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Topic: Benchmarks – IBOR transition

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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

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
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