ISDA summarized responses to a supplemental consultation on certain floating rate options that reference EUR LIBOR and EURIBOR and other "less widely used" interbank offered rates ("IBORs").
ISDA stated that "the overwhelming majority of respondents agreed with an implementation based on the 'compounded setting in arrears rate approach with a backward-shift adjustment' and a spread adjustment based on a 'historical median over a five-year lookback period' for fallbacks in derivatives referencing EUR LIBOR and EURIBOR and other less widely used IBORs."
As previously covered, the supplemental consultation was a follow-up to the consultations that ISDA published in July 2018 and May 2019, which sought feedback from market participants regarding approaches for addressing certain technical issues associated with adjustments that will apply to the risk-free rate fallbacks for GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR, BBSW, LIBOR, CDOR or HIBOR.
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