ISDA Publishes Documentation for BKBM Fall-back

NZFBF Market Notice

Market Notice No: 202109
Date: 17 December 2021

ISDA Publishes Documentation for BKBM Fall-back

The New Zealand Financial Benchmark Facility Limited (NZFBF), a subsidiary of the New Zealand Financial Markets Association (NZFMA), welcomed ISDA’s announcement that they have published a fall-back protocol for legacy derivative transactions, as well as a fall-back supplement for new derivative transactions. The ISDA announcement can be found here. Bloomberg commenced publishing the BKBM fall-back this week, information relating to this can be found here.


While NZFBF believes BKBM will continue as an important financial benchmark, the IOSCO Principles for Financial Benchmarks state that there should be robust fall-back provisions in contracts or financial instruments that reference a Benchmark. The NZFMA selected the Official Cash Rate as the fall-back to BKBM in late 2019, following market consultation.


NZFBF noted that reaching this stage of fall-back implementation for BKBM was a major milestone. However, it is important that users of derivative transactions referencing BKBM adopt both the ISDA protocol and supplement. This will ensure there are robust fallback provisions to reduce the potential for market disruption should BKBM permanently cease to exist.

If you have any questions on this matter, please email or phone (+64 4 333 1378) John Groom, General Manager, NZFBF.