Overview

In 2017, in response to the discovery that the decline in supporting trading volume had allowed certain banks to manipulate the London Interbank Offered Rate (LIBOR), the UK Financial Conduct Authority announced that it no longer would compel panel banks to quote LIBOR after 2021. This announcement set in motion a global effort to find robust rates to replace LIBOR and other interbank offered rates (IBORs). While efforts to identify comparable, liquid, and transparent replacement benchmarks are currently underway worldwide, the process is complex and involves a multitude of regulators and trade organizations across dozens of countries and currencies. LIBOR is used in more than $300 trillion of mortgages, commercial loans, bonds and derivatives, according to the ABA Banking Journal, with interest rate derivatives accounting for nearly 90 percent of the outstanding gross notional value of financial products that reference LIBOR.

Mayer Brown participates in many industry and trade groups considering IBOR transition and monitors new developments to ensure that our attorneys are in a position to address the needs of our clients with the most current market developments. In addition, the firm has organized an IBOR Transition Task Force to provide comprehensive and coordinated advice to clients. This Task Force reflects (i) the global presence of the firm, (ii) our prominent position in, and subject matter legal and product competence across, various affected markets and products within such markets, and (iii) our considerable experience with, and use of, a variety of technology solutions (including artificial intelligence and other technology-assisted review tools) to facilitate the timely collection/categorization/review and analysis and remediation of related contracts and other documents. This trifecta positions Mayer Brown as the perfect provider of integrated and global IBOR transition solutions.

On this page we will provide a comprehensive repository of information on the background of LIBOR and other IBORs, the proposed IBOR benchmark replacements, the latest market developments and our thought leadership.

Meet our global cross-practice IBOR Transition Task Force here.

Notable Recent Events

Historical Information

United States

United Kingdom

Europe

Asia/Pacific Rim

Global

 

Notable Recent Events

Joint Statement on Managing the LIBOR Transition (Federal Financial Institutions Examination Council, 1 July 2020)

ARRC Updated Recommendations Regarding More Robust Fallback Language for New Originations of LIBOR Syndicated Loans (30 June 2020)

ARRC Announces Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products (ARRC, 30 June 2020)

ARRC Consultation Regarding More Robust LIBOR Fallback Contract Language for New Variable Rate Private Student Loans (30 June 2020)

IBOR Fallbacks Fact Sheet (ISDA, 29 June 2020)

Briefing Paper: The Importance of Reforming the EU Benchmark Regulation (ISDA, FIA, ASIGMA, GFMA, AFME, SIFMA, 29 June 2020)

Singapore Makes Significant Progress in Preparing for the SOR to SORA Transition (ABS/SC-STS, 29 June 2020)

Tackling Tough Legacy, Comments of ISDA’s CEO re proposed new FCA powers (DerivatiViews, ISDA, 26 June 2020)

Options for Using SOFR in Student Loan Products (ARRC, 24 June 2020)

Financial Services Regulation: Written Statement HCWS307 re intended amendments to the regulatory framework for benchmarks (UK Parliament, 23 June 2020)

Statement on planned amendments to the Benchmarks Regulation and Benchmark Regulation – Proposed New Powers FAQs (FCA, 23 June 2020)

SEC OCIE Risk Alert re Examination Initiative : LIBOR Transition Preparedness, including sample list of requests for information (18 June 2020)

ARRC letter to CFTC requesting No Action relief for IBOR discounting changes (16 June 2020)

Recommendation on Swaptions Affected by the central clearing counterparties’ discounting transition from EONIA to €STR (ECB, 16 June 2020)

Summary and response to market feedback - Supporting Risk-Free Rate transition through the provision of compounded SONIA (BOE, 11 June 2020)

Supporting Risk-Free Rate transition through the provision of compounded SONIA - Responses to the February 2020 Discussion Paper (BOE, 11 June 2020)

Illustrative series of SONIA Compounded Index data (BOE, 11 June 2020)

Fast Facts: Proposed LIBOR Transition Rule amending Regulation Z (CFPB, 4 June 2020)

Understanding IBOR Benchmark Fallbacks – Factsheet (ISDA, 3 June 2020)

Updated Frequently Asked Questions (ARRC, 2 June 2020)

Benchmark Update – Key 2020 Milestones and ISDA Deliverables for Derivatives (ISDA, May 2020)

Paper on the identification of Tough Legacy issues (WGSRFRR, 29 May 2020)

Fannie/Freddie joint LIBOR Transition Playbook (28 May 2020)

Fact Sheet: Best Practices for Completing Transition from LIBOR (ARRC, 27 May 2020)

Transition from U.S. Dollar LIBOR – Updated Timeline (ARRC, 27 May 2020) 

 

Historical Information

Principles for Financial Benchmarks (IOSCO, July 2013)

Reforming Major Interest Rate Benchmarks (FSB, 22 July 2014)

EU Benchmarks Regulation (22 April 2016; came into full effect 1 January 2018)

Remarks re Future of LIBOR - UK FCA CEO Andrew Bailey (27 July 2017)

IBOR Global Benchmark Transition Roadmap (ISDA, AFME, ICMA and SIFMA, 1 February 2018)

Remarks re Status of Interest Rate Benchmark Reform - UK FCA CEO Andrew Bailey (12 July 2018)

 

United States

Principal Regulatory Authorities, Committees, and Trade Organizations

The Alternative Reference Rates Committee (ARRC)

Federal Reserve Bank of New York (NY Fed)

Loan Syndications & Trading Association (LSTA)

ARRC Chosen Replacement Rate

Secured Overnight Financing Rate (SOFR)

Other USD Replacement Rate Options

Ameribor

ICE Bank Yield Index

ARRC Consultations and Recommendations

Syndicated Loans Consultation (24 September 2018)

Syndicated Loans Final Recommended Fallback Language (25 April 2019)

ARRC Updated Recommendations Regarding More Robust Fallback Language for New Originations of LIBOR Syndicated Loans (30 June 2020)

Floating Rate Notes Consultation (24 September 2018)

Floating Rate Notes Final Recommended Fallback Language (25 April 2019)

Securitizations Consultation (7 December 2018)

Securitizations Final Recommended Fallback Language (31 May 2019)

Bilateral Business Loans Consultation (7 December 2018)

Bilateral Business Loans Final Recommended Fallback Language (30 May 2019)

Residential Adjustable Rate Mortgages Consultation (12 July 2019)

Residential Adjustable Rate Mortgages Final Recommended Fallback Language (15 November 2019)

Recommendations for Interdealer Cross-Currency Swap Market Conventions (24 January 2020)

Spread Adjustment Methodologies Consultation for USD Cash Products Fallbacks (21 January 2020)

Recommendation of a Spread Adjustment Methodology for Cash Products (ARRC, 8 April 2020)

Summary of Feedback Received in the ARRC Spread-Adjustment Consultation and Follow-Up Consultation on Technical Details (ARRC, 6 May 2020) –

comment period extended on 1 June from 8 June to 15 June

ARRC Announces Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products (ARRC, 30 June 2020)

Swaptions CCP Discounting SOFR Transition Consultation (7 February 2020)

Recommendations for Swaptions Impacted by the CCP Discounting Transition to SOFR (ARRC, 14 May 2020)

Variable Rate Private Student Loans LIBOR Fallback Consultation (ARRC, 27 March 2020) - comment period further extended on 1 June from 29 May to 15 June

ARRC Consultation Regarding More Robust LIBOR Fallback Contract Language for New Variable Rate Private Student Loans (30 June 2020)

Other ARRC Resources

Paced Transition Plan for Developing SOFR Markets (October 2017)

Transition from LIBOR Timeline Progress (30 January 2019)

User’s Guide to SOFR (22 April 2019)

2019 Incremental Objectives to Paced Transition Plan (June 2019)

SOFR Floating Rate Note Conventions Matrix (1 August 2019)

Practical Implementation Checklist for SOFR Adoption (19 September 2019)

Summary of ARRC’s LIBOR Fallback Language Recommendations (15 November 2019)

Appendix to SOFR FRN Conventions Matrix (21 November 2019)

Buy-Side/Asset Owner Checklist for SOFR Adoption (31 January 2020)

2020 Objectives, Priorities, and Milestones (17 April 2020)

Statement on the Use of the SOFR Index in FRNs (6 May 2020)

Results of Vendor Survey to Assess SOFR Transition Readiness (7 May 2020)

Recommended Best Practices for Vendors on Completing the Transition from LIBOR (7 May 2020)

The Case for Industrywide Use of SOFR (American Banker, 11 May 2020)

Transition from U.S. Dollar LIBOR – Updated Timeline (ARRC, 27 May 2020)

Fact Sheet: Best Practices for Completing Transition from LIBOR (ARRC, 27 May 2020)

ARRC Recommended Best Practices for Completing the Transition from LIBOR (ARRC, 27 May 2020)

Updated Frequently Asked Questions (2 June 2020)

Options for Using SOFR in Student Loan Products (ARRC, 24 June 2020)

Regulatory Notices and Statements

FASB Updates List of Permissible U.S. Benchmark Interest Rates for Hedge Accounting, with link to Accounting Standards Update (FASB, 25 October 2018)

Staff statement re identification and disclosure of LIBOR cessation risks and mitigation plans (SEC, 12 July 2019)

Notice of Proposed Rulemaking re margin relief for amending swaps to replace LIBOR with a replacement benchmark (OCC, FRB, FDIC, FCA, and FHFA, 17 September 2019)

Guidance on the Transition from IBORs to Other Reference Rates (IRS and Department of Treasury, 8 October 2019)

Request for Public Comment on Proposed Publication of SOFR Averages and a SOFR Index (NY Fed, 4 November 2019)

ARRC confirmation of SEC’s no-action position re preferred share fallback amendments to replace LIBOR (13 November 2019)

SOFR Discounting & Price Alignment Transition Plan for Cleared USD Interest Rate Swaps (CME, 3 December 2019)

No-Action Letters outlining the terms under which swap dealers can update the benchmark rates in swaps contracts tied to LIBOR (Commodity Futures Trading Commission, 18 December 2019)

Fannie Mae and Freddie Mac Update on LIBOR Transition – new required language and cessation of the purchase of LIBOR ARMs (FHFA, 5 February 2020)

Statement Regarding Publication of SOFR Averages and a SOFR Index Beginning March 2, 2020 (NY Fed, 12 February 2020)

Statement Introducing the SOFR Averages and Index (NY Fed, 2 March 2020)

SOFR Averages and Index Data (NY Fed, beginning 2 March 2020)

ARRC Releases a Proposal for New York State Legislation for U.S. Dollar LIBOR Contracts (ARRC, 6 March 2020)

Proposed Legislative Solution to Minimize Legal Uncertainty and Adverse Economic Impact Associated with LIBOR Transition (ARRC, 6 March 2020)

Additional Information about the Treasury Repo Reference Rates, including Data and Calculation Methodology for SOFR Averages and Index (NY Fed, 10 March 2020)

Accounting Standards Update No. 2020-04: Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting (FASB, 12 March 2020)

Expanded Recommendations re Treasury and IRS October 2019 Guidance on the Transition from IBORs to Other Reference Rates (ARRC, 24 March 2020)

Statement No. 93 – Replacement of Interbank Offered Rates (Governmental Accounting Standards Board, March 2020)

Letter to the SEC on Accounting Considerations for Embedded Derivatives (ARRC, 20 April 2020)

SOFR & €STR Discounting Transition Process for Cleared Swaps (CME, 20 April 2020)

LIBOR Transition – Freddie Mac to Use 30-Day Average for SOFR (Freddie Mac, 27 April 2020)

Letter from the Federal Reserve Chair Jerome Powell to Senator Tom Cotton in response to a question from a February 2020 hearing of the Senate Banking Committee (Federal Reserve Board, 28 May 2020)

Proposed Amendments to Regulation Z to Facilitate the LIBOR Transition (Consumer Financial Protection Bureau, 4 June 2020)

Fast Facts: Proposed LIBOR Transition Rule amending Regulation Z (CFPB, 4 June 2020)

ARRC letter to CFTC requesting No Action relief for IBOR discounting changes (16 June 2020)

SEC OCIE Risk Alert re Examination Initiative : LIBOR Transition Preparedness, including sample list of requests for information (18 June 2020)

Joint Statement on Managing the LIBOR Transition (Federal Financial Institutions Examination Council, 1 July 2020)

Other Helpful Resources

Consultation Paper – Enhancements to the Canadian Overnight Repo Rate Average (Bank of Canada, 26 February 2019)

Secured Overnight Financing Rate (SOFR) Primer – The transition away from LIBOR (Securities Industry and Financial Markets Association, 15 July 2019)

LIBOR Litigation Risks - Securitization Market Legacy Vehicles and Instruments (Structured Finance Association, 4 December 2019)

Bank of Canada to begin publishing Canadian Overnight Repo Rate Average in June (Bank of Canada, 18 February 2020)

Methodology for Calculating the Canadian Overnight Repo Rate Average (CORRA) (Bank of Canada, 18 February 2020)

FASB provides accounting relief for the transition away from LIBOR and certain other reference rates (Ernst & Young, 13 March 2020)

Multiclass Participant Memorandum 20-01: Announcement of Updates to Multiclass Securities Guide and Adoption of ARRC LIBOR Fallback Recommendation for New Issuance of LIBOR Classes of Ginnie Mae Multiclass Securities and related Multiclass Securities Guide (Ginnie Mae, 19 March 2020)

U.S. Dollar ICE Bank Yield Index – Fourth Update (ICE Benchmark Administration, 6 May 2020)

Freddie Mac Key LIBOR Transition Milestones (28 May 2020)

Fannie Mae LIBOR Transition Timeline (28 May 2020)

Fannie/Freddie joint Frequently Asked Questions (28 May 2020)

Fannie/Freddie joint LIBOR Transition Playbook (28 May 2020)

Freddie Mac LIBOR Transition page (created 28 May 2020, updated regularly)

Fannie Mae LIBOR Transition page (created 28 May 2020, updated regularly)

LIBOR Transition FAQs – compliance with regulations currently in effect, prior to proposed Reg Z amendments (CFPB, 4 June 2020)

 

United Kingdom

Principal Regulatory Authorities, Committees, and Trade Organizations

Bank of England/Working Group on Sterling Risk Free Reference Rates (WGSRFRR)

Financial Conduct Authority

Loan Market Association

Chosen Replacement Rate

Sterling Overnight Indexed Average (SONIA)

Consultations and Recommendations

Consultation on Term SONIA Reference Rates (WGSRFRR, July 2018)

Discussion Paper: Conventions for referencing SONIA in new contracts (WGSRFRR, March 2019)

Summary of Responses to SONIA Conventions Discussion Paper (WGSRFRR, August 2019)

Consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR (WGSRFRR, 18 December 2019)

Summary of Responses - Consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR (BOE, 31 March 2020)

Consultation on Rulebook Change for non-representativeness fallback trigger (LCH Group, 27 January 2020)

Summary of feedback from LCH’s consultation regarding proposed rule changes associated with a Pre-cessation Trigger (LCH Group, 22 April 2020)

Update to Consultation on introduction of ICE Swap Rate based on SONIA (ICE Benchmark Administration, 21 February 2020)

Discussion Paper - Supporting Risk-Free Rate transition through the provision of compounded SONIA (BOE, 26 February 2020)

Supporting Risk-Free Rate transition through the provision of compounded SONIA - Responses to the February 2020 Discussion Paper (BOE, 11 June 2020)

Summary and response to market feedback - Supporting Risk-Free Rate transition through the provision of compounded SONIA (BOE, 11 June 2020)

Consultation: taxation impacts arising from the withdrawal of LIBOR (HMRC, 19 March 2020 and updated 28 April 2020)

Other Working Group Resources

Key themes, good practice, and next steps – Firms’ preparations for transition from LIBOR to RFRs (BOE and FCA, June 2019)

Working Paper on Loans Processing (WGSRFRR, August 2019)

Infrastructure and systems priority list (WGSRFRR, August 2019)

2020 Top Level Priorities (WGSRFRR, 16 January 2020)

Working Paper re Use Cases of SONIA rates by market participants (WGSRFRR, 16 January 2020)

Progress on the Transition of LIBOR-Referencing Legacy Bonds to SONIA by Way of Consent Solicitation (WGSRFRR, 16 January 2020)

Factsheet – Calling Time on LIBOR: Why you need to act now (WGSRFRR, 16 January 2020)

Statement on bond market conventions: Use of the SONIA Index and weighting approaches for observation periods (WGSRFRR, 10 March 2020)

Path to discontinuation of new GBP LIBOR lending by end-Q3 2020 (WGSRFRR, 10 March 2020)

Paper on the identification of Tough Legacy issues (WGSRFRR, 29 May 2020)

Regulatory Notices and Statements

Letter to European Insurance and Occupational Pensions Authority re removal of Solvency II barriers to LIBOR transition (WGSRFRR, 9 July 2019)

Bank of England/Financial Conduct Authority Letter to CEOs re LIBOR Transition Preparations (19 September 2018)

Letter to FCA re regulatory and conduct issues posing barriers to LIBOR transition (WGSRFRR, 23 October 2019)

Letter to PRA re prudential regulatory capital impediments that could inhibit banking firms from implementing LIBOR transition (WGSRFRR, 23 October 2019)

Response to WGSRFRR re regulatory capital impediments (PRA, 18 December 2019)

Letter to Bank for International Settlements re prudential regulatory frameworks that could inhibit banking firms from implementing LIBOR transition (WGSRFRR, 23 October 2019)

Letter to European Commission re banking and insurance regulatory, and conduct, issues posing barriers to LIBOR transition (WGSRFRR, 23 October 2019)

Statement by LCH on position in respect of Pre-cessation Triggers in relation to SwapClear (LCH Group, 20 December 2019)

Letter to senior managers of regulated entities re expectations for LIBOR transition progress during 2020 (BOE and FCA, 16 January 2020)

Joint statement re switching from LIBOR to SONIA for sterling interest rate swaps from Spring 2020 (BOE and FCA, 16 January 2020)

Letter to ISDA on length of time a non-representative LIBOR would be published (FCA, 20 January 2020)

Letter to ISDA on length of time a non-representative LIBOR would be published (ICE Benchmark Administration, 24 January 2020)

Speech by Executive Director Andrew Hauser – Turbo-charging Sterling LIBOR transition: why 2020 is the year for action – and what the Bank of England is doing to help (BOE, 26 February 2020)

Market Notice: Risk management approach to collateral referencing LIBOR for use in the Sterling Monetary Framework (BOE, 26 February 2020)

Dear CEO letter to asset management firms re preparing for the end of LIBOR (FCA, 27 February 2020)

Letter to trade associations re effect of discontinuation of LIBOR and next steps (BOE and FCA, 9 March 2020)

Statement on how the FCA would announce LIBOR contractual triggers (FCA, 11 March 2020)

Draft guidance on the taxation impacts arising from the withdrawal of LIBOR and other benchmark rate reform (HMRC, 19 March 2020)

Statement on Impact of the coronavirus on firms' LIBOR transition plans (FCA, 25 March 2020)

Transition to €STR Discounting: Updated Timing (LCH Group, 17 April 2020) – the date for transitioning the EUR swaps discounting curve from EONIA to €STR has been extended from 19 June 2020 to 27 July 2020

Further statement from the RFRWG on the impact of Coronavirus on the timeline for firms’ LIBOR transition plans (FCA, 29 April 2020)

Statement on planned amendments to the Benchmarks Regulation and Benchmark Regulation – Proposed New Powers FAQs (FCA, 23 June 2020)

Financial Services Regulation: Written Statement HCWS307 re intended amendments to the regulatory framework for benchmarks (UK Parliament, 23 June 2020)

Other Helpful Resources

Building Term SONIA Rates (ICE Benchmark Administration, 14 May 2019)

Statement on the progress of adoption of RFRs in Sterling markets (WGSRFRR, 15 May 2019)

LIBOR transition – the loan operations perspective (LMA, 6 June 2019) – webinar with accompanying slides

Summary of Results of Dealer Survey on preferred approach for trading of interbank SONIA swaptions, caps and floors (WGSRFRR, 15 February 2020)

LCH Benchmark Reform Resource Page (LCH, created May 2020, updated regularly)

Illustrative series of SONIA Compounded Index data (BOE, 11 June 2020)

 

Europe

Principal Regulatory Authorities, Committees, and Trade Organizations

European Central Bank/Working Group on Euro Risk-Free Rates (ECB)

Swiss National Bank/National Working Group on Swiss Franc Reference Rates (SNB)

Chosen Replacement Rate

Euro Short-Term Rate (€STR) – for Euro

Swiss Average Rate Overnight (SARON) – for Swiss Francs

Consultations and Recommendations

Second Public Consultation on an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts (ECB, 20 December 2018)

Summary of Responses to Second Public Consultation on an ESTER-based term structure methodology (ECB, 22 February 2019)

Recommendations on the transition path from EONIA to the €STR and on a €STR-based forward-looking term structure methodology (ECB, 14 March 2019)

Consultation Paper on Recommendations for EONIA (European Money Markets Institute, 20 March 2019)

Summary of Stakeholder Feedback on EONIA Recommendations Consultation (EMMI, 31 May 2019)

Third public consultation on the EONIA to €STR Legal Action Plan (ECB, 15 May 2019)

Summary of responses to third consultation re EONIA to €STR Legal Action Plan (ECB, 27 June 2019)

Recommendations on the EONIA to €STR Legal Action Plan (ECB,16 July 2019)

Consultation – Review of the EU Benchmark Regulation (European Commission, 11 October 2019)

Inception Impact Assessment and Plan for the Review of the EU Benchmark Regulation (European Commission, 18 March 2020)

High Level Recommendations for Cash Product and Derivatives Fallback Provisions Referencing EURIBOR (ECB, 6 November 2019)

Public Consultation on Swaptions impacted by the CCP discounting transition from EONIA to €STR (ECB, 13 March 2020)

Summary of responses to the public consultation on swaptions impacted by the CCP discounting transition from EONIA to the €STR (ECB, 4 May 2020)

Recommendation on Swaptions Affected by the central clearing counterparties’ discounting transition from EONIA to €STR (ECB, 16 June 2020)

Other Working Group Resources

Guiding principles for fallback provisions in new contracts for euro-denominated cash products (ECB, 21 January 2019)

Discussion paper on SARON Floating Rate Notes (SNB, 2 July 2019)

IBOR to RFR Transition: Effects on Financial Accounting (SNB, 2 July 2019)

Report on the impact (operational and valuation) of the transition from EONIA to €STR on cash and derivatives products (ECB, 19 August 2019)

Report on the risk management implications of the transition from EONIA to €STR and the introduction of €STR-based fallback for EURIBOR (ECB, 17 October 2019)

Checklists for navigating EONIA to €STR transition (ECB, October 2019)

Report on the financial accounting implications of the transition from EONIA to €STR and the introduction of €STR-based fallback for EURIBOR (ECB, 5 November 2019)

Report on €STR fallback arrangements and compliance with the EU Benchmarks Regulation (ECB, 12 November 2019)

Report on the transfer of EONIA’s cash and derivatives markets liquidity to the €STR (ECB, 19 February 2020) – a supplement to the August 2019 report above

Updated FAQs on Risk Free Rates (ECB, 31 March 2020)

Key messages for the transition from EONIA to €STR (ECB, 31 March 2020)

Understanding EURIBOR Fallbacks (ECB, 31 March 2020)

Draft Template – SARON/SOFR cross-currency basis swap terms confirmation (SNB, 7 May 2020)

Regulatory Notices and Statements

European Central Bank Letter to CEOs re LIBOR Transition Preparations (3 July 2019)

Guideline (EU) 2019/1265 on the euro short-term rate (€STR) (ECB/2019/19) (ECB, 10 July 2019)

Letter to the IASB re potential accounting issues triggered by Euro interest rate reform (ECB, 16 July 2019)

Commission Regulation (EU) 2020/34, amending Regulation (EC) No 1126/2008 adopting certain international accounting standards as regards IAS 30, IFRS 7 and 9 (European Commission, 15 January 2020) – see Global Activity, Consultations and Recommendations, below, for amended accounting standards

Memorandum of Understanding regarding use of Singapore financial benchmarks in the EU and related cooperation arrangements (ESMA and MAS, 17 April 2020)

Other Helpful Resources

IBOR Transition – where are we now? (Association for Financial Markets in Europe, 23 October 2019

 

Asia/Pacific Rim

Principal Regulatory Authorities, Committees, and Trade Organizations

Bank of Japan/Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks (BOJ)

Hong Kong Monetary Authority

Treasury Markets Association (Hong Kong)

Association of Banks in Singapore/Steering Committee for SOR Transition to SORA (ABS/SC-STS)

Reserve Bank of Australia

ASX Benchmarks Limited (Australia)

Executives’ Meeting of East Asia-Pacific Central Banks – comprised of the central banks of eleven economies: Reserve Bank of Australia, People’s Bank of China, Hong Kong Monetary Authority, Bank Indonesia, Bank of Japan, Bank of Korea, Bank Negara Malaysia, Reserve Bank of New Zealand, Bangko Sentral ng Pilipinas, Monetary Authority of Singapore, Bank of Thailand.

Asia Pacific Loan Market Association

Chosen Replacement Rate

Tokyo Overnight Average Rate (TONAR) – for Japanese Yen

Hong Kong Dollar Overnight Index Average (HONIA) – for Hong Kong Dollars, although the Hong Kong Interbank Offered Rate (HIBOR) will not be discontinued

Singapore Overnight Rate Average (SORA) – for Singapore Dollars

Bank Bill Swap Rate (BBSW) – for Australian Dollars

Consultations and Recommendations

Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks with Appendix 1-a and Appendix 5-a (BOJ, 2 July 2019)

Final Report on Results of Japanese Yen Consultation (BOJ, 29 November 2019)

Alternative Reference Rate for Hong Kong Interbank Offered Rate (HIBOR) - Consultation with Industry Stakeholders (TMA, 26 April 2019)

Conclusions from Consultation with Industry Stakeholders (TMA, 13 December 2019)

Roadmap for Transition of Interest Rate Benchmarks: From SGD Swap Offer Rate (SOR) to Singapore Overnight Rate Average (SORA) (ABS, 30 August 2019)

Response to Feedback Received on Proposed Roadmap for Transition from SOR to SORA (ABS/SC-STS, 19 March 2020)

BBSW Fall-back methodology – Consultation on stage three Bank Bill Futures algorithm (ASX, 16 January 2020)

Other Working Group Resources

Study on the Implications of Financial Benchmark Reforms (Working Group on Financial Markets of the Executives’ Meeting of East Asia-Pacific Central Banks, 24 September 2019)

ASX Bank Bill Swap (BBSW) Conventions and BBSW Methodology - Fallback provisions addressed in Section 6.1 (ASX, 10 February 2020)

Summary of Results of Survey of Japanese Financial Institutions on LIBOR Exposures and Transition Progress (BOJ, 13 March 2020)

Industry Steering Committee Sets Out Key Priorities to Achieve Smooth Transition to SORA (ABS/SC-STS, 19 March 2020)

Updated SC-STS Transition Roadmap: Key Priorities (ABS/SC-STS, 19 March 2020)

Regulatory Notices and Statements

Circular on Interest Rate Benchmark Reform Developments (HKMA, 23 October 2019)

Letter informing ISDA of SC-STS 'support for the use of Adjusted SOR in the ISDA fallback approach (SC-STS, 11 December 2019)

Interest Rate Benchmark Reform (The Reserve Bank of New Zealand, 28 January 2020)

Determination of the Calculating and Publishing Entity of Prototype Rates for Term Reference Rates (BOJ, 26 Feb 2020)

Transition Plan for switching to SOFR and €STR discounting (OTC Clearing Hong Kong Limited, 2 March 2020)

Memorandum of Understanding regarding use of Singapore financial benchmarks in the EU and related cooperation arrangements (ESMA and MAS, 17 April 2020)

Letter to Authorized Institutions re Results of Survey on Reform of Interest Rate Benchmarks and related Summary of Survey Results (HKMA, 23 April 2020)

Preparation for LIBOR Transition – May 2019 “Dear CEO” letter feedback (ASIC, April 2020)

Statement regarding Calculation and Publication of Prototype Rates for Term Reference Rates (BOJ, 26 May 2020)

Australian Securities and Investments Commission “Dear CEO” letter to the top 100 Australian-listed companies regarding their preparations for LIBOR transition (ASIC, 27 May 2020)

Singapore Makes Significant Progress in Preparing for the SOR to SORA Transition (ABS/SC-STS, 29 June 2020)

 

Global

Principal Regulatory Authorities, Committees, and Trade Organizations

International Swaps and Derivatives Association

Official Sector Steering Group of the Financial Stability Board - comprised of Financial Stability Board members from Australia, Brazil, Canada, Hong Kong, Japan, Mexico, Singapore, South Africa, Switzerland, UK and US, as well as the European Central Bank, European Banking Authority, European Supervisory and Markets Authority, and the International Organization of Securities Commissions

International Capital Market Association

Consultations and Recommendations

Consultation on Fallbacks for Derivatives Referencing Major Non-USD IBORs (ISDA, 12 July 2018)

Results of Consultation on Major Non-USD Fallbacks (ISDA, 20 December 2018)

Consultation – Interest Rate Benchmark Reform – Proposed Amendments to IFRS 9 and IAS 39 (IASB/IFRS Foundation, May 2019)

Interest Rate Benchmark Reform – Amendments to IFRS 9, IAS 39 and IFRS 7 (IASB/IFRS Foundation, 26 September 2019)

Supplemental Consultation for Derivatives Referencing USD LIBOR, CDOR and HIBOR (ISDA, 16 May 2019)

Results of USD LIBOR, CDOR and HIBOR Supplemental Consultation (ISDA, 18 September 2019)

Consultation on Pre-Cessation Issues (ISDA, 16 May 2019)

Results of Pre-Cessation Consultation (ISDA, 21 October 2019)

Consultation on Final Parameters for Spread and Term Adjustments for Key IBORs (ISDA, 18 September 2019)

Results of Key IBORs Final Parameters Consultation (ISDA, 15 November 2019)

Supplemental Consultation on Spread and Term Adjustments and Final Parameters for Fallbacks referencing EUR LIBOR, EURIBOR and lesser used IBORs (ISDA, 18 December 2019)

Results of Supplemental Consultation re Fallbacks for EUR LIBOR, EURIBOR and lesser used IBORs (ISDA, 5 March 2020)

2020 Consultation on Implementation of Pre-Cessation Fallbacks in Derivatives (ISDA, 25 February, 2020)

ISDA Announces Preliminary Results of Consultation on Pre-cessation Fallbacks for LIBOR (ISDA, 15 April 2020)

Summary of Final Responses to the ISDA 2020 Consultation on How to Implement PreCessation Fallbacks in Derivatives (ISDA/Brattle Group, 14 May 2020)

Interest Rate Benchmark Reform — Phase 2: Proposed amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 and related Snapshot Overview of Proposed Amendments (IASB, 9 April 2020) – comments due 25 May 2020

Other Helpful Resources

Overnight Risk-Free Rates – A User’s Guide (FSB, 4 June 2019)

IBOR Reform - IASB discusses phase two classification and measurement (financial reporting) issues (Ernst & Young, 31 October 2019)

IBOR Reform – IASB discusses phase two hedge accounting issues (Ernst & Young, 17 December 2019

Reforming major interest rate benchmarks – Progress Report (FSB, 18 December 2019)

IBOR Fallback Rate Adjustments FAQs (ISDA, updated 4 February 2020)

Adoption of Risk-Free Rates: Major Developments in 2020 (ISDA, 12 February 2020)

Key Workstreams Related to Interest Rate Reform (ISDA, 12 February 2020)

A quick guide to the transition to risk-free rates in the international bond market (ICMA, 27 February 2020)

Updated Timeline for Implementation of IBOR Fallbacks (ISDA, 28 February 2020)

IBOR Fallback Rate Adjustments Rule Book (ISDA and Bloomberg, 22 April 2020)

ISDA Quarterly (ISDA, 11 May 2020) –Risk-Free Rate transition progress discussed at pages 40-47

Dedicated Benchmark Reform and Transition from LIBOR webpage (ISDA, launched 11 May 2020 and updated regularly)

Benchmark Update – Key 2020 Milestones and ISDA Deliverables for Derivatives (ISDA, May 2020)

Understanding Benchmark Fallbacks – Interview with Ann Battle, ISDA Head of Benchmark Reform (ISDA, 3 June 2020)

Understanding IBOR Benchmark Fallbacks – Factsheet (ISDA, 3 June 2020)

Tackling Tough Legacy, Comments of ISDA’s CEO re proposed new FCA powers (DerivatiViews, ISDA, 26 June 2020)

Briefing Paper: The Importance of Reforming the EU Benchmark Regulation (ISDA, FIA, ASIGMA, GFMA, AFME, SIFMA, 29 June 2020)

IBOR Fallbacks Fact Sheet (ISDA, 29 June 2020)

IBOR Transition Task Force Members