Euribor Fallback Proposals Expose Divisions in Loan Markets
By Helen Bartholomew
February 19, 2021, Risk
A consultation on fallback rates for Euribor-linked cash instruments has exposed stark divisions over how a term version of the replacement euro short-term rate (€STR) should be calculated and whether it should be phased in over a one-year transition period.
Nearly half the respondents to the euro risk-free rate working group’s November consultation on term structure and spread adjustment methodologies opposed a proposal to phase in a spread adjustment representing the historic gap between Euribor and €STR.
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