December 2019 Benchmark Fallbacks Supplemental Consultation

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 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 if you have any questions during the consultation period.

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