Davide Barzilai (UK)

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FCA consults market on synthetic LIBOR rates

The FCA opened a consultation on 30 June seeking views on winding down the 1, 3 and 6-month synthetic sterling LIBOR settings and requesting information on market participants’ exposure to US dollar LIBOR. Since 31 December 2021, publication of 24 LIBOR settings ended, leaving only five US dollar LIBOR settings continue to be calculated using … Continue Reading

ARRC formally recommends Term SOFR

On 29 July 2021, the ARRC has formally recommended the CME Group’s forward-looking Secured Overnight Financing Rate (SOFR) term rates (Term SOFR).  It follows the completion of interdealer trading conventions to SOFR earlier this week.  This means that parties which have contracts which include the ARRC hardwired fallbacks will fallback to Term SOFR given that … Continue Reading

Working Group on Sterling Risk-Free Reference Rates – minutes of meeting (23 February 2021)

On 25 March 2021, the Working Group on Sterling Risk-Free Reference Rates (Working Group) published the minutes from its virtual meeting held on 23 February 2021. Key points in the minutes include: PRA representatives indicated that supervisory oversight would intensify over the coming weeks and months, with an active meeting programme and monitoring in place … Continue Reading

IIFM White Paper – Global Benchmark Rate Reforms and Implications of IBOR Transition for Islamic Finance

On 22 March 2021, the International Islamic Financial Market (IIFM) issued a White Paper ‘Global Benchmark Rate Reforms and Implications of IBOR Transition for Islamic Finance’. The White Paper is based on contributions from leading financial institutions, accounting firms, law firms (including Norton Rose Fulbright) and other market participants. Its purpose is to create awareness … Continue Reading

FCA Announcement on cessation of LIBOR and ISDA’s statement

Today, the FCA has confirmed that all LIBOR settings will either cease to be provided by any administrator or no longer be representative: immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc and Japanese yen settings, and the 1-week and 2-month US dollar settings; and immediately after 30 June 2023, in the … Continue Reading

An extended end-June 2023 cessation date for most USD LIBOR tenors? IBA announcement on consultation

Yesterday, the ICE Benchmark Administration (IBA) which compiles and oversees LIBOR, announced its impending consultation on what it is effectively a proposed extension of most (and the more widely used) US dollar (USD) LIBOR tenors until 30 June 2023. This is hugely significant for the markets in Asia where USD is by far the most … Continue Reading

LMA exposure draft of multicurrency facility agreement including provisions for LIBOR switch to Risk-Free Reference Rates

On 11th September the Loan Market Association published an exposure draft multicurrency term and revolving facilities agreement incorporating rate switch provisions (the Rate Switch Agreement). The draft is for the purposes of switching from an initial IBOR forward looking term rate referenced Loan in any currency determined by reference to an existing forward looking term … Continue Reading

Working Group on Sterling Risk-Free Reference Rates issues recommendations on conventions to support the use of SONIA in loan markets for Sterling Bilateral and Syndicated Facilities (September 2020)

The recommendations reiterate that market participants should be ready to offer non-LIBOR loans’ products by end Q3 2020. SONIA compounded in arrears remains the Working Group’s recommended alternative to Sterling LIBOR and the intent of the recommendations is to enable and expedite the transition away from the use of LIBOR based products for the loan … Continue Reading

Working Group’s recommendations on conventions for referencing compounded in arrears SONIA

On 1 September 2020, the Working Group on Sterling Risk-Free Reference Rates published a statement outlining recommendations on conventions to support the use of Sterling Overnight Index Average (SONIA) in loan markets for Sterling Bilateral and Syndicated Facilities, including Multicurrency Syndicated Facilities where there is a sterling currency option. The recommendations are intended to support … Continue Reading

Webinar: LIBOR Transition: market update and managing key risks and challenges

 Tuesday 14 July | 08:30H BST We invite you to join our interactive webinar during which we will discuss recent LIBOR transition updates from a loans, derivatives and regulatory perspective as well as talk about some of the key risks and challenges from a disputes viewpoint. With some banks well underway with the due diligence … Continue Reading

Supporting Risk-Free Rate transition through the provision of compounded SONIA

On 26 February 2020, the Bank of England (BoE) published a discussion paper ‘Supporting Risk-Free Rate transition through the provisions of compounded SONIA’. In this discussion paper the BoE requested views from sterling market participants in relation to: the BoE’s intention to publish a daily SONIA Compounded Index; and the usefulness of the BoE publishing … Continue Reading

Loan Market Association (LMA) publishes list of loans referencing risk-free rates

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 … Continue Reading

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 financial reporting … Continue Reading

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 reference LIBOR … Continue Reading

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 … Continue Reading

LIBOR Transition – Bank of England announces intention to publish a daily SONIA Compounded Index

Introduction On 26 February 2020, the Bank of England published a discussion paper Supporting Risk-Free Rate transition through the provisions of compounded SONIA, February 2020 (the Discussion Paper) which requested views from sterling market participants in relation to: the Bank of England’s intention to publish a daily SONIA Compounded Index; and the usefulness of the … Continue Reading

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 for lenders, … Continue Reading

Asia Pacific market participants respond to APLMA’s IBOR Transition survey

Last September, the LMA published Exposure Drafts of Compounded RFR Facilities Agreements by reference to SOFR and SONIA (being the chosen replacement near risk free rates for USD markets and LIBOR in the Sterling respectively), along with a commentary inviting market participants to consider various structuring issues (see earlier blog). The APLMA recently sought feedback from … Continue Reading

LMA invites market participants to comment on outstanding requirements to be satisfied before recommended forms of compounded risk free rate facilities agreements can be finalised

In September 2019, the Loan Market Association published exposure drafts of Compounded Risk Free Rate Facility Agreements by reference to SONIA and SOFR, being the chosen replacement near risk free rates for LIBOR in the Sterling and USD markets respectively together with commentary inviting market participants to consider various structuring issues which need to be … Continue Reading

Working Group on Sterling Risk-Free Reference Rates: progress on the transition of LIBOR – referencing legacy bonds to SONIA by way of consent solicitation

On 16 January 2020, the Working Group on Sterling Risk-Free Reference Rates (RFRWG) published a statement entitled “Progress on the transition of LIBOR – referencing legacy bonds to SONIA by way of consent solicitation“.  In the statement, the RFRWG welcomes the consent solicitations that have already taken place or are underway to transition legacy bond … Continue Reading

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 and others, who … Continue Reading

Next steps for LIBOR transition in 2020: the time to act is now

On 16 January 2020, the Bank of England (BoE), Financial Conduct Authority (FCA) and the Working Group on Sterling Risk-Free Reference Rates (RFRWG) published the following documents outlining priorities and milestones for 2020 on LIBOR transition: RFRWG’2 2020 priorities and milestones. The top five RFRWG priorities are: (i) cease issuance of GBP LIBOR-based cash products … Continue Reading

Working Group on Sterling Risk-Free Reference Rates market consultation published on credit adjustment spread methodologies

The Working Group on Sterling Risk-Free Reference Rates has published a market consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR to assist cash markets, including the syndicated lending market, consider methodologies for credit adjustment spreads for fallbacks from LIBOR to a SONIA-derived rate that operate from a trigger date … Continue Reading

LIBOR transition to Alternative Risk Free Rates: drafting new loan agreements, and amending legacy LIBOR loan agreements

The Loan Market Association has over the last few weeks published exposure drafts of forms of loan agreement referencing risk free rates for new transactions, and a form of agreement with lenders as a first step to agreeing to amend legacy LIBOR loan agreements for alternative reference rates. On the 25th October 2019 the LMA … Continue Reading
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