ISDA summarized the findings from a supplemental
consultation report on fallbacks in derivatives referencing EUR
LIBOR and EURIBOR. The supplemental consultation was launched on
December 18, 2019, in connection with ongoing efforts to amend
certain floating rate options based on interbank offered rates
("IBORs") (see
prior coverage).
According to ISDA, respondents to the supplemental consultation
largely preferred an implementation for fallbacks in derivatives
referencing EUR LIBOR and EURIBOR that used (i) a "compounded
setting in arrears rate approach with a backward-shift
adjustment," and (ii) a "historical median over a
five-year lookback period."
ISDA found the majority of respondents would be against a
transition period in the spread adjustment calculation. Most
respondents stated they would be able to use the same adjustments
for indices other than EUR LIBOR and EURIBOR, as market
participants valued consistency across benchmarks. In addition,
