This consultation sought input on the final parameters related for the adjustments that will apply to alternative risk-free rates (RFRs) if derivatives fallbacks are triggered. These adjustments are necessary because of the differences between the interbank offered rates and the RFRs.
The deadline for responses to the consultation was October 23, 2019.
The Brattle Group has provided a workbook to help market participants understand the implications of the different options above and other variations for the historical mean/median approach to the spread adjustment. The Brattle Group has also provided a set of instructions for using the workbook. Bloomberg clients will be able to run this workbook based on historical data accessed through their desktop/Terminal environment. Please note that the actual compounded setting in arrears rate and spread adjustment may differ from what is produced in the spreadsheet once all technical issues related to the calculations are addressed. Importantly, the spread adjustment in the spreadsheet does not account for (a) a transitional period or (b) a “backward-shift” or “lockout” in calculating the compounded in arrears rate or with respect to the compounded RFR data in the spread adjustment. However, the spreadsheet should provide helpful information to market participants as they compare the different options and variations.
A recording of a market call answering questions about the consultation is available here.