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Topic: Benchmarks – IBOR transition

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ISDA – RFR Conventions and IBOR Fallbacks – Product Table

On 4 October 2021, the ISDA issued a product table for RFR conventions and IBOR fallbacks. The table is intended to help counterparties understand how the fallbacks would function in their legacy and new derivatives that reference IBORs. It sets out how fallbacks in ISDA’s amended documentation (without reference to the 2021 ISDA Interest Rate … Continue Reading

Further arrangements for the orderly wind-down of LIBOR at end-2021

On 29 September 2021, the FCA issued a statement on its website stating that sterling, Japanese yen, Swiss franc and euro LIBOR panels are ceasing on 31 December 2021. The FCA also confirms that to avoid disruption to legacy contracts that reference the 1-, 3- and 6-month sterling and Japanese yen LIBOR settings, it will … Continue Reading

IOSCO statement on credit sensitive rates

On 8 September 2021, the Board of the International Organization of Securities Commissions (IOSCO) issued a statement on credit sensitive rates. Among other things the statement notes that regulators are concerned that some of LIBOR’s shortcomings may be replicated through the use of credit sensitive rates that lack sufficient underlying transaction volumes. The disproportionality between … Continue Reading

The Benchmarks (Provision of Information and Documents) (Amendment) Regulations 2021

On 4 August 2021, there was published on the legislation.gov.uk website The Benchmarks (Provision of Information and Documents) (Amendment) Regulations 2021. The Regulations amend the Benchmarks (Provision of Information and Documents) Regulations 2021 (the 2021 Regulations). The 2021 Regulations make provision in respect of a notice or permission given by the FCA to the administrator … Continue Reading

Commission consultations on draft Implementing Regulations designating replacement rates for CHF LIBOR and EONIA benchmark

On 3 August 2021, the European Commission issued consultations on the following delegated acts: Commission Implementing Regulation (EU) on the designation of a statutory replacement for certain settings of CHF LIBOR.  The draft Implementing Regulation follows a targeted consultation that the Commission conducted earlier this year to assess the suitability of designating a statutory replacement … Continue Reading

FMSB publishes final Standard on the use of Term SONIA reference rates

On 28 July 2021, the FICC Markets Standards Board (FMSB) published the finalised Standard on use of Term SONIA reference rates. The Standard was initially published as a Transparency Draft on 24 March 2021. Certain minor changes have been made to the final Standard in response to comments received during the Transparency Period, such as … Continue Reading

ISDA announces results of consultation on fallbacks for GBP LIBOR ICE Swap Rate and USD LIBOR Swap Rate

On 23 July 2021, the ISDA announced the results of its consultation on the implementation of fallbacks for the sterling LIBOR ICE Swap Rate and the US dollar LIBOR ICE Swap Rate. The ISDA states that the results indicate a significant majority of respondents agree with the fallback provisions set out in the draft amendments … Continue Reading

FCA CP21/22: LIBOR transition and the derivatives trading obligation

On 14 July 2021, the FCA published Consultation Paper 21/22: LIBOR transition and the derivatives trading obligation (CP21/22). The proposals in CP21/22 will be of interest to financial counterparties, like investment firms and banks, and non-financial counterparties that are or could become subject to the derivatives trading obligation (DTO). It will also be of interest … Continue Reading

Working Group on Risk-Free Reference Rates: Active transition of legacy GBP LIBOR loan contracts – Timelines and considerations for borrowers

On 9 July 2021, the industry-led Working Group on Sterling Risk-Free Reference Rates (Working Group) issued a paper to assist borrowers in understanding and achieving the end-Q3 milestone for active transition of legacy GBP LIBOR loans. The Working Group encourages timely engagement with relevant parties and the preparations needed to ensure readiness for the recommended … Continue Reading

ESMA consults on derivatives clearing and trading obligations in view of the benchmarks transition

On 9 July 2021, the European Securities and Markets Authority (ESMA) issued a consultation paper on draft regulatory technical standards (RTS) that amend the existing RTS on the clearing obligation and derivatives trading obligation that have been developed under the European Market Infrastructure Regulation and the Markets in Financial Instruments Regulation respectively. The draft RTS … Continue Reading

FSB urges action to complete the transition away from LIBOR by end-2021

On 6 July 2021, the Financial Stability Board (FSB) published a progress report to the G20 on LIBOR transition and remaining issues. The progress report to the G20 is structured in four parts: Section 2 sets the scene on issues and risks associated with LIBOR transition. Section 3 presents observations and key themes from the … Continue Reading

European Commission, ECB Banking Supervision, EBA and ESMA encourage market participants to cease all LIBOR settings

On 24 June 2021, the European Commission, the European Central Bank in its banking supervisory capacity (ECB Banking Supervision), the European Banking Authority and the European Securities and Markets Authority (together the authorities) issued a joint public statement strongly encouraging market participants to use the time remaining until the cessation or loss of representativeness of … Continue Reading

FCA CP21/19: Proposed decision under Article 23D BMR for 6 sterling and yen LIBOR settings

On 24 June 2021, the FCA published Consultation Paper 21/9: Proposed decision under Article 23D BMR for 6 sterling and yen LIBOR settings (CP21/9). In CP21/9 the FCA is consulting on a proposal to use its Article 23D(2) powers introduced through amendments to the onshored Benchmarks Regulation (BMR) under the Financial Services Act 2021 (FS … Continue Reading

FCA and the BoE encourage market participants in a switch to SOFR in US dollar interest rate swap markets from 26 July

On 16 June 2021, the FCA and the Bank of England (BoE) issued a statement supporting and encouraging liquidity providers in the US dollar linear interest rate swaps market to adopt new trading conventions for interdealer trading based on the secured overnight financing rate (SOFR) instead of LIBOR from 26 July 2021. This is to … Continue Reading

ISDA consultation on fallbacks for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate

On 11 June 2021, the International Swaps and Derivatives Association (ISDA) launched a new consultation on how to implement fallbacks for certain swap rates published by ICE Benchmark Administration. Specifically the ISDA’s new consultation seeks input on the implementation of: Fallbacks for the sterling LIBOR ICE Swap Rate suggested in a paper published by the … Continue Reading

Mortgage interest rates and LIBOR: information for borrowers

On 11 June 2021, the FCA published a new webpage providing information to mortgagees on the impact of LIBOR reform. The webpage covers the following topics: Do I have a mortgage which uses LIBOR to calculate my interest rate? The FCA explains that most mortgage interest rates are not calculated using LIBOR. If a mortgage … Continue Reading

FSB issues statements to support a smooth transition away from LIBOR by end 2021

On 2 June 2021, the Financial Stability Board (FSB) published the following documents relating to the transition away from LIBOR by the end of 2021: An updated global transition roadmap that, drawing on national working group recommendations, summarises the high-level steps firms will need to take now and over the course of 2021 to complete … Continue Reading

IOSCO statement – benchmarks transition

On 2 June 2021, the International Organization of Securities Commissions (IOSCO) issued a statement reiterating the importance of ensuring a smooth and timely transition away from LIBOR. Among other things in the statement IOSCO: Supports the guidance issued by US Banking Supervisors in November 2020 and March 2021. These noted that, while the mid-2023 end … Continue Reading

BoE consultation on derivatives clearing obligation – modifications to reflect interest rate benchmark reform: amendments to BTS 2015/2205

On 20 May 2021, the Bank of England (BoE) published a consultation paper setting out a proposal to modify the scope of contracts that are subject to the derivatives clearing obligation to reflect the ongoing reforms to interest rate benchmarks. The BoE explains that its proposals would result in changes to  Commission Delegated Regulation (EU) … Continue Reading

Statement on behalf of the Working Group on Sterling Risk-Free Reference Rates –Recommendation of Successor Rate for fallbacks in bond documentation referencing GBP LIBOR

On 18 May 2021, the Working Group on Sterling Risk-Free Reference Rates published a statement recommending the use of overnight SONIA, compounded in arrears, as the successor rate recommended to replace GBP LIBOR for the purposes of the operation of fallbacks in bond documentation that envisage the selection of a recommended successor rate. The Working … Continue Reading

ICE Benchmark Administration Launches GBP SONIA Spread-Adjusted ICE Swap Rate® ‘Beta’ Settings

On 17 May 2021, it was announced that ICE Benchmark Administration Limited (IBA) had launched GBP SONIA Spread-Adjusted ICE Swap Rate® ‘Beta’ settings. IBA is publishing daily, indicative GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings for an initial testing period. The settings are designed to support the market in transitioning non-linear derivatives, structured products … Continue Reading
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