On 20 May 2020, the LMA published on its website a list of loans in the market which reference risk-free rates (RFRs). The LMA states that over the last year, bilateral and syndicated loans have been announced which reference the sterling (SONIA), US dollar (SOFR) and Swiss franc (SARON) RFRs, demonstrating an appetite among some
ISDA publishes Interest Rate Benchmarks Review: First Quarter of 2020
On 22 April 2020, the International Swaps and Derivatives Association (ISDA) published its Interest Rates Benchmarks Review for the first quarter of 2020.
The ISDA Interest Rate Benchmarks Review analyses the trading volumes of interest rate derivatives (IRD) transactions in the US referencing the Secured Overnight Financing Rate (SOFR) and other selected alternative RFRs, including
ISDA and Bloomberg publish IBOR Fallback Rate Adjustments Rule Book
On 23 April 2020, the International Swaps and Derivatives Association, Inc. (ISDA) and Bloomberg Index Services Limited (BISL) published an IBOR Fallback Rate Adjustments Rule Book, which sets out the methodology, rules and conventions that BISL will implement to calculate rate adjustments in derivative contracts in relation to the transition from
The LIBOR Transition – ARRC issues recommendations outlining spread adjusting procedure
Following up on our past posts on the transition away from the London Interbank Offering Rate (“LIBOR”), and interbank offering rates (“IBOR”) denominated in other currencies, in this post, we discuss the agreement reached by the members of the Alternative Reference Rates Committee (“ARRC”) on a spread adjustment methodology for cash products referencing U.S. dollar
ISDA announces preliminary results of second consultation on pre-cessation fallbacks
On 16 April 2019, ISDA announced the preliminary results of its consultation on the implementation of pre-cessation fallbacks for derivatives referencing LIBOR.
The consultation, commenced in February 2020, invited feedback from market participants on whether a pre-cessation trigger should be included in ISDA standard documents in addition to the permanent cessation fallbacks that ISDA is
International Accounting Standards Board consults on interest rate benchmark reform changes
The International Accounting Standards Board (IASB) has announced a consultation on proposed amendments to the International Financial Reporting Standards (IFRS) Standards to assist companies in providing useful information to investors about the effects of interest rate benchmark reform on financial statements.
The IASB has split its work on interest rate benchmark reform on
Japanese Financial Services Agency and the Bank of Japan – Summary of Survey Results on the Use of LIBOR and Main Actions Needed
The Japanese Financial Services Agency (JFSA) and the Bank of Japan have published the results of a survey on the use of LIBOR by financial institutions (including banks, securities companies insurance companies and others), their LIBOR exposures and LIBOR transition progress. The survey enables supervisory authorities to quantify the number of contracts that
Bank of England consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR – Summary of responses
The Working Group on Sterling Risk-Free Reference Rates (Working Group) has published a consultation paper for the sterling cash market (including loans, bonds, and securitisations) considering four methodologies that could be used to calculate the credit adjustment spread for fallbacks from GBP LIBOR to SONIA in cash products maturing beyond the end of 2021. The
Loans Enablers Task Force – path to discontinuation of new GBP LIBOR lending by end-Q3 2020
On 10 March 2020, the Loans Enablers Task Force (the Task Force) of the Working Group on Sterling Risk-Free Reference Rates (the RFR Working Group) published an indicative roadmap outlining a path for the discontinuation of new GBP LIBOR-based cash lending by end-Q3 2020. This roadmap is intended to act as a guide
Working Group on Sterling Risk-Free Reference Rates: The use cases of benchmark rates: compounded in arrears, term rate and further alternatives
On 16 January 2020, the Working Group on Sterling Risk-Free Reference Rates (RFRWG) published a paper on The use cases of benchmark rates: compounded in arrears, term rate and further alternatives.
The paper is addressed to financial firms and non-financial end users, such as corporates, small to medium size enterprises, retail consumers