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Topic: Benchmarks – IBOR transition

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FCA publishes consultation paper on synthetic US dollar LIBOR and feedback to CP22/11

Introduction On 23 November 2022, the FCA published Consultation Paper 22/11 ‘Consultation on ‘synthetic US dollar LIBOR and feedback to CP22/11’ (CP22/11). In June 2022, the FCA consulted on ceasing ‘synthetic’ sterling LIBOR. The FCA also sought information on US dollar LIBOR exposures in order to help the FCA assess whether to require continued publication … Continue Reading

LIBOR Notice: Article 21(3) Benchmarks Regulation – Notice of first decision

On 21 October 2022, the FCA published LIBOR Notice: Article 21(3) Benchmarks Regulation – Notice of first decision. The notice sets forth that the FCA has decided to compel ICE Benchmark Administration Limited to continue publishing 1- month sterling, and 6- month sterling LIBOR. The compulsion period shall be for 3 months starting immediately after … Continue Reading

FCA announces decision on cessation of 1- and 6- month synthetic sterling LIBOR at end-March 2023

On 29 September 2022, the FCA announced that following its earlier consultation in June it will be requiring the continued publication of the 1- and 6-month synthetic sterling LIBOR settings for a further three months after the end of 2022, until 31 March 2023. The FCA adds that it has no intention to use its … Continue Reading

Recommendation from the Working group on Euro risk-free rates on the availability of derivative products referencing Euro STR

On 26 September 2022, the Working Group on Euro Risk-Free Rates published a recommendation detailing a recommendation relating to the availability of derivative products referencing Euro short-term rates (€STR), particularly those that will be utilised for the purpose of calculating and publishing a forward-looking term €STR in order to support the adoption of EURIBOR fallback. … Continue Reading

ICE Benchmark Administration consults on potential cessation of ICE swap rate based on USD LIBOR

Introduction On 30 August 2022, the ICE Benchmark Administration Limited (IBA) published a consultation on its intention to cease the publication of all ICE swap rate settings based on USD LIBOR. The consultation Following the FCA’s announcement on March 5, 2021, regarding the future cessation and loss of representativeness of USD LIBOR, IBA does not … Continue Reading

BoE Policy Statement ‘Derivatives clearing obligation – modifications to reflect USD interest rate benchmark reform: Amendment to BTS 2015/2205’

On 24 August 2022, the Bank of England (BoE) published a Policy Statement setting out its final policy in relation to adding overnight index swaps (OIS) that reference the Secured Overnight Funding Rate (SOFR) to the scope of contracts subject to the derivatives clearing obligation (DCO) and removing contracts referencing USD Libor. The Policy Statement … Continue Reading

FCA encourages market participants to continue transition of LIBOR-linked bonds

On 16 August 2022, the Financial Conduct Authority (FCA) published a statement encouraging issuers and bond holders of outstanding LIBOR-linked bonds to consider taking necessary action to transition outstanding LIBOR-linked bonds to fair alternative rates. The FCA is encouraging: Issuers of remaining LIBOR-linked bonds (or those that may have a future LIBOR-linked dependency) issued under … Continue Reading

Finalising LIBOR transition – achievements in sterling markets and what remains to be done

On 9 February 2022, the Financial Conduct Authority (FCA) provided an update regarding the achievements in sterling markets since the LIBOR transition on 31 December 2021, what more needs to be done and how the Working Group will operate going forward. Sterling markets navigated the transition on time and with minimal disruption, supporting global transition … Continue Reading

FCA issues final messages on LIBOR before end-2021

On 8 December 2021, Edwin Schooling Latter, Director of Markets and Wholesale Policy and Wholesale Supervision at the Financial Conduct Authority (FCA), delivered a speech at Risk.net’s LIBOR telethon. Highlights from the speech include: The FCA’s March 2021 Dear CEO letter outlines the regulator’s expectations for regulated firms to meet milestones and targets of relevant supervisory … Continue Reading

HoC research paper – Critical Benchmarks (References and Administrators’ Liability) Bill

On 18 November 2021, the House of Commons’ library issued a research briefing paper on the Critical Benchmarks (References and Administrators’ Liability) Bill. The Bill has four clauses. Clauses 1 and 2 contain the substantive provisions. Clause 3 deals with consequential matters and clause 4 deals with interpretation, territorial extent and the Bill’s title. Clause … Continue Reading

Letter regarding the potential designation of statutory replacement rates for GBP LIBOR and JPY LIBOR

On 16 November 2021, the European Securities and Markets Authority (ESMA) published a letter from James von Moltke, the Chairman of the EURO Risk Free Rates Working Group (RFR WG), to the European Commission, regarding discussions on the potential designation of statutory replacement rates for GBP LIBOR and JPY LIBOR. Among other things the letter … Continue Reading

FCA confirms rules for legacy use of synthetic LIBOR rates and no new use of US dollar LIBOR

On 16 November 2021, the FCA issued a new webpage confirming that it will allow the temporary use of ‘synthetic’ sterling and yen LIBOR rates in all legacy LIBOR contracts, other than cleared derivatives, that have not been changed at or ahead of end-31 December 2021. On the webpage the FCA has also issued ‘Article … Continue Reading

LIBOR and the FCA’s new powers under the UK Benchmarks Regulation: questions and answers

On 15 October 2021, the FCA published a new webpage listing questions and answers for firms related to the use of its powers under the UK Benchmarks Regulation (BMR), and publications on 29 September 2021, to help manage an orderly wind-down of LIBOR. The following are key questions covered on the webpage: Impact on contract provisions Will pre-cessation fallbacks (those who trigger on unrepresentativeness) still operate … Continue Reading

EBA points to still elevated benchmark rate transition risks

On 14 October 2021, the European Banking Authority (EBA) published a thematic note on the transition risks of benchmark rates, as LIBOR (the London International Offered Rate) and EONIA (the Euro Overnight Index Average) are being phased out. Key points in the thematic note include: EU banks reported significant derivatives and loan exposures linked to … Continue Reading

FCA PS21/13: LIBOR transition and the derivatives trading obligation

On 15 October 2021, the FCA published Policy Statement 21/13: LIBOR transition and the derivatives trading obligation (PS21/13). PS21/13 follows Consultation Paper 21/22: LIBOR transition and the derivatives trading obligation. In PS21/13 the FCA sets out its finalised amendments to the UK Regulatory Technical Standards (RTS) on the derivatives trading obligation (DTO) (onshored Commission Delegated … Continue Reading

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