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.

Thought LeadershipNews and Developments | Events



United States – Syndicated and Bilateral Loans

SOFR & Sensitivity
Loan Syndications & Trading Association, 10 November 2021
Discussing the latest SOFR sightings, possible coalescence around conventions, and developments with respect to credit sensitive rates.

United States – General

Announcement Post-Consultation on Methodology Enhancement
Bloomberg Index Services Limited, 8 November 2021
The methodology changes proposed in the 7 October 2021 Consultation regarding transaction-related input data and the BSBY waterfall were supported generally. SOFR was recommended over OBFR as the final stage of the waterfall and input received concerning implementation mechanics will be included when the new methodology is launched on 15 November.

Statement of Chairman Sherrod Brown at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
U.S. Senate, 2 November 2021
Introducing the “witnesses” that will discuss a “narrow and consistent solution that protects small businesses, families with mortgages, and Americans paying off student loans” pursuant to a bipartisan bill to address legacy LIBOR-linked financial contracts.

Statement of Ranking Member Patrick Toomey at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
U.S. Senate, 2 November 2021
“The unique and anomalous circumstances related to the LIBOR transition require action by Congress to amend contracts between private parties.” Urging that such congressional action should be “a last resort,” Mr. Toomey stated that any related legislation must be narrowly tailored, not change the equities of the transaction, not affect new contracts, and, notably, not disfavor the use of “qualified non-SOFR benchmark rates,” including credit sensitive rates, in future contracts.

Statement of Thomas Wipf at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
Alternative Reference Rates Committee, 2 November 2021
“ARRC members have for some time strongly held the consensus view that legislation addressing legacy LIBOR contracts is an important component of the transition. We support your efforts to introduce legislation in the Senate and, in conjunction with your counterparts in the House, urge you to pass it as expeditiously as possible.”

Statement of Staff Attorney Andrew Pizor at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
National Consumer Law Center, 2 November 2021
Encouraging the Senate to support H.R. 4616 (the Adjustable Interest Rate (LIBOR) Act of 2021) to protect consumers and the credit industry, but with a safe harbor more narrowly tailored to immunity from lawsuits related to the selection or use of SOFR and the implementation of necessary (but not the determination and performance of any) conforming changes only, to avoid “an unreasonable transfer of value.”

Statement of Former Chairman Christopher Giancarlo at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
Commodity Futures Trading Commission, 2 November 2021
Presenting a number of topics, including the shortcomings of LIBOR that led to benchmark transition, an overview of LIBOR alternatives SOFR and Ameribor, and the status of U.S. federal LIBOR legislation.

Statement of CEO Michael Bright at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors”
Structured Finance Association, 2 November 2021
“Legislation is not only the best option, but the only viable option to safely, fairly, and equitably transition tough legacy contracts.” Mr. Bright identified 5 key principles of a legislative solution: minimize value transfer, use a single consistent replacement benchmark, implement a comprehensive narrow safe harbour, narrowly scope the legislation, and do not affect contracts with adequate existing fallbacks.

An Update on the Across-the-Curve Credit Spread Indices (AXI) – remarks of Marcus Burnett at LSTA’s LIBOR Transition Q&A Call
SOFR Academy, 1 November 2021
Explaining the design criteria, use, market education, and use conventions relating to AXI.

United Kingdom – Derivatives

LCH Limited Self-Certification: Bloomberg Short-Term Bank Yield Swaps
LCH Limited, 11 November 2021
Letter to the U.S. Commodity Futures Trading Commission describing plans to revise LCH rules to provide for the clearing of four swap instruments that reference BSBY.

United Kingdom – General

FCA confirms rules for legacy use of synthetic LIBOR rates and no new use of US dollar LIBOR
Financial Conduct Authority, 16 November 2021
Pursuant to an Article 23C BMR Draft Notice of Permitted Legacy Use by Supervised Entities and an Article 21A BMR Notice of Prohibition on New Use of a Critical Benchmark, the FCA has confirmed, respectively, that (a) it will allow the temporary use of specified synthetic sterling and yen LIBOR rates in legacy contracts and (b) the use of US dollar LIBOR in most new contracts written after 31 December 2021 will not be allowed.

Feedback Statement FS21/11 – Article 23D BMR Decision for 6 sterling and yen LIBOR versions
Financial Conduct Authority, 16 November 2021
In response to its Consultation Paper 21/19 and related draft decision notice of requirements, the FCA provides a summary of the feedback it received during the consultation process. FCA will compel ICE Benchmark Administration (IBA) to publish the six identified GBP and JPY LIBOR settings under a synthetic methodology, based on forward-looking term RFRs and ISDA spread adjustments, with immediate effect after (a) the final Article 23D(2) Notice is given to IBA and (b) the Article 23A designations of such settings take effect on 1 January 2022.

Europe – General

Letter from the Chairman of the Euro Risk-Free Rates Working Group to the European Commission regarding the designation of statutory replacement rates for GBP & JPY LIBOR
European Securities and Markets Authority, 15 November 2021
To ensure alignment of EU BMR regulations with the decision on the FCA to allow the use of a non-representative, synthetic GBP and JPY LIBOR for a limited period of one year, the Euro RFR working group has requested that the European Commission designate statutory replacement rates under the EU BMR as soon as practicable so that legal certainty is provided and the active transition to SONIA and TONAR, respectively, is not impeded.

Summary of the 9 November 2021 Meeting of the National Working Group on Swiss Franc Reference Rates
Swiss National Bank, 10 November 2021
Reporting on recent regulatory activity and the transition to SARON in loan and swaps markets.

Commission Implementing Resolution (EU) 2021/1847 on the designation of a statutory replacement for certain settings of CHF LIBOR
European Commission, 14 October 2021
Designating a statutory replacement for 1-, 3-, 6-, and 12-month CHF LIBOR for contracts without fallback provisions.

Asia & Pacific Rim – General

Key Results of Results of the Brief Survey on the Use of JPY LIBOR
Bank of Japan, 1 November 2021
Summarizing trends in the transition away from JPY LIBOR and discussing the reasons that transition was not complete by the end of September 2021. Of note: 85.1% of loan contracts, 51.6% of bond contracts, and 99.1% of derivatives contracts incorporated fallback provisions at 30 September 2021.

Global – Derivatives

Swaption Outcomes with and without application of the terms of Supplement 70
International Swaps and Derivatives Association, 4 November 2021
Considering at a high level the applicability of the IBOR Fallbacks Supplement on swaps transactions.

Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021
International Swaps and Derivatives Association, 4 November 2021
Highlights include an increase in global trading activity in over-the-counter and exchange-traded interest rate derivatives that reference SOFR, SONIA, SARON, TONAR,€STR, and AONIA to 17.4% in the third quarter versus 11.0% in the second quarter of 2021; and an increase in interest rate derivatives traded notional referencing SOFR of 127.4% to $2.1 trillion in the third quarter of 2021 from $932.9 billion in the second quarter of 2021, primarily driven by the SOFR First initiative that started for linear derivatives on 26 July 26 2021.



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.

LIBOR Transition: How Will the Pieces Come Together in Time
ABA Webinar, 9 December 2021
Paul Forrester and Matt Bisanz will speak on how they see IBOR transition progressing through 2022 and what market participants need to know.

The U.S. Derivatives Market
Webinar, 11 November 2021
Anna Pinedo provides an overview of IBOR developments in the U.S. derivatives market.

Where Are We Now & Where Are We Going? The Transition Away From IBORs
Webinar, 10 November 2021
Ed Parker and David Duffee provide a recap of the status of IBOR transition in the loan and derivative markets.

Antitrust Considerations for IBOR Transition
Webinar, 4 November 2021
Britt Miller and Tom Panoff discuss antitrust conduct risk related to the IBOR transition process.

Requirements of Regulators Around the World – UK, EU, Asia, and US
Webinar, 30 September 2021
Comparing regional regulatory regimes and the status of legislation to facilitate IBOR transition.

IBOR Transition – an introduction to conduct risk
Webinar, 16 September 2021
Mayer Brown partner Marlon Paz, and head of Legal Project Management David George, discusses IBOR transition conduct risk and related risk mitigation in the first of our latest IBOR transition webinar series. With approximately 100 days until most LIBOR tenors cease to be published, additional topics to be covered during 4Q2021 include global transition regulatory requirements, industry- and subject matter-specific considerations, litigation risks, and final transition preparation tips.