Austrian Economic Chamber - Divsion Bank and Insurance

We feel the IMV reference date and RM final reference date and similarly defined reference dates are ambiguous, as the definition implies that everyone uses the same business calendar – which, even if holds true for the two mentioned reference dates in 2020-2021, might be a strong
assumption for years ahead:
• IMV reference date: “5 working days after the booking date”
• RM final reference date: “10 working days after the RM initial reference date”

According to current migration timelines the 2020-2021 Benchmark exercise should still not be impacted (according to the timeline the LIBOR setup ceases to exist till end of 2021). A market consensus on the calculation specifics of new benchmarks curve is still to be agreed upon. For the mentioned reasons we plan to continue using EURIBOR and LIBOR setup for the upcoming 2020-2021 EBA Benchmarking exercise.

Dr. Franz Rudorfer