This report is the second deliverable by the Risk-Free Rate Working Group under Finance Denmark regarding a recommendation for fallback rates for CIBOR.
The Working Group has produced a proposal for a recommendation on how fallback rates for CIBOR can be formulated. The proposal for a recommendation describes in which situations a change of reference interest rate is necessary and what fallback rate is recommended to be used. The recommendation is based on the standards that have been developed internationally in recent years. The recommendation is very generally held to be able to work for all types of markets, instruments, and parties.
The background for the proposed recommendation is that in order to comply with the requirements, set out in Article 28 (2) of the Benchmark Regulation, companies under supervision in contracts must have a description of what happens if a reference rate used in financial contracts ceases permanently (fallback clause).
Stakeholders are hereby invited to comment on all matters in this report and on the questions summarized in Appendix 1.
The Risk-Free Rate Working Group under Finance Denmark will consider all comments received by latest 28 April 2023 COB. An anonymized summary of the comments and the final recommendation from the Working Group will be published shortly thereafter.
All contributions should be submitted via email to mof@fida.dk
