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Topic: Benchmarks – IBOR transition

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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

FCA and BoE encourage market participants in a switch to SONIA in the sterling exchange traded derivatives market from 17 June 2021

On 13 May 2021, the FCA and the Bank of England (BoE) issued a statement supporting and encouraging market users and liquidity providers in the sterling exchange traded derivatives market to switch the default traded instrument to SONIA instead of LIBOR from 17 June 2021. This is to facilitate a further shift in market liquidity … Continue Reading

Private sector working group on euro risk-free rates publishes recommendations on EURIBOR fallbacks

On 11 May 2021, the working group on euro risk-free rates published its recommendations addressing events that would trigger fallbacks in EURIBOR-related contracts, as well as €STR-based EURIBOR fallback rates (rates that could be used if a fallback is triggered). The recommendations are based on the feedback that the working group received following two public … Continue Reading

BoE speech – Descending safely: Life after Libor

On 11 May 2021, the Bank of England published a speech by its Governor, Andrew Bailey, entitled Descending safely: Life after Libor. In his speech Mr Bailey focuses on the transition away from Libor and covers: Developments in sterling markets. The use of forward looking term risk-free rates. Moving to the most robust reference rate. … Continue Reading

ICE Benchmark Administration Consults on Potential Cessation of ICE Swap Rate based on GBP LIBOR

On 7 May 2021, ICE Benchmark Administration Limited (IBA) published a consultation on its intention to cease the publication of ICE Swap Rate settings based on GBP LIBOR. The consultation is open for feedback until 5pm on 4 June 2021. The consultation is not, and must not be taken to be, an announcement that IBA will … Continue Reading

EIOPA publishes consultation on IBOR transition

The European Insurance and Occupational Pensions Authority (EIOPA) has launched a consultation on the Interbank Offered Rates (IBOR) transitions. Across markets, IBOR is being replaced by risk-free rates. The consultation considers adjustments to EIOPA’s risk-free rate (RFR) methodology and production, in light of If the EU Benchmark Regulation (which came into force in 2018) which … Continue Reading

Working Group on Sterling Risk-Free Reference Rates – Active transition of legacy GBP LIBOR contracts and operational considerations for fallbacks in uncleared linear derivatives

On 23 April 2021, the Working Group on Sterling Risk-Free Reference Rates issued a statement setting out a range of considerations intended to help market participants, across GBP bond, loan and derivative markets, assess and prioritise the active transition of legacy GBP LIBOR contracts to SONIA. For derivative market participants who may rely on ISDA’s … Continue Reading

FMSB publishes Spotlight Review on LIBOR back book transition

On 20 April 2021, the FICC Markets Standards Board (FMSB) published a new Spotlight Review on LIBOR transition, looking at how market participants may manage potential conduct risks arising in back book transition. Back book transition covers long-dated derivative contracts and the need for parties to them to take steps before the end of 2021 … Continue Reading

Working Group on Sterling Risk-Free Reference Rates – Transition from LIBOR in Sterling Structured Products

On 19 April 2021, the Working Group on Sterling Risk-Free Reference Rates published a paper that builds on its work to date in areas relating to the bond market and the derivatives market, to support the transition for structured products. It is intended that the paper is used by structured product issuers, manufacturers, distributors and … Continue Reading
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