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Topic: Benchmarks

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Report by the ECB working group on euro risk-free rates

On 19 August 2019, the European Central Bank’s (ECB) working group on euro risk-free rates published a report that focuses on the impact that the transition from the current euro overnight index average (EONIA) to the ECB’s euro short-term rate (€STR) will have on cash and derivatives products. In the report, the working group analyses … Continue Reading

ISDA statement on pre-cessation issues

On 9 August 2019, the International Swaps and Derivatives Association (ISDA) published a statement summarising the preliminary results of its consultation on how derivatives contracts should address a regulatory announcement that LIBOR and certain other interbank offered rates (IBORs) are no longer representative of an underlying market. The pre-cessation trigger for LIBOR would apply in … Continue Reading

Statement on conventions for referencing SONIA in new contracts

The overall objective of the Bank of England Working Group on Sterling Risk-Free Reference Rates (Working Group) is to enable a broad-based transition to SONIA by the end of 2021 across the sterling bond, loan and derivative markets. This will reduce the financial stability risks arising from widespread reliance on sterling LIBOR. In March 2019 … Continue Reading

ECB guideline on €STR published

On 26 July 2019, there was published in the Official Journal of the EU, the European Central Bank (ECB) guideline governing the euro short-term rate (€STR) and establishing the ECB’s responsibility for its administration and oversight. The guidelines also establish the responsibilities of the ECB and national central banks and sets out the provisions for … Continue Reading

EMMI announces publication time for euro overnight index average

On 24 July 2019, the European Money Markets Institute (EMMI) announced that the euro overnight index average (EONIA) will be published at or shortly after 9:15am CET as of 2 October 2019. This announcement follows that of the European Central Bank’s (ECB) decision to publish the euro short-term rate (€STR) at 8:00am CWT on each … Continue Reading

Consultation on Appropriate Choice and Usage of Japanese Yen Benchmarks

On 2 July 2019, Japan’s Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks (JCIC) comprising leading banks and market participants active in Japan and convened by the Bank of Japan launched its public consultation on the Appropriate Choice and Usage of Japanese Yen Benchmarks. The consultation document can be found here. The focus of the … Continue Reading

EMMI publishes EURIBOR benchmark statement

On 17 July 2019, the European Money Markets Institute (EMMI) published the benchmark statement for the administration of the Euro Interbank Offered Rate (EURIBOR). The statement provides information on EURIBOR across the following areas: market or economic reality; input data and methodology; exercise of judgement or discretion by the EMMI or contributors; cessation and change … Continue Reading

ECB announces publication time for euro short-term rate

On 11 July 2019, the European Central Bank (ECB) announced that it will start publishing the euro short-term rate as of 2 October 2019. The rate will be available by 8:00am CET on each TARGET2 business day. If there are errors detected following the publication of the rate that affect it by more than 2 … Continue Reading

ESMA updates its Q&As regarding the BMR

On 11 July 2019, the European Securities and Markets Authority (ESMA) updated its Q&As on the Benchmarks Regulation (BMR). The new Q&As provide clarification on the following issues: Is the scope of the definition of commodity benchmarks for the purposes of the BMR identical to the scope of the definition of commodity derivatives for the … Continue Reading

BoE publishes Discussion Paper on risk management of collateral referencing LIBOR

On 27 June 2019, the Bank of England (BoE) published a Discussion Paper on its proposed approach to the risk management of collateral referencing London Interbank Offered Rate (LIBOR) for use in the Sterling Monetary Framework (SMF). The Discussion Paper: provides a brief background to both the LIBOR transition process and the BoE’s collateral framework; … Continue Reading

ESMA publishes translations for Guidelines on non-significant benchmarks

On 19 June 2019, the European Securities and Markets Authority (ESMA) issued the official translations of its guidelines on non-significant benchmarks under the Benchmarks Regulation. Member State national competent authorities to whom the guidelines apply must notify ESMA whether they comply or intend to comply with the guidelines within two months of the publication of … Continue Reading

ISDA consults on benchmark fallbacks

On 17 May 2019, the International Swaps and Derivatives Association (ISDA) published two consultations on benchmark fallbacks – the first consultation covers adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued, and the second consultation relates to pre-cessation issues for LIBOR and certain other IBORs. Specifically, … Continue Reading

EBA seeks extension for addressing Commission’s call for advice on benchmarking of national loan enforcement frameworks

On 7 May 2019, the European Banking Authority (EBA) published a letter it sent to the Director General for Financial Stability at the Financial Services and Capital Markets Union (FISMA), dated 5 March 2019, regarding the European Commission’s call for advice (CFA) for the purposes of a benchmarking of national loan enforcement frameworks (including insolvency … Continue Reading

Letter AFM and DNB on importance of transitioning to alternative benchmarks

On 25 April 2019, a press release and letter were published through which the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten, the AFM) and the Dutch Central Bank (De Nederlandsche Bank, DNB) asks financial institutions for the preparations and actions they are taking to manage transition from critical benchmarks such as LIBOR to … Continue Reading

Benchmarking exercise – amendments to Commission Implementing Regulation (EU) 2016/2070

Commission Implementing Regulation (EU) 2016/2070 specifies institutions’ reporting requirements to the European Banking Authority (EBA) and to Member State competent authorities in order to enable the EBA and Member State competent authorities to carry out their assessments of internal approaches in accordance with Article 78 of Directive 2013/36/EU (the benchmarking exercise). On 29 March 2019, … Continue Reading

The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019

On 26 March 2019, the Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 were made and published on legislation.gov.uk, together with an explanatory memorandum. Our earlier blog addressing the content of these Regulations is here. You can track the financial services Brexit EU Exit statutory instruments (as well as gain access to our Brexit … Continue Reading

No deal Brexit scenario: FCA to introduce UK Benchmarks Register

On 22 March 2019, the FCA announced that it has developed a new UK Benchmarks Register. The new register will replace the European Securities and Markets Authority’s (ESMA) register for UK supervised users, and UK and third-country based benchmark administrators that want their benchmarks to be used in the UK.   On exit day the … Continue Reading

FCA statement on various MiFID obligations and Benchmark Regulation if the UK leaves the EU without an implementation period

Last week the European Securities and Markets Authority issued a statement on its approach to the application of some key MiFID II / MiFIR and EU Benchmark Regulation (BMR) provisions should the UK leave the EU without a deal. On 13 March 2019, the FCA issued a statement setting out its own views on the … Continue Reading

Council of EU and European Parliament political agreement proposed benchmarks

On 25 February 2019, the Council of the EU announced that had reached a preliminary agreement with the European Parliament on the proposal creating a new category of financial benchmarks aimed at giving greater information on an investment portfolio’s carbon footprint. The announcement states that the two EU institutions have agreed on a harmonised tool to pursue … Continue Reading

FCA speech on LIBOR at the Investment Association

The FCA has published a speech delivered at the Investment Association by Megan Butler (Executive Director of Supervision – Investment, Wholesale and Specialists, FCA). The speech is entitled Ending reliance on LIBOR: Overview of progress made on transition to overnight risk-free rates and what remains to be done. Key messages in the speech include: there … Continue Reading

Draft Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019

On 24 January 2019, a draft of the Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019, together with a draft explanatory memorandum was published on legislation.gov.uk. Our earlier blog explaining the purpose of the draft statutory instrument, which has now been laid before Parliament, is here.… Continue Reading