Euribor® Fallback Rates
The EU Benchmark Regulation (Regulation (EU) 2016/1011) requires supervised entities that use a benchmark to have robust written plans in place for the event that a benchmark materially changes or ceases to exist. Where feasible and appropriate, these plans should nominate one or more fallback rates.
To facilitate the establishment of such written plans for Euribor® licensees, the European Money Markets Institute is currently developing a forward-looking fallback rate based on available market data on overnight index swaps that reference the European Central Bank's
Euro Short Term Rate (€STR).