Following the announcement by EMMI on June 6, 2018 that, with effect from December 3, 2018, it will discontinue publication of the two-week, two month and nine-month EURIBOR tenors, members are reminded that:
- Adherents to the 2013 ISDA Discontinue Rates Maturities Protocol (‘the 2013 Protocol’)
Swap market participants that have adhered to the 2013 Protocol have already agreed with each other adherent to that protocol that the following language has been added to the confirmation for each Protocol Covered Transaction:“This Confirmation incorporates the terms of the ISDA 2013 Discontinued Rates Maturities Protocol as published by the International Swaps and Derivatives Association, Inc. on October 11, 2013 (the Protocol). Any capitalized term used herein and defined in the Protocol shall have the meaning for such term in the Protocol. If an Affected Discontinued Rate or an Affected Interpolated Rate is to be determined for a Reset Date for this Protocol Covered Transaction for which (a) there is no Overriding Fallback Provision therefor, and (b) the Fixing Date(s) therefor occurs (i) on or after the Amendment Effective Date for this Protocol Covered Transaction and (ii) on or after the Discontinuation Date for the relevant Affected Discontinued Rate(s), then notwithstanding anything to the contrary herein, the rate used in lieu of such Affected Discontinued Rate or such Affected Interpolated Rate, as applicable, for such Reset Date shall be the Interpolated Rate in relation to such Affected Discontinued Rate or such Affected Interpolated Rate, as applicable, for such Reset Date.”The general effect of the amendment in the Attachment to the Protocol is that unless the trade Confirmation provides its own fallback for how to determine the rate once a referenced maturity is discontinued, the rate will be determined by interpolating the Nearest Long Rate and the Nearest Short Rate. For example*, if the Floating Rate is being determined for a Calculation Period for a Protocol Covered Transaction for which the Floating Rate Option is EURIBOR, the Designated Maturity is two weeks and the Fixing Date for that Calculation Period occurs on or after the Amendment Effective Date for such Transaction and on or after the Discontinuation Date for such Discontinued Maturity Rate, then the Floating Rate for that Calculation Period will be determined by interpolating 1 week EURIBOR and one-month EURIBOR.
*This is example is for illustrative purposes only and the binding provisions are set forth in the Protocol.
- Institutions that wish to adhere to the 2013 ISDA Discontinued Rates Maturities Protocol
The 2013 Protocol remains open for adherence. Further information on how to adhere to the protocol can be found here.
- Institutions that do not wish to adhere to the 2013 Protocol or for whom the 2013 Protocol does not provide a solution
Counterparties will need to bilaterally agree how to deal with transactions that reference the discontinued maturities of EURIBOR.
Capitalized terms used in this notice are as defined in the 2013 Protocol.
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