International Swaps and Derivatives Association Consults on Fallbacks Based on Alternative Risk-Free Rates For Derivatives Referencing EUR Libor and EURIBOR

The International Swaps and Derivatives Association has launched a consultation in which it proposes to amend its standard documentation to implement fallbacks based on alternative risk-free rates for certain key Interbank Offered Rates - EUR LIBOR and EURIBOR. ISDA states that the back-ups will apply if the relevant IBOR is permanently discontinued, based on defined triggers. Responses to the consultation should be submitted to ISDA by January 21, 2020.

According to ISDA, the majority of respondents to the consultations on fallbacks for other IBORs indicated a preference for the compounded setting in arrears rate and the historical mean/median approach to address certain technical issues linked to fallbacks. This consultation sets out the proposed approach for addressing the adjustments, including the final parameters of those adjustments that will apply to the RFRs if the fallbacks for EUR LIBOR or EURIBOR are triggered. Taking into account the feedback to the consultation, ISDA will consider whether to implement the same adjustments in fallbacks for EUR LIBOR and EURIBOR as the adjustments that are being implemented in fallbacks for other IBORs, including GBP LIBOR, CHF LIBOR, JPY LIBOR and USD LIBOR.

View ISDA's consultation paper on fallbacks for EUR Libor and EURIBOR.

View details of ISDA's July 2018 consultation.

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