the LIBOR Act, all 
of these Board-selected benchmark replacements are based on SOFR. 
Although the Board recognizes that there are some differences between 
the different versions of SOFR that the Board could have selected as a 
benchmark replacement for LIBOR, the Board believes that there is a 
basic economic equivalence between all SOFR-based benchmark 
replacements. This basic economic equivalence is reflected in the LIBOR 
Act itself, which requires the Board to adjust any Board-selected 
benchmark replacement to include the same statutorily prescribed tenor 
spread adjustments (except for the transition tenor spread adjustment 
for consumer loans). In addition, the Board was guided by voluntary 
market practices in selecting the Board-selected benchmark replacement 
for each category of LIBOR contracts. For example, the Board selected 
CME Term SOFR as the Board-selected benchmark replacement for most cash 
transactions in large part because the loan market has already 
transitioned from LIBOR to Term SOFR on a voluntary basis. Thus, the 
Board has exercised its discretion to select SOFR-based benchmark 
replacements in a way that will minimize market disruption. 
Accordingly, the Board does not believe that the Board's selection of a 
particular Board-selected benchmark replacement over an alternative 
SOFR-based rate for a particular category of LIBOR contracts is 
economically material.
---------------------------------------------------------------------------

    \138\ Specifically, as provided in Sec.  253.4 of the final 
rule, the Board has selected different benchmark replacements for 
(i) derivatives transactions (``Fallback Rate (SOFR)'' in the ISDA 
protocol), (ii) FHFA-regulated-entity contracts other than Federal 
Home Loan Bank advances (30-day Average SOFR), (iii) FHFA-regulated-
entity contracts that are Federal Home Loan Bank advances 
(``Fallback Rate (SOFR)'' in the ISDA protocol), (iv) FFELP ABS (30-
day Average SOFR and 90-day Average SOFR, as applicable), (v) 
consumer loans (CME Term SOFR), and (vi) all other transactions 
(i.e., cash transactions) (CME Term SOFR).
---------------------------------------------------------------------------

    With respect to benchmark replacement conforming changes, the final 
rule identifies a small number of benchmark replacement conforming 
changes based on feedback from commenters. Specifically, as provided in 
Sec.  253.5(b) of the final rule, the Board established benchmark 
replacement conforming changes related to (i) any reference to a 
specified source for LIBOR (such as a particular newspaper, website, or 
screen), (ii) any reference to a particular time of day for determining 
LIBOR, (iii) any provision of a LIBOR contract requiring the use of a 
combination of LIBOR values over a period of time that spans the LIBOR 
replacement date, and (iv) any provision of LIBOR contract specifying 
use of the most recently available publication of LIBOR for any day 
where LIBOR is not available or published. Because these benchmark 
replacement conforming changes are limited to technical, administrative 
changes to LIBOR contracts that facilitate the transition from LIBOR to 
the applicable Board-selected benchmark replacement, the Board does not 
believe that any of the benchmark replacement conforming changes will 
represent a material change to any LIBOR contract. To the contrary, the 
Board believes that these benchmark replacement conforming changes will 
provide clarity and reduce the possibility of disputes over the meaning 
of a LIBOR contract for which a Board-selected benchmark replacement 
becomes the benchmark replacement. Therefore, the Board believes that 
economic impact of these benchmark replacement conforming changes will 
be de minimis.
    With respect to determining the LIBOR replacement date, the Board 
did not propose, and the final rule does not include, a determination 
that any LIBOR tenor will cease or become nonrepresentative prior to 
the first London banking day after June 30, 2023.
    Beyond these three areas where the LIBOR Act expressly vests the 
Board with discretion, there is one additional aspect of the final rule 
in respect of which the Board has exercised discretion. Specifically, 
the Board in the final rule has interpreted the ambiguous statutory 
term ``determining person'' to include any person with sole authority, 
right, or obligation, including on a temporary basis, (as identified by 
the LIBOR contract or by the governing law of the LIBOR contract, as 
appropriate) to determine a benchmark replacement, whether or not the 
person's authority, right or obligation is subject to any contingencies 
specified in the LIBOR contract or by the governing law of the LIBOR 
contract. The Board's interpretation of ``determining person'' in the 
final rule does have implications for LIBOR contracts under the terms 
of which the determining person's authority would be triggered on or 
after the LIBOR replacement date (i.e., LIBOR contracts where a 
determining person's contractual authority arises when LIBOR becomes 
unavailable or non-representative).
    As discussed elsewhere in this preamble, section 104(c)(2) of the 
LIBOR Act creates a statutory right for a determining person to select 
the Board-selected benchmark replacement by the earlier of the LIBOR 
replacement date and the latest date for selecting a benchmark 
replacement according to

[[Page 5219]]

the terms of the LIBOR contract, and the Board's interpretation of 
``determining person'' clarifies that this statutory right is available 
to a determining person even if the determining person's contractual 
right to select a benchmark replacement is subject to any contingencies 
that have not yet occurred. If the determining person does not avail 
itself of this statutory right, then the LIBOR contract would be 
regarded on the LIBOR replacement date as a LIBOR contract for which 
the determining person has not selected a benchmark replacement, and 
thus, the applicable Board-selected benchmark replacement shall be the 
benchmark replacement for the LIBOR contract on and after the LIBOR 
replacement date under section 104(c)(3) of the LIBOR Act.\139\
---------------------------------------------------------------------------

    \139\ Alternatively, depending on the particular language of the 
LIBOR contract, the determining person may take the position that 
its authority to select a benchmark replacement under the terms of 
the LIBOR contract is triggered on the LIBOR replacement date, and 
select an alternative replacement benchmark on that date only. The 
LIBOR Act and the final rule generally do not apply to a LIBOR 
contract for which a determining person selects an alternative 
benchmark replacement.
---------------------------------------------------------------------------

    Alternatively, the Board could have construed ``determining 
person'' to include only persons whose right to select a benchmark 
replacement has already been triggered.\140\ Under this alternative 
interpretation, where a LIBOR contract authorizes a person to select a 
benchmark replacement subject to any contingencies that do not occur 
before the LIBOR replacement date, such person would be unable to use 
the statutory right to select the Board-selected benchmark replacement 
rate in advance. On the LIBOR replacement date, such contract would be 
regarded, as applicable, as a LIBOR contract that contains no fallback 
provisions (or contains fallback provisions that identify neither a 
specific benchmark replacement nor a determining person), or a LIBOR 
contract for which a determining person does not select a benchmark 
replacement, and thus, the applicable Board-selected benchmark 
replacement shall be the benchmark replacement for the LIBOR contract 
on and after the LIBOR replacement date under section 104(a) or section 
104(c)(3) of the LIBOR Act, respectively.\141\
---------------------------------------------------------------------------

    \140\ As explained elsewhere in the preamble, the alternative 
interpretation of ``determining person'' is not preferable because, 
under that interpretation, a person who has a right to select a 
benchmark replacement when LIBOR becomes unavailable or non-
representative would not become a determining person until the LIBOR 
replacement date--when LIBOR will actually become unavailable or 
non-representative. Accordingly, that person would need to wait 
until the LIBOR replacement date to exercise the statutory right 
under section 104(c)(1) and (c)(2) of the LIBOR Act to select the 
Board-selected benchmark replacement. The Board believes that this 
outcome--and the market disruption that would likely result from 
determining persons not selecting a benchmark replacement until the 
LIBOR replacement date--would be inconsistent with the Congressional 
intent to facilitate a smooth transition away from LIBOR and avoid 
disruptive litigation.
    \141\ Alternatively, depending on the particular language of the 
LIBOR contract, the determining person may take the position that 
its authority to select a benchmark replacement under the terms of 
the LIBOR contract is triggered on the LIBOR replacement date, and 
select a replacement benchmark on that date only. The LIBOR Act and 
the final rule generally do not apply to a LIBOR contract for which 
a determining person selects an alternative benchmark replacement.
---------------------------------------------------------------------------

    As demonstrated above, the Board's interpretation of ``determining 
person'' in the final rule may impact the timing of a determining 
person's selection but does not affect the ultimate benchmark 
replacement for contracts under the terms of which the determining 
person's authority is not triggered until on or after the LIBOR 
replacement date: Under either possible interpretation, the LIBOR 
contract would transition to the Board-selected benchmark replacement 
on and after the LIBOR replacement date.\142\ Accordingly, the Board 
does not believe its interpretation of ``determining person'' will have 
a material economic impact on any party to an affected LIBOR contract.
---------------------------------------------------------------------------

    \142\ But see supra notes 139 and 141.
---------------------------------------------------------------------------

    For the reasons discussed above, the Board believes that the 
economic impact of the final rule on small entities, including any 
particular class, will not be significant. Therefore, the Board is 
certifying that the final rule will not have a significant economic 
impact on a substantial number of small entities.

B. Paperwork Reduction Act

    In accordance with the Paperwork Reduction Act (PRA) of 1995 (44 
U.S.C. 3506; 5 CFR part 1320, appendix A.1), the Board may not conduct 
or sponsor, and a respondent is not required to respond to, an 
information collection unless it displays a valid Office of Management 
and Budget (OMB) control number. The Board reviewed both the proposed 
rule and the final rule under the authority delegated to the Board by 
the OMB and determined that it contains no collections of information 
under the PRA.\143\ Accordingly, there is no paperwork burden 
associated with the final rule. The Board received no comments 
concerning paperwork burden associated with the proposed rule.
---------------------------------------------------------------------------

    \143\ See 44 U.S.C. 3502(3).
---------------------------------------------------------------------------

C. Solicitation of Comments on Use of Plain Language

    Section 722 of the Gramm-Leach-Bliley Act (Pub. L. 106-102, 113 
Stat. 1338, 1471, 12 U.S.C. 4809) requires the Federal banking agencies 
to use plain language in all proposed and final rules published after 
January 1, 2000. The Board received no comments on these matters and 
believes that the final rule is written plainly and clearly.

D. Riegle Community Development and Regulatory Improvement Act of 1994

    Section 302(a) of the Riegle Community Development and Regulatory 
Improvement Act (the ``Riegle Act''), Public Law 103-325, generally 
requires that, in determining the effective date and administrative 
compliance requirements for new regulations that impose additional 
reporting, disclosure, or other requirements on insured depository 
institutions, a Federal banking agency must consider, consistent with 
the principle of safety and soundness and the public interest, any 
administrative burdens that such regulations would place on depository 
institutions, including small depository institutions, and customers of 
depository institutions, as well as the benefits of such 
regulations.\144\ In addition, section 302(b) of the Riegle Act 
requires new regulations and amendments to existing regulations that 
impose additional reporting, disclosures, or other new requirements on 
insured depository institutions generally shall take effect on the 
first day of a calendar quarter that begins on or after the date of 
publication in the Federal Register.\145\ This requirement concerning 
the effective date does not apply in certain limited cases, including 
(i) if the agency determines, for good cause published with the 
regulation, that the regulation should become effective before such 
time, and (ii) if the regulation is required to take effect on a 
different date pursuant to an act of Congress.\146\
---------------------------------------------------------------------------

    \144\ 12 U.S.C. 4802(a).
    \145\ 12 U.S.C. 4802(b).
    \146\ Id.
---------------------------------------------------------------------------

    The Board believes that, in this case, there is good cause for an 
earlier effective date. In particular, an earlier effective date gives 
determining persons, including any determining person that is an 
insured depository institution, additional time to use the statutory 
right to select the Board-selected benchmark replacement, rather than 
requiring the determining person to wait until at least April 1, 2023, 
to make such selection. For this reason, the Board believes that an 
earlier effective

[[Page 5220]]

date will increase certainty for parties to LIBOR contracts involving 
determining persons and will facilitate a smooth transition away from 
LIBOR after the LIBOR replacement date.
    In addition, prompt effectiveness of the rule is consistent with 
congressional intent.\147\
---------------------------------------------------------------------------

    \147\ 12 U.S.C. 4802(b)(1)(C); see also 12 U.S.C. 5807.
---------------------------------------------------------------------------

List of Subjects in 12 CFR Part 253

    Banks and banking, Interest rates.

Authority and Issuance

0
For the reasons stated in the preamble, the Board of Governors of the 
Federal Reserve System adds part 253 to 12 CFR chapter II to read as 
follows:

PART 253--REGULATIONS IMPLEMENTING THE ADJUSTABLE INTEREST RATE 
(LIBOR) ACT (REGULATION ZZ)

Sec.
253.1 Authority, purpose, and scope.
253.2 Definitions.
253.3 Applicability.
253.4 Board-selected benchmark replacements.
253.5 Benchmark replacement conforming changes.
253.6 Preemption.
253.7 Continuity of contract and safe harbor.
Appendix A to Part 253--ISDA Protocol

    Authority: 12 U.S.C. 5801 et seq.


Sec.  253.1  Authority, purpose, and scope.

    (a) Authority. The Board of Governors of the Federal Reserve System 
(Board) has issued this part (Regulation ZZ) under the authority of 
Public Law 117-103, division U (the ``Adjustable Interest Rate (LIBOR) 
Act''), codified at 12 U.S.C. 5801 et seq.
    (b) Purpose. The purposes of the Adjustable Interest Rate (LIBOR) 
Act are to establish a clear and uniform process, on a nationwide 
basis, for replacing the overnight and one-, three-, six-, and 12-month 
tenors of U.S. dollar LIBOR in existing contracts that do not provide 
for the use of a clearly defined or practicable replacement benchmark 
rate; to preclude litigation related to such existing contracts; to 
allow existing contracts that reference LIBOR but provide for the use 
of a clearly defined and practicable replacement rate to operate 
according to their terms; and to address LIBOR references in Federal 
law.\148\ This part implements the statute by defining terms used in 
the statute and identifying Board-selected benchmark replacements for 
LIBOR contracts.
---------------------------------------------------------------------------

    \148\ The act does not affect the ability of parties to use any 
appropriate benchmark rate in new contracts.
---------------------------------------------------------------------------

    (c) Scope. As described in Sec.  253.3, the Adjustable Interest 
Rate (LIBOR) Act and this part apply by their terms to existing 
contracts governed by Federal law or the law of any state that 
reference the overnight and one-, three-, six-, and 12-month tenors of 
U.S. dollar LIBOR and do not have fallback provisions providing for the 
use of a clearly defined and practicable replacement benchmark rate 
following the LIBOR replacement date, unless the parties to that 
contract agree in writing that the contract is not subject to the 
Adjustable Interest Rate (LIBOR) Act. This part does not apply to or 
affect existing or prospective contracts that do not reference the 
overnight or one-, three-, six-, or 12-month tenors of U.S. dollar 
LIBOR, and except as provided in Sec.  253.3(a)(1)(iii) and (c), 
generally does not apply to or affect LIBOR contracts that have 
fallback provisions providing for the use of a clearly defined and 
practicable replacement benchmark for LIBOR (either directly or through 
selection by a determining person), even if that rate differs from the 
otherwise applicable Board-selected benchmark replacement. Any 
determining person's selection of the applicable Board-selected 
benchmark replacement pursuant to Sec.  253.3(c) is subject to 
Sec. Sec.  253.4, 253.5 (including any benchmark replacement conforming 
changes made by a calculating person), 253.6, and 253.7.


Sec.  253.2  Definitions.

    30-day Average SOFR means the 30-calendar-day compounded average of 
SOFR, as published by the Federal Reserve Bank of New York or any 
successor administrator.
    90-day Average SOFR means the 90-calendar-day compounded average of 
SOFR, as published by the Federal Reserve Bank of New York or any 
successor administrator.
    Benchmark means an index of interest rates or dividend rates that 
is used, in whole or in part, as the basis of or as a reference for 
calculating or determining any valuation, payment, or other 
measurement.
    Benchmark administrator means a person that publishes a benchmark 
for use by third parties.
    Benchmark replacement means a benchmark, or an interest rate or 
dividend rate (which may or may not be based in whole or in part on a 
prior setting of LIBOR) to replace LIBOR or any interest rate or 
dividend rate based on LIBOR, whether on a temporary, permanent, or 
indefinite basis, under or with respect to a LIBOR contract.
    Benchmark replacement conforming change means any technical, 
administrative, or operational change, alteration, or modification 
that:
    (1) The Board determines, in its discretion, would address one or 
more issues affecting the implementation, administration, and 
calculation of the Board-selected benchmark replacement in LIBOR 
contracts; or
    (2) Solely with respect to a LIBOR contract that is not a consumer 
loan, in the reasonable judgment of a calculating person, are otherwise 
necessary or appropriate to permit the implementation, administration, 
and calculation of the Board-selected benchmark replacement under or 
with respect to a LIBOR contract after giving due consideration to any 
benchmark replacement conforming changes determined by the Board under 
paragraph (1) of this definition.
    Board-selected benchmark replacement means the benchmark 
replacements identified in Sec.  253.4.
    Business day means any day except for:
    (1) A Saturday;
    (2) A Sunday;
    (3) A day on which the Securities Industry and Financial Markets 
Association recommends that the fixed income departments of its members 
be closed for the entire day for purposes of trading in United States 
Government securities; or
    (4) A day on which the Federal Reserve Bank of New York, with 
advance notice, chooses not to publish its Treasury repurchase 
agreement reference rates if participants in the Treasury repurchase 
agreement market broadly expect to treat that day as a holiday.
    Calculating person means, with respect to any LIBOR contract, any 
person, including the determining person, responsible for calculating 
or determining any valuation, payment, or other measurement based on a 
benchmark.
    CME Term SOFR means the CME Term SOFR Reference Rates published for 
one-, three-, six-, and 12-month tenors as administered by CME Group 
Benchmark Administration, Ltd. (or any successor administrator 
thereof).
    Consumer has the same meaning as in section 103 of the Truth in 
Lending Act (15 U.S.C. 1602).
    Consumer loan means a consumer credit transaction.
    Credit has the same meaning as in section 103 of the Truth in 
Lending Act (15 U.S.C. 1602).
    Derivative transaction means a contract that would satisfy the 
criteria to be a ``Protocol Covered Document''

[[Page 5221]]

under the International Swaps and Derivatives Association (ISDA) 
protocol (see appendix A to this part) but for the fact that one or 
more parties to such contract is not an ``Adhering Party'' as such term 
is used in the ISDA protocol, provided that, for purposes of this 
definition, ``Protocol Effective Date'' as such term is used in the 
ISDA protocol means the LIBOR replacement date for the relevant LIBOR 
contract.
    Derivative transaction fallback observation day means the day that 
is two payment business days prior to the payment date for the relevant 
calculation period.
    Determining person means, with respect to any LIBOR contract, any 
person with the sole authority, right, or obligation, including on a 
temporary basis (as identified by the LIBOR contract or by the 
governing law of the LIBOR contract, as appropriate) to determine a 
benchmark replacement, whether or not the person's authority, right, or 
obligation is subject to any contingencies specified in the LIBOR 
contract or by the governing law of the LIBOR contract.
    Fallback provisions means terms in a LIBOR contract for determining 
a benchmark replacement, including any terms relating to the date on 
which the benchmark replacement becomes effective.
    Federal Housing Finance Agency (FHFA)-regulated entity has the same 
meaning as ``regulated entity'' in 12 U.S.C. 4502(20).
    Federal Family Education Loan Program (FFELP) asset-backed 
securitization (ABS) means an asset-backed security for which more than 
50 percent of the collateral pool consists of FFELP loans, as reported 
in the most recent servicer report available on the LIBOR replacement 
date.
    FHFA-regulated-entity contract means a LIBOR contract that is a 
commercial or multifamily mortgage loan that has been purchased or 
guaranteed, in whole or in part, by an FHFA-regulated entity, or for 
which an FHFA-regulated entity is identified as a party in the 
transaction documents, and that is:
    (1) A commercial or multifamily mortgage-backed security (other 
than a security backed by consumer loans);
    (2) A collateralized mortgage obligation;
    (3) A credit risk transfer transaction; or
    (4) A Federal Home Loan Bank advance.
    ISDA protocol means the ISDA 2020 IBOR Fallbacks Protocol published 
by the International Swaps and Derivatives Association, Inc., on 
October 23, 2020, and minor or technical amendments thereto (see 
appendix A to this part).
    LIBOR, as used in this part:
    (1) Means the overnight and one-, three-, six-, and 12-month tenors 
of U.S. dollar LIBOR (formerly known as the London interbank offered 
rate) as administered by ICE Benchmark Administration Limited (or any 
predecessor or successor administrator thereof); and
    (2) Does not include the one-week or two-month tenors of U.S. 
dollar LIBOR.
    LIBOR contract means any contract, agreement, indenture, 
organizational document, guarantee, mortgage, deed of trust, lease, 
security (whether representing debt or equity, including any interest 
in a corporation, a partnership, or a limited liability company), 
instrument, or other obligation or asset that, by its terms, uses LIBOR 
as a benchmark.
    LIBOR replacement date means the first London banking day after 
June 30, 2023, unless the Board determines that any LIBOR tenor will 
cease to be published or cease to be representative on a different 
date.
    Relevant benchmark administrator means:
    (1) Bloomberg Index Services Limited with respect to Fallback Rate 
(SOFR);
    (2) CME Group Benchmark Administration, Ltd. with respect to CME 
Term SOFR;
    (3) Refinitiv Limited with respect to the Board-selected benchmark 
replacement for a LIBOR contract that is a consumer loan; and
    (4) The Federal Reserve Bank of New York with respect to 30-day 
Average SOFR and 90-day Average SOFR.
    Security has the same meaning as in section 2(a) of the Securities 
Act of 1933 (15 U.S.C. 77b(a)).
    SOFR means the Secured Overnight Financing Rate published by the 
Federal Reserve Bank of New York or any successor administrator.
    State means any state, commonwealth, territory, or possession of 
the United States, the District of Columbia, the Commonwealth of Puerto 
Rico, the Commonwealth of the Northern Mariana Islands, American Samoa, 
Guam, or the United States Virgin Islands.


Sec.  253.3  Applicability.

    (a) General requirement. On and after the LIBOR replacement date, 
the applicable Board-selected benchmark replacement shall be the 
benchmark replacement for the following LIBOR contracts, except to the 
extent that an exception in paragraph (b) of this section applies:
    (1) A LIBOR contract with one of the following characteristics as 
of the LIBOR replacement date, after giving effect to paragraph (a)(2) 
of this section:
    (i) The LIBOR contract contains no fallback provisions;
    (ii) The LIBOR contract contains fallback provisions that identify 
neither--
    (A) A specific benchmark replacement; nor
    (B) A determining person; or
    (iii) The LIBOR contract contains fallback provisions that identify 
a determining person, but the determining person has not selected a 
benchmark replacement by the earlier of the LIBOR replacement date and 
the latest date for selecting a benchmark replacement according to the 
terms of the LIBOR contract, for any reason.
    (2) For purposes of this part, on the LIBOR replacement date, any 
reference in any fallback provisions of a LIBOR contract to the 
following shall be disregarded as if not included in the fallback 
provisions of such LIBOR contract and shall be deemed null and void and 
without any force or effect:
    (i) A benchmark replacement that is based in any way on any LIBOR 
value, except to account for the difference between LIBOR and the 
benchmark replacement; or
    (ii) A requirement that a person (other than a benchmark 
administrator) conduct a poll, survey, or inquiries for quotes or 
information concerning interbank lending or deposit rates (including, 
but not limited to, Eurodollar deposit or lending rates).
    (b) Exceptions. Notwithstanding paragraph (a) of this section, this 
part shall not apply to--
    (1) Any LIBOR contract that the parties have agreed in writing 
shall not be subject to the Adjustable Interest Rate (LIBOR) Act;
    (2) Any LIBOR contract that contains fallback provisions that 
identify a benchmark replacement that is not based in any way on any 
LIBOR value (including the prime rate or the effective Federal Funds 
rate) after application of paragraph (a)(2) of this section; or
    (3) Except as provided in paragraph (a)(2) or (a)(1)(iii) of this 
section, any LIBOR contract subject to paragraph (c) of this section as 
to which a determining person does not elect to use a Board-selected 
benchmark replacement pursuant to paragraph (c).
    (c) Selection of Board-selected benchmark replacement by 
determining person. Except for any LIBOR contract described in 
paragraph (b)(2) of this section, a determining person may select the 
Board-selected benchmark replacement specified in Sec.  253.4 as the 
benchmark replacement for a LIBOR contract. Any such selection shall 
be--

[[Page 5222]]

    (1) Irrevocable;
    (2) Made by the earlier of the LIBOR replacement date and the 
latest date for selecting a benchmark replacement according to the 
terms of the LIBOR contract; and
    (3) Used in any determinations of the benchmark under or with 
respect to the LIBOR contract occurring on and after the LIBOR 
replacement date.
    (d) Other provisions of LIBOR contracts unchanged. Except as 
provided in paragraph (a)(2) of this section and in Sec.  253.5, where 
the applicable Board-selected benchmark replacement becomes the 
benchmark replacement for a LIBOR contract on and after the LIBOR 
replacement date pursuant to paragraph (a) or (c) of this section, all 
other provisions of such contract shall not be altered or impaired and 
shall apply to such contract using the Board-selected benchmark 
replacement, including but not limited to:
    (1) Any provision specifying the date for determining a benchmark, 
except in the case of derivative transactions, which are subject to 
Sec.  253.4(a)(2), and Federal Home Loan Bank advances, which are 
subject to Sec.  253.4(b)(3)(ii)(B);
    (2) Any provision specifying rounding conventions for a benchmark;
    (3) Any provision referencing LIBOR or any LIBOR value prior to the 
LIBOR replacement date (including any provision requiring a person to 
look back to a LIBOR value as of a date preceding the LIBOR replacement 
date);
    (4) Any provision applying any cap, floor, modifier, or spread 
adjustment to which LIBOR had been subject pursuant to the terms of a 
LIBOR contract;
    (5) Any provision of Federal consumer financial law that--
    (i) Requires creditors to notify borrowers regarding a change-in-
terms; or
    (ii) Governs the reevaluation of rate increases on credit card 
accounts under open-ended (not home-secured) consumer credit plans; or
    (6) Except as provided in 12 U.S.C. 5804(c), the rights or 
obligations of any person, or the authorities of any agency, under 
Federal consumer financial law, as defined in 12 U.S.C. 5481.


Sec.  253.4  Board-selected benchmark replacements.

    (a) Derivative transactions. (1) A LIBOR contract subject to the 
requirements of this part that is a derivative transaction shall use 
the benchmark replacement identified as the ``Fallback Rate (SOFR)'' in 
the ISDA protocol (see appendix A to this part) for each day on which 
LIBOR would ordinarily be observed occurring on or after the LIBOR 
replacement date. For clarity, the reference to ``spread relating to 
U.S. dollar LIBOR'' in the definition of ``Fallback Rate (SOFR)'' in 
the ISDA protocol is equal to the applicable tenor spread adjustment 
identified in paragraph (c) of this section.
    (2) The benchmark replacement used to calculate the payment due for 
the relevant calculation period shall be determined on the derivative 
transaction fallback observation day in respect of the day that, under 
the LIBOR contract, would have been used to determine the LIBOR-based 
rate that is being replaced or, if the Board-selected benchmark 
replacement in respect of that day is not available on the derivative 
transaction fallback observation day, the most recently available 
publication on the derivative transaction fallback observation day 
shall be used.
    (b) All other transactions. On the LIBOR replacement date, a LIBOR 
contract subject to the requirements of this part that is not a 
derivative transaction shall use the following benchmark replacements:
    (1) For a LIBOR contract that is not a consumer loan, an FHFA-
regulated-entity contract, or a FFELP ABS--
    (i) In place of overnight LIBOR, the benchmark replacement shall be 
SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of 
this section; and
    (ii) In place of one-, three-, six-, or 12-month tenors of LIBOR, 
the benchmark replacement shall be the corresponding one-, three-, six-
, or 12-month CME Term SOFR plus the applicable tenor spread adjustment 
identified in paragraph (c) of this section.
    (2) For a LIBOR contract that is a consumer loan--
    (i) During the one-year period beginning on the LIBOR replacement 
date:
    (A) In place of overnight LIBOR, the benchmark replacement shall be 
SOFR plus an amount that transitions linearly for each business day 
during that period from:
    (1) The difference between SOFR and overnight LIBOR determined as 
of the day immediately before the LIBOR replacement date; to
    (2) The tenor spread adjustment identified in paragraph (c)(1) of 
this section; or
    (B) In place of the one-, three-, six-, or 12-month tenors of 
LIBOR, the benchmark replacement shall be the corresponding one-, 
three-, six-, or 12-month CME Term SOFR plus an amount that transitions 
linearly for each business day during that period from:
    (1) The difference between the relevant CME Term SOFR and the 
relevant LIBOR tenor determined as of the day immediately before the 
LIBOR replacement date; to
    (2) The applicable tenor spread adjustment identified in paragraph 
(c) of this section.
    (ii) On the date one year after the LIBOR replacement date and 
thereafter:
    (A) In place of overnight LIBOR, the benchmark replacement shall be 
SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of 
this section; and
    (B) In place of one-, three-, six-, or 12-month tenors of LIBOR, 
the benchmark replacement shall be the corresponding one-, three-, six-
, or 12-month CME Term SOFR plus the applicable tenor spread adjustment 
identified in paragraph (c) of this section.
    (iii) The rates published or provided by Refinitiv Limited as ``USD 
IBOR Cash Fallbacks'' for ``Consumer'' products shall be deemed equal 
to the rates identified in paragraphs (b)(2)(i) and (ii) of this 
section.
    (3) For a LIBOR contract that is an FHFA-regulated-entity 
contract--
    (i) For an FHFA-regulated-entity contract that is not a Federal 
Home Loan Bank advance--
    (A) In place of overnight LIBOR, the benchmark replacement shall be 
SOFR plus the tenor spread adjustment identified in paragraph (c)(1) of 
this section; and
    (B) In place of one-, three-, six-, or 12-month tenors of LIBOR, 
the benchmark replacement shall be the 30-day Average SOFR plus the 
applicable tenor spread adjustment identified in paragraph (c) of this 
section.
    (ii) For an FHFA-regulated-entity contract that is a Federal Home 
Loan Bank advance--
    (A) The benchmark replacement shall be the ``Fallback Rate (SOFR)'' 
in the ISDA protocol (see appendix A to this part) for each day on 
which LIBOR would ordinarily be observed occurring on or after the 
LIBOR replacement date. For clarity, the reference to ``spread relating 
to U.S. dollar LIBOR'' in the definition of ``Fallback Rate (SOFR)'' in 
the ISDA protocol is equal to the applicable tenor spread adjustment 
identified in paragraph (c) of this section.
    (B) The benchmark replacement used to calculate the payment due for 
the relevant calculation period shall be determined on the derivative 
transaction fallback observation day in respect of the day that, under 
the LIBOR contract, would have been used to determine the LIBOR-based 
rate that is being replaced or, if the Board-selected

[[Page 5223]]

benchmark replacement in respect of that day is not available on the 
derivative transaction fallback observation day, the most recently 
available publication on the derivative transaction fallback 
observation day shall be used.
    (4) For a LIBOR contract that is a FFELP ABS--
    (i) In place of one-month LIBOR, the benchmark replacement shall be 
30-day Average SOFR plus the tenor spread adjustment identified in 
paragraph (c)(2) of this section;
    (ii) In place of three-month LIBOR, the benchmark shall be 90-day 
Average SOFR plus the tenor spread adjustment identified in paragraph 
(c)(3) of this section; and
    (iii) In place of six- or 12-month tenors of LIBOR, the benchmark 
replacement shall be 30-day Average SOFR plus the tenor spread 
adjustment identified in paragraph (c)(4) or (5) of this section, as 
applicable.
    (c) Tenor spread adjustments. The following tenor spread 
adjustments shall be included as part of the Board-selected benchmark 
replacements as indicated in paragraphs (a) and (b) of this section:
    (1) 0.00644 percent for overnight LIBOR;
    (2) 0.11448 percent for one-month LIBOR;
    (3) 0.26161 percent for three-month LIBOR;
    (4) 0.42826 percent for six-month LIBOR; and
    (5) 0.71513 percent for 12-month LIBOR.


Sec.  253.5  Benchmark replacement conforming changes.

    (a) Benchmark replacement conforming changes generally. (1) If the 
Board-selected benchmark replacement becomes the benchmark replacement 
for a LIBOR contract pursuant to Sec.  253.3(a) or (c), all applicable 
benchmark replacement conforming changes shall become an integral part 
of the LIBOR contract.
    (2) Paragraph (b) of this section establishes specific benchmark 
replacement conforming changes. The Board may, in its discretion, 
publish additional benchmark replacement conforming changes by 
regulation or order.
    (3) Solely with respect to any LIBOR contract that is not a 
consumer loan, a calculating person may make any additional technical, 
administrative, or operational changes, alterations, or modifications 
that, in that person's reasonable judgment, would be necessary or 
appropriate to permit the implementation, administration, and 
calculation of the Board-selected benchmark replacement under or with 
respect to a LIBOR contract after giving due consideration to any 
changes, alterations, or modifications otherwise required by the Board, 
without any requirement to obtain consent from any other person prior 
to the adoption of such benchmark replacement conforming changes.
    (b) Specified benchmark replacement conforming changes. (1) Any 
reference to a specified source for LIBOR (such as a particular 
newspaper, website, or screen) shall be replaced with the publication 
of the applicable Board-selected benchmark replacement (inclusive or 
exclusive of the relevant tenor spread adjustment identified in Sec.  
253.4(c)) by either the relevant benchmark administrator for the 
applicable Board-selected benchmark replacement or any third party 
authorized by the relevant benchmark administrator to publish the 
applicable Board-selected benchmark replacement.
    (2) Any reference to a particular time of day for determining LIBOR 
(such as 11:00 a.m. London time) shall be replaced with the standard 
publication time for the applicable Board-selected benchmark 
replacement (inclusive or exclusive of the relevant tenor spread 
adjustment identified in Sec.  253.4(c)), as established by the 
relevant benchmark administrator.
    (3) Any provision of a LIBOR contract requiring use of a 
combination (such as an average) of LIBOR values over a period of time 
that spans the LIBOR replacement date shall be modified to provide that 
the combination shall be calculated consistent with that contractual 
provision using:
    (i) The applicable LIBOR for any date prior to the LIBOR 
replacement date; and
    (ii) The applicable Board-selected benchmark replacement rate for 
any date on or following the LIBOR replacement date, respectively.
    (4) Subject to Sec.  253.4(a) and (b)(3)(ii), to the extent a 
Board-selected benchmark replacement is not available or published on a 
particular day indicated in the LIBOR contract as the determination 
date, the most recently available publication of the Board-selected 
benchmark replacement will apply.


Sec.  253.6  Preemption.

    Pursuant to section 107 of the Adjustable Interest Rate (LIBOR) 
Act, 12 U.S.C. 5806, this part supersedes any provision of any state or 
local law, statute, rule, regulation, or standard--
    (a) Relating to the selection or use of a benchmark replacement or 
related conforming changes; or
    (b) Expressly limiting the manner of calculating interest, 
including the compounding of interest, as that provision applies to the 
selection or use of a Board-selected benchmark replacement or benchmark 
replacement conforming changes.


Sec.  253.7  Continuity of contract and safe harbor.

    (a) The provisions of section 105(a)-(d) of the Adjustable Interest 
Rate (LIBOR) Act, 12 U.S.C. 5804(a)-(d), shall apply to any LIBOR 
contract for which the Board-selected benchmark replacement becomes the 
benchmark replacement pursuant to Sec.  253.3(a) or (c).
    (b) Nothing in this part is intended to alter or modify the 
availability or effect of the provisions of section 105(e) of the 
Adjustable Interest Rate (LIBOR) Act, 12 U.S.C. 5804(e).

Appendix A to Part 253--ISDA Protocol

    For ease of reference, the Board is republishing, with 
permission, the full text of the ISDA 2020 IBOR Fallbacks Protocol 
(ISDA protocol), published on October 23, 2020, by the International 
Swaps and Derivatives Association, Inc. The full text of the ISDA 
protocol follows:

ISDA 2020 IBOR Fallbacks Protocol

Published on October 23, 2020

By the International Swaps and Derivatives Association, Inc.

    The International Swaps and Derivatives Association, Inc. (ISDA) 
has published this ISDA 2020 IBOR Fallbacks Protocol (this Protocol) 
to enable parties to Protocol Covered Documents to amend the terms 
of each such Protocol Covered Document to (i) in respect of a 
Protocol Covered Document which incorporates, or references a rate 
as defined in, a Covered ISDA Definitions Booklet, include in the 
terms of such Protocol Covered Document either the terms of, or a 
particular defined term included in, the Supplement to the 2006 ISDA 
Definitions, finalized on October 23, 2020 and to be published by 
ISDA and effective on January 25, 2021 (the IBOR Fallbacks 
Supplement) and (ii) in respect of a Protocol Covered Document which 
otherwise references a Relevant IBOR, include in the terms of such 
Protocol Covered Document new fallbacks for that Relevant IBOR.
    Accordingly, a party may adhere to this Protocol and be bound by 
its terms by completing and delivering a letter substantially in the 
form of Exhibit 1 to this Protocol (an Adherence Letter) to ISDA, as 
agent, as described below (each such party, an Adhering Party).

1. Adherence to and Effectiveness of the Protocol

    (a) By adhering to this Protocol in the manner set forth in this 
paragraph 1, each

[[Page 5224]]

Adhering Party agrees, in consideration of the mutual promises and 
covenants contained herein, that the terms of each Protocol Covered 
Document between such Adhering Party and any other Adhering Party 
will be amended in accordance with the terms and subject to the 
conditions set forth in the Attachment hereto.
    (b) Adherence to this Protocol will be evidenced by the 
execution and online delivery, in accordance with this paragraph, to 
ISDA, as agent, of an Adherence Letter (in accordance with 
subparagraphs 1(b)(i) to 1(b)(iii) below). ISDA shall have the 
right, in its sole and absolute discretion, upon at least thirty 
calendar days' notice on the ``ISDA 2020 IBOR Fallbacks Protocol'' 
section of its website at www.isda.org (or by other suitable means), 
to designate a closing date of this Protocol (such closing date, the 
Cut-off Date). After the Cut-off Date, ISDA will not accept any 
further Adherence Letters to this Protocol.
    (i) Each Adhering Party will access the ``Protocols'' section of 
the ISDA website at www.isda.org to enter information online that is 
required to generate its form of Adherence Letter and will submit 
payment of any applicable fee. Either by directly downloading the 
populated Adherence Letter from the Protocol system or upon receipt 
via email of the populated Adherence Letter, each Adhering Party 
will sign and upload the signed Adherence Letter as a PDF (portable 
document format) attachment into the Protocol system. Once the 
signed Adherence Letter has been approved and accepted by ISDA, such 
Adhering Party will receive an email confirmation of the Adhering 
Party's adherence to this Protocol.
    (ii) A conformed copy of each Adherence Letter containing, in 
place of each signature, the printed or typewritten name of each 
signatory will be published by ISDA so that it may be viewed by all 
Adhering Parties. Each Adhering Party agrees that, for evidentiary 
purposes, a conformed copy of an Adherence Letter certified by the 
General Counsel (or other appropriate officer) of ISDA will be 
deemed to be an original.
    (iii) Each Adhering Party agrees that the determination of the 
date and time of acceptance of any Adherence Letter will be 
determined by ISDA in its absolute discretion. Any Adherence Letter 
which is dated and delivered to ISDA before the date on which this 
Protocol is published will be deemed to have been delivered on the 
date on which this Protocol is published.
    (c) As between two Adhering Parties, the agreement to make the 
amendments contemplated by this Protocol, on the terms and 
conditions set forth in this Protocol, will be effective on the 
Implementation Date and that agreement will form part of each 
Protocol Covered Document from the later of the Implementation Date 
and the related Protocol Covered Document Date. The amendments 
contemplated by this Protocol shall be made on the later of (i) the 
Implementation Date and (ii) the Protocol Effective Date.
    (A) The Protocol Effective Date with respect to a Protocol 
Covered Document shall be January 25, 2021.
    (B) The Implementation Date with respect to any two Adhering 
Parties shall be the date of acceptance by ISDA, as agent, of an 
Adherence Letter (in accordance with paragraph 1(b) above) from the 
later of such two Adhering Parties to adhere except that:
    (I) In respect of any Protocol Covered Document into which an 
Agent has entered on behalf of a Client, subject to paragraph 3(m) 
below, the Implementation Date shall be the date specified in 
subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B), subparagraph 
3(g)(i)(C), paragraph 3(h), paragraph 3(i) or paragraph 3(j) below, 
as applicable; and
    (II) In respect of any Non-Agent Executed Protocol Covered 
Document, subject to paragraph 3(m) below, the Implementation Date 
shall be the day specified in paragraph 3(l) below.
    Acceptance by ISDA of a subsequent or revised Adherence Letter 
from either such Adhering Party will not have the effect of changing 
such Implementation Date.
    (d) This Protocol is intended for use without negotiation, but 
without prejudice to any amendment, modification or waiver in 
respect of a Protocol Covered Document that the parties may 
otherwise effect in accordance with the terms of that Protocol 
Covered Document.
    (i) In adhering to this Protocol, an Adhering Party may not 
specify additional provisions, conditions or limitations in its 
Adherence Letter.
    (ii) Any purported adherence that ISDA, as agent, determines in 
good faith is not in compliance with this Protocol will be void and 
ISDA will inform the relevant party of such fact as soon as 
reasonably possible after making such determination.
    (e) Each Adhering Party acknowledges and agrees that adherence 
to this Protocol is irrevocable, except that an Adhering Party may, 
after the Protocol Effective Date, deliver to ISDA, as agent, a 
notice substantially in the form of Exhibit 2 to this Protocol that 
is effective (determined pursuant to paragraph 3(f) below) on any 
Protocol Business Day (a Revocation Notice) to designate the next 
Revocation Date as the last date on which an Implementation Date can 
occur in respect of any Protocol Covered Document between the 
counterparty and such Adhering Party. Following the effective 
delivery of a Revocation Notice by an Adhering Party, this Protocol 
will not amend any Protocol Covered Document between that Adhering 
Party and another Adhering Party for which the Implementation Date 
would occur after the related Revocation Date.
    (i) If an Agent adheres to this Protocol on behalf of a Client, 
then, if the Client effectively delivers a Revocation Notice in 
accordance with this paragraph 1(e), this Protocol will not amend 
any Protocol Covered Document between another Adhering Party and 
that Client entered into by that Client itself or by the Agent on 
behalf of that Client or any Non-Agent Executed Protocol Covered 
Document (if applicable), in each case, for which the Implementation 
Date would occur after the Revocation Date designated as the last 
date on which an Implementation Date can occur in the Client's 
Revocation Notice.
    (ii) If an Agent delivers a Revocation Notice in accordance with 
this paragraph 1(e) on behalf of a Client and the Client separately 
adheres to this Protocol directly rather than through the agency of 
an Agent, then the Revocation Notice delivered by the Agent will not 
prevent an Implementation Date from occurring after the Revocation 
Date in respect of any Protocol Covered Document into which the 
Client has entered with another Adhering Party (including through 
the Agent).
    (iii) Subparagraph 1(e)(i), subparagraph 1(e)(ii) and 
subparagraph 1(e)(iii) are without prejudice to any amendment 
effected pursuant to this Protocol to any Protocol Covered Document 
between two Adhering Parties for which the Implementation Date 
occurred on or before the day on which that Revocation Date occurs 
or is deemed to occur, regardless of the date on which such Protocol 
Covered Document is entered into, and any such amendment shall be 
effective notwithstanding the occurrence or deemed occurrence of 
such Revocation Date.
    (iv) Each Revocation Notice must be delivered by the means 
specified in paragraph 3(f) below.
    (v) Each Adhering Party agrees that, for evidentiary purposes, a 
conformed copy of a Revocation Notice certified by the General 
Counsel or an appropriate officer of ISDA will be deemed to be an 
original.
    (vi) Any purported revocation that ISDA, as agent, determines in 
good faith is not in compliance with this paragraph 1(e) will be 
void and ISDA will inform the relevant party of such fact as soon as 
reasonably possible after making such determination.

2. Representations and Undertakings

    (a) As of the later of (i) the date on which an Adhering Party 
adheres to this Protocol in accordance with paragraph 1 above (which 
will be the date of acceptance by ISDA of an Adherence Letter from 
that Adhering Party (in accordance with paragraph 1(b) above)) and 
(ii) the Protocol Covered Document Date, such Adhering Party 
represents to each other Adhering Party with which it has entered 
into a Protocol Covered Document (which representations will be 
deemed to be repeated on the Protocol Effective Date and the 
Implementation Date if one or both such dates are later than the 
date on which such Adhering Party adheres to this Protocol) each of 
the following matters:
    (A) Status. It is, if relevant, duly organized and validly 
existing under the laws of the jurisdiction of its organization or 
incorporation and, if relevant under such laws, in good standing or, 
if it otherwise represents its status in or pursuant to the Protocol 
Covered Document, has such status.
    (B) Powers. It has the power to execute and deliver the 
Adherence Letter and to perform its obligations under the Adherence 
Letter and the Protocol Covered Document as amended by the Adherence 
Letter and this Protocol (including the Attachment hereto), and has 
taken all necessary action to authorize such execution, delivery and 
performance.
    (C) No Violation or Conflict. Such execution, delivery and 
performance do not violate or conflict with any law applicable to 
it, any provision of its constitutional documents, any order or 
judgment of any court or other agency of government

[[Page 5225]]

applicable to it or any of its assets or any contractual restriction 
binding on or affecting it or any of its assets.
    (D) Consents. All governmental and other consents that are 
required to have been obtained by it with respect to the Adherence 
Letter and the Protocol Covered Document, as amended by the 
Adherence Letter and this Protocol (including the Attachment 
hereto), have been obtained and are in full force and effect and all 
conditions of any such consents have been complied with.
    (E) Obligations Binding. Its obligations under the Adherence 
Letter and the Protocol Covered Document, as amended by the 
Adherence Letter and this Protocol (including the Attachment 
hereto), constitute its legal, valid and binding obligations, 
enforceable in accordance with their respective terms (subject to 
applicable bankruptcy, reorganization, insolvency, moratorium or 
similar laws affecting creditors' rights generally and subject, as 
to enforceability, to equitable principles of general application 
(regardless of whether enforcement is sought in a proceeding in 
equity or at law)).
    (F) Credit Support. Its adherence to this Protocol and any 
amendment contemplated by this Protocol (including the Attachment 
hereto) will not, in and of itself, adversely affect the 
enforceability, effectiveness or validity of any obligations owed, 
whether by it or by any third party, under any Credit Support 
Document or Third Party Credit Support Document in respect of its 
obligations relating to any Protocol Covered Document as amended by 
the Adherence Letter and this Protocol (including the Attachment 
hereto).
    (b) Each Adhering Party agrees with each other Adhering Party 
with which it has entered into a Protocol Covered Document that each 
of the foregoing representations will be deemed, in the case of a 
Protocol Covered Document that is an ISDA Master Agreement, to be a 
representation for purposes of Section 5(a)(iv) and in the case of 
any other Protocol Covered Document, to be a representation for 
purposes of any analogous provisions of each such Protocol Covered 
Document, that is made by each Adhering Party as of the later of (i) 
the date on which such Adhering Party adheres to this Protocol in 
accordance with paragraph 1 above and (ii) the Protocol Covered 
Document Date and which is deemed repeated on the Protocol Effective 
Date and the Implementation Date if one or both such dates are later 
than the date on which such Adhering Party adheres to this Protocol.
    (c) Undertakings in respect of Protocol Covered Documents with 
Third Party Credit Support Documents. With respect to Protocol 
Covered Documents with Third Party Credit Support Documents that 
expressly require the consent, approval, agreement, authorization or 
other action of a Third Party to be obtained, each Adhering Party 
whose obligations under such arrangements are secured, guaranteed or 
otherwise supported by such Third Party undertakes to each other 
Adhering Party with which it has entered into such arrangements that 
it has obtained the consent (including by way of paragraph 2(d) 
below), approval, agreement, authorization or other action of such 
Third Party and that it will, upon demand, deliver evidence of such 
consent, approval, agreement, authorization or other action to such 
other Adhering Party.
    (d) Deemed Third Party Consent. Each Adhering Party which is 
also a Third Party in relation to a Third Party Credit Support 
Document is hereby deemed to have consented to the amendments 
imposed by this Protocol on the Protocol Covered Document supported 
by such Third Party Credit Support Document.

3. Miscellaneous

    (a) Entire Agreement; Restatement; Survival.
    (i) This Protocol constitutes the entire agreement and 
understanding of the Adhering Parties with respect to its subject 
matter and supersedes all oral communication and prior writings 
(except as otherwise provided herein) with respect thereto. Each 
Adhering Party acknowledges that in adhering to this Protocol it has 
not relied on any oral or written representation, warranty or other 
assurance (except as provided for or referred to elsewhere in this 
Protocol or in the Attachment) and waives all rights and remedies 
which might otherwise be available to it in respect thereof, except 
that nothing in this Protocol will limit or exclude any liability of 
an Adhering Party for fraud.
    (ii) Except for any amendment deemed to be made pursuant to this 
Protocol in respect of any Protocol Covered Document, all terms and 
conditions of each Protocol Covered Document will continue in full 
force and effect in accordance with its provisions as in effect 
immediately prior to the date on which it first becomes subject to 
this Protocol. Except as explicitly stated in this Protocol, nothing 
herein shall constitute a waiver or release of any rights of any 
Adhering Party under any Protocol Covered Document to which such 
Adhering Party is a party or a provider or recipient of credit 
support. This Protocol will, with respect to its subject matter, 
survive, and any amendments made or deemed to be made pursuant to 
this Protocol will form a part of each Protocol Covered Document 
between the Adhering Parties, notwithstanding any statements in a 
Protocol Covered Document to the effect that such Protocol Covered 
Document constitutes the entire agreement and understanding between 
the parties to such Protocol Covered Document with respect to the 
subject of such Protocol Covered Document.
    (b) Exclusion of Agreements. Notwithstanding anything in 
paragraph 1(a) above, with respect to any agreement between Adhering 
Parties, if the parties to such agreement have expressly stated in 
such agreement or otherwise agreed in writing that this Protocol 
shall not apply, then such agreement shall not be a Protocol Covered 
Document.
    (c) Amendments. An amendment, modification or waiver in respect 
of the matters contemplated by this Protocol (including, for the 
avoidance of doubt, any amendment, modification or waiver relating 
to the alignment of a Protocol Covered Document with an instrument 
for which such Protocol Covered Document is intended to serve as a 
hedge (or vice versa)) will only be effective in respect of a 
Protocol Covered Document if made in accordance with the terms of 
the Protocol Covered Document and then only with effect between the 
parties to that Protocol Covered Document.
    (d) Headings. The headings used in this Protocol and any 
Adherence Letter are for convenience of reference only and are not 
to affect the construction of or to be taken into consideration in 
interpreting this Protocol or any Adherence Letter.
    (e) Governing Law. This Protocol and each Adherence Letter will, 
as between two Adhering Parties and in respect of each Protocol 
Covered Document between them, be governed by and construed in 
accordance with the laws of England and Wales, without reference to 
choice of law doctrine, provided that the amendments to each 
Protocol Covered Document shall be governed by and construed in 
accordance with the law specified to govern that Protocol Covered 
Document and otherwise in accordance with the applicable choice of 
law doctrine.
    (f) Notices. Any Revocation Notice must be in writing and 
delivered as a locked PDF (portable document format) attachment to 
an email to ISDA at [email protected] and will be deemed effectively 
delivered on the date it is delivered unless, on the date of that 
delivery, ISDA's London office is closed or that communication is 
delivered after 5:00 p.m., London time, in which case that 
communication will be deemed effectively delivered on the next day 
ISDA's London office is open.
    (g) Ability of an Agent to Adhere to the Protocol on Behalf of a 
Client.
    (i) An Agent may adhere to this Protocol:
    (A) On behalf of all Clients represented by such Agent (in which 
case, such Agent need not identify each Client through an online 
platform available generally to the industry, including, for 
example, the ISDA Amend platform provided by IHS Markit (a Platform) 
and, in respect of any Protocol Covered Document into which the 
Agent has entered on behalf of those Clients, the Implementation 
Date shall be the date of acceptance by ISDA of an Adherence Letter 
(in accordance with paragraph 1(b) above) from the later of the two 
Adhering Parties to adhere);
    (B) On behalf of only those Clients represented by such Agent 
that such Agent specifically names or identifies through a Platform 
and, in respect of any Protocol Covered Document into which the 
Agent has entered on behalf of any such Client, the Implementation 
Date shall be the date shown on the Platform as the date on which 
the Agent communicates the name or identity of that Client to the 
other Adhering Party (or, if later, the date of acceptance by ISDA, 
as agent, of an Adherence Letter from the other Adhering Party); or
    (C) On behalf of all Clients represented by such Agent, 
excluding any Clients whose name or identity the Agent communicates 
to the other Adhering Party through a Platform as a Client excluded 
from adherence, subject to subparagraph 3(h)(i) below, on or before 
the date of acceptance by ISDA of an Adherence Letter (in accordance 
with

[[Page 5226]]

paragraph 1(b) above) from the later of the two Adhering Parties to 
adhere (in which case, such Agent need not identify each Client on 
whose behalf it adheres through a Platform). In respect of any 
Protocol Covered Document into which the Agent has entered on behalf 
of any Client whose name or identity has not been communicated to 
the other Adhering Party through a Platform as a Client excluded 
from adherence, the Implementation Date shall (subject to 
subparagraph 3(h)(i) below) be the date of acceptance by ISDA of an 
Adherence Letter (in accordance with paragraph 1(b) above) from the 
later of the two Adhering Parties to adhere. If the Agent has not 
communicated the name or identity of any Clients excluded from 
adherence to the other Adhering Party through a Platform on or 
before the date of acceptance by ISDA of an Adherence Letter (in 
accordance with paragraph 1(b) above) from the later of the two 
Adhering Parties to adhere, then (subject to subparagraph 3(h)(i) 
below) in respect of any Protocol Covered Document into which the 
Agent has entered on behalf of any Client, the Implementation Date 
shall be the date of acceptance by ISDA of an Adherence Letter (in 
accordance with paragraph 1(b) above) from the later of the two 
Adhering Parties to adhere, and, in each case, if the Agent elects 
for Option 2 in its Adherence Letter, on behalf of those Clients 
whose name or identity the Agent communicates to the other Adhering 
Party through a Platform as being a Client in respect of which 
subparagraph 3(g)(ii)(B)(II) below applies (in which case, the 
Implementation Date in respect of any Non-Agent Executed Protocol 
Covered Document shall be as specified in subparagraph 3(l) below).
    (ii) In each case, the Agent can elect to apply the amendments 
in this Protocol to either:
    (A) In respect of all those Clients on whose behalf the Agent 
adheres pursuant to subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) 
or subparagraph 3(g)(i)(C) above, each Protocol Covered Document 
into which the Agent has entered on behalf of those Clients (Option 
1); or
    (B) In respect of all those Clients on whose behalf the Agent 
adheres pursuant to subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) 
or subparagraph 3(g)(i)(C) above, each Protocol Covered Document 
into which the Agent has entered on behalf of those Clients and (II) 
in respect of those Clients on whose behalf the Agent adheres whose 
name or identity the Agent communicates to the other Adhering Party 
through a Platform as being a Client in respect of which this 
subparagraph 3(g)(ii)(B)(II) applies, each Protocol Covered Document 
into which the Agent did not enter on behalf of those Clients but 
which the Agent has the authority from the relevant Client to amend 
(for the purpose of this Protocol, documents described in this 
subparagraph 3(g)(ii)(B)(II) being Non-Agent Executed Protocol 
Covered Documents and the date shown on the Platform as the date on 
which the Agent communicates the name or identity of the Client to 
the other Adhering Party for the purposes of this subparagraph 
3(g)(ii)(B)(II) being the Identification Date) (Option 2). If an 
Agent adheres to this Protocol and elects for Option 2, in respect 
of any Client on whose behalf the Agent adheres pursuant to 
subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 
3(g)(i)(C) above whose name or identity is communicated to the other 
Adhering Party as being a Client in respect of which subparagraph 
3(g)(ii)(B)(II) above applies, Protocol Covered Documents referred 
to in both subparagraph 3(g)(ii)(B)(I) and subparagraph 
3(g)(ii)(B)(II) above will be amended in accordance with the terms 
of this Protocol. For the avoidance of doubt, any Protocol Covered 
Document into which the Agent did not enter on behalf of a Client 
and which the Agent does not have the authority from the relevant 
Client to amend will not constitute a Non-Agent Executed Protocol 
Covered Document.
    (iii) The election for Option 1 or Option 2 shall be made in the 
Adherence Letter. Adherence by the Agent shall only be effective 
with respect to those Protocol Covered Documents described in Option 
1 or Option 2, as applicable, and as elected in the Adherence Letter 
(subject to, if the Agent elects for Option 2 and with respect to 
Non-Agent Executed Protocol Covered Documents,
    (A) Subparagraph 3(g)(iv) and paragraph 3(l) below and (B) the 
Agent communicating the name or identity of those Clients on behalf 
of which it is amending Non-Agent Executed Protocol Covered 
Documents to the other Adhering Party, in accordance with 
subparagraph 3(g)(ii)(B)(II) above (regardless of whether the Agent 
adheres to this Protocol using the approach described in 
subparagraph 3(g)(i)(A), subparagraph 3(g)(i)(B) or subparagraph 
3(g)(i)(C) above)).
    (iv) If an Agent adheres to this Protocol and elects for Option 
2 in its Adherence Letter, then, in respect of any Non-Agent 
Executed Protocol Covered Document only, the Agent shall, as soon as 
reasonably practicable following a written request (including by 
email) from the other Adhering Party, and in any event by no later 
than the end of the fifteenth calendar day following such request, 
provide reasonable evidence satisfactory to the other Adhering Party 
in its sole discretion supporting the Agent's authority to amend 
such documents, provided that:
    (A) If, prior to the date of acceptance by ISDA of an Adherence 
Letter (in accordance with paragraph 1(b) above) from the later of 
the Agent and the other Adhering Party to adhere, the Agent has 
delivered to the other Adhering Party a copy, or relevant extracts, 
of the agreement (such as an investment management agreement) 
pursuant to which the relevant Client appoints the Agent to act on 
its behalf and authorizes the Agent to make the amendments 
contemplated by this Protocol to the Non-Agent Executed Protocol 
Covered Document (whether or not such authority expressly refers to 
this Protocol), then, subject to the other Adhering Party's right to 
request (which request must be in writing (which includes by email)) 
an additional copy of that agreement or those relevant extracts 
(which request shall be made no later than the end of the fifteenth 
calendar day following the later of the Identification Date and the 
date of acceptance by ISDA, as agent, of an Adherence Letter from 
that other Adhering Party), the Agent need not provide any further 
evidence supporting its authority to amend that Non-Agent Executed 
Protocol Covered Document on behalf of that Client for the purposes 
of this Protocol and, in respect of that Non-Agent Executed Protocol 
Covered Document, shall be deemed to have provided reasonable 
evidence satisfactory to the other Adhering Party on (I) if the 
other Adhering Party does not request an additional copy of that 
agreement or those relevant extracts, the end of the fifteenth 
calendar day following the later of the Identification Date and the 
date of acceptance by ISDA, as agent, of an Adherence Letter from 
that other Adhering Party or
    (II) If the other Adhering Party does request an additional copy 
of that agreement or those relevant extracts, the day on which that 
additional copy is delivered to the other Adhering Party;
    (B) If the other Adhering Party does not request such evidence 
by the end of the fifteenth calendar day following the later of the 
Identification Date and the date of acceptance by ISDA, as agent, of 
an Adherence Letter from that other Adhering Party, then the Agent 
shall be deemed to have provided reasonable evidence satisfactory to 
the other Adhering Party at the end of that fifteenth calendar day;
    (C) Subject to subparagraph 3(g)(iv)(A) above, following the 
delivery of any such evidence by the Agent to the other Adhering 
Party, unless the other Adhering Party notifies the Agent to the 
contrary by the end of the fifteenth calendar day following the day 
on which such evidence is delivered, the Agent shall be deemed to 
have provided reasonable evidence satisfactory to the other Adhering 
Party at the end of that fifteenth calendar day;
    (D) If: (I)
    (I) following written request from the other Adhering Party, the 
Agent does not provide the other Adhering Party with any evidence 
supporting its authority to amend such documents or, if subparagraph 
3(g)(iv)(A) above applies, with an additional copy of the relevant 
agreement or extracts, by the end of the fifteenth calendar day 
following such written request; or
    (II) subject to subparagraph 3(g)(iv)(A) above, the other 
Adhering Party determines that the evidence provided by the Agent is 
not satisfactory and notifies the Agent accordingly by the end of 
the fifteenth calendar day following the day on which such evidence 
is delivered,
    Then request for evidence and the Agent's right to provide such 
evidence and, in respect of any such evidence, subject to 
subparagraph 3(g)(iv)(C) above, the Non-Agent Executed Protocol 
Covered Document shall not be amended by this Protocol; and
    (E) Any failure by the Agent to provide the other Adhering Party 
with such evidence shall not give rise to a Potential Event of 
Default or an Event of Default (each as defined in the ISDA Master 
Agreement), or any similar event, under that Non-Agent Executed 
Protocol Covered Document or other contractual right of action under 
this Protocol or that Non-Agent Executed Protocol Covered Document.

[[Page 5227]]

    (v) If an Agent adheres to this Protocol and specifically names 
or identifies one or more Clients
    (A) On whose behalf it is adhering (as contemplated in 
subparagraph 3(g)(i)(B) above), (B) which are excluded from 
adherence (as contemplated in subparagraph 3(g)(i)(C) above), and/or 
(C) on whose behalf it is amending Non-Agent Executed Protocol 
Covered Documents (as contemplated in subparagraph 3(g)(ii)(B)(II) 
above), as applicable, through a Platform, that Agent shall provide 
the legal entity identifier (LEI) of each such Client through such 
Platform.
    (vi) If an Agent adheres to this Protocol on behalf of a Client 
by executing and delivering an Adherence Letter on behalf of such 
Client in accordance with paragraph 1 above and this paragraph 3(g), 
references to the Adhering Party for purposes of this Protocol 
(including the Attachment hereto) and the Adherence Letter shall be 
interpreted to refer to such Client. If, in respect of a Client, 
more than one Adherence Letter is accepted by ISDA in accordance 
with paragraph 1(b) above (by virtue of the Client adhering on its 
own behalf and one or more Agents adhering on behalf of that 
Client), then:
    (A) If ISDA accepts an Adherence Letter from an Agent on behalf 
of a Client after it accepts an Adherence Letter from that Client, 
any document entered into by:
    (I) That Agent acting on behalf of that Client; or
    (II) If the Agent elects for Option 2 in its Adherence Letter, 
that Client on its own behalf but which the Agent has the authority 
from the relevant Client to amend, in each case, which has a 
Protocol Covered Document Date prior to:
    (1) The Protocol Effective Date; or
    (2) If later, the date of acceptance by ISDA, as agent, of an 
Adherence Letter from that Agent (or, if later, the date of 
acceptance by ISDA, as agent, of an Adherence Letter from the other 
Adhering Party), will be deemed to have ``a Protocol Covered 
Document Date prior to the Protocol Effective Date (or, if later, 
the date of acceptance by ISDA, as agent, of an Adherence Letter (in 
accordance with paragraph 1(b) above) from the later of the two 
Adhering Parties to adhere)'' for the purposes of the definitions of 
Protocol Covered Confirmation, Protocol Covered Credit Support 
Document and Protocol Covered Master Agreement below; and
    (B) If ISDA accepts an Adherence Letter from a Client after it 
accepts an Adherence Letter from an Agent on behalf of that Client, 
any document entered into by the Client, whether directly or through 
the agency of an Agent, which has a Protocol Covered Document Date 
prior to:
    (I) The Protocol Effective Date; or if later, the date of 
acceptance by ISDA, as agent, of an Adherence Letter from that 
Client (or, if later, the date of acceptance by ISDA, as agent, of 
an Adherence Letter from the other Adhering Party), will be deemed 
to have ``a Protocol Covered Document Date prior to the Protocol 
Effective Date (or, if later, the date of acceptance by ISDA, as 
agent, of an Adherence Letter (in accordance with paragraph 1(b) 
above) from the later of the two Adhering Parties to adhere)'' for 
the purposes of the definitions of Protocol Covered Confirmation, 
Protocol Covered Credit Support Document and Protocol Covered Master 
Agreement below.
    (vii) If an Agent adheres to this Protocol on behalf of a 
Client, then as of the later of (A) the date on which such Agent 
adheres to this Protocol in accordance with paragraph 1 above and 
(B) the Protocol Covered Document Date, such Agent represents to 
each Adhering Party (I) with which it has entered into a Protocol 
Covered Document on behalf of such Client or (II) which is a party 
to any Non-Agent Executed Protocol Covered Document (which 
representation will be deemed to be repeated on the Protocol 
Effective Date and on the Implementation Date if one or both such 
dates are later than the date on which such Agent adheres to this 
Protocol) that it has, as at the relevant Implementation Date, all 
necessary authority to enter into the Adherence Letter on behalf of 
such Client. In respect of any Client referred to in paragraph 3(h), 
paragraph 3(i), paragraph 3(j) or paragraph 3(k) below, the Agent 
represents that it has, as at the relevant Implementation Date, all 
necessary authority to apply the terms of the Adherence Letter to 
such Client.
    (h) Clients Added to an Agent Protocol Covered Document after 
the date of acceptance by ISDA of an Adherence Letter from the later 
of the Agent and the other Adhering Party to adhere.
    (i) Subject to subparagraph 3(h)(ii) below, in respect of any 
Client added to an Agent Protocol Covered Document between an Agent 
and an Adhering Party after the date of acceptance by ISDA of an 
Adherence Letter (in accordance with paragraph 1(b) above) from the 
later of the Agent and the other Adhering Party to adhere (a New 
Client), the Agent and such Adhering Party agree that the terms of 
such Agent Protocol Covered Document as between such Adhering Party 
and any New Client will be subject to the amendments effected by 
this Protocol and as between the Adhering Party and the New Client 
the Implementation Date shall be the date on which the New Client is 
added to the Agent Protocol Covered Document, unless otherwise 
agreed between such Agent and such Adhering Party (which agreement 
may, if the Agent adheres to this Protocol using the approach in 
subparagraph 3(g)(i)(C) above, be reached by the Agent communicating 
to the other Adhering Party through a Platform, at the time the New 
Client is added to the Agent Protocol Covered Document, that the New 
Client is excluded from adherence).
    (ii) If an Agent adheres to this Protocol using the approach 
described in subparagraph 3(g)(i)(B) above and therefore 
specifically names or identifies one or more Clients on whose behalf 
it is adhering, then in order for the terms of an Agent Protocol 
Covered Document as between an Adhering Party and any New Client to 
be subject to the amendments effected by this Protocol, the Agent 
shall communicate the identity of each New Client (including the 
legal entity identifier (LEI)) to the other Adhering Party which is 
a party to the Agent Protocol Covered Document to which the New 
Client is added through a Platform and, as between the other 
Adhering Party and that New Client, the Implementation Date shall be 
the date shown on the Platform as the date on which the Agent 
communicates the identity of that New Client to the other Adhering 
Party through that Platform.
    (i) Clients Added to an Agent's List of Identified In-Scope 
Clients after the date of Acceptance by ISDA of the Agent's 
Adherence Letter. If an Agent adheres to this Protocol using the 
approach described in subparagraph 3(g)(i)(B) above and therefore 
specifically names or identifies one or more Clients on whose behalf 
it is adhering, then for the purposes of subparagraph 3(g)(ii)(A) or 
3(g)(ii)(B)(I) above, as applicable, it may communicate the name or 
identity of additional Clients on whose behalf it is adhering 
(through a Platform) to another Adhering Party after the date of 
acceptance by ISDA, as agent, of its Adherence Letter and, as 
between that other Adhering Party and the additional Client, the 
Implementation Date shall be the date shown on the Platform as the 
date on which the Agent communicates the identity of that additional 
Client to the other Adhering Party through that Platform for those 
purposes (or, if later, the date of acceptance by ISDA, as agent, of 
an Adherence Letter from that other Adhering Party), unless 
otherwise agreed between such Agent and such Adhering Party.
    (j) Clients Removed from an Agent's List of Excluded Clients 
after the date of Acceptance by ISDA of the Agent's Adherence 
Letter. If an Agent adheres to this Protocol using the approach 
described in subparagraph 3(g)(i)(C) above and therefore 
specifically names or identifies one or more Clients as excluded 
from adherence, then for the purposes of subparagraph 3(g)(ii)(A) or 
3(g)(ii)(B)(I) above, as applicable, the Agent may, after the date 
of acceptance by ISDA, as agent, of its Adherence Letter, remove one 
or more of those Clients from its list of excluded Clients through a 
Platform and, as between any other Adhering Party and that Client, 
the Implementation Date shall be the date shown on the Platform as 
the date on which the Agent communicates to the other Adhering Party 
that the Client is removed from the list of excluded Clients (or, if 
later, the date of acceptance by ISDA, as agent, of an Adherence 
Letter from that other Adhering Party), unless otherwise agreed 
between such Agent and such Adhering Party.
    (k) Clients Added to an Agent's List of Clients in respect of 
which subparagraph 3(g)(ii)(B)(II) above applies. If an Agent 
adheres to this Protocol, elects for Option 2 in its Adherence 
Letter and therefore specifically names or identifies one or more 
Clients in respect of which subparagraph 3(g)(ii)(B)(II) above 
applies, then it may name or identify additional Clients in respect 
of which subparagraph 3(g)(ii)(B)(II) above applies (through a 
Platform) after the date of acceptance by ISDA, as agent, of its 
Adherence Letter.
    (l) Authority to amend Non-Agent Executed Protocol Covered 
Documents. If an Agent adheres to this Protocol and elects for 
Option 2 (as described in subparagraph 3(g)(ii) above), then, in 
respect of each Non-Agent Executed Protocol Covered Document, the 
Implementation Date shall be the day on

[[Page 5228]]

which the Agent is deemed to have provided evidence supporting the 
Agent's authority to amend such Non-Agent Executed Protocol Covered 
Document to the other Adhering Party pursuant to subparagraph 
3(g)(iv) above and, for the purposes of subparagraph 3(g)(iii) 
above, with respect to such Non-Agent Executed Protocol Covered 
Documents only, the Agent's adherence will be deemed effective on 
that day.
    (m) Implementation Date if both an Agent and a Client adhere to 
this Protocol or if more than one Agent adheres for a Client. If an 
Agent adheres to this Protocol and, in respect of a particular 
Client and a Protocol Covered Document into which the Agent has 
entered on behalf of that Client or a Non-Agent Executed Protocol 
Covered Document, there is, pursuant to the terms of this Protocol, 
more than one Implementation Date, then, notwithstanding any 
provision to the contrary in this Protocol, the Implementation Date 
shall be the first of those dates to occur.
    (n) Adhering Party that is an Agent with respect to a Protocol 
Covered Document. An Adhering Party that executes a Protocol Covered 
Document (including an annex thereto) as agent with respect to that 
Protocol Covered Document, shall not for purposes of this Protocol 
be considered to be a party to or to have entered into such Protocol 
Covered Document solely by acting as agent with respect to that 
Protocol Covered Document except as expressly provided therein.

4. Definitions

    References in this Protocol and the Attachment to the following 
terms shall have the following meanings:
    Additional Credit Support Document means the documents (which, 
for the avoidance of doubt, shall be deemed to include any annexes 
or appendices thereto) set out in Part 2 of the Additional Documents 
Annex to this Protocol.
    Additional Master Agreement means the documents (which, for the 
avoidance of doubt, shall be deemed to include any annexes or 
appendices thereto) set out in Part 1 of the Additional Documents 
Annex to this Protocol.
    Adherence Letter has the meaning given to such term in the 
introductory paragraphs hereof.
    Adhering Party has the meaning given to such term in the 
introductory paragraphs hereof, as construed in accordance with 
subparagraph 3(g)(vi) above where relevant.
    Agent means an entity that enters into a Protocol Covered 
Document (or which has the authority to amend a Non-Agent Executed 
Protocol Covered Document) and executes and delivers an Adherence 
Letter with respect to this Protocol on behalf of, and as agent for, 
one or more Clients. With respect to paragraph 3(h) above, Agent 
also means an entity that enters into a Protocol Covered Document 
and executes and delivers an Adherence Letter pursuant to 
subparagraph 3(g)(i) above solely for purposes of amending such 
agreements to which New Clients may be added under paragraph 3(h) 
above.
    Agent Protocol Covered Document means any Protocol Covered 
Document signed by the Agent on behalf of one or more Clients prior 
to the Protocol Effective Date (or, if later, the date of acceptance 
by ISDA, as agent, of an Adherence Letter (in accordance with 
paragraph 1(b) above) from the later of the Agent and the other 
Adhering Party to adhere), including any agreement that is signed as 
an umbrella agreement by an Agent and an Adhering Party prior to the 
Protocol Effective Date (or, if later, the date of acceptance by 
ISDA, as agent, of an Adherence Letter (in accordance with paragraph 
1(b) above) from the later of the Agent and the other Adhering Party 
to adhere) which would be a Protocol Covered Document but for the 
absence of any underlying Client which is an Adhering Party.
    Client means, with respect to an Agent, a client, investor, 
fund, account and/or other principal on whose behalf the Agent acts.
    Confirmation means, in respect of a transaction, one or more 
documents or other confirming evidence exchanged between the parties 
or otherwise effective for the purpose of confirming or evidencing 
the transaction.
    Covered ISDA Definitions Booklet means each of the 2006 ISDA 
Definitions, the 2000 ISDA Definitions, the 1998 ISDA Euro 
Definitions, the 1998 Supplement to the 1991 ISDA Definitions and 
the 1991 ISDA Definitions, each as published by ISDA.
    Credit Support Document means, in respect of an Adhering Party 
and a Protocol Covered Document, any document in effect on the 
Implementation Date, which by its terms secures, guarantees or 
otherwise supports such Adhering Party's obligations under such 
Protocol Covered Document from time to time, whether or not such 
document is specified as such therein or in the Protocol Covered 
Document.
    Cut-off Date has the meaning given to such term in paragraph 
1(b) above.
    IBOR Fallbacks Supplement has the meaning given to such term in 
the introductory paragraphs hereof.
    Identification Date has the meaning given to such term in 
subparagraph 3(g)(ii)(B)(II) above.
    Implementation Date has the meaning given to such term in 
subparagraph 1(c)(B) above.
    ISDA has the meaning given to such term in the introductory 
paragraphs hereof.
    ISDA Credit Support Document means each of the following 
documents:
    (a) 1994 ISDA Credit Support Annex (Bilateral Form; ISDA 
Agreements Subject to New York Law Only);
    (b) 1995 ISDA Credit Support Annex (Bilateral Form--Transfer; 
ISDA Agreements Subject to English law);
    (c) 1995 ISDA Credit Support Deed (Bilateral Form--Security 
Interest; ISDA Agreements Subject to English Law);
    (d) 1995 ISDA Credit Support Annex (Bilateral Form--Loan and 
Pledge; Security Interest Subject to Japanese Law);
    (e) 1995 ISDA Credit Support Annex (Bilateral Form--Transfer; 
ISDA Agreement Subject to French Law);
    (f) 1995 ISDA Credit Support Annex (Bilateral Form--Transfer; 
ISDA Agreement Subject to Irish Law);
    (g) 2008 ISDA Credit Support Annex (Loan/Japanese Pledge);
    (h) 2013 Standard Credit Support Annex (New York Law);
    (i) 2013 Standard Credit Support Annex (English Law);
    (j) 2014 Standard Credit Support Annex (New York Law--
Multicurrency Settlement);
    (k) 2014 Standard Credit Support Annex (English Law--
Multicurrency Settlement);
    (l) 2014 ISDA Korean Law Credit Support Annex (Bilateral Form--
Loan and Pledge; Credit Support Annex Subject to Korean Law);
    (m) 2016 Credit Support Annex for Variation Margin (VM) 
(Bilateral Form; ISDA Agreements Subject to New York Law Only), 
including any such form entered into between the Parties pursuant to 
the ISDA 2016 Variation Margin Protocol;
    (n) 2016 Credit Support Annex for Variation Margin (VM) 
(Bilateral Form--Transfer; ISDA Agreements Subject to English Law), 
including any such form entered into between the Parties pursuant to 
the ISDA 2016 Variation Margin Protocol;
    (o) 2016 Credit Support Annex for Variation Margin (VM) 
(Bilateral Form--Loan; ISDA Agreements Subject to Japanese Law), 
including any such form entered into between the Parties pursuant to 
the ISDA 2016 Variation Margin Protocol;
    (p) 2016 Credit Support Annex for Variation Margin (VM) 
(Bilateral Form--Transfer; ISDA Agreements Subject to French Law); 
or
    (q) 2016 Credit Support Annex for Variation Margin (VM) 
(Bilateral Form--Transfer; ISDA Agreements Subject to Irish Law).
    ISDA Master Agreement means an ISDA 2002 Master Agreement, an 
ISDA 2002 Master Agreement (French law), an ISDA 2002 Master 
Agreement (Irish law), a 1992 ISDA Master Agreement (Multicurrency--
Cross Border), a 1992 ISDA Master Agreement (Local Currency--Single 
Jurisdiction), a 1987 ISDA Interest Rate Swap Agreement or a 1987 
ISDA Interest Rate and Currency Exchange Agreement, in each case as 
published by ISDA.
    Master Agreement means an agreement which may be an ISDA Master 
Agreement or an Additional Master Agreement that has been entered 
into (a) by execution by the parties thereto (whether directly or 
through the agency of an Agent) or (b) by execution by the parties 
thereto (whether directly or through the agency of an Agent) of a 
Confirmation pursuant to which a party is deemed to have entered 
into an ISDA Master Agreement or an Additional Master Agreement with 
the other party.
    New Client has the meaning given to such term in paragraph 
3(h)(i) above.
    Non-Agent Executed Protocol Covered Documents has the meaning 
given to such term in subparagraph 3(g)(ii)(B)(II) above.
    Platform has the meaning given to such term in paragraph 
3(g)(i)(A) above.
    Protocol has the meaning given to such term in the introductory 
paragraphs hereof.
    Protocol Business Day means a day following the Protocol 
Effective Date on which commercial banks and foreign exchange 
markets are generally open to settle payments in both London and New 
York.
    Protocol Covered Confirmation means, subject to subparagraph 
3(g)(vi) above, a

[[Page 5229]]

Confirmation which is entered into between two Adhering Parties 
(whether directly or through the agency of an Agent and, if through 
the agency of an Agent, whether executed by that Agent or by an 
entity on behalf of that Agent), has a Protocol Covered Document 
Date prior to the Protocol Effective Date (or, if later, the date of 
acceptance by ISDA, as agent, of an Adherence Letter (in accordance 
with paragraph 1(b) above) from the later of the two Adhering 
Parties to adhere) and:
    (a) supplements, forms part of and is subject to, or is 
otherwise governed by, a Master Agreement and incorporates a Covered 
ISDA Definitions Booklet;
    (b) supplements, forms part of and is subject to, or is 
otherwise governed by, a Master Agreement and references a Relevant 
IBOR ``as defined'' in, or otherwise provides that the Relevant IBOR 
has the meaning given in, a Covered ISDA Definitions Booklet 
(regardless of whether such Covered ISDA Definitions Booklet is 
incorporated in full in that Confirmation); and/or
    (c) supplements, forms part of and is subject to, or is 
otherwise governed by, a Master Agreement and references a Relevant 
IBOR, howsoever defined.
    Protocol Covered Credit Support Document \1\ means, subject to 
subparagraph 3(g)(vi) above, any ISDA Credit Support Document or 
Additional Credit Support Document which is entered into between two 
Adhering Parties (whether directly or through the agency of an Agent 
and, if through the agency of an Agent, whether executed by that 
Agent or by an entity on behalf of that Agent), has a Protocol 
Covered Document Date prior to the Protocol Effective Date (or, if 
later, the date of acceptance by ISDA, as agent, of an Adherence 
Letter (in accordance with paragraph 1(b) above) from the later of 
the two Adhering Parties to adhere) and:
    (a) Incorporates a Covered ISDA Definitions Booklet;
    (b) References a Relevant IBOR ``as defined'' in, or otherwise 
provides that the Relevant IBOR has the meaning given in, a Covered 
ISDA Definitions Booklet (regardless of whether such Covered ISDA 
Definitions Booklet is incorporated in full in that ISDA Credit 
Support Document or Additional Credit Support Document); and/or
    (c) References a Relevant IBOR, howsoever defined.

    \1\ Note that the parties to any credit support document that is 
amended by the Protocol should consider whether they need to take 
any steps to reconfirm or retake any security or otherwise satisfy 
any formalities under or in connection with the relevant credit 
support document as a result of the amendment made by the Protocol.

    Protocol Covered Document Date means, in respect of any 
document, the date of such document, howsoever described therein, 
provided that (a) if such document has different dates specified 
therein, one of which includes a date specified as an ``as of'' 
date, such date shall be the Protocol Covered Document Date, and (b) 
if such document is a Confirmation (other than a master confirmation 
agreement, including any related general terms confirmation), the 
Protocol Covered Document Date shall be the Trade Date.
    Protocol Covered Documents means Protocol Covered Confirmations, 
Protocol Covered Master Agreements and Protocol Covered Credit 
Support Documents, other than any such documentation governing 
cleared transactions (including any transactions that are ``Client 
Transactions'' (or in substance equivalent) under a 2016 ISDA/FIA 
Client Cleared OTC Derivatives Addendum or any agreement that in 
substance relates to the same matters as those contemplated by the 
2016 ISDA/FIA Client Cleared OTC Derivatives Addendum between a 
clearing member and its client).
    Protocol Covered Master Agreement means, subject to subparagraph 
3(g)(vi) above, a Master Agreement which is entered into (or deemed 
entered into) between two Adhering Parties (whether directly or 
through the agency of an Agent and, if through the agency of an 
Agent, whether executed by that Agent or by an entity on behalf of 
that Agent), has a Protocol Covered Document Date prior to the 
Protocol Effective Date (or, if later, the date of acceptance by 
ISDA, as agent, of an Adherence Letter (in accordance with paragraph 
1(b) above) from the later of the two Adhering Parties to adhere) 
and:
    (a) Incorporates a Covered ISDA Definitions Booklet;
    (b) References a Relevant IBOR ``as defined'' in, or otherwise 
provides that the Relevant IBOR has the meaning given in, a Covered 
ISDA Definitions Booklet (regardless of whether such Covered ISDA 
Definitions Booklet is incorporated in full in that Master 
Agreement); and/or
    (c) References a Relevant IBOR, howsoever defined.
    Protocol Effective Date has the meaning given to such term in 
subparagraph 1(c)(A) above.
    Relevant IBOR means:
    (a) Any of sterling LIBOR (London interbank offered rate), Swiss 
franc LIBOR (London interbank offered rate), U.S. dollar LIBOR 
(London interbank offered rate), euro LIBOR (London interbank 
offered rate), the euro interbank offered rate, Japanese yen LIBOR 
(London interbank offered rate), the Japanese yen Tokyo interbank 
offered rate, the euroyen Tokyo interbank offered rate, the bank 
bill swap rate, the Canadian dollar offered rate, the Hong Kong 
interbank offered rate, the Singapore dollar swap offer rate and the 
Thai baht interest rate fixing; and
    (b) LIBOR (London interbank offered rate) with no reference to, 
or indication of, the currency of the relevant LIBOR (London 
interbank offered rate) (including, for the avoidance of doubt, the 
reference in Section 7.3 (Corrections to Published Prices) of the 
2005 ISDA Commodity Definitions to ``the spot offered rate for 
deposits in the payment currency in the London interbank market as 
at approximately 11:00 a.m., London time''), in each case, howsoever 
defined or described (whether in English or in any other language) 
in the relevant Protocol Covered Document.
    Revocation Date means, with respect to a Revocation Notice and 
an Adhering Party, the last Protocol Business Day of the calendar 
month following the calendar month in which that Revocation Notice 
is effectively delivered by that Adhering Party to ISDA.
    Revocation Notice has the meaning given to such term in 
paragraph 1(e) above.
    Third Party means, in relation to an agreement supported by a 
Third Party Credit Support Document, any party to such Third Party 
Credit Support Document other than either of the Adhering Parties 
which are parties to the agreement.
    Third Party Credit Support Document means, with respect to an 
Adhering Party and a Protocol Covered Document, any Credit Support 
Document which is executed by one or more Third Parties (whether or 
not an Adhering Party is a party thereto), whether or not such 
document is specified as a Third Party Support Document or as a 
Credit Support Document therein or in the Protocol Covered Document.
    Trade Date means, in respect of a Protocol Covered Confirmation 
(other than a master confirmation agreement, including any related 
general terms confirmation), the date on which the parties enter 
into the related transaction.

Exhibit 1 to the ISDA 2020 IBOR Fallbacks Protocol

Form of Adherence Letter

-----------------------------------------------------------------------

[Letterhead of Adhering Party]

[Date]

International Swaps and Derivatives Association, Inc.

Ladies and Gentlemen,

ISDA 2020 IBOR Fallbacks Protocol

    The purpose of this letter is to confirm our adherence to the 
ISDA 2020 IBOR Fallbacks Protocol as published by the International 
Swaps and Derivatives Association, Inc. (ISDA) on October 23, 2020 
(the Protocol). By submitting this Adherence Letter, we confirm that 
we are an Adhering Party to the Protocol. This letter constitutes, 
as between each other Adhering Party and us, an Adherence Letter as 
referred to in the Protocol. The definitions and provisions 
contained in the Protocol are incorporated into this Adherence 
Letter, which will supplement and form part of each Protocol Covered 
Document between us and each other Adhering Party.

1. Specified Terms for Adhering Party as Principal

    As between each Adhering Party and us, we acknowledge and agree 
that the amendments in the Attachment to the Protocol shall apply to 
each Protocol Covered Document to which we are a party in accordance 
with the terms of the Protocol and this Adherence Letter.

2. Appointment as Agent and Release

    We hereby appoint ISDA as our agent for the limited purposes of 
the Protocol and accordingly we waive any rights and hereby release 
ISDA from any claims, actions or causes of action whatsoever 
(whether in contract, tort or otherwise) arising out of or in any 
way relating to this Adherence Letter or our adherence to the 
Protocol or any actions contemplated as being required by ISDA.

[[Page 5230]]

3. Arbitration Agreement and Class Action Waiver

    By adhering to the Protocol, we agree that all claims or 
disputes arising out of or in connection with adherence to the 
Protocol shall be finally settled under the Rules of Arbitration of 
the International Chamber of Commerce (the Rules) by three 
arbitrators, and hereby waive any right to assert any such claims or 
disputes against ISDA as a representative or member in any class or 
representative action. The claimant(s) (as defined in the Rules) 
shall nominate one arbitrator in the `Request for Arbitration'. The 
respondent(s) (as defined in the Rules) shall nominate one 
arbitrator in the `Answer to the Request'. The two party-nominated 
arbitrators shall then have 30 days to agree, in consultation with 
the parties to the arbitration, upon the nomination of a third 
arbitrator to act as president of the tribunal, barring which the 
International Chamber of Commerce Court shall select the third 
arbitrator (or any arbitrator that claimant(s) or respondent(s) 
shall fail to nominate in accordance with the foregoing). This 
agreement to arbitrate shall not be affected by the Revocation 
Notice as described in the Protocol.

4. Payment

    Each Adhering Party or, if such Adhering Party is a Client on 
whose behalf an Agent adheres to this Protocol, each Agent, that is 
classified by ISDA for purposes of membership of ISDA as an ``ISDA 
Primary Member'' must submit a one-time fee of U.S. $500 to ISDA at 
or before the submission of this Adherence Letter. Each Adhering 
Party or, if such Adhering Party is a Client on whose behalf an 
Agent adheres to this Protocol, each Agent, which is not an ``ISDA 
Primary Member'' is not required to submit a fee to ISDA if this 
Adherence Letter is submitted prior to the Protocol Effective Date. 
If an Adhering Party or, if such Adhering Party is a Client on whose 
behalf an Agent adheres to this Protocol, an Agent, which is not an 
``ISDA Primary Member'' submits this Adherence Letter on or after 
the Protocol Effective Date, such Adhering Party or Agent (as 
applicable) must submit a one-time fee of U.S. $500 to ISDA at or 
before the submission of this Adherence Letter.

5. Contact Details

    Our contact details for purposes of this Adherence Letter are:

Name:
Company Name:
Address:
Phone:
Fax:
Email:

    We consent to the publication of a conformed copy of this letter 
by ISDA and to the disclosure by ISDA of the contents of this 
letter.

Yours faithfully,

[ADHERING PARTY]\2\

By:

Name:

Title:

    \Note 2:\ Specify legal name of Adhering Party.
    If you are an Agent, you may sign the Adherence Letter using one 
of the options below. Please note that, if you would like to adhere 
on behalf of yourself, as principal, and also on behalf of your 
Clients, as Agent, you must submit one adherence letter for 
yourself, as principal, and a second adherence letter on behalf of 
your Clients, as Agent, in the latter case, in accordance with one 
of the options set out below.
    First, if you have the authority to adhere to this Protocol as 
Agent on behalf of all Clients, you may indicate the following in 
the signature block: ``acting on behalf of [(a)] each fund, account 
or other principal (each, a ``Client'') on whose behalf we have 
entered, or will enter, into a Protocol Covered Document and any New 
Clients added to an Agent Protocol Covered Document in the future 
[and (b) in respect of any Non-Agent Executed Protocol Covered 
Documents, each Client which we name or identify through a Platform 
as being a Client in respect of which subparagraph 3(g)(ii)(B)(II) 
of the Protocol applies]''. If such a signature block is used, a 
separate Adherence Letter for each Client does not need to be 
submitted to ISDA and no specific names of Clients must be 
identified through a Platform (except if you elect for Option 2 in 
this Adherence Letter, in which case the Clients on whose behalf you 
are amending Non-Agent Executed Protocol Covered Documents should be 
identified through such Platform; you will be responsible for 
identifying such Clients and providing their LEIs. If you cannot or 
do not wish to name such Clients, then provided that you can 
identify the Clients by way of LEIs, you may identify such Clients 
using LEIs and without including any names). If you do not elect for 
Option 2 in this Adherence Letter, you should delete the wording in 
square brackets in the signature block.
    Second, if you adhere to this Protocol as an agent on behalf of 
certain Clients only by specifically identifying such Clients, you 
may indicate the following in the signature block: ``acting on 
behalf of [(a)] each fund, account or other principal (each a 
``Client'') which we name or identify through a Platform as being a 
Client on whose behalf we have entered, or will enter, into a 
Protocol Covered Document and any New Clients added to an Agent 
Protocol Covered Document and identified through a Platform as a New 
Client [and (b) in respect of any Non-Agent Executed Protocol 
Covered Documents, each Client which we name or identify through a 
Platform as being a Client in respect of which subparagraph 
3(g)(ii)(B)(II) of the Protocol applies]''. You will be responsible 
for identifying any Clients on whose behalf you have entered into, 
or will enter into, a Protocol Covered Document, any New Clients and 
any Clients on whose behalf you amend Non-Agent Executed Protocol 
Covered Documents and, in each case, providing their LEIs. If you 
cannot or do not wish to name such Clients, then provided that you 
can identify the Clients by way of LEIs, you may identify such 
Clients using LEIs and without including any names. If you do not 
elect for Option 2 in this Adherence Letter, you should delete the 
wording in square brackets in the signature block.
    Third, if you adhere to this Protocol as an agent on behalf of 
certain Clients only by excluding certain Clients, you may indicate 
the following in the signature block: ``acting on behalf of [(a)] 
each fund, account or other principal (each, a ``Client'') on whose 
behalf we have entered, or will enter, into a Protocol Covered 
Document (except for those Clients which we identify through a 
Platform as excluded from adherence) and any New Clients added to an 
Agent Protocol Covered Document (except for any New Clients which we 
identify through a Platform as excluded from adherence) [and (b) in 
respect of any Non-Agent Executed Protocol Covered Documents, each 
Client which we name or identify through a Platform as being a 
Client in respect of which subparagraph 3(g)(ii)(B)(II) of the 
Protocol applies]''. You will be responsible for identifying any 
excluded Clients and any Clients on whose behalf you amend Non-Agent 
Executed Protocol Covered Documents and, in each case, for providing 
their LEIs. If you cannot or do not wish to name those excluded 
Clients or those Clients on whose behalf you are amending Non-Agent 
Executed Protocol Covered Documents, then provided that you can 
identify them by way of LEIs, you may identify those Clients using 
LEIs and without including any names. If you do not elect for Option 
2 in this Adherence Letter, you should delete the wording in square 
brackets in the signature block.
    Fourth, if you adhere to this Protocol as an agent on behalf of 
no current Clients, you may indicate the following in the signature 
block: ``acting to amend each Protocol Covered Document (or other 
agreement which deems a Protocol Covered Document to have been 
created) between it (as agent) and each Adhering Party, with respect 
to New Clients.''

Specified Terms for Adhering Party as Agent ³

    The election for Option 1 or Option 2 below should only be made 
by an Agent. Any entity which adheres to the Protocol and which is 
not acting as an Agent should not complete the election below.
    As between each Adhering Party and us, we acknowledge and agree 
that the amendments in the Attachment to the Protocol shall apply to 
each:

Option 1

    [square] Protocol Covered Document into which we have entered on 
behalf of one or more Clients covered in accordance with the terms 
of the Protocol and this Adherence Letter (as contemplated by Option 
1 in the Protocol); or

Option 2

    [square] Protocol Covered Document into (i) which we have 
entered on behalf of one or more Clients covered in accordance with 
the

[[Page 5231]]

terms of the Protocol and this Adherence Letter and (ii) which we 
did not enter on behalf of one or more Clients but which we 
otherwise have the authority from the relevant Client to amend in 
accordance with and subject to the terms of the Protocol and this 
Adherence Letter (as contemplated by Option 2 in the Protocol).
    We agree, in our capacity as Agent for the relevant Client(s), 
to provide each other Adhering Party, as soon as reasonably 
practicable following such other Adhering Party's written request 
(including by email), and in any event by no later than the end of 
the fifteenth calendar day following such request (and as required 
by and in accordance with subparagraph 3(g)(iv) of the Protocol), 
with reasonable evidence satisfactory to such other Adhering Party 
in its sole discretion supporting our authority to amend any 
Protocol Covered Document into which we did not enter on behalf of 
one or more Clients (whose name or identity we communicate to the 
other Adhering Party through a Platform as being a Client in respect 
of which subparagraph 3(g)(ii)(B)(II) of the Protocol applies).
    Failure to provide an Adhering Party with such evidence shall 
(unless the Agent is deemed to have provided such evidence, pursuant 
to subparagraph 3(g)(iv) of the Protocol), only in respect of those 
Non-Agent Executed Protocol Covered Documents between the relevant 
Client(s) and such Adhering Party, result in this Adherence Letter 
being ineffective unless and until we, in our capacity as Agent for 
the relevant Client(s), are deemed to have provided that Adhering 
Party with such evidence pursuant to subparagraph 3(g)(iv) of the 
Protocol. Failure to provide an Adhering Party with such evidence 
shall not give rise to a Potential Event of Default or an Event of 
Default (each as defined in the ISDA Master Agreement), or any 
similar event, under those Protocol Covered Documents or other 
contractual right of action under this Protocol or those Protocol 
Covered Documents.

    \Note 3:\ The descriptions of Option 1 and Option 2 in this 
Adherence Letter and of related provisions within the Protocol are 
intended for convenience of reference only. Adhering Parties should 
read the provisions of the Protocol before submitting an Adherence 
Letter. In the event of any inconsistency between the descriptions 
of Option 1 and Option 2 and related provisions in this Adherence 
Letter and the provisions of the Protocol, the provisions of the 
Protocol shall take precedence.

EXHIBIT 2 to the ISDA 2020 IBOR Fallbacks Protocol

Form of Revocation Notice

[Letterhead of Adhering Party]

[Date]

International Swaps and Derivatives Association, Inc. Send to: 
[email protected]

Ladies and Gentlemen,

ISDA 2020 IBOR Fallbacks Protocol--Designation of a Revocation Date

    The purpose of this letter is to notify you that we wish to 
designate a Revocation Date as the last date on which an 
Implementation Date can occur pursuant to the terms of the ISDA 2020 
IBOR Fallbacks Protocol as published by the International Swaps and 
Derivatives Association, Inc. (ISDA) on October 23, 2020 (the 
Protocol) in respect of any Protocol Covered Document between us and 
any other Adhering Party.
    This letter constitutes a Revocation Notice as referred to in 
the Protocol.
    We consent to the publication of the conformed copy of this 
notice by ISDA on and after the Revocation Date and to the 
disclosure by ISDA of the contents of this letter.

Yours faithfully,

[ADHERING PARTY]\4\

By:

Name:------------------------------------------------------------------
Title:-----------------------------------------------------------------
Signature:-------------------------------------------------------------

    \Note 4:\ Specify legal name of Adhering Party.
    If you are an Agent and act on behalf of multiple Clients, you 
may sign a Revocation Notice using one of the methods below. 
Alternatively, you may submit one Revocation Notice per Client.
    First, if you have the authority to deliver a Revocation Notice 
for this Protocol as Agent on behalf of all Clients, you may 
indicate the following in the signature block: ``acting on behalf of 
each fund, account or other principal (each, a ``Client'') 
represented by us (as agent)'' or such other language which 
indicates the Clients to which this letter is applicable. If such a 
signature block is used, a separate Revocation Notice for each 
Client does not need to be submitted to ISDA and no specific names 
of Clients must be identified in the Revocation Notice.
    Second, if you have the authority to deliver a Revocation Notice 
for this Protocol as Agent on behalf of certain Clients only, you 
may indicate the following in the signature block: ``acting on 
behalf of each fund, account or other principal (each, a ``Client'') 
represented by us (as agent) identified in the Revocation Notice or 
an appendix thereto''. If you cannot or do not wish to name such 
Clients, then provided that you can identify the revoking Clients by 
way of specific identifiers which will be known and recognized by 
allAdhering Parties with which the relevant Clients have entered 
into Confirmations, Master Agreements and/or credit support 
documents, you may identify such revoking Clients using specific 
identifiers and without including any names.
    Paragraph 1(e) of the Protocol sets out the consequences of a 
Revocation Notice where an Agent adheres to the Protocol on behalf 
of a Client.

ANNEX to the ISDA 2020 IBOR Fallbacks Protocol

Additional Documents Annex

Part 1: Additional Master Agreements

    (a) 2001 FBF Master Agreement relating to Transactions on 
Forward Financial Instruments.
    (b) 2007 FBF Master Agreement relating to Transactions on 
Forward Financial Instruments.
    (c) 2013 FBF Master Agreement relating to Transactions on 
Forward Financial Instruments.
    (d) 1994 AFB Master Agreement for Foreign Exchange and 
Derivatives Transactions.
    (e) 1997 AFTI/FBF Master Agreement for Loans of Securities.
    (f) 2007 AFTI/FBF Master Agreement for Loans of Securities.
    (g) 2007 FBF Master Agreement for Repurchase Transactions.
    (h) 1994 AFTB Master Agreement for Repurchase Transactions with 
Delivery of Securities.
    (i) Execution Annex with respect to the AFB/FBF 1994/2001/2007/
2013 Master Agreements.
    (j) 1997 Spanish Master Agreement (Contrato Marco de Operaciones 
Financieras or CMOF) published by Asociaci[oacute]n Espa[ntilde]ola 
de Banca (Spanish Banking Association) and Confederaci[oacute]n 
Espa[ntilde]ola de Cajas de Ahorros (Spanish Confederation of 
Savings Banks).
    (k) Annex III to the 1997 Spanish Master Agreement (Contrato 
Marco de Operaciones Financieras or CMOF) published by 
Asociaci[oacute]n Espa[ntilde]ola de Banca (Spanish Banking 
Association) and Confederaci[oacute]n Espa[ntilde]ola de Cajas de 
Ahorros (Spanish Confederation of Savings Banks).
    (l) 2009 Spanish Master Agreement (Contrato Marco de Operaciones 
Financieras or CMOF) published by Asociaci[oacute]n Espa[ntilde]ola 
de Banca (Spanish Banking Association) and Confederaci[oacute]n 
Espa[ntilde]ola de Cajas de Ahorros (Spanish Confederation of 
Savings Banks).
    (m) Annex III to the 2009 Spanish Master Agreement (Contrato 
Marco de Operaciones Financieras or CMOF) published by 
Asociaci[oacute]n Espa[ntilde]ola de Banca (Spanish Banking 
Association) and Confederaci[oacute]n Espa[ntilde]ola de Cajas de 
Ahorros (Spanish Confederation of Savings Banks).
    (n) 2013 Spanish Master Agreement (Contrato Marco de Operaciones 
Financieras or CMOF) published by Asociaci[oacute]n Espa[ntilde]ola 
de Banca (Spanish Banking Association) and Confederaci[oacute]n 
Espa[ntilde]ola de Cajas de Ahorros (Spanish Confederation of 
Savings Banks).
    (o) Annex III to the 2013 Spanish Master Agreement (Contrato 
Marco de Operaciones Financieras or CMOF) published by 
Asociaci[oacute]n Espa[ntilde]ola de Banca (Spanish Banking 
Association) and Confederaci[oacute]n Espa[ntilde]ola de Cajas de 
Ahorros (Spanish Confederation of Savings Banks).
    (p) 2003 Swiss Master Agreement for OTC Derivative Instruments 
published by the Swiss Bankers Association.
    (q) 2013 Swiss Master Agreement for OTC Derivative Instruments 
published by the Swiss Bankers Association (for use in connection 
with certain ISDA definitions).
    (r) 2013 Swiss Master Agreement for OTC Derivative Instruments 
published by the Swiss Bankers Association (non-ISDA version not for 
use in connection with any ISDA definitions).
    (s) 1999 Bilateral Swiss Master Agreement for Repo Transactions 
published by the Swiss Bankers Association.
    (t) 1999 Multilateral Swiss Master Agreement for Repo 
Transactions published by the Swiss Bankers Association.

[[Page 5232]]

    (u) 2011 Swiss Master Agreement for Securities Lending and 
Borrowing prepared by the Swiss Bankers Association.
    (v) 2001 Master Agreement for Financial Transactions sponsored 
by the Banking Federation of the European Union (EBF or FBE) in 
cooperation with the European Savings Banks Group (ESBG) and the 
European Association of Cooperative Banks (EACB).
    (w) 2004 Master Agreement for Financial Transactions sponsored 
by the Banking Federation of the European Union (EBF or FBE) in 
cooperation with the European Savings Banks Group (ESBG) and the 
European Association of Cooperative Banks (EACB).
    (x) 2020 Master Agreement for Financial Transactions sponsored 
by the Banking Federation of the European Union (EBF or FBE) in 
cooperation with the European Savings Banks Group (ESBG) and the 
European Association of Cooperative Banks (EACB).
    (y) Austrian Master Agreement for Financial Transactions 
([Ouml]sterreichischer Rahmenvertrag f[uuml]r 
Finanztermingesch[auml]fte or [Ouml]RV).
    (z) 1997 International Foreign Exchange and Options Master 
Agreement (FEOMA).
    (aa) 1993 International Foreign Exchange Master Agreement 
(IFEMA).
    (bb) 1997 International Foreign Exchange Master Agreement 
(IFEMA).
    (cc) 1997 International Currency Options Market (ICOM) Master 
Agreement.
    (dd) 2005 International Foreign Exchange and Currency Option 
Master Agreement (IFXCO).
    (ee) 1992 PSA/ISMA Global Master Repurchase Agreement (GMRA).
    (ff) 1995 PSA/ISMA Global Master Repurchase Agreement (GMRA).
    (gg) 2000 TBMA/ISMA Global Master Repurchase Agreement (GMRA).
    (hh) 2011 SIFMA/ICMA Global Master Repurchase Agreement (GMRA).
    (ii) 2000 ISLA Global Master Securities Lending Agreement 
(GMSLA).
    (jj) 2010 ISLA Global Master Securities Lending Agreement 
(GMSLA).
    (kk) 2018 ISLA Global Master Securities Lending Agreement 
(GMSLA)--Security Interest over Collateral.
    (ll) 1993 TBMA/SIA Master Securities Loan Agreement (MSLA).
    (mm) 2000 TBMA/SIA Master Securities Loan Agreement (MSLA).
    (nn) 2017 SIFMA Master Securities Loan Agreement (MSLA).
    (oo) 1987 PSA Master Repurchase Agreement (MRA).
    (pp) 1996 TBMA Master Repurchase Agreement (MRA).
    (qq) 2000 SIFMA Master OTC Options Agreement.
    (rr) 1989 TBMA Master Dealer Agreement, OTC Option Transaction--
U.S. Treasury Securities.
    (ss) Emissions Master LF-IETA Master Agreement.
    (tt) WSPP Agreement.
    (uu) 2004 FIA Grid Trade Master Agreement.
    (vv) EEI Master Power Purchase & Sale Agreement. (ww)
    EL Master--Electricity Power Master Agreement.
    (xx) 1994 LBMA/FEC International Bullion Master Agreement 
(English law version).
    (yy) 1994 LBMA/FEC International Bullion Master Agreement (New 
York law version).
    (zz) 1997 ASLA Australian Master Securities Lending Agreement 
(AMSLA).
    (aaa) 2002 ASLA Australian Master Securities Lending Agreement 
(AMSLA).
    (bbb) 2003 ASLA Australian Master Securities Lending Agreement 
(AMSLA).
    (ccc) GISB Base Short-Term Contract for Sale and Purchase of 
Natural Gas.
    (ddd) NAESB Base Contract for Sale and Purchase of Natural Gas.
    (eee) 1996 Master Gilt Edged Stock Lending Agreement (GESLA).
    (fff) 1996 Master Equity and Fixed Interest Stock Lending 
Agreement (MEFISLA).
    (ggg) 1994 Equity and Fixed Interest Stock Lending (Agency) 
Agreement.
    (hhh) 1994 Overseas Securities Lender's Agreement (OSLA).
    (iii) 1995 Overseas Securities Lender's Agreement (OSLA).
    (jjj) globalCOAL Standard Coal Trading Agreement (SCoTA).
    (kkk) KOFIA Agreement on Margin Transactions.
    (lll) KOFIA Agreement on Foreign Exchange Margin Trading.
    (mmm) KOFIA Agreement on Securities Lending and Borrowing.
    (nnn) KOFIA Agreement on Repurchase Agreement (Repo) between 
Institutions.
    (ooo) KOFIA Agreement on Repurchase Agreement (Repo) with 
Customers.
    (ppp) KOFIA best practice Korean language agreement template for 
OTC derivatives.
    (qqq) Investment Industry Regulatory Organization of Canada 
(IIROC) Repurchase/Reverse Repurchase Transaction Agreement.
    (rrr) Master Agreement Concerning Stock Lending Transactions 
(kabuken tou taishaku torihiki ni kansuru kihon keiyakusho) 
(including without limitation separate agreements to be executed 
pursuant to or in connection with that Master Agreement such as 
Supplemental Memorandum of Understanding (kabuken tou taishaku 
torihiki ni kansuru kihon keiyakusho fuzoku oboegaki)) published by 
Japan Securities Dealers Association.
    (sss) Master Agreement Concerning Bond Lending Transactions 
(saiken taishaku torihiki ni kansuru kihon keiyakusho) (including 
without limitation separate agreements to be executed pursuant to or 
in connection with that Master Agreement such as Supplemental 
Memorandum of Understanding (saiken taishaku torihiki ni kansuru 
kihon keiyakusho fuzoku oboegaki)) published by Japan Securities 
Dealers Association.
    (ttt) Master Agreement Concerning Bond Repo Transactions (saiken 
tou no gensaki torihiki ni kansuru kihon keiyakusho) (including 
without limitation separate agreements to be executed pursuant to or 
in connection with that Master Agreement such as Supplemental 
Memorandum of Understanding (saiken tou no gensaki torihiki ni 
kansuru kihon keiyakusho fuzoku oboegaki)) published by Japan 
Securities Dealers Association.
    (uuu) Mexican Master Derivatives Agreement (Contrato Marco para 
Operaciones Financieras Derivadas) published by Asociaci[oacute]n de 
Bancos de Mexico (ABM) y Asociaci[oacute]n Mexicana de Instituciones 
Bursatiles (AMIB).
    (vvv) Mexican Master Securities Purchase and Sale/Repo Agreement 
(Contrato Marco para Operaciones de Compraventa de Valores y 
Reporto) published by Asociaci[oacute]n de Bancos de Mexico (ABM) y 
Asociaci[oacute]n Mexicana de Instituciones Bursatiles (AMIB).

Part 2: Additional Credit Support Documents

    (a) 2007 FBF Collateral Annex.
    (b) 1997 ABF Collateral Annex.
    (c) AFB/FBF Addendum to the ISDA 2016 Credit Support Annex for 
Variation Margin (VM).
    (d) 2008 Credit Support Appendix to the Swiss Master Agreement 
for OTC Derivative Instruments published by the Swiss Bankers 
Association.
    (e) 2015 Credit Support Appendix to the Swiss Master Agreement 
for OTC Derivative Instruments published by the Swiss Bankers 
Association.
    (f) Credit Support Appendix for Variation Margin to the Swiss 
Master Agreement for OTC Derivative Instruments published by the 
Swiss Bankers Association.
    (g) Mexican Credit Support Agreement related to Derivatives 
(Contrato Global para Otorgar Garant[iacute]as respecto de 
Operaciones Financieras Derivadas) published by Asociaci[oacute]n de 
Bancos de Mexico (ABM) y Asociaci[oacute]n Mexicana de Instituciones 
Bursatiles (AMIB).

Attachment to the ISDA 2020 IBOR Fallbacks Protocol

1. Amendments to Protocol Covered Documents Incorporating the 2006 ISDA 
Definitions

    If a Protocol Covered Document incorporates the 2006 ISDA 
Definitions, the version of the 2006 ISDA Definitions so 
incorporated shall be amended in accordance with the terms of the 
IBOR Fallbacks Supplement (and, if that Protocol Covered Document is 
a Protocol Covered Master Agreement, any reference to a term defined 
in the 2006 ISDA Definitions in a Confirmation which supplements, 
forms part of and is subject to that Protocol Covered Master 
Agreement will be a reference to the term as defined in the 2006 
ISDA Definitions as amended in accordance with the IBOR Fallbacks 
Supplement).

2. Amendments to Protocol Covered Documents Incorporating the 2000 ISDA 
Definitions

    If a Protocol Covered Document incorporates the 2000 ISDA 
Definitions, the version of the 2000 ISDA Definitions so 
incorporated shall be amended in accordance with the terms of the 
IBOR Fallbacks Supplement (and, if that Protocol Covered Document is 
a Protocol Covered Master Agreement, any reference to a term defined 
in the 2000 ISDA Definitions in a Confirmation which supplements, 
forms part of and is subject to that Protocol Covered Master 
Agreement will be a reference to the

[[Page 5233]]

term as defined in the 2000 ISDA Definitions as amended in 
accordance with the IBOR Fallbacks Supplement), provided that the 
IBOR Fallbacks Supplement shall be deemed amended as follows:
    (a) Each of the following sections shall be deleted:
    (i) ``GBP-LIBOR-BBA-Bloomberg'';
    (ii) ``CHF-LIBOR-BBA-Bloomberg'';
    (iii) ``USD-LIBOR-BBA-Bloomberg'';
    (iv) ``EUR-LIBOR-BBA-Bloomberg'';
    (v) ``JPY-LIBOR-FRASETT'';
    (vi) ``JPY-LIBOR-BBA-Bloomberg'';
    (vii) ``JPY-TIBOR-TIBM-(All Banks)-Bloomberg'';
    (viii) ``AUD-BBR-BBSW-Bloomberg'';
    (ix) ``CAD-BA-CDOR-Bloomberg''; and
    (x) ``HKD-HIBOR-HKAB-Bloomberg'';
    (b) The section titled ``EUR-EURIBOR-Reuters'' will be re-titled 
``EUR-EURIBOR-Telerate'' and references in such section (or in 
related sections) to ``EUR-EURIBOR-Reuters'' will be deleted and 
replaced with ``EUR-EURIBOR-Telerate'';
    (c) The section titled ``AUD-BBR-AUBBSW'' will be re-titled 
``AUD-BBR-ISDC'' and references in such section (or in related 
sections) to ``AUD-BBR-AUBBSW'' will be deleted and replaced with 
``AUD- BBR-ISDC'';
    (d) The section titled ``SGD-SOR-VWAP'' will be re-titled ``SGD-
SOR-Telerate'' and references in such section (or in related 
sections) to ``SGD-SOR-VWAP'' will be deleted and replaced with 
``SGD-SOR- Telerate'';
    (e) Tn the section titled ``THB-THBFIX-Reuters'', the paragraph 
entitled ``No Index Cessation Effective Date'' shall be deemed 
amended as follows:
    (i) The words ``THB-THBFIX-Reference Banks'' as the applicable 
Floating Rate Option'' will be deleted and replaced with the words 
````THB-SOR-Reference Banks'' as the applicable Floating Rate 
Option, but with the following variations:'' and subparagraphs (a), 
(b) and (c) of Section 7.1(z)(iii) of the 2000 ISDA Definitions will 
be inserted immediately thereafter; and
    (ii) The last sentence in that paragraph will be deleted; and
    (f) All references to section numbers within the 2006 ISDA 
Definitions will be deemed to be references to the equivalent 
sections within the 2000 ISDA Definitions.

3. Amendments to Protocol Covered Documents Incorporating the 1991 ISDA 
Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions

    If a Protocol Covered Document incorporates the 1991 ISDA 
Definitions and/or the 1998 Supplement to the 1991 ISDA Definitions, 
the version of the 1991 ISDA Definitions and/or the 1998 Supplement 
to the 1991 ISDA Definitions (as applicable) so incorporated shall 
be amended in accordance with the terms of the IBOR Fallbacks 
Supplement (and, if that Protocol Covered Document is a Protocol 
Covered Master Agreement, any reference to a term defined in the 
1991 ISDA Definitions and/or the 1998 Supplement to the 1991 ISDA 
Definitions in a Confirmation which supplements, forms part of and 
is subject to that Protocol Covered Master Agreement will be a 
reference to the term as defined in the 1991 ISDA Definitions and/or 
the 1998 Supplement to the 1991 ISDA Definitions as amended in 
accordance with the IBOR Fallbacks Supplement), provided that the 
IBOR Fallbacks Supplement shall be deemed amended as follows:
    (a) If the Protocol Covered Document incorporates the 1991 ISDA 
Definitions only, the 1991 ISDA Definitions as supplemented by the 
1998 Supplement to the 1991 ISDA Definitions or the 1998 Supplement 
to the 1991 ISDA Definitions only, each of the following sections 
shall be deleted:
    (i) ``GBP-LIBOR-BBA-Bloomberg'';
    (ii) ``CHF-LIBOR-BBA-Bloomberg'';
    (iii) ``USD-LIBOR-BBA-Bloomberg'';
    (iv) ``EUR-LIBOR-BBA-Bloomberg'';
    (v) ``EUR-EURIBOR-Reuters'';
    (vi) ``JPY-LIBOR-FRASETT'';
    (vii) ``JPY-LIBOR-BBA-Bloomberg'';
    (viii) ``JPY-TIBOR-17097'';
    (ix) ``JPY-TIBOR-TIBM-(All Banks)-Bloomberg'';
    (x) ``AUD-BBR-BBSW-Bloomberg'';
    (xi) ``CAD-BA-CDOR-Bloomberg'';
    (xii) ``HKD-HIBOR-HKAB-Bloomberg''; and
    (xiii) ``THB-THBFIX-Reuters'';
    (b) If the Protocol Covered Document incorporates the 1991 ISDA 
Definitions only, each of the following sections shall be deleted:
    (i) ``JPY-TIBOR-ZTIBOR''; and
    (ii) ``SGD-SOR-VWAP'';
    (c) If the Protocol Covered Document incorporates the 1991 ISDA 
Definitions as supplemented by the 1998 Supplement to the 1991 ISDA 
Definitions or the 1998 Supplement to the 1991 ISDA Definitions 
only, the section titled ``SGD-SOR-VWAP'' will be re-titled ``SGD-
SOR-Telerate'' and references in such section (or in related 
sections) to ``SGD-SOR-VWAP'' will be deleted and replaced with 
``SGD-SOR- Telerate'';
    (d) The section titled ``EUR-LIBOR-BBA'' will be re-titled 
``XEU-LIBOR-BBA'' and references in such section (or in related 
sections) to ``EUR-LIBOR-BBA'' will be deleted and replaced with 
``XEU- LIBOR-BBA'';
    (e) The section titled ``AUD-BBR-AUBBSW'' will be re-titled 
``AUD-BBR-ISDC'' and references in such section (or in related 
sections) to ``AUD-BBR-AUBBSW'' will be deleted and replaced with 
``AUD-BBR-ISDC''; and
    (f) All references to section numbers within the 2006 ISDA 
Definitions will be deemed to be references to the equivalent 
sections within the 1991 ISDA Definitions or the 1998 Supplement to 
the 1991 ISDA Definitions (as applicable).

4. Amendments to Protocol Covered Documents Incorporating the 1998 ISDA 
Euro Definitions

    If a Protocol Covered Document incorporates the 1998 ISDA Euro 
Definitions:
    (a) the version of the 1998 ISDA Euro Definitions so 
incorporated shall be amended in accordance with the terms of the 
IBOR Fallbacks Supplement (and, if that Protocol Covered Document is 
a Protocol Covered Master Agreement, any reference to a term defined 
in the 1998 ISDA Euro Definitions in a Confirmation which 
supplements, forms part of and is subject to that Protocol Covered 
Master Agreement will be a reference to the term as defined in the 
1998 ISDA Euro Definitions as amended in accordance with the IBOR 
Fallbacks Supplement), provided that the IBOR Fallbacks Supplement 
shall be deemed amended as follows:
    (i) Each of the following sections shall be deleted:
    (A) ``GBP-LIBOR-BBA'';
    (B) ``GBP-LIBOR-BBA-Bloomberg'';
    (C) ``CHF-LIBOR-BBA'';
    (D) ``CHF-LIBOR-BBA-Bloomberg'';
    (E) ``USD-LIBOR-BBA'';
    (F) ``USD-LIBOR-BBA-Bloomberg'';
    (G) ``EUR-LIBOR-BBA-Bloomberg'';
    (H) ``JPY-LIBOR-FRASETT'';
    (I) ``JPY-LIBOR-BBA'';
    (J) ``JPY-LIBOR-BBA-Bloomberg'';
    (K) ``JPY-TIBOR-17097'';
    (L) ``JPY-TIBOR-TIBM-(All Banks)-Bloomberg'';
    (M) ``JPY-TIBOR-ZTIBOR'';
    (N) ``AUD-BBR-AUBBSW'';
    (O) ``AUD-BBR-BBSW'';
    (P) ``AUD-BBR-BBSW-Bloomberg'';
    (Q) ``CAD-BA-CDOR'';
    (R) ``CAD-BA-CDOR-Bloomberg'';
    (S) ``HKD-HIBOR-HKAB'';
    (T) ``HKD-HIBOR-HKAB-Bloomberg'';
    (U) ``SGD-SOR-VWAP''; and
    (V) ``THB-THBFIX-Reuters'';
    (ii) the section titled ``EUR-EURIBOR-Reuters'' will be re-
titled ``EUR-EURIBOR- Telerate'' and references in such section (or 
in related sections) to ``EUR-EURIBOR-Reuters'' will be deleted and 
replaced with ``EUR-EURIBOR-Telerate''; and
    (iii) all references to section numbers within the 2006 ISDA 
Definitions will be deemed to be references to the equivalent 
sections within the 1998 ISDA Euro Definitions.
    (b) If a Relevant Rate (as defined in the 1991 ISDA Definitions) 
is to be determined pursuant to Section 4.3(b) (Price Source 
Fallbacks) of the 1998 ISDA Euro Definitions and ``rates for 
deposits in euros'' referred to in that section are required for any 
determination but are not available, they shall be deemed to be 
references to a Relevant IBOR (and, in particular, the euro 
interbank offered rate) to which paragraph 6 of this Attachment 
applies.

5. Amendments to Protocol Covered Documents Which Reference a Relevant 
IBOR ``as defined'', or as Having the Meaning Given, in a Covered ISDA 
Definitions Booklet

    A Protocol Covered Document of the type described in 
subparagraph (b) of, respectively, the definition of Protocol 
Covered Confirmation, Protocol Covered Credit Support Document or 
Protocol Covered Master Agreement shall be amended so that the 
reference to the Relevant IBOR ``as defined in'', or the reference 
to the Relevant IBOR as having the meaning given in, the Covered 
ISDA Definitions Booklet will instead be a reference to the relevant 
Rate Option in the IBOR Fallbacks Supplement (or, if there is more 
than one relevant Rate Option, the first relevant Rate Option in the

[[Page 5234]]

IBOR Fallbacks Supplement) for the Relevant IBOR ``as defined in the 
IBOR Fallbacks Supplement'' (and, if that Protocol Covered Document 
is a Protocol Covered Master Agreement, any reference to the 
Relevant IBOR (as defined in that Protocol Covered Master Agreement) 
in a Confirmation which supplements, forms part of and is subject to 
that Protocol Covered Master Agreement will be a reference to the 
relevant Rate Option in the IBOR Fallbacks Supplement (or, if there 
is more than one relevant Rate Option, the first relevant Rate 
Option in the IBOR Fallbacks Supplement) for the Relevant IBOR ``as 
defined in the IBOR Fallbacks Supplement''), provided that:
    (a) If the Relevant IBOR is:
    (i) ``EUR-EURIBOR-Telerate'', it will be deemed to be a 
reference to ``EUR-EURIBOR- Reuters'';
    (ii) ``AUD-BBR-ISDC'', it will be deemed to be a reference to 
``AUD-BBR-AUBBSW'';
    (iii) ``XEU-LIBOR-BBA'', it will be deemed to be a reference to 
``EUR-LIBOR-BBA''; and
    (iv) ``SGD-SOR-Telerate'', it will be deemed to be a reference 
to ``SGD-SOR-VWAP'', in each case, as defined in the IBOR Fallbacks 
Supplement; and
    (b) If the Relevant IBOR is ``THB-THBFIX-Reuters'' and the 
Covered ISDA Definitions Booklet is the 2000 ISDA Definitions, the 
IBOR Fallbacks Supplement shall be deemed amended in accordance with 
subparagraph 2(e) of this Attachment.

6. Amendments to Certain Protocol Covered Documents That Reference a 
Relevant IBOR

    If a Protocol Covered Document is of the type described in 
subparagraph (c) of, respectively, the definition of Protocol 
Covered Confirmation, Protocol Covered Credit Support Document or 
Protocol Covered Master Agreement and, in each case, includes a 
reference to a Relevant IBOR pursuant to which the Relevant IBOR is 
required for any determination, and:
    (a) (i) the Relevant IBOR which is required for that 
determination is neither the Singapore dollar swap offer rate nor 
the Thai baht interest rate fixing, (ii) the Relevant IBOR which is 
required for that determination has not been published by the source 
that is specified or otherwise ordinarily used to determine the 
level of the Relevant IBOR on the day on which it is required, and 
(iii) an Index Cessation Effective Date with respect to the Relevant 
IBOR has not occurred, then the reference to the Relevant IBOR will 
be deemed to be a reference to the rate as provided by the 
administrator of the Relevant IBOR and published by an authorized 
distributor of the Relevant IBOR or the administrator of the 
Relevant IBOR itself in respect of the day on which it is required. 
If neither an authorized distributor nor the administrator has 
published or provided the Relevant IBOR in respect of that day and 
an Index Cessation Effective Date with respect to the Relevant IBOR 
has not occurred, then, unless otherwise agreed by the parties, the 
reference to the Relevant IBOR will be deemed to be a reference to:
    (A) A rate formally recommended for use by the administrator of 
the Relevant IBOR; or
    (B) A rate formally recommended for use by:
    (I) If the Relevant IBOR which is required for that 
determination is Swiss franc LIBOR, the competent authority 
responsible for supervising that rate or the administrator of that 
rate;
    (II) If the Relevant IBOR which is required for that 
determination is sterling LIBOR, euro LIBOR or the euro interbank 
offered rate, the supervisor which is responsible for supervising 
the Relevant IBOR or the administrator of the Relevant IBOR;
    (III) If the Relevant IBOR which is required for that 
determination is Japanese yen LIBOR, the Japanese yen Tokyo 
interbank offered rate or the euroyen Tokyo interbank offered rate, 
a committee officially endorsed or convened by the Bank of Japan for 
the purposes of recommending an alternative rate for that Relevant 
IBOR (which rate may be produced by the Bank of Japan or another 
administrator) or any other supervisor which is responsible for 
supervising the Relevant IBOR or the administrator of the Relevant 
IBOR;
    (IV) If the Relevant IBOR which is required for that 
determination is U.S. dollar LIBOR, the Federal Reserve Board or the 
Federal Reserve Bank of New York or any other supervisor which is 
responsible for supervising the Relevant IBOR or the administrator 
of the Relevant IBOR; and
    (V) If the Relevant IBOR which is required for that 
determination is the bank bill swap rate, the Australian Securities 
and Investments Commission (or any successor to the Australian 
Securities and Investments Commission in its role as supervisor of 
the bank bill swap rate),
    In each case, during the period of non-publication of the 
Relevant IBOR and for so long as an Index Cessation Effective Date 
has not occurred. If a rate described in subparagraph (A) above is 
available, that rate shall apply. If no such rate is available but, 
in respect of the Relevant IBOR, a rate described in subparagraph 
(B) above, if applicable, is available, that rate shall apply. If 
neither a rate described in subparagraph (A) above is available nor 
a rate described in subparagraph (B) above, if applicable, is 
available, then the Calculation Agent shall determine a commercially 
reasonable alternative for the Relevant IBOR, taking into account 
any rate implemented by central counterparties and/or futures 
exchanges, in each case with trading volumes in derivatives or 
futures referencing the Relevant IBOR that the Calculation Agent 
considers sufficient for that rate to be a representative 
alternative rate.
    If the Relevant IBOR is the Hong Kong interbank offered rate and 
the Protocol Covered Document provides that the Hong Kong 
Association of Banks' (or any successor's) typhoon and rainstorm 
arrangements (as published on the Hong Kong Association of Banks' 
website or on any successor website) apply, then those typhoon and 
rainstorm arrangements shall continue to apply and shall take 
precedence over the provisions of this paragraph 6(a);
    (b) (i) The Relevant IBOR which is required for that 
determination is the Singapore dollar swap offer rate, (ii) the 
Singapore dollar swap offer rate has not been published by the 
source that is specified or otherwise ordinarily used to determine 
the level of the Singapore dollar swap offer rate on the day on 
which it is required and (iii) an Index Cessation Effective Date 
with respect to U.S. dollar LIBOR has not occurred, then the 
reference to the Singapore dollar swap offer rate will be deemed to 
be a reference to the substitute rate announced by ABS Benchmarks 
Administration Co Pte. Ltd. (or its successor as administrator or 
sponsor of that rate) in respect of the Singapore dollar swap offer 
rate.
    If ABS Benchmarks Administration Co Pte. Ltd. (or its successor 
as administrator or sponsor of that rate) has not announced a 
substitute rate by 9:00 p.m., Singapore time, on the Relevant 
Original Fixing Date and an Index Cessation Effective Date with 
respect to U.S. dollar LIBOR has not occurred, then, unless 
otherwise agreed by the parties, the reference to the Singapore 
dollar swap offer rate will be deemed to be a reference to:
    (A) A rate formally recommended for use by the administrator of 
the Singapore dollar swap offer rate; or
    (B) A rate formally recommended for use by the Monetary 
Authority of Singapore (or any other supervisor which is responsible 
for supervising the Singapore dollar swap offer rate or the 
administrator of the Singapore dollar swap offer rate) or a 
committee officially endorsed or convened by the Monetary Authority 
of Singapore (or any other supervisor which is responsible for 
supervising the Singapore dollar swap offer rate or the 
administrator of the Singapore dollar swap offer rate), in each 
case, during the period of non-publication of the Singapore dollar 
swap offer rate and for so long as an Index Cessation Effective Date 
with respect to U.S. dollar LIBOR has not occurred. If a rate 
described in subparagraph (A) above is available, that rate shall 
apply. If no such rate is available but a rate described in 
subparagraph (B) above is available, that rate shall apply. If 
neither a rate described in subparagraph (A) above nor a rate 
described in subparagraph (B) above is available, then the 
Calculation Agent shall determine a commercially reasonable 
alternative for the Singapore dollar swap offer rate, taking into 
account any rate implemented by central counterparties and/or 
futures exchanges, in each case with trading volumes in derivatives 
or futures referencing the Singapore dollar swap offer rate that the 
Calculation Agent considers sufficient for that rate to be a 
representative alternative rate;
    (c) (i) the Relevant IBOR which is required for that 
determination is the Thai baht interest rate fixing, (ii) the Thai 
baht interest rate fixing has not been published by the source that 
is specified or otherwise ordinarily used to determine the level of 
the Thai baht interest rate fixing on the day on which it is 
required and (iii) an Index Cessation Effective Date with respect to 
U.S. dollar LIBOR has not occurred, then the reference to the Thai 
baht interest rate fixing will be deemed to be a reference to ``THB-
THBFIX-Reference Banks'' (as defined in the 2006 ISDA Definitions) 
but with the references to (A) ``Reset Date'' being replaced by 
``the day on which the rate is required''; (B) ``Designated 
Maturity'' being replaced by

[[Page 5235]]

``the period of time in respect of which the Thai baht interest rate 
fixing is to be determined''; (C) ``Calculation Period'' being 
replaced by ``period''; and (D) ``Representative Amount'' being 
replaced by ``an amount that is representative for a single 
transaction in the relevant market at the relevant time''. If the 
rate cannot be determined pursuant to ``THB-THBFIX-Reference Banks'' 
(as defined in the 2006 ISDA Definitions) andan Index Cessation 
Effective Date with respect to U.S. dollar LIBOR has not occurred, 
the rate will be determined by the Calculation Agent taking into 
consideration all available information that in good faith it deems 
relevant;
    (d) Subject to paragraphs 6(e), (f) and (g) below, an Index 
Cessation Event has occurred with respect to the Relevant IBOR (or, 
if the Relevant IBOR is either the Singapore dollar swap offer rate 
or the Thai baht interest rate fixing, with respect to U.S. dollar 
LIBOR), then the reference to the Relevant IBOR will be deemed to be 
a reference to the Applicable Fallback Rate from and including 
either the Index Cessation Effective Date or, if the Relevant IBOR 
is observed on a day that is a period of time prior to the date for 
which the Relevant IBOR is set, such period of time following the 
Index Cessation Effective Date, provided that:
    (i) If the Applicable Fallback Rate is Fallback Rate (SONIA), 
Fallback Rate (SARON), Fallback Rate (SOFR), Fallback Rate 
(EuroSTR), Fallback Rate (TONA), Fallback Rate (AONIA), Fallback 
Rate (CORRA), Fallback Rate (HONIA), Fallback Rate (SOR) or Fallback 
Rate (THBFIX), then the rate for the Relevant Original Fixing Date 
will be the Applicable Fallback Rate for the `Original IBOR Rate 
Record Day' (or, if Fallback Rate (SOR) or Fallback Rate (THBFIX) is 
the Applicable Fallback Rate, for the `Original SOR Rate Record Day' 
or `Original THBFIX Rate Record Day', as applicable) that 
corresponds to the Relevant Original Fixing Date, as most recently 
provided or published as at the Applicable Cut-off Time. If neither 
the provider of the Applicable Fallback Rate (or a successor 
provider, which, if the Applicable Fallback Rate is Fallback Rate 
(SONIA), Fallback Rate (SARON), Fallback Rate (SOFR), Fallback Rate 
(EuroSTR), Fallback Rate (TONA), Fallback Rate (AONIA), Fallback 
Rate (CORRA) or Fallback Rate (HONIA), is approved and/or appointed 
by ISDA from time to time) provides, nor any authorized distributors 
publish, the Applicable Fallback Rate for that `Original IBOR Rate 
Record Day' (or that `Original SOR Rate Record Day' or `Original 
THBFIX Rate Record Day', as applicable) at, or prior to, the 
Applicable Cut-off Time and a Fallback Index Cessation Effective 
Date with respect to that Applicable Fallback Rate has not occurred, 
then the rate for the Relevant Original Fixing Date will be the 
Applicable Fallback Rate as most recently provided or published at 
the Applicable Cut-off Time for the most recent `Original IBOR Rate 
Record Day' (or `Original SOR Rate Record Day' or `Original THBFIX 
Rate Record Day', as applicable), notwithstanding that such day does 
not correspond to the Relevant Original Fixing Date;
    (ii) If (A) the Applicable Fallback Rate is SONIA, the GBP 
Recommended Rate, SARON, the NWG Recommended Rate, the Modified SNB 
Policy Rate, SOFR, the Fed Recommended Rate, OBFR, the FOMC Target 
Rate, EuroSTR, the ECB Recommended Rate, Modified EDFR, TONA, the 
JPY Recommended Rate, AONIA, the RBA Recommended Rate, CORRA, the 
CAD Recommended Rate, the BOC Target Rate, HONIA, the HKD 
Recommended Rate, the MAS Recommended Rate, SORA, the BOT 
Recommended Rate or THOR, (B) neither the administrator provides nor 
authorized distributors publish that Applicable Fallback Rate (or if 
the Applicable Fallback Rate is the Modified SNB Policy Rate or 
Modified EDFR, the index, benchmark or other price source that is 
referred to in the definition thereof) and (C) a Fallback Index 
Cessation Effective Date with respect to that Applicable Fallback 
Rate has not occurred, then, in respect of any day for which that 
Applicable Fallback Rate is required, references to that Applicable 
Fallback Rate will be deemed to be references to the last provided 
or published Applicable Fallback Rate. If the Applicable Fallback 
Rate is the Modified SNB Policy Rate or Modified EDFR, references to 
that Applicable Fallback Rate in subparagraph 6(d)(ii)(C) above 
shall be deemed to be references to the index, benchmark or other 
price source that is referred to in the definition of Modified SNB 
Policy Rate or Modified EDFR, as applicable; and
    (iii) If the Applicable Fallback Rate is UK Bank Rate, in 
respect of any day for which the UK Bank Rate is required, 
references to the UK Bank Rate will be deemed to be references to 
the last provided or published UK Bank Rate as at close of business 
in London on that day.
    If the Relevant IBOR is the Singapore dollar swap offer rate or 
the Thai baht interest rate fixing, an Index Cessation Event with 
respect to U.S. dollar LIBOR will also occur if the Relevant IBOR in 
the relevant tenor (which under the 2006 ISDA Definitions would be 
equivalent to the ``Designated Maturity'') has not been published by 
the source that is specified or otherwise ordinarily used to 
determine the level of the Relevant IBOR and, as of the Relevant 
Original Fixing Date, U.S. dollar LIBOR in the relevant tenor (which 
under the 2006 ISDA Definitions would be equivalent to the 
``Designated Maturity'') has been permanently discontinued or is 
Non-Representative and there is either no U.S. dollar LIBOR which 
has not been permanently discontinued and which is not Non-
Representative for a period which is longer than that relevant tenor 
or no U.S. dollar LIBOR which has not been permanently discontinued 
and which is not Non-Representative for a period which is shorter 
than that relevant tenor. The related Index Cessation Effective Date 
shall be the first date on which there is no such longer or shorter 
rate or, if later, the first date on which U.S. dollar LIBOR in the 
relevant tenor (which under the 2006 ISDA Definitions would be 
equivalent to the ``Designated Maturity'') is permanently 
unavailable or Non-Representative.
    For the purposes of this paragraph 6(d), references to an 
``Original IBOR Rate Record Day'', ``Original SOR Rate Record Day'' 
and ``Original THBFIX Rate Record Day'' are to that term as used on 
the Fallback Rate Screen. For the purposes of the immediately 
preceding paragraph above, (A) references to a rate being 
``permanently discontinued'' or ``permanently unavailable'' shall be 
deemed to be references to such rate being permanently discontinued 
or permanently unavailable following a public statement or 
publication of information which would constitute an Index Cessation 
Event in accordance with subparagraphs (a) and (b) of the definition 
thereof in respect of that rate in the relevant tenor and (B) 
references to ``U.S. dollar LIBOR'' in the definition of ``Non-
Representative'' shall be deemed to be references to the relevant 
tenor of U.S. dollar LIBOR;
    (e) If the Relevant IBOR which is required for that 
determination is neither the Singapore dollar swap offer rate nor 
the Thai baht interest rate fixing and:
    (i) The determination for which the Relevant IBOR is required is 
ordinarily made by reference to linear interpolation between two 
rates, each of which is based on the Relevant IBOR, then 
(notwithstanding paragraph 6(d) above) the provisions of Section 
7.9(a) of the 2006 ISDA Definitions shall be deemed to apply, 
provided that the Calculation Agent shall make such adaptations as 
are reasonable and necessary to the provisions of Section 7.9(a) of 
the 2006 ISDA Definitions in order to apply them to the relevant 
Protocol Covered Document;
    (ii) The Relevant IBOR which is required for that determination 
is to be determined by reference to one or more rates, either (A) at 
least one of which has been permanently discontinued, or (B) if the 
Relevant IBOR is a Relevant LIBOR, at least one of which is Non-
Representative, and, in either case, at least two Relevant IBOR 
tenors, at least one of which is shorter than the period of time in 
respect of which the Relevant IBOR is to be determined and at least 
one of which is longer than the period of time in respect of which 
the Relevant IBOR is to be determined, have not been permanently 
discontinued (and, if the Relevant IBOR is a Relevant LIBOR, are not 
Non- Representative), then the provisions of Section 8.5 and Section 
8.6 of the 2006 ISDA Definitions shall be deemed to apply, provided 
that the Calculation Agent shall make such adaptations as are 
reasonable and necessary to the provisions of Sections 8.5 and 8.6 
of the 2006 ISDA Definitions in order to apply them to the relevant 
Protocol Covered Document;
    (iii) The Relevant IBOR which is required for that determination 
is to be determined by reference to a tenor of the Relevant IBOR 
which has been permanently discontinued (or, if the Relevant IBOR is 
a Relevant LIBOR, which is Non-Representative), and there are either 
no shorter or no longer tenors in respect of the Relevant IBOR which 
have not been permanently discontinued (or, if the Relevant IBOR is 
a Relevant LIBOR, which are not Non-Representative), then an Index 
Cessation Event shall be deemed to have occurred with respect to the 
Relevant IBOR and the Index Cessation Effective Date shall be the 
first date on which there is either no such shorter or no such 
longer tenor or, if

[[Page 5236]]

later, the first date on which the Relevant IBOR in the relevant 
tenor is permanently unavailable (or, if the Relevant IBOR is a 
Relevant LIBOR, Non-Representative);
    (iv) In the event of any inconsistency between the provisions of 
subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above and the 
provisions of subparagraph 6(e)(i) above, subparagraph 6(e)(i) above 
shall prevail; and
    (v) In the event of any inconsistency between the provisions of 
subparagraph 6(e)(ii) or subparagraph 6(e)(iii) above and paragraph 
6(d) above (including any terms used in paragraph 6(d) above and 
defined below), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) 
above (as applicable) shall prevail,
    For the purposes of this paragraph 6(e), (A) references to a 
rate being ``permanently discontinued'' shall be deemed to be 
references to such rate being permanently discontinued following a 
public statement or publication of information which would 
constitute an Index Cessation Event in accordance with subparagraphs 
(a) and (b) of the definition thereof in respect of that rate in the 
relevant tenor, (B) references to the ``Relevant LIBOR'' in the 
definition of ``Non-Representative'' shall be deemed to be 
references to the relevant tenor of the Relevant LIBOR and (C) 
Section 7.9(a), 8.5 and 8.6 of the 2006 ISDA Definitions shall be 
construed in accordance with Sections 7.3(r) and 7.3(s) of the 2006 
ISDA Definitions;
    (f) If the Relevant IBOR which is required for that 
determination is the Singapore dollar swap offer rate or the Thai 
baht interest rate fixing and the determination for which the 
Relevant IBOR is required is ordinarily made by reference to linear 
interpolation between two rates, each of which is based on the 
Relevant IBOR, then (notwithstanding paragraph 6(d) above) the 
provisions of Section 7.10(a) of the 2006 ISDA Definitions shall be 
deemed to apply, provided that the Calculation Agent shall make such 
adaptations as are reasonable and necessary to the provisions of 
Section 7.10(a) of the 2006 ISDA Definitions in order to apply them 
to the relevant Protocol Covered Document.
    For the purposes of this paragraph 6(f), Section 7.10(a) of the 
2006 ISDA Definitions shall be construed in accordance with Sections 
7.3(r) and 7.3(s) of the 2006 ISDA Definitions;
    (g) If (i) the Relevant IBOR which is required for that 
determination is the Singapore dollar swap offer rate or the Thai 
baht interest rate fixing and the Applicable Fallback Rate is 
Fallback Rate (SOR) or Fallback Rate (THBFIX), as applicable, (ii) 
the determination for which the Relevant IBOR is required is not 
ordinarily made by reference to linear interpolation between two 
rates and (iii) the period of time for which the rate is required 
(which under the 2006 ISDA Definitions would be the ``Calculation 
Period'') is shorter than the Relevant IBOR in the relevant tenor 
(which under the 2006 ISDA Definitions would be the ``Designated 
Maturity''), then (notwithstanding paragraph 6(d) above) the 
provisions of Section 7.11(a) of the 2006 ISDA Definitions shall be 
deemed to apply, provided that the Calculation Agent shall make such 
adaptations as are reasonable and necessary to the provisions of 
Section 7.11(a) of the 2006 ISDA Definitions in order to apply them 
to the relevant Protocol Covered Document; and
    (h) If the definition, methodology, formula or other means of 
calculating the Relevant IBOR or the Applicable Fallback Rate (or, 
if applicable, the index, benchmark or other price source that is 
referred to in the Relevant IBOR or the Applicable Fallback Rate) is 
modified, each party acknowledges that, unless otherwise specified 
or agreed, references to that Relevant IBOR or the Applicable 
Fallback Rate (or the index, benchmark or other price source that is 
referred to in the Relevant IBOR or the Applicable Fallback Rate) 
shall be to the Relevant IBOR or the Applicable Fallback Rate (or 
the index, benchmark or other price source that is referred to in 
the Relevant IBOR or the Applicable Fallback Rate) as modified. In 
the event of any inconsistency between this paragraph 6(h) and 
paragraphs 6(a) through 6(d) above (including any terms used in 
those paragraphs and defined below and including subparagraphs 
6(e)(ii) and 6(e)(iii) above as they apply in priority to paragraph 
6(d) above), paragraphs 6(a) through 6(d) above including 
subparagraphs 6(e)(ii) and 6(e)(iii) as they apply in priority to 
paragraph 6(d) above shall prevail.
    If the Relevant IBOR referenced in the Protocol Covered Document 
is LIBOR with no reference to, or indication of, the currency of the 
relevant LIBOR (including, for the avoidance of doubt, the reference 
in Section 7.3 (Corrections to Published Prices) of the 2005 ISDA 
Commodity Definitions to ``the spot offered rate for deposits in the 
payment currency in the London interbank market as at approximately 
11:00 a.m., London time''), then the reference to LIBOR (howsoever 
defined or described) in the Protocol Covered Document will be 
deemed to be a reference to LIBOR in the currency of the related 
payment for which LIBOR is required pursuant to the terms of the 
Protocol Covered Document and paragraphs 6(a), 6(d) and 6(e) above, 
and the related definitions below, shall be construed accordingly.
    For the purposes of any Protocol Covered Document which does not 
include a definition of ``Calculation Agent'', the term 
``Calculation Agent'' shall be deemed to be a reference to a party 
or parties who would ordinarily be responsible for calculating or 
determining any rates or amounts payable under the relevant Protocol 
Covered Document and performing any associated duties.
    If the Protocol Covered Document to which this paragraph 6 
applies is a Protocol Covered Master Agreement, the Relevant IBOR is 
defined in the Protocol Covered Master Agreement and that definition 
is referenced in a Confirmation that supplements, forms part of and 
is subject to that Protocol Covered Master Agreement, then the 
reference in the Protocol Covered Master Agreement to the Relevant 
IBOR as amended by this paragraph 6 will also apply to the reference 
to the Relevant IBOR in that Confirmation.
    For these purposes:
    ``Applicable Banking Days'' means, if the Relevant IBOR is:
    (a) Swiss franc LIBOR, U.S. dollar LIBOR or Japanese yen LIBOR, 
London Banking Days (as defined in the 2006 ISDA Definitions);
    (b) Euro LIBOR or the euro interbank offered rate, TARGET 
Settlement Days (as defined in the 2006 ISDA Definitions);
    (c) The Japanese yen Tokyo interbank offered rate or the euroyen 
Tokyo interbank offered rate, Tokyo Banking Days (as defined in the 
2006 ISDA Definitions);
    (d) The Singapore dollar swap offer rate, Singapore and London 
Banking Days (as defined in the 2006 ISDA Definitions); and
    (e) The Thai baht interest rate fixing, Bangkok Banking Days (as 
defined in the 2006 ISDA Definitions).
    ``Applicable Cut-off Time'' means:
    (a) for Fallback Rate (SONIA), 11:30 a.m., London time;
    (b) for Fallback Rate (SARON), 8:30 p.m., Zurich time;
    (c) for Fallback Rate (SOFR), 10:30 a.m., New York City time;
    (d) for Fallback Rate (EuroSTR), 11:30 a.m., Frankfurt time;
    (e) for Fallback Rate (TONA), 12:30 p.m., Tokyo time;
    (f) for Fallback Rate (AONIA), 11:30 a.m., Sydney time;
    (g) for Fallback Rate (CORRA), 11:30 a.m., Toronto time;
    (h) for Fallback Rate (HONIA), 7:30 p.m., Hong Kong time;
    (i) for Fallback Rate (SOR), 11:30 a.m., New York City time; and
    (j) for Fallback Rate (THBFIX), 10:00 a.m., Bangkok time, in 
each case, on the Fallback Observation Day.
    ``Applicable Fallback Rate'' means, in respect of a Relevant 
IBOR, for the purposes of:
    (a) Sterling LIBOR, Fallback Rate (SONIA) or if a Fallback Index 
Cessation Event has occurred with respect to Fallback Rate (SONIA), 
then the Applicable Fallback Rate for any Fallback Observation Day 
that occurs on or after the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SONIA) will be the Sterling Overnight 
Index Average (``SONIA'') rate administered by the Bank of England 
(or any successor administrator), to which the Calculation Agent 
shall apply the most recently published spread, as at the Fallback 
Index Cessation Effective Date with respect to Fallback Rate 
(SONIA), referred to in the definition of ``Fallback Rate (SONIA)'' 
after making such adjustments to SONIA as are necessary to account 
for any difference in term structure or tenor of SONIA by comparison 
to Fallback Rate (SONIA) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation 
Effective Date occurs with respect to each of Fallback Rate (SONIA) 
and SONIA, then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (SONIA) (or, if later, 
the Fallback Index Cessation Effective Date with respect to SONIA) 
will be the GBP Recommended Rate, to which the Calculation Agent 
shall apply the most recently published spread, as at the Fallback 
Index Cessation Effective Date with respect to Fallback Rate 
(SONIA), referred to in the definition of ``Fallback Rate (SONIA)'' 
after

[[Page 5237]]

making such adjustments to the GBP Recommended Rate as are necessary 
to account for any difference in term structure or tenor of the GBP 
Recommended Rate by comparison to Fallback Rate (SONIA) and by 
reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. 
If there is no GBP Recommended Rate before the end of the first 
London Banking Day (as defined in the 2006 ISDA Definitions) 
following the Fallback Index Cessation Effective Date with respect 
to Fallback Rate (SONIA) (or, if later, the end of the first London 
Banking Day following the Fallback Index Cessation Effective Date 
with respect to SONIA), or there is a GBP Recommended Rate and a 
Fallback Index Cessation Effective Date subsequently occurs with 
respect to it, then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (SONIA) (or, if later, 
the Fallback Index Cessation Effective Date with respect to SONIA) 
or the Fallback Index Cessation Effective Date with respect to the 
GBP Recommended Rate (as applicable) will be the UK Bank Rate, to 
which the Calculation Agent shall apply the most recently published 
spread, as at the Fallback Index Cessation Effective Date with 
respect to Fallback Rate (SONIA), referred to in the definition of 
``Fallback Rate (SONIA)'' after making such adjustments to the UK 
Bank Rate as are necessary to account for any difference in term 
structure or tenor of the UK Bank Rate by comparison to Fallback 
Rate (SONIA) and by reference to the Bloomberg IBOR Fallback Rate 
Adjustments Rule Book;
    (b) Swiss franc LIBOR, Fallback Rate (SARON) or if a Fallback 
Index Cessation Event has occurred with respect to Fallback Rate 
(SARON), then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (SARON) will be the 
Swiss Average Rate Overnight (``SARON'') administered by SIX Swiss 
Exchange AG (or any successor administrator), to which the 
Calculation Agent shall apply the most recently published spread, as 
at the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SARON), referred to in the definition of ``Fallback 
Rate (SARON)'' after making such adjustments to SARON as are 
necessary to account for any difference in term structure or tenor 
of SARON by comparison to Fallback Rate (SARON) and by reference to 
the Bloomberg IBOR Fallback Rate Adjustments Rule Book.
    If a Fallback Index Cessation Effective Date occurs with respect 
to each of Fallback Rate (SARON) and SARON, then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SARON) (or, if later, the Fallback Index Cessation 
Effective Date with respect to SARON) will be the NWG Recommended 
Rate, to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SARON), referred to in the definition 
of ``Fallback Rate (SARON)'' after making such adjustments to the 
NWG Recommended Rate as are necessary to account for any difference 
in term structure or tenor of the NWG Recommended Rate by comparison 
to Fallback Rate (SARON) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book.
    If there is no NWG Recommended Rate before the end of the first 
Zurich Banking Day (as defined in the 2006 ISDA Definitions) 
following the Fallback Index Cessation Effective Date with respect 
to Fallback Rate (SARON) (or, if later, the end of the first Zurich 
Banking Day following the Fallback Index Cessation Effective Date 
with respect to SARON), then the Applicable Fallback Rate for any 
Fallback Observation Day that occurs on or after the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (SARON) (or, 
if later, the Fallback Index Cessation Effective Date with respect 
to SARON) will be the Modified SNB Policy Rate, to which the 
Calculation Agent shall apply the most recently published spread, as 
at the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SARON), referred to in the definition of ``Fallback 
Rate (SARON)'' after making such adjustments to the Modified SNB 
Policy Rate as are necessary to account for any difference in term 
structure or tenor of the Modified SNB Policy Rate by comparison to 
Fallback Rate (SARON) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book;
    (c) U.S. dollar LIBOR, Fallback Rate (SOFR) or if a Fallback 
Index Cessation Event has occurred with respect to Fallback Rate 
(SOFR), then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (SOFR) will be the 
Secured Overnight Financing Rate (``SOFR'') administered by the 
Federal Reserve Bank of New York (or any successor administrator), 
to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SOFR), referred to in the definition 
of ``Fallback Rate (SOFR)'' after making such adjustments to SOFR as 
are necessary to account for any difference in term structure or 
tenor of SOFR by comparison to Fallback Rate (SOFR) and by reference 
to the Bloomberg IBOR Fallback Rate Adjustments Rule Book.
    If a Fallback Index Cessation Effective Date occurs with respect 
to each of Fallback Rate (SOFR) and SOFR, then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SOFR) (or, if later, the Fallback Index Cessation 
Effective Date with respect to SOFR) will be the Fed Recommended 
Rate, to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SOFR), referred to in the definition 
of ``Fallback Rate (SOFR)'' after making such adjustments to the Fed 
Recommended Rate as are necessary to account for any difference in 
term structure or tenor of the Fed Recommended Rate by comparison to 
Fallback Rate (SOFR) and by reference to the Bloomberg IBOR Fallback 
Rate Adjustments Rule Book. If there is no Fed Recommended Rate 
before the end of the first U.S. Government Securities Business Day 
(as defined in the 2006 ISDA Definitions) following the Fallback 
Index Cessation Effective Date with respect to Fallback Rate (SOFR) 
(or, if later, the end of the first U.S. Government Securities 
Business Day following the Fallback Index Cessation Effective Date 
with respect to SOFR), or there is a Fed Recommended Rate and a 
Fallback Index Cessation Effective Date subsequently occurs with 
respect to it, then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (SOFR) (or, if later, 
the Fallback Index Cessation Effective Date with respect to SOFR) or 
the Fallback Index Cessation Effective Date with respect to the Fed 
Recommended Rate (as applicable) will be OBFR, to which the 
Calculation Agent shall apply the most recently published spread, as 
at the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SOFR), referred to in the definition of ``Fallback 
Rate (SOFR)'' after making such adjustments to OBFR as are necessary 
to account for any difference in term structure or tenor of OBFR by 
comparison to Fallback Rate (SOFR) and by reference to the Bloomberg 
IBOR Fallback Rate Adjustments Rule Book.
    If there is no Fed Recommended Rate, or there is a Fed 
Recommended Rate and a Fallback Index Cessation Effective Date 
subsequently occurs with respect to it, and a Fallback Index 
Cessation Effective Date also occurs with respect to OBFR, then the 
Applicable Fallback Rate for any Fallback Observation Day that 
occurs on or after the Fallback Index Cessation Effective Date with 
respect to OBFR (or, if later, the Fallback Index Cessation 
Effective Date with respect to the Fed Recommended Rate, SOFR or 
Fallback Rate (SOFR), as applicable) will be the FOMC Target Rate, 
to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SOFR), referred to in the definition 
of ``Fallback Rate (SOFR)'' after making such adjustments to the 
FOMC Target Rate as are necessary to account for any difference in 
term structure or tenor of the FOMC Target Rate by comparison to 
Fallback Rate (SOFR) and by reference to the Bloomberg IBOR Fallback 
Rate Adjustments Rule Book;
    (d) Euro LIBOR and the euro interbank offered rate, Fallback 
Rate (EuroSTR) or if a Fallback Index Cessation Event has occurred 
with respect to Fallback Rate (EuroSTR), then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (EuroSTR) will be the Euro Short-Term Rate 
(``EuroSTR'') administered by the European Central Bank (or any 
successor administrator), to which the Calculation Agent shall apply 
the most recently published spread, as at the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (EuroSTR), 
referred to in the definition of ``Fallback Rate (EuroSTR)'' after

[[Page 5238]]

making such adjustments to EuroSTR as are necessary to account for 
any difference in term structure or tenor of EuroSTR by comparison 
to Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book. If a Fallback Index Cessation 
Effective Date occurs with respect to each of Fallback Rate 
(EuroSTR) and EuroSTR, then the Applicable Fallback Rate for any 
Fallback Observation Day that occurs on or after the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (EuroSTR) 
(or, if later, the Fallback Index Cessation Effective Date with 
respect to EuroSTR) will be the ECB Recommended Rate, to which the 
Calculation Agent shall apply the most recently published spread, as 
at the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (EuroSTR), referred to in the definition of ``Fallback 
Rate (EuroSTR)'' after making such adjustments to the ECB 
Recommended Rate as are necessary to account for any difference in 
term structure or tenor of the ECB Recommended Rate by comparison to 
Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book.
    If no ECB Recommended Rate is recommended before the end of the 
first TARGET Settlement Day (as defined in the 2006 ISDA 
Definitions) following the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (EuroSTR) (or, if later, the end of 
the first TARGET Settlement Day following the Fallback Index 
Cessation Effective Date with respect to EuroSTR), or a Fallback 
Index Cessation Effective Date with respect to the ECB Recommended 
Rate subsequently occurs, then the Applicable Fallback Rate for any 
Fallback Observation Day that occurs on or after the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (EuroSTR) 
(or, if later, the Fallback IndexCessation Effective Date with 
respect to EuroSTR) or the Fallback Index Cessation Effective Date 
with respect to the ECB Recommended Rate (as applicable) will be 
Modified EDFR, to which the Calculation Agent shall apply the most 
recently published spread, as at the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (EuroSTR), referred to 
in the definition of ``Fallback Rate (EuroSTR)'' after making such 
adjustments to Modified EDFR as are necessary to account for any 
difference in term structure or tenor of Modified EDFR by comparison 
to Fallback Rate (EuroSTR) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book;
    (e) Japanese yen LIBOR, the Japanese yen Tokyo interbank offered 
rate and the euroyen Tokyo interbank offered rate, Fallback Rate 
(TONA) or if a Fallback Index Cessation Event has occurred with 
respect to Fallback Rate (TONA), then the Applicable Fallback Rate 
for any Fallback Observation Day that occurs on or after the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (TONA) will be the Tokyo Overnight Average Rate (``TONA'') 
administered by the Bank of Japan (or any successor administrator), 
to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (TONA), referred to in the definition 
of ``Fallback Rate (TONA)'' after making such adjustments to TONA as 
are necessary to account for any difference in term structure or 
tenor of TONA by comparison to Fallback Rate (TONA) and by reference 
to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a 
Fallback Index Cessation Effective Date occurs with respect to each 
of Fallback Rate (TONA) and TONA, then the Applicable Fallback Rate 
for any Fallback Observation Day that occurs on or after the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (TONA) (or, if later, the Fallback Index Cessation Effective 
Date with respect to TONA) will be the JPY Recommended Rate, to 
which the Calculation Agent shall apply the most recently published 
spread, as at the Fallback Index Cessation Effective Date with 
respect to Fallback Rate (TONA), referred to in the definition of 
``Fallback Rate (TONA)'' after making such adjustments to the JPY 
Recommended Rate as are necessary to account for any difference in 
term structure or tenor of the JPY Recommended Rate by comparison to 
Fallback Rate (TONA) and by reference to the Bloomberg IBOR Fallback 
Rate Adjustments Rule Book;
    (f) The bank bill swap rate, Fallback Rate (AONIA) or if a 
Fallback Index Cessation Event has occurred with respect to Fallback 
Rate (AONIA), then the Applicable Fallback Rate for any Fallback 
Observation Day that occurs on or after the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (AONIA) will be the 
interbank overnight cash rate (``AONIA'') administered by the 
Reserve Bank of Australia (or any successor administrator), to which 
the Calculation Agent shall apply the most recently published 
spread, as at the Fallback Index Cessation Effective Date with 
respect to Fallback Rate (AONIA), referred to in the definition of 
``Fallback Rate (AONIA)'' after making such adjustments to AONIA as 
are necessary to account for any difference in term structure or 
tenor of AONIA by comparison to Fallback Rate (AONIA) and by 
reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. 
If a Fallback Index Cessation Effective Date occurs with respect to 
each of Fallback Rate (AONIA) and AONIA, then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (AONIA) (or, if later, the Fallback Index Cessation 
Effective Date with respect to AONIA) will be the RBA Recommended 
Rate, to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (AONIA), referred to in the definition 
of ``Fallback Rate (AONIA)'' after making such adjustments to the 
RBA Recommended Rate as are necessary to account for any difference 
in term structure or tenor of the RBA Recommended Rate by comparison 
to Fallback Rate (AONIA) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book;
    (g) The Canadian dollar offered rate, Fallback Rate (CORRA) or 
if a Fallback Index Cessation Event has occurred with respect to 
Fallback Rate (CORRA), then the Applicable Fallback Rate for any 
Fallback Observation Day that occurs on or after the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (CORRA) will 
be the Canadian Overnight Repo Rate Average (``CORRA'') administered 
by the Bank of Canada (or any successor administrator), to which the 
Calculation Agent shall apply the most recently published spread, as 
at the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (CORRA), referred to in the definition of ``Fallback 
Rate (CORRA)'' after making such adjustments to CORRA as are 
necessary to account for any difference in term structure or tenor 
of CORRA by comparison to Fallback Rate (CORRA) and by reference to 
the Bloomberg IBOR Fallback Rate Adjustments Rule Book. If a 
Fallback Index Cessation Effective Date occurs with respect to each 
of Fallback Rate (CORRA) and CORRA, then the Applicable Fallback 
Rate for any Fallback Observation Day that occurs on or after the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (CORRA) (or, if later, the Fallback Index Cessation Effective 
Date with respect to CORRA) will be the CAD Recommended Rate, to 
which the Calculation Agent shall apply the most recently published 
spread, as at the Fallback Index Cessation Effective Date with 
respect to Fallback Rate (CORRA), referred to in the definition of 
``Fallback Rate (CORRA)'' after making such adjustments to the CAD 
Recommended Rate as are necessary to account for any difference in 
term structure or tenor of the CAD Recommended Rate by comparison to 
Fallback Rate (CORRA) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book. If there is no CAD Recommended 
Rate before the end of the first Toronto Banking Day (as defined in 
the 2006 ISDA Definitions) following the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (CORRA) (or, if later, 
the end of the first Toronto Banking Day following the Fallback 
Index Cessation Effective Date with respect to CORRA), or there is a 
CAD Recommended Rate and a Fallback Index Cessation Effective Date 
subsequently occurs with respect to it, then the Applicable Fallback 
Rate for any Fallback Observation Day that occurs on or after the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (CORRA) (or, if later, the Fallback Index Cessation Effective 
Date with respect to CORRA) or the Fallback Index Cessation 
Effective Date with respect to the CAD Recommended Rate (as 
applicable) will be the BOC Target Rate, to which the Calculation 
Agent shall apply the most recently published spread, as at the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (CORRA), referred to in the definition of ``Fallback Rate 
(CORRA)'' after making such adjustments to the BOC Target Rate as 
are necessary to account for any difference in term structure or 
tenor of the BOC Target Rate by comparison to Fallback Rate (CORRA) 
and by reference to the Bloomberg IBOR Fallback Rate Adjustments 
Rule Book;
    (h) The Hong Kong interbank offered rate, Fallback Rate (HONIA) 
or if a Fallback Index Cessation Event has occurred with respect to 
Fallback Rate (HONIA), then the Applicable Fallback Rate for any 
Fallback Observation

[[Page 5239]]

Day that occurs on or after the Fallback Index Cessation Effective 
Date with respect to Fallback Rate (HONIA) will be the Hong Kong 
Dollar Overnight Index Average (``HONIA'') rate administered by the 
Treasury Markets Association (or any successor administrator), to 
which the Calculation Agent shall apply the most recently published 
spread, as at the Fallback Index Cessation Effective Date with 
respect to Fallback Rate (HONIA), referred to in the definition of 
``Fallback Rate (HONIA)'' after making such adjustments to HONIA as 
are necessary to account for any difference in term structure or 
tenor of HONIA by comparison to Fallback Rate (HONIA) and by 
reference to the Bloomberg IBOR Fallback Rate Adjustments Rule Book. 
If a Fallback Index Cessation Effective Date occurs with respect to 
each of Fallback Rate (HONIA) and HONIA, then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (HONIA) (or, if later, the Fallback Index Cessation 
Effective Date with respect to HONIA) will be the HKD Recommended 
Rate, to which the Calculation Agent shall apply the most recently 
published spread, as at the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (HONIA), referred to in the definition 
of ``Fallback Rate (HONIA)'' after making such adjustments to the 
HKD Recommended Rate as are necessary to account for any difference 
in term structure or tenor of the HKD Recommended Rate by comparison 
to Fallback Rate (HONIA) and by reference to the Bloomberg IBOR 
Fallback Rate Adjustments Rule Book; the Singapore dollar swap offer 
rate, Fallback Rate (SOR) or if a Fallback Index Cessation Event has 
occurred with respect to Fallback Rate (SOR), then the Applicable 
Fallback Rate for any Fallback Observation Day that occurs on or 
after the Fallback Index Cessation Effective Date with respect to 
Fallback Rate (SOR) will be the MAS Recommended Rate or, if there is 
no MAS Recommended Rate before the end of the first Singapore 
Banking Day (as defined in the 2006 ISDA Definitions) following the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (SOR), or there is a MAS Recommended Rate and a Fallback Index 
Cessation Effective Date subsequently occurs with respect to it, 
then the Applicable Fallback Rate for any Fallback Observation Day 
that occurs on or after the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (SOR) or the Fallback Index Cessation 
Effective Date with respect to the MAS Recommended Rate (as 
applicable) will be SORA, to which the Calculation Agent shall make 
such adjustments as are necessary to account for any difference in 
term structure or tenor of SORA by comparison to Fallback Rate (SOR) 
and by reference to the Calculation Methodology for Fallback Rate 
(SOR); and
    (i) The Thai baht interest rate fixing, Fallback Rate (THBFIX) 
or if a Fallback Index Cessation Event has occurred with respect to 
Fallback Rate (THBFIX), then the Applicable Fallback Rate for any 
Fallback Observation Day that occurs on or after the Fallback Index 
Cessation Effective Date with respect to Fallback Rate (THBFIX) will 
be the BOT Recommended Rate or, if there is no BOT Recommended Rate 
before the end of the first Bangkok Banking Day (as defined in the 
2006 ISDA Definitions) following the Fallback Index Cessation 
Effective Date with respect to Fallback Rate (THBFIX), or there is a 
BOT Recommended Rate and a Fallback Index Cessation Effective Date 
subsequently occurs with respect to it, then the Applicable Fallback 
Rate for any Fallback Observation Day that occurs on or after the 
Fallback Index Cessation Effective Date with respect to Fallback 
Rate (THBFIX) or the Fallback Index Cessation Effective Date with 
respect to the BOT Recommended Rate (as applicable) will be THOR, to 
which the Calculation Agent shall make such adjustments as are 
necessary to account for any difference in term structure or tenor 
of THOR by comparison to Fallback Rate (THBFIX) and by reference to 
the Bank of Thailand THBFIX Fallback Rate Adjustments Rule Book.
    ``Bank of Thailand THBFIX Fallback Rate Adjustments Rule Book'' 
means the THBFIX Fallback Rate Adjustments Rule Book published by 
the Bank of Thailand as updated from time to time.
    ``Bloomberg IBOR Fallback Rate Adjustments Rule Book'' means the 
IBOR Fallback Rate Adjustments Rule Book published by Bloomberg 
Index Services Limited (or a successor provider as approved and/or 
appointed by ISDA from time to time) as updated from time to time in 
accordance with its terms.
    ``BOC Target Rate'' means the Bank of Canada's Target for the 
Overnight Rate as set by the Bank of Canada and published on the 
Bank of Canada's website (as defined in the 2006 ISDA Definitions).
    ``BOT Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for Fallback 
Rate (THBFIX) by the Bank of Thailand or by a committee officially 
endorsed or convened by the Bank of Thailand (which rate may be 
produced by the Bank of Thailand or another administrator) and as 
provided by the administrator of that rate in respect of the day for 
which that rate is required (which under the 2006 ISDA Definitions 
would be the ``Reset Date'') or, if that rate is not provided by the 
administrator of that rate (or a successor administrator), published 
by an authorized distributor.
    ``CAD Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for CORRA by 
a committee officially endorsed or convened by the Bank of Canada 
for the purpose of recommending a replacement for CORRA (which rate 
may be produced by the Bank of Canada or another administrator) and 
as provided by the administrator of that rate or, if that rate is 
not provided by the administrator thereof (or a successor 
administrator), published by an authorized distributor. 
``Calculation Methodology for Fallback Rate (SOR)'' means the 
Calculation Methodology for Fallback Rate (SOR) published by ABS 
Benchmarks Administration Co Pte. Ltd. as updated from time to time.
    ``ECB Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for EuroSTR 
by the European Central Bank (or any successor administrator of 
EuroSTR) and/or by a committee officially endorsed or convened by 
the European Central Bank (or any successor administrator of 
EuroSTR) for the purpose of recommending a replacement for EuroSTR 
(which rate may be produced by the European Central Bank or another 
administrator) and as provided by the administrator of that rate or, 
if that rate is not provided by the administrator thereof (or a 
successor administrator), published by an authorized distributor.
    ``EDFR Spread'' means:
    (a) If no ECB Recommended Rate is recommended before the end of 
the first TARGET Settlement Day (as defined in the 2006 ISDA 
Definitions) following the Fallback Index Cessation Effective Date 
with respect to Fallback Rate (EuroSTR) (or, if later, before the 
end of the first TARGET Settlement Day following the Fallback Index 
Cessation Effective Date with respect to EuroSTR), the arithmetic 
mean of the daily difference between EuroSTR and the Eurosystem 
Deposit Facility Rate over an observation period of 30 TARGET 
Settlement Days starting 30 TARGET Settlement Days prior to the day 
on which the Fallback Index Cessation Event with respect to Fallback 
Rate (EuroSTR) occurs (or, if later, 30 TARGET Settlement Days prior 
to the day on which the first Fallback Index Cessation Event with 
respect to EuroSTR occurs) and ending on the TARGET Settlement Day 
immediately preceding the day on which the Fallback Index Cessation 
Event with respect to Fallback Rate (EuroSTR) occurs (or, if later, 
the TARGET Settlement Day immediately preceding the day on which the 
first Fallback Index Cessation Event with respect to EuroSTR 
occurs); or
    (b) If a Fallback Index Cessation Event with respect to the ECB 
Recommended Rate occurs, the arithmetic mean of the daily difference 
between the ECB Recommended Rate and the Eurosystem Deposit Facility 
Rate over an observation period of 30 TARGET Settlement Days 
starting 30 TARGET Settlement Days prior to the day on which the 
Fallback Index Cessation Event with respect to the ECB Recommended 
Rate occurs and ending on the TARGET Settlement Day immediately 
preceding the day on which that Fallback Index Cessation Event 
occurs.
    ``Eurosystem Deposit Facility Rate'' means the rate on the 
deposit facility, which banks may use to make overnight deposits 
with the Eurosystem and which is published on the ECB's website (as 
defined in the 2006 ISDA Definitions).
    ``Fallback Index Cessation Effective Date'' means, in respect of 
a Fallback Index Cessation Event, the first date on which the 
Applicable Fallback Rate is no longer provided. If the Applicable 
Fallback Rate ceases to be provided on the same day that it would 
have been observed but it was provided at the time at which it is 
ordinarily observed (or, if no such time is specified, at the time 
at which it is ordinarily published), then the Fallback Index 
Cessation Effective Date will be the next day on which the rate 
would ordinarily have been published. If the

[[Page 5240]]

Applicable Fallback Rate is the Modified SNB Policy Rate or Modified 
EDFR, references to the Applicable Fallback Rate in this definition 
of ``Fallback Index Cessation Effective Date'' shall be deemed to be 
references to the index, benchmark or other price source that is 
referred to in the definition of Modified SNB Policy Rate or 
Modified EDFR, as applicable.
    ``Fallback Index Cessation Event'' means, in respect of an 
Applicable Fallback Rate:
    (a) A public statement or publication of information by or on 
behalf of the administrator or provider of the Applicable Fallback 
Rate announcing that it has ceased or will cease to provide the 
Applicable FallbackRate permanently or indefinitely, provided that, 
at the time of the statement or publication, there is no successor 
administrator or provider that will continue to provide the 
Applicable Fallback Rate; or
    (b) If the Applicable Fallback Rate is:
    (i) Fallback Rate (SONIA), Fallback Rate (SARON), Fallback Rate 
(SOFR), Fallback Rate (EuroSTR), Fallback Rate (TONA), Fallback Rate 
(AONIA), Fallback Rate (CORRA) or Fallback Rate (HONIA), a public 
statement or publication of information by the regulatory supervisor 
for the administrator of the Underlying Rate, the central bank for 
the currency of the Underlying Rate, an insolvency official with 
jurisdiction over the administrator for the Underlying Rate, a 
resolution authority with jurisdiction over the administrator for 
the Underlying Rate or a court or an entity with similar insolvency 
or resolution authority over the administrator for the Underlying 
Rate, which states that the administrator of the Underlying Rate has 
ceased or will cease to provide the Underlying Rate permanently or 
indefinitely, provided that, at the time of the statement or 
publication, there is no successor administrator that will continue 
to provide the Underlying Rate; or
    (ii) SONIA, the GBP Recommended Rate, SARON, the NWG Recommended 
Rate, the Modified SNB Policy Rate, SOFR, the Fed Recommended Rate, 
OBFR, the FOMC Target Rate, EuroSTR, the ECB Recommended Rate, 
Modified EDFR, TONA, the JPY Recommended Rate, AONIA, the RBA 
Recommended Rate, CORRA, the CAD Recommended Rate, the BOC Target 
Rate, HONIA, the HKD Recommended Rate, Fallback Rate (SOR), the MAS 
Recommended Rate, SORA, Fallback Rate (THBFIX), the BOT Recommended 
Rate or THOR, a public statement or publication of information by 
the regulatory supervisor for the administrator or provider of the 
Applicable Fallback Rate, the central bank for the currency of the 
Applicable Fallback Rate, an insolvency official with jurisdiction 
over the administrator or provider for the Applicable Fallback Rate, 
a resolution authority with jurisdiction over the administrator or 
provider for the Applicable Fallback Rate or a court or an entity 
with similar insolvency or resolution authority over the 
administrator or provider for the Applicable Fallback Rate, which 
states that the administrator or provider of the Applicable Fallback 
Rate has ceased or will cease to provide the Applicable Fallback 
Rate permanently or indefinitely, provided that, at the time of the 
statement or publication, there is no successor administrator or 
provider that will continue to provide the Applicable Fallback Rate.
    If the Applicable Fallback Rate is the Modified SNB Policy Rate 
or Modified EDFR, references to the administrator or provider of 
such rate in this definition of ``Fallback Index Cessation Event'' 
shall be deemed to be references to the administrator or provider of 
the index, benchmark or other price source that is referred to in 
the definition of Modified SNB Policy Rate or Modified EDFR, as 
applicable.
    ``Fallback Observation Day'' means, in respect of an Applicable 
Fallback Rate and unless otherwise agreed, the day that is two 
Business Days (as defined in the relevant Protocol Covered Document 
or, if that term is not defined therein, as defined in the 2006 ISDA 
Definitions and, in each case, for the purposes of the payment which 
is calculated by reference to that Applicable Fallback Rate) 
preceding the day on which payment by reference to that rate is due 
(which under the 2006 ISDA Definitions would be equivalent to the 
``Payment Date'').
    ``Fallback Rate (AONIA)'' means the term adjusted AONIA plus the 
spread relating to the bank bill swap rate, in each case, for the 
period of time in respect of which the Relevant IBOR is to be 
determined provided by Bloomberg Index Services Limited (or a 
successor provider as approved and/or appointed by ISDA from time to 
time), as the provider of term adjusted AONIA and the spread, on the 
Fallback Rate (AONIA) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.
    ``Fallback Rate (AONIA) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for the bank bill swap rate for the period 
of time in respect of which the Relevant IBOR is to be determined 
accessed via the Bloomberg Screen   Page (or, if 
applicable, accessed via the Bloomberg Screen  ) or any 
other published source designated by Bloomberg Index Services 
Limited (or a successor provider as approved and/or appointed by 
ISDA from time to time).
    ``Fallback Rate (CORRA)'' means the term adjusted CORRA plus the 
spread relating to the Canadian dollar offered rate, in each case, 
for the period of time in respect of which the Relevant IBOR is to 
be determined provided by Bloomberg Index Services Limited (or a 
successor provider as approved and/or appointed by ISDA from time to 
time), as the provider of term adjusted CORRA and the spread, on the 
Fallback Rate (CORRA) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.
    ``Fallback Rate (CORRA) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for the Canadian dollar offered rate for the 
period of time in respect of which the Relevant IBOR is to be 
determined accessed via the Bloomberg Screen   Page (or, 
if applicable, accessed via the Bloomberg Screen  ) or any 
other published source designated by Bloomberg Index Services 
Limited (or a successor provider as approved and/or appointed by 
ISDA from time to time).
    ``Fallback Rate (EuroSTR)'' means:
    (a) The term adjusted EuroSTR; plus
    (b) If the Relevant IBOR is:
    (i) Euro LIBOR, the spread relating to euro LIBOR; or
    (ii) The euro interbank offered rate, the spread relating to the 
euro interbank offered rate, in each case, for the period of time in 
respect of which the Relevant IBOR is to be determined provided by 
Bloomberg Index Services Limited (or a successor provider as 
approved and/or appointed by ISDA from time to time), as the 
provider of term adjusted EuroSTR and the spread, on the Fallback 
Rate (EuroSTR) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.
    ``Fallback Rate (EuroSTR) Screen'' means the Bloomberg Screen 
(as defined in the 2006 ISDA Definitions) corresponding to the 
Bloomberg ticker for the fallback for euro LIBOR or the euro 
interbank offered rate, as applicable, for the period of time in 
respect of which the Relevant IBOR is to be determined accessed via 
the Bloomberg Screen   Page (or, if applicable, accessed 
via the Bloomberg Screen  ) or any other published source 
designated by Bloomberg Index Services Limited (or a successor 
provider as approved and/or appointed by ISDA from time to time).
    ``Fallback Rate (HONIA)'' means the term adjusted HONIA rate 
plus the spread relating to the Hong Kong interbank offered rate, in 
each case, for the period of time in respect of which the Relevant 
IBOR is to be determined provided by Bloomberg Index Services 
Limited (or a successor provider as approved and/or appointed by 
ISDA from time to time), as the provider of term adjusted HONIA and 
the spread, on the Fallback Rate (HONIA) Screen (or by other means) 
or provided to, and published by, authorized distributors at, or 
prior to, the Applicable Cut-off Time.
    ``Fallback Rate (HONIA) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for the Hong Kong interbank offered rate for 
the period of time in respect of which the Relevant IBOR is to be 
determined accessed via the Bloomberg Screen   Page (or, 
if applicable, accessed via the Bloomberg Screen  ) or any 
other published source designated by Bloomberg Index Services 
Limited (or a successor provider as approved and/or appointed by 
ISDA from time to time).
    ``Fallback Rate (SARON)'' means the term adjusted SARON plus the 
spread relating to Swiss franc LIBOR, in each case, for the period 
of time in respect of which the Relevant IBOR is to be determined 
provided by Bloomberg Index Services Limited (or a successor 
provider as approved and/or appointed by ISDA from time to time), as 
the provider of term adjusted SARON and the spread, on the Fallback 
Rate (SARON) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.

[[Page 5241]]

    ``Fallback Rate (SARON) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for Swiss franc LIBOR for the period of time 
in respect of which the Relevant IBOR is to be determined accessed 
via the Bloomberg Screen   Page (or, if applicable, 
accessed via the Bloomberg Screen  ) or any other published 
source designated by Bloomberg Index Services Limited (or a 
successor provider as approved and/or appointed by ISDA from time to 
time).
    ``Fallback Rate Screen'' means, if the Applicable Fallback Rate 
is: (a) Fallback Rate (SONIA), the Fallback Rate (SONIA) Screen; (b) 
Fallback Rate (SARON), the Fallback Rate (SARON) Screen; (c) 
Fallback Rate (SOFR), the Fallback Rate (SOFR) Screen; (d) Fallback 
Rate (EuroSTR), the Fallback Rate (EuroSTR) Screen; (e) Fallback 
Rate (TONA), the Fallback Rate (TONA) Screen; (f) Fallback Rate 
(AONIA), the Fallback Rate (AONIA) Screen; (g) Fallback Rate 
(CORRA), the Fallback Rate (CORRA) Screen, (h) Fallback Rate 
(HONIA), the Fallback Rate (HONIA) Screen, (i) Fallback Rate (SOR), 
the Fallback Rate (SOR) Screen; and (j) Fallback Rate (THBFIX), the 
Fallback Rate (THBFIX) Screen.
    ``Fallback Rate (SOFR)'' means the term adjusted SOFR plus the 
spread relating to U.S. dollar LIBOR, in each case, for the period 
of time in respect of which the Relevant IBOR is to be determined 
provided by Bloomberg Index Services Limited (or a successor 
provider as approved and/or appointed by ISDA from time to time), as 
the provider of term adjusted SOFR and the spread, on the Fallback 
Rate (SOFR) Screen (or by other means) or provided to, and published 
by, authorized distributors at, or prior to, the Applicable Cut-off 
Time.
    ``Fallback Rate (SOFR) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for U.S. dollar LIBOR for the period of time 
in respect of which the Relevant IBOR is to be determined accessed 
via the Bloomberg Screen   Page (or, if applicable, 
accessed via the Bloomberg Screen  ) or any other published 
source designated by Bloomberg Index Services Limited (or a 
successor provider as approved and/or appointed by ISDA from time to 
time).
    ``Fallback Rate (SONIA)'' means the term adjusted SONIA rate 
plus the spread relating to sterling LIBOR, in each case, for the 
period of time in respect of which the Relevant IBOR is to be 
determined provided by Bloomberg Index Services Limited (or a 
successor provider as approved and/or appointed by ISDA from time to 
time), as the provider of term adjusted SONIA and the spread, on the 
Fallback Rate (SONIA) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.
    ``Fallback Rate (SONIA) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for sterling LIBOR for the period of time in 
respect of which the Relevant IBOR is to be determined accessed via 
the Bloomberg Screen   Page (or, if applicable, accessed 
via the Bloomberg Screen  ) or any other published source 
designated by Bloomberg Index Services Limited (or a successor 
provider as approved and/or appointed by ISDA from time to time).
    ``Fallback Rate (SOR)'' means the rate based on actual 
transactions in the U.S. dollar/Singapore dollar foreign exchange 
swap market and a U.S. dollar interest rate calculated by reference 
to ``Fallback Rate (SOFR)'' as defined above and including any 
fallback rate that may apply pursuant to subparagraph (c) of the 
definition of ``Applicable Fallback Rate'' above for the period of 
time in respect of which the Relevant IBOR is to be determined 
provided by ABS Benchmarks Administration Co Pte. Ltd. (or a 
successor provider), as the provider of Fallback Rate (SOR), on the 
Fallback Rate (SOR) Screen (or by other means) or provided to, and 
published by, authorized distributors at, or prior to, the 
Applicable Cut-off Time.
    ``Fallback Rate (SOR) Screen'' means the Refinitiv Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Refinitiv 
ticker for the fallback for the Singapore dollar swap offer rate for 
the period of time in respect of which the Relevant IBOR is to be 
determined accessed via the Refinitiv Screen  (or, if 
applicable, accessed via the relevant Refinitiv Screen for `price 
history') or any other published source designated by ABS Benchmarks 
Administration Co Pte. Ltd. (or a successor provider).
    ``Fallback Rate (THBFIX)'' means the rate based on actual 
transactions in the U.S. dollar/Thai baht foreign exchange swap 
market and a U.S. dollar interest rate calculated by reference to 
``Fallback Rate (SOFR)'' as defined above and including any fallback 
rate that may apply pursuant to subparagraph (c) of the definition 
of ``Applicable Fallback Rate'' above for the period of time in 
respect of which the Relevant IBOR is to be determined provided by 
the Bank of Thailand (or a successor provider), as the provider of 
Fallback Rate (THBFIX), on the Fallback Rate (THBFIX) Screen (or by 
other means) or provided to, and published by, authorized 
distributors at, or prior to, the Applicable Cut-off Time.
    ``Fallback Rate (THBFIX) Screen'' means the Refinitiv Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Refinitiv 
ticker for the fallback for the Thai baht interest rate fixing for 
the period of time in respect of which the Relevant IBOR is to be 
determined accessed via the Refinitiv Screen  (or, if 
applicable, accessed via the relevant Refinitiv Screen for `price 
history') or any other published source designated by the Bank of 
Thailand (or a successor provider).
    ``Fallback Rate (TONA)'' means:
    (a) The term adjusted TONA; plus
    (b) If the Relevant IBOR is:
    (i) Japanese yen LIBOR, the spread relating to Japanese yen 
LIBOR;
    (ii) The Japanese yen Tokyo interbank offered rate, the spread 
relating to the Japanese yen Tokyo interbank offered rate; or the 
euroyen Tokyo interbank offered rate, the spread relating to the 
euroyen Tokyo interbank offered rate, in each case, for the period 
of time in respect of which the Relevant IBOR is to be determined 
provided by Bloomberg Index Services Limited (or a successor 
provider as approved and/or appointed by ISDA from time to time), as 
the provider of term adjusted TONA and the spread, on the Fallback 
Rate (TONA) Screen (or by other means) or provided to, and published 
by, authorized distributors at, or prior to, the Applicable Cut-off 
Time.
    ``Fallback Rate (TONA) Screen'' means the Bloomberg Screen (as 
defined in the 2006 ISDA Definitions) corresponding to the Bloomberg 
ticker for the fallback for Japanese yen LIBOR, the Japanese yen 
Tokyo interbank offered rate or the euroyen Tokyo interbank offered 
rate, as applicable, for the period of time in respect of which the 
Relevant IBOR is to be determined accessed via the Bloomberg Screen 
  Page (or, if applicable, accessed via the Bloomberg 
Screen  ) or any other published source designated by 
Bloomberg Index Services Limited (or a successor provider as 
approved and/or appointed by ISDA from time to time).
    ``Fed Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for SOFR by 
the Federal Reserve Board or the Federal Reserve Bank of New York, 
or by a committee officially endorsed or convened by the Federal 
Reserve Board or the Federal Reserve Bank of New York for the 
purpose of recommending a replacement for SOFR (which rate may be 
produced by the Federal Reserve Bank of New York or another 
administrator) and as provided by the administrator of that rate or, 
if that rate is not provided by the administrator thereof (or a 
successor administrator), published by an authorized distributor.
    ``FOMC Target Rate'' means the short-term interest rate target 
set by the Federal Open Market Committee and published on the 
Federal Reserve's website (as defined in the 2006 ISDA Definitions) 
or, if the Federal Open Market Committee does not target a single 
rate, the mid-point of the short-term interest rate target range set 
by the Federal Open Market Committee and published on the Federal 
Reserve's website (calculated as the arithmetic average of the upper 
bound of the target range and the lower bound of the target range, 
rounded, if necessary, in accordance with the method set forth in 
Section 8.1(c) of the 2006 ISDA Definitions).
    ``GBP Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for SONIA by 
(a) the administrator of SONIA if the administrator of SONIA is a 
national central bank, or (b) if the national central bank 
administrator of SONIA does not make a recommendation or the 
administrator of SONIA is not a national central bank, a committee 
designated for this purpose by one or both of the Financial Conduct 
Authority (or any successor thereto) and the Bank of England and as 
provided by the then administrator of that rate (or a successor 
administrator) or, if that rate is not provided by the administrator 
thereof (or a successor administrator), published by an authorized 
distributor.
    ``HKD Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments)

[[Page 5242]]

recommended as the replacement for HONIA by the administrator of 
HONIA or by a committee officially endorsed or convened by the 
administrator of HONIA for the purpose of recommending a replacement 
for HONIA (which rate may be produced by the administrator of HONIA 
or another administrator) and as provided by the administrator of 
that rate or, if that rate is not provided by the administrator 
thereof (or a successor administrator), published by an authorized 
distributor.
    ``Index Cessation Effective Date'' means, in respect of a 
Relevant IBOR (or, if either the Singapore dollar swap offer rate or 
the Thai baht interest rate fixing is the Relevant IBOR, U.S. dollar 
LIBOR) and one or more Index Cessation Events, the first date on 
which the Relevant IBOR (or, if either the Singapore dollar swap 
offer rate or the Thai baht interest rate fixing is the Relevant 
IBOR, U.S. dollar LIBOR) is either (a) in respect of a Relevant 
LIBOR (or, if the Relevant IBOR is the Singapore dollar swap offer 
rate or the Thai baht interest rate fixing, in respect of U.S. 
dollar LIBOR), Non-Representative by reference to the most recent 
statement or publication contemplated in subparagraph (c) of the 
definition of ``Index Cessation Event'' below and even if such rate 
continues to be provided on such date or (b) no longer provided. If 
the Relevant IBOR (or, if either the Singapore dollar swap offer 
rate or the Thai baht interest rate fixing is the Relevant IBOR, 
U.S. dollar LIBOR) ceases to be provided on the Relevant Original 
Fixing Date but it was provided (and, in respect of a Relevant LIBOR 
(or, if the Relevant IBOR is the Singapore dollar swap offer rate or 
the Thai baht interest rate fixing, in respect of U.S. dollar 
LIBOR), is not Non-Representative) at the time at which it is 
ordinarily observed, then the Index Cessation Effective Date will be 
the next day on which the rate would ordinarily have been published. 
An Index Cessation Effective Date may also occur in accordance with 
paragraph 6(d), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) 
above.
    ``Index Cessation Event'' means, in respect of a Relevant IBOR:
    (a) A public statement or publication of information by or on 
behalf of the administrator of the Relevant IBOR announcing that it 
has ceased or will cease to provide the Relevant IBOR permanently or 
indefinitely, provided that, at the time of the statement or 
publication, there is no successor administrator that will continue 
to provide the Relevant IBOR;
    (b) A public statement or publication of information by the 
regulatory supervisor for the administrator of the Relevant IBOR, 
the central bank for the currency of the Relevant IBOR, an 
insolvency official with jurisdiction over the administrator for the 
Relevant IBOR, a resolution authority with jurisdiction over the 
administrator for the Relevant IBOR or a court or an entity with 
similar insolvency or resolution authority over the administrator 
for the Relevant IBOR, which states that the administrator of the 
Relevant IBOR has ceased or will cease to provide the Relevant IBOR 
permanently or indefinitely, provided that, at the time of the 
statement or publication, there is no successor administrator that 
will continue to provide the Relevant IBOR; or
    (c) If the Relevant IBOR is sterling LIBOR, Swiss franc LIBOR, 
U.S. dollar LIBOR, euro LIBOR, Japanese yen LIBOR, the Singapore 
dollar swap offer rate or the Thai baht interest rate fixing, a 
public statement or publication of information by the regulatory 
supervisor for the administrator of such Relevant IBOR (or, if the 
Relevant IBOR is the Singapore dollar swap offer rate or the Thai 
baht interest rate fixing, by the regulatory supervisor for the 
administrator of U.S. dollar LIBOR) announcing that (i) the 
regulatory supervisor has determined that such Relevant IBOR is no 
longer, or as of a specified future date will no longer be, 
representative of the underlying market and economic reality that 
such Relevant IBOR is intended to measure and that 
representativeness will not be restored and (ii) it is being made in 
the awareness that the statement or publication will engage certain 
contractual triggers for fallbacks activated by pre-cessation 
announcements by such supervisor (howsoever described) in contracts, 
provided that, if either the Singapore dollar swap offer rate or the 
Thai baht interest rate fixing is the Relevant IBOR, references to 
the ``Relevant IBOR'' in subparagraphs (a), (b) and (c)(i) above of 
this definition of ``Index Cessation Event'' will be deemed to be 
references to U.S. dollar LIBOR.
    An Index Cessation Event may also occur in accordance with 
paragraph 6(d), subparagraph 6(e)(ii) or subparagraph 6(e)(iii) 
above.
    ``JPY Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for TONA by a 
committee officially endorsed or convened by the Bank of Japan for 
the purpose of recommending a replacement for TONA (which rate may 
be produced by the Bank of Japan or another administrator) and as 
provided by the administrator of that rate or, if that rate is not 
provided by the administrator thereof (or a successor 
administrator), published by an authorized distributor.
    ``MAS Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for Fallback 
Rate (SOR) by the Monetary Authority of Singapore or by a committee 
officially endorsed or convened by the Monetary Authority of 
Singapore (which rate may be produced by the Monetary Authority of 
Singapore or another administrator) and as provided by the 
administrator of that rate in respect of the day for which that rate 
is required (which under the 2006 ISDA Definitions would be the 
``Reset Date'') or, if that rate is not provided by the 
administrator of that rate (or a successor administrator), published 
by an authorized distributor.
    ``Modified EDFR'' means a rate equal to the Eurosystem Deposit 
Facility Rate plus the EDFR Spread.
    ``Modified SNB Policy Rate'' means a rate equal to the SNB 
Policy Rate plus the SNB Spread.
    ``Non-Representative'' means, in respect of a Relevant LIBOR 
(or, if the Relevant IBOR is the Singapore dollar swap offer rate or 
the Thai baht interest rate fixing, in respect of U.S. dollar 
LIBOR), the regulatory supervisor for the administrator of the 
Relevant LIBOR (or, if the Relevant IBOR is the Singapore dollar 
swap offer rate or the Thai baht interest rate fixing, U.S. dollar 
LIBOR):
    (a) Has determined and announced that the Relevant LIBOR (or, if 
the Relevant IBOR is the Singapore dollar swap offer rate or the 
Thai baht interest rate fixing, U.S. dollar LIBOR) is no longer 
representative of the underlying market and economic reality it is 
intended to measure and representativeness will not be restored; and
    (b) Is aware that certain contractual triggers for fallbacks 
activated by pre-cessation announcements by such supervisor 
(howsoever described) in contracts have been or are engaged, 
provided that such Relevant LIBOR (or, if the Relevant IBOR is the 
Singapore dollar swap offer rate or the Thai baht interest rate 
fixing, U.S. dollar LIBOR) will be `Non-Representative' by reference 
to the date indicated in the most recent statement or publication 
contemplated in subparagraph (c) of the definition of ``Index 
Cessation Event'' above.
    ``NWG Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for SARON by 
any working group or committee in Switzerland organized in the same 
or a similar manner as the National Working Group on Swiss Franc 
Reference Rates that was founded in 2013 for purposes of, among 
other things, considering proposals to reform reference interest 
rates in Switzerland, and as provided by the administrator of that 
rate or, if that rate is not provided by the administrator thereof 
(or a successor administrator), published by an authorized 
distributor.
    ``OBFR'' means the Overnight Bank Funding Rate, as provided by 
the Federal Reserve Bank of New York (or a successor administrator) 
on the New York Fed's website (as defined in the 2006 ISDA 
Definitions) or, if that rate is not provided by the Federal Reserve 
Bank of New York (or a successor administrator), published by an 
authorized distributor.
    ``RBA Recommended Rate'' means the rate (inclusive of any 
spreads or adjustments) recommended as the replacement for AONIA by 
the Reserve Bank of Australia (which rate may be produced by the 
Reserve Bank of Australia or another administrator) and as provided 
by the administrator of that rate or, if that rate is not provided 
by the administrator thereof (or a successor administrator), 
published by an authorized distributor.
    ``Relevant LIBOR'' means sterling LIBOR, Swiss franc LIBOR, U.S. 
dollar LIBOR, euro LIBOR and Japanese yen LIBOR.
    ``Relevant Original Fixing Date'' means, in respect of a 
Relevant IBOR and unless otherwise agreed, the day on which that 
Relevant IBOR would have been observed (which under the 2006 ISDA 
Definitions would be the ``Reset Date'' or, if the Relevant IBOR is 
Swiss franc LIBOR, U.S. dollar LIBOR, euro LIBOR, the euro interbank 
offered rate, Japanese yen LIBOR, the Japanese yen Tokyo interbank 
offered rate, the euroyen Tokyo interbank offered rate, the 
Singapore dollar swap offer rate or the Thai

[[Page 5243]]

baht interest rate fixing, the day that is two Applicable Banking 
Days preceding a relevant ``Reset Date'', as applicable).
    ``SNB Policy Rate'' means the policy rate of the Swiss National 
Bank.
    ``SNB Spread'' means the historical median between SARON and the 
SNB Policy Rate over an observation period of two years starting two 
years prior to the day on which the Fallback Index Cessation Event 
with respect to Fallback Rate (SARON) occurs (or, if later, two 
years prior to the day on which the first Fallback Index Cessation 
Event with respect to SARON occurs) and ending on the Zurich Banking 
Day (as defined in the 2006 ISDA Definitions) immediately preceding 
the day on which the Fallback Index Cessation Event with respect to 
Fallback Rate (SARON) occurs (or, if later, the Zurich Banking Day 
immediately preceding the day on which the first Fallback Index 
Cessation Event with respect to SARON occurs), as determined by the 
Calculation Agent.
    ``SORA'' means the Singapore Overnight Rate Average as provided 
by the Monetary Authority of Singapore (or a successor 
administrator) on the Monetary Authority of Singapore's website (as 
defined in the 2006 ISDA Definitions) (or as published by its 
authorized distributors).
    ``THOR'' means the Thai Overnight Repurchase Rate as provided by 
the Bank of Thailand as administrator of the benchmark (or a 
successor administrator) on the Bank of Thailand's website (as 
defined in the 2006 ISDA Definitions) (or as published by its 
authorized distributors).
    ``UK Bank Rate'' means the official bank rate as determined by 
the Monetary Policy Committee of the Bank of England and published 
by the Bank of England from time to time.
    ``Underlying Rate'' means, if the Applicable Fallback Rate is: 
(a) Fallback Rate (SONIA), SONIA; (b) Fallback Rate (SARON), SARON; 
(c) Fallback Rate (SOFR), SOFR; (d) Fallback Rate (EuroSTR), 
EuroSTR; (e) Fallback Rate (TONA), TONA; (f) Fallback Rate (AONIA), 
AONIA; (g) Fallback Rate (CORRA), CORRA; and (h) Fallback Rate 
(HONIA), HONIA.

7. Negative Interest Protocol

    The parties agree that the amendments made by this Protocol do 
not constitute a ``Spread Provision'' (as defined in the ISDA 2014 
Collateral Agreement Negative Interest Protocol published on May 12, 
2014 by ISDA).
    Published by permission of the International Swaps and 
Derivatives Association, Inc. (``ISDA'') ISDA[supreg] reserves all 
rights in the Protocol.
    Source: ISDA 2020 IBOR Fallbacks Protocol, published on October 
23, 2020, by the International Swaps and Derivatives Association, 
Inc., https://assets.isda.org/media/3062e7b4/08268161-pdf/.

    By order of the Board of Governors of the Federal Reserve 
System.
Ann E. Misback,
Secretary of the Board.
[FR Doc. 2023-00213 Filed 1-25-23; 8:45 am]
BILLING CODE P

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