The IBOR Transition Digest is a periodic compendium of global regulatory and market developments and insights on the complex issues confronting financial market participants as they continue to transition from LIBOR and its variants to replacement benchmark interest rates. As the market moves to the next phase of IBOR transition, it is critical to have access to comprehensive and timely resources about the market.
For additional resources and an introduction to our global cross-practice IBOR Transition Task Force, please visit Mayer Brown’s IBOR Transition portal.
The United States Adopts a Federal LIBOR Transition Solution
Legal Update, 17 March 2022
An expanded version of our 14 March blog post about the Adjustable Interest Rate (LIBOR) Act, which has been signed into law.
Federal LIBOR Legislation Signed Into Law; Amends Section 316(b) of the Trust Indenture Act of 1939
Legal Update, 16 March 2022
Discussing the Adjustable Interest Rate (LIBOR) Act with a focus on its application to floating rate notes.
Consolidated Appropriations Act Advances Federal LIBOR Transition Solution
Eye on IBOR blog, 14 March 2022
The Adjustable Interest Rate (LIBOR) Act, incorporated into the Consolidated Appropriations Act 2022, has passed the U.S. House and Senate and is headed to the President for signature, providing a federal solution to the issue of LIBOR replacement for so-called tough legacy contracts.
United States – General
HR 2471 – Consolidated Appropriations Act, 2022 - See Division U (Adjustable Interest Rate (LIBOR) Act) pp 777-786
U.S. House of Representatives (enacted 9 March); U.S. Senate (enacted 10 March); signed into law on 15 March 2022
The Adjustable Interest Rate (LIBOR) Act was signed into law by President Biden on 15 March 2022, providing a federal solution to transition for LIBOR-linked contracts without effective fallback provisions.
Information on the Robustness, Sustainability and Application of USD Invesco / SOFR Academy Across-the-Curve Credit Spread Indices (AXI)
SOFR Academy, 11 March 2022
An updated description of the construction and characteristics of AXI.
Waters Announces Committee Appropriations Victories in 2022 Omnibus Legislation
U.S. House Committee on Financial Services, 9 March 2022
Division U – Adjustable Interest Rate (LIBOR) Act, included within the spending bill passed by the U.S. House of Representatives on 9 March 2022, is based on H.R. 4616, which the House passed on 8 December 2021, and establishes a legal and regulatory process for contracts that reference LIBOR but do not contain a clearly defined alternative benchmark after LIBOR is discontinued.
Alternative Reference Rates Committee, 17 February 2022
The two key priority areas are (1) promoting continued growth in use of SOFR in new activity; and (2) supporting the transition of legacy contracts ahead of the 30 June 2023 cessation of remaining USD LIBOR tenors.
ARRC Chair Tom Wipf on LIBOR’s Demise, Momentum Towards SOFR, and the Work That Still Remains
Alternative Reference Rates Committee, 3 February 2022
In an op-ed for Barrons, Chair Wipf notes that the use of SOFR has continued to accelerate, particularly in the interest rate swap and futures markets thanks to the SOFR First convention changes, and the pipeline of new loan and securitizations activity appears to have shifted away from LIBOR toward SOFR. However, the tail of legacy contracts that cannot be amended and mature after 30 June 2023 are a continuing problem and “legislation to address these contracts specifically is critical.”
Canada – General
Consultation on Potential Cessation of CDOR
Refinitiv Benchmark Services (UK) Limited, 31 January 2022
Consultation questions relate to problems presented by a cessation of CDOR, the proposed two-stage approach, and whether a cessation date of 30 June 2024 provides sufficient time to prepare.
United Kingdom – General
Finalising LIBOR transition – achievements in sterling markets and what remains to be done
Financial Conduct Authority and Bank of England, 9 February 2022
Overnight SONIA, compounded in arrears, is now fully embedded across sterling markets. Active transition of legacy GBP LIBOR contracts that currently use the temporary synthetic LIBOR must continue, and transition away from USD LIBOR is “of critical importance.”
Europe – General
Call for expressions of interest: administrators developing €STR-based forward-looking term structure as a fallback in EURIBOR-linked contracts
European Securities and Markets Authority, 3 March 2022
The Working Group on Euro Risk-Free Rates requests any administrator that is developing, or plans to develop, an €STR-based forward-looking term structure to indicate their interest in presenting their project to the Working Group on 10 June 2022. Indications of interest should be submitted by 8 April 2022.
Working Group on Euro Risk-Free Rates – Work Programme for 2022/23
European Securities and Markets Authority, 2 March 2022
Priorities include fostering the use of €STR in a diverse range of financial products, implementing EURIBOR fallback recommendations, supporting forward-looking €STR term rates, and assessing potential financial stability risks arising from USD LIBOR cessation in June 2023.
Questions and Answers on the Benchmarks Regulation (BMR)
European Securities and Markets Authority, 28 January 2022
A new answer confirms that a temporary disruption to the provision of a benchmark alone does not constitute a “cessation,” requiring a written remediation plan.
Global – Derivatives
Guidance Note – Linear Interpolation
International Swaps and Derivatives Association, 3 February 2022
Providing clarification for applying linear interpolation under a number of ISDA documents, including the 2020 IBOR Fallbacks Protocol and related documents.
ISDA Statement on RBSL Consultation on CDOR
International Swaps and Derivatives Association, 31 January 2022
The publication by Refinitiv of a consultation on the future of CDOR on 31 January 2022 and described above did not constitute an index cessation event.
ISDA Responds to CFTC’s Consultation on Clearing Requirements in Relation to LIBOR Transition
International Swaps and Derivatives Association, 25 January 2022
Responding to the CFTC’s 17 November 2021 Request for Information and Comment on Swap Clearing Requirement to Address IBOR Transition and stating that although its members already clear a lot of these products voluntarily, ISDA and the market would welcome a clearing mandate and international alignment to avoid bifurcation of liquidity.
Replays of all of our IBOR Transition Webinar Series presentations are available via iTunes podcasts, Google play or Spotify, as well as on the IBOR Transition Webinar Series page of our dedicated IBOR Transition portal.