March 17, 2023

IBOR Transition Digest - March 17, 2023


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.


Thought LeadershipNews and Developments | Events



Fannie and Freddie Confirm Choice of SOFR as Replacement for LIBOR in Existing Mortgage Loans
Consumer Financial Services Review blog, 12 February 2023
Fannie Mae and Freddie Mac have provided additional details of the necessary changes to outstanding adjustable-rate mortgage loans that currently are linked to LIBOR indices, largely mirroring the changes mandated in the Adjustable Interest Rate (LIBOR) Act, as well as current practice for new Fannie Mae and Freddie Mac loans.

LIBOR Lapse Looms Large
Legal Update, 10 February 2023
With fewer than four months until a compliant USD LIBOR ceases to be published, some segments of the market are well advanced in transitioning from LIBOR to SOFR but the lending market generally is behind. Loan market participants are encouraged to begin the transition as soon as possible.

View all of our IBOR transition thought leadership under the Perspectives tab of our IBOR Transition portal page and on our Eye on IBOR Transition blog.


United States – Syndicated and Bilateral Loans

Servicing Notice: Legacy LIBOR Replacement Index
Fannie Mae, 8 March 2023

Bulletin 2023-2: LIBOR Transition
Freddie Mac, originally published 25 January 2023 and updated 8 March 2023
Updating index names to align with the names published by Refinitiv, and make other typographical corrections.

LIBOR Remediation: Speeding Up!
Loan Syndications & Trading Association, 2 March 2023
Analyzing the “‘loans are late’ narrative” and discussing the nuances of loan remediation and the current state of the loans market.

Adjustable Rate Mortgages: Transitioning From LIBOR to Alternate Indices
US Department of Housing and Urban Development, 1 March 2023
HUD is (a) removing LIBOR as an approved index for adjustable interest rate mortgages (ARMs), and replacing LIBOR with SOFR as a Secretary-approved index for newly originated forward ARMs; (b) codifying its removal of LIBOR and approval of SOFR as an index for newly-originated Home Equity Conversion Mortgage (HECM or reverse mortgage) ARMs; (c) establishing a spread-adjusted SOFR index as the Secretary-approved replacement index to transition existing forward and HECM ARMs off LIBOR; and (d) making clarifying changes to its HECM Monthly ARM regulation and establishing a lifetime adjustment cap for monthly adjustable rate HECMs.

United States – Derivatives

Reminder: Switch to SOFR data prior to April 14 Eurodollar Fallbacks Conversion
CME Group, 15 March 2023
On 14 April 2023, all Eurodollars (excluding April, May, and June 2023 futures and associated options) will be converted to SOFR equivalents, and cease trading.

March Rates Recap
CME Group, 9 March 2023
Several articles of interest, including CME €STR First, the conversion of Eurodollar futures and options to SOFR, and the move to an overnight rate for Mexican interest rate swaps.

United States – General

ARRC Recommended Fallbacks for Implementation of its Hardwired Fallback Language
Alternative Reference Rates Committee, 15 March 2023
Laying out the selections and recommendations of the ARRC, as relevant governmental body, to be applied in 1-, 3-, 6-, and 12-month USD LIBOR legacy contracts to determine the Benchmark Replacement, the Benchmark Replacement Adjustment, and the Recommended Replacement Index, as these terms are used in the ARRC’s recommended fallback language for closed-end residential adjustable-rate mortgages, floating rate notes, variable-rate private student loans, bilateral business loans, syndicated business loans, and securitizations.

ARRC March 9 Meeting Readout
Alternative Reference Rates Committee, 15 March 2023
Discussing and charting LIBOR transition progress, ARRC’s recommendations (as relevant governmental body) related to its hardwired fallback language, and its work on the DTCC LIBOR Replacement Index Communication Tool discussed below. The ARRC’s Term Rate Task Force also reported regarding a planned paper and on-going discussion of the scope of use for Term SOFR.

DTCC Launches New Centralized Communication Solution as Part of its LENS Service in Support of LIBOR Cessation
Depository Trust & Clearing Corporation, 13 March 2023
DTCC has launched a new LIBOR Replacement Index Communication Tool to support the industry’s transition from LIBOR benchmark rates to Secured Overnight Financing Rate (SOFR) data, as well as other new fallback rate indices. The new tool can be accessed through DTCC’s Legal Notice System service.

Improving Securities’ Transition Away from LIBOR: Using DTCC’s LIBOR Replacement Index Communication Tool for Documentation Changes
Alternative Reference Rates Committee, 13 March 2023
Recommending that all determining persons and other parties responsible for the dissemination of the change information regarding LIBOR debt and securitizations with CUSIPs use DTCC’s LIBOR Replacement Index Communication Tool for communicating rate and conforming changes.

Use of the DTCC LIBOR Replacement Index Communication Tool to Support Transition Away from USD LIBOR
Alternative Reference Rates Committee Operations and Infrastructure Working Group, 13 March 2023
Providing answers to common usage questions about the DTCC tool’s applicability under various USD LIBOR replacement scenarios.

Notice to Market Participants in DTC-Eligible Securities re Creation of LIBOR Replacement Index Communication Tool
Depository Trust & Clearing Corporation, 23 February 2023)
Providing instructions for the use of the new tool.

Eurodollar Fallbacks Implementation Plan
CME Group, 22 February 2023
Covering the background and process for the conversion of Eurodollar futures and options.

ARRC February 9 Meeting Readout
Alternative Reference Rates Committee, 15 February 2023
Noting some improvement in the pace of remediation of leveraged loans, one of the key remaining market segments needing to accelerate transition away from LIBOR ahead of 30 June 2023, and discussing the widespread use of Term SOFR outside of the ARRC’s targeted best practice recommendations, which the ARRC continues to assess in the context of its recommended scope of Term SOFR use.

Canada – Derivatives

Derivatives Monitor  – English Version and French Version
Canadian Alternative Reference Rate Working Group, 13 March 2023
Charting the transition from CDOR to CORRA for interest rate swaps and futures.

Canada – General

Minutes of the Canadian Alternative Reference Rate Working Group 30 January 2023 Meeting – English Version and French Version
Bank of Canada, 10 March 2023
Topics covered include positive feedback to the December 2021 white paper analyzing the future of CDOR, plans to consider a forward-looking term CORRA benchmark, and the potential options and implications for the fallback for bankers’ acceptances.

Minutes of the Canadian Alternative Reference Rate Working Group 12 December 2022 Meeting – English Version and French Version
Bank of Canada, 10 March 2023
Topics covered include the CORRA-first initiatives and the finalization of a Term CORRA methodology.

Transitioning to a New Canadian Interest Rate Benchmark
Montreal Exchange, 1 March 2023
Discussing the implications of interest rate benchmark transition from LIBOR to risk-free rates for the Canadian short-term interest rate derivatives marketplace.

Staff Notice 25-309 – Matters Relating to Cessation of CDOR and Expected Cessation of Bankers’ Acceptances
Canadian Securities Administrators of Ontario Securities Commission, 23 Feb 2023
Providing detailed information and recommendations about the two-stage transition from CDOR to CORRA for both new and existing instruments, and the need for alternative investment products in light of the cessation of the issuance of bankers’ acceptances.

CORRA Microsite
Montreal Exchange, February 2023 and updated regularly
Providing a wealth of information about CORRA and the transition away from CDOR.

Europe – General

Minutes of 13 December 2022 Meeting of the Working Group on Euro Risk-Free Rates
European Securities and Markets Authority, 3 February 2023
Includes updates on the adoption of EURIBOR fallbacks and transition to €STR, Working Group and €STR Task Force priorities for 2023, and an ISDA market data presentation on the transition to SOFR and €STR.

Asia & Pacific Rim – General

SIBOR to SORA Transition Commences
Steering Committee for SOR & SIBOR Transition to SORA, 15 March 2023
Announcing measures that “begin the second phase of the orderly transition to a SORA-based interest rate landscape in Singapore,” including a consultation on appropriate spread adjustments.

Consultation on Adjustment Spreads for the Conversion of Legacy SIBOR Loans to SORA
Steering Committee for SOR & SIBOR Transition to SORA, 15 March 2023
Providing background and status of transition from SOR and SIBOR to SORA, and proposing spread adjustments for both corporate and retail loans. Transition from SOR is almost complete, so the current focus is on SIBOR transition, with determination of an appropriate benchmark adjustment spread being a key aspect. The proposed spread adjustment for corporate loans is a 5-year historical median of the spread between SIBOR and compounded SORA, and the proposal for retail loans is to apply (a) the spot-spread during the period of active transition and (b) the 5-year historical median spread between SIBOR and compounded SORA at automatic conversion for SIBOR retail loans in June 2024.

Global - Derivatives

Progress on Global Transition to RFRs in Derivatives Markets
International Swaps and Derivatives Association, 15 March 2023
Examining global RFR transition progress, SOFR adoption in different regions, industry developments expected in the first half of 2023, synthetic LIBOR rates, term RFRs, credit-sensitive rates, and the modification of clearing and trading requirements.

Global – General

ICMA Response to FCA Consultation Paper CP22/21 on ‘Synthetic’ US Dollar LIBOR
International Capital Markets Association, 20 December 2022
Generally agreeing with the methodology, limitations and target dates proposed in the consultation.


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.

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