概览

2017年,由于发现基础交易量的下降使得某些银行可以操纵伦敦银行同业拆借利率(LIBOR),英国金融行为监管局(FCA)宣布其在2021年之后将不再强制要求成员银行提交LIBOR数据。有鉴于此,全球范围的市场参与者都开始寻找一些强而有力的利率来代替LIBOR和其他银行同业拆借利率(IBOR)。目前世界各地都在努力寻找具有可比性、流动性和透明性的替代基准利率,但这一过程十分复杂,涉及众多监管机构和行业组织以及数十个国家和数十种货币。根据《ABA银行杂志》的数据,LIBOR现用在超过300万亿美元的抵押贷款、商业贷款、债券和衍生产品上,而参考LIBOR的未偿金融产品名义总价值中有近90%属于利率衍生品。

孖士打参与了许多正在考虑进行IBOR过渡的行业和贸易组织,也密切关注着这一领域的动态,以确保本所律师及时掌握市场最新情况,从而更好地满足客户需求。另外,本所还组织了一个IBOR过渡特别工作组,以便向客户提供全面协调的法律意见。该特别工作组反映了(i)本所的全球影响力;(ii)我们在多个受影响市场及其产品领域的突出地位以及领先的主题事宜法律服务和产品实力;及(iii)我们使用多种技术解决方案(包括人工智能和其他技术辅助审阅工具)以便对相关合同和其他文件进行及时收集/归类/审阅/分析/补救的丰富经验。这三大优势使孖士打成为全球一体化IBOR过渡法律解决方案的理想提供者。

我们在本页将提供关于LIBOR和其他IBOR背景、拟议IBOR基准替代利率、最新动态、本所思想领导力文章以及本所IBOR过渡特别工作组的全面信息资料库。

本所跨业务部的全球IBOR过渡特别工作组成员名单.

近期重要事件

历史资料

美国

英国

欧洲

亚太地区

全球

 

近期重要事件

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

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

ARRC Extends Comment Period for Feedback on Consultation about Potential Spread Adjustment Methodologies until March 25 (ARRC, 6 March 2020) – the original deadline for comments was March 6, 2020

Sterling Market Outpaces US Dollar Market in Libor Transition (FitchRatings, 5 March 2020) – an interesting analysis of the regulatory and implementation differences between the two markets

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

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

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

历史资料

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) 

美国

主要监管机构、委员会及行业组织

The Alternative Reference Rates Committee (ARRC)

Federal Reserve Bank of New York (NY Fed)

Loan Syndications & Trading Association (LSTA)

替代参考利率委员会(ARRC)选择的替代利率

Secured Overnight Financing Rate (SOFR)

其他美元替代利率选择

Ameribor

ICE Bank Yield Index

ARRC的咨询和建议

Syndicated Loans Consultation (24 September 2018)

Syndicated Loans Final Recommended Fallback Language (25 April 2019)

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)

Swaptions CCP Discounting SOFR Transition Consultation (7 February 2020)

ARRC的其他资源

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)

监管通知和声明

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)

Proposed Accounting Standards Update – Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting (FASB, 5 September 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)

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)

其他有用资源

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)

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

 

英国

主要监管机构、委员会及行业组织

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

Financial Conduct Authority

Loan Market Association

选择的替代利率

Sterling Overnight Indexed Average (SONIA)

咨询和建议

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)

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

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

其他工作组资源

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)

监管通知和声明

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, 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)

其他有用资源

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

 

欧洲

主要监管机构、委员会及行业组织

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

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

选择的替代利率

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

Swiss Average Rate Overnight (SARON) – for Swiss Francs

咨询和建议

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)

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

其他工作组资源

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

监管通知和声明

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

其他工作组资源

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

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

 

亚太地区

主要监管机构、委员会及行业组织

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

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

选择的替代利率

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

咨询和建议

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)

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

其他工作组资源

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)

监管通知和声明

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

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

 

全球

主要监管机构、委员会及行业组织

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

咨询和建议

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)

其他工作组资源

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)

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

IBOR Transition Task Force Members