On December 18, 2019, ISDA launched a supplemental consultation, related to its ongoing efforts to amend certain of its floating rate options that reference interbank offered rates ("IBORs"), titled "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" (the "Supplemental Consultation").
The Supplemental Consultation is a follow-up to the consultations that ISDA published in July 2018 and May 2019, which sought feedback from market participants regarding approaches for addressing certain technical issues associated with adjustments that will apply to the risk-free rate fallbacks for GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR, BBSW, LIBOR, CDOR or HIBOR (the "Previous Consultations").
The Previous Consultations requested preliminary feedback with respect to EURIBOR and EUR LIBOR (the "Supplemental IBORS") and referred to the need to publish a supplemental consultation in respect of such IBORs. The Supplemental Consultation asked market participants whether the same approach should be adopted for the Supplemental IBORs as was adopted for the IBORs subject to the Previous Consultations. Additionally, the Supplemental Consultation requested feedback from market participants on the appropriate means of addressing a supplemental issue: the lack of historical Euro Short-Term Rate ("€STR") data in connection with applying the historical mean/median spread adjustment approach for €STR. Finally, the Supplemental Consultation requested feedback on whether the same approach should be adopted for less widely used IBORs in the future.
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