What will happen to the reference rates in a derivatives contract if Annex 2 is elected?
The price sources provision of the Protocol is designed to address cases where national currency reference rates disappear or change. In a number of cases, domestic rates for participating currencies are due to disappear and be replaced by a Euro rate for the whole euro zone: Euribor. The rates switching over to Euribor include French Franc Pibor and Deutsche Mark Fibor. Also, overnight effective rates, such as French Franc TAM, will be replaced by the Euro overnight rate, EONIA. (BBA Libor rates will continue to be published for national currencies, but will be the same as Euro Libor.) The price sources provision of the Protocol is designed to prevent any confusion over the switch to successor rates and to avoid over-reliance on reference banks. It therefore confirms that contracts should continue to function in the case of changing price sources by: • Using the new rate appearing on the existing screen page in place of the old rate; • If not present, using the officially designated s
