Welcome to the latest issue of Mayer Brown’s IBOR Transition Digest—a periodic compendium of global regulatory and market developments and insights on the complex issues confronting financial market participants as they plan to transition from LIBOR and its variants to replacement benchmark interest rates. As attention to IBORtransition accelerates and becomes more focused, 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.
2021 Structured Products Legal, Regulatory and Market Briefing
Structured Products Association, 13 May 2021
Industry leaders, including Mayer Brown attorneys, speak on the latest legal, regulatory and market developments in the structured products market, including an update on LIBOR transition, ARRC developments, the ISDA IBOR Protocol, and New York State LIBOR legislation.
United States – General
ICMA's Official Sector Panel on the Transition to Risk Free Rates
Federal Reserve Bank of New York, 2 June 2021 – panel discussion among Nathanial Wuerffel and representatives of the FCA, SNB, and ECB
Discussing progress to date and the remaining challenges in the transition from LIBOR/interbank offered rates to risk-free rates, international coordination, and key messages from the official sector for market firms in the run-up to the end of 2021.
IHS Markit Begins Publishing Daily Credit Inclusive Term Rate (CRITR) and Credit Inclusive Term Spread (CRITS) for US Dollar Funding
IHS Markit, 1 June 2021
The CRITR and CRITS are designed to be a broad-based measure of funding levels for banking institutions funding in U.S. Dollar, in institutional markets, on a senior unsecured basis, and use virtually all USD institutional certificate of deposit, commercial paper, and bank-issued corporate bond transactions as input. The rate is administered by IHS Markit Benchmark Administration Ltd. in compliance with the UK Benchmark Regulation and the IOSCO Principles for Financial Benchmarks.
USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS) Chart and Data
IHS Markit, from 1 June 2021
Published CRITR and CRITS for 1-day and 1-, 3-, 6-, and 12-month tenors.
USD CRITR & CRITS Factsheet
IHS Markit, May 2021
Summarizing calculation methodology and key benefits.
ARRC Announces the Third Event in its Series "The SOFR Symposium: The Final Year"
ARRC, 27 May 2021
CFTC Acting Chairman Behnam will be the featured speaker with topics addressing LIBOR transition in the derivatives market.
United Kingdom – General
Further Updated Top Level Priorities - 2021
Financial Conduct Authority, 31 May 2021
Reflecting recent developments and forthcoming Financial Conduct Authority consultations, including on its proposed decision related to synthetic GBP and yen settings.
Europe – General
Supervisory Briefing: Benchmark administrators’ presence in their Member States of location and outsourcing
European Securities and Markets Authority, 28 May 2021
Focusing on how to provide the supervisory guidance needed to ensure a consistent application of the Benchmarks Regulations across the European Union.
Asia and Pacific Rim – General
Regulators expect Australian institutions to cease the use of LIBOR in new contracts before the end of 2021
Reserve Bank of Australia, 4 June 2021
Supporting the FSB 2 June 2021 statements, reiterating the importance of ensuring a timely transition away from LIBOR before the end of 2021, and advising that Australian regulators expect all market participants to adhere to the stated deadlines.
Key Results of the Survey on the Use of LIBOR
Bank of Japan, 19 May 2021
Analyzing LIBOR-linked contract volume and use of fallbacks.
Global – General
FSB issues statements to support a smooth transition away from LIBOR by end 2021
Financial Stability Board, 2 June 2021
In light of the 5 March 2021 announcements by IBA and the FCA, and to facilitate an orderly transition by end-2021, the FSB has published several statements and reports that set out recommendations for financial and non-financial sector firms, as well as the authorities, to consider in transitioning away from LIBOR. Resources include: an updated Global Transition Roadmap, a report on interest rate benchmark reform, a statement supporting the use of ISDA spread adjustments in cash products, and a statement on smooth and timely transition away from LIBOR and the need for “globally consistent expectations.”
Statement on Benchmarks Transition
International Organization of Securities Commissions, 2 June 2021
“Continued reliance of global financial markets on LIBOR benchmarks, particularly the most widely used USD LIBOR settings, poses risks to financial stability, market integrity, and investor protection.”
Asia-Pacific to Tackle USD 190 billion of tough legacy bonds as LIBOR transition looms
International Capital Market Association, 25 May 2021
Finding that 80% of tough legacy APAC bonds have inadequate or no fallbacks in place and that transactions in the Asia-Pacific region are continuing to reference LIBOR without adequate fallbacks in place, and proposing solutions for addressing the risks of tough legacy, including the feasibility of consent solicitation under different legal systems and the application of certain legislative interventions.
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.