Supplemental Consultation on Spread and Term Adjustments, including Final Parameters thereof, for Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR, as well as other less widely used IBORs
This consultation seeks input on the approach for addressing certain issues associated with adjustments that would apply to €STR if fallbacks in EURIBOR or EUR LIBOR take effect, including the final parameters for these adjustments. It also asks about adjustments that could apply if fallbacks take effect in less widely used IBORs. These adjustments are necessary because of the differences between the interbank offered rates (such as EURIBOR and EUR LIBOR) and the RFRs (such as €STR). The consultation is available here. For convenience, you can use this form or your responses (but you are not required to so).
The deadline for responses to the consultation is January 21, 2020. Please email your responses to FallbackConsult@isda.org and clearly indicate that you are submitting a response in the subject line of your email.
The Brattle Group has provided a workbook to help market participants understand the implications of the different options and 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. We encourage all respondents to utilize this workbook as they develop their responses to this consultation. 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 “backward-shift” 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.
On January 14, ISDA hosted a market call to answer questions regarding this consultation. The recording of the call is available here.
Please contact FallbackConsult@isda.org if you have any questions during the consultation period.
Latest
ISDA, FIA and SIFMA Letter on Sunset of Swaps LTR Rules (Part 20)
On May 20, 2026, ISDA, FIA and SIFMA submitted a joint letter to U.S. Commodity Futures Trading Commission (CFTC) to request the CFTC to sunset large trader reporting rules (LTR) rules for physical commodity swaps pursuant to Regulation 20.9.
ISDA-SIFMA Letter – CFTC-SEC Harmonization
On May 19, 2026, ISDA and SIFMA submitted a joint letter to the U.S. Securities and Exchange Commission (SEC) and the Commodity Futures Trading Commission (CFTC) on SEC and CFTC harmonization, as part of the agencies’ Joint Harmonization Initiative which...
ISDA AGM Studio: Jim Byrd, RBC Capital Markets
Jim Byrd, global head, macro products, at RBC Capital Markets, joins the ISDA AGM studio to discuss the main risks and opportunities in the current trading environment and what needs to be done to avoid liquidity squeezes during periods of...
ISDA AGM Studio: Michelle Beck, FCA
Michelle Beck, director for wholesale buy‑side oversight at the Financial Conduct Authority, speaks with ISDA’s global head of public policy, Steven Kennedy, about the regulatory approach to systemic risk in non‑bank financial intermediation after a panel discussion on how robust...