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Topic: Benchmarks

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ECB working group recommendations for fallback provisions in contracts referencing LIBOR

On 6 November 2019, the European Central Banks’s (ECB) working group on euro risk-free rates issued high level recommendations for fallback provisions in contracts referencing EURIBOR. The working group notes that historically, contractual fallback provisions generally only contemplate the temporary unavailability of EURIBOR and do not address its permanent cessation and/or any differences between EURIBOR … Continue Reading

ESMA’s role under BMR and interest rate benchmark reform

On 29 October 2019, the European Securities and Markets Authority (ESMA) published a speech by its chair, Steven Maijoor, focusing on the European Supervisory Authority’s (ESA) role under the Benchmarks Regulation. In his speech Mr Maijoor focuses on the implementation of the third country regimes, the advice ESMA provided to national competent authorities and its … Continue Reading

LIBOR transition to Alternative Risk Free Rates: drafting new loan agreements, and amending legacy LIBOR loan agreements

The Loan Market Association has over the last few weeks published exposure drafts of forms of loan agreement referencing risk free rates for new transactions, and a form of agreement with lenders as a first step to agreeing to amend legacy LIBOR loan agreements for alternative reference rates. On the 25th October 2019 the LMA … Continue Reading

FMLC paper on issues of legal uncertainty regarding onshored Benchmark Regulation

On 23 October 2019, the Financial Markets Law Committee (FMLC) published a paper on issues of legal uncertainty in respect of the retained EU law version of the Benchmarks Regulation. In the paper, the FMLC highlights the challenges of providing a new benchmark into the EU once the UK becomes a third country post-Brexit and … Continue Reading

Communication toolkit published by the ECB working group on euro risk-free rates

The European Central Bank (ECB) has updated its working group on euro risk-free rates webpage to include a communication toolkit for market participants to use in their own communication and education efforts. The communication toolkit consists of: frequently asked questions regarding the euro short term rate (€STR), the working group and its governance, transition issues … Continue Reading

ESMA agrees MoU with ASIC on benchmarks

On 20 October 2019, the European Securities and Markets Authority (ESMA) published a memorandum of understanding (MoU) between itself and the Australian Securities and Investments Commission (ASIC)  setting out cooperation arrangements in respect of Australian benchmarks. The MoU was signed on 9 October 2019. On 29 July 2019, under Article 30 of the Benchmarks Regulation … Continue Reading

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

On 17 October 2019, the European Central Bank’s (ECB) working group on euro risk-free rates published a report on the risk of management implications of the transition from the current euro overnight index average (EONIA) to the ECB’s euro short-term rate (€STR) and the introduction of €STR-based fallbacks for the Euro Interbank Offered Rate (EURIBOR). … Continue Reading

Commission consults on review of the EU Benchmarks Regulation

On 11 October 2019, the European Commission (Commission) launched consultation on a review of the EU Benchmarks Regulation (BMR). The Commission is mandated by Article 54 BMR to conduct a review of certain provisions of the BMR and to submit a report to the European Parliament and to the Council by 1 January 2020. In … Continue Reading

Update on the proposed Regulation amending the BMR on low carbon benchmarks and positive carbon impact benchmarks

On 10 October 2019, HM Treasury published a letter (dated 9 October 2019) from John Glen MP, Economic Secretary to HM Treasury, to the Earl of Kinnoull, House of Lords EU Committee Chair, in respect of the proposed Regulation amending the Benchmarks Regulation (BMR) on low carbon benchmarks and positive carbon impact benchmarks. Mr Glen … Continue Reading

First EMMI publication of the euro overnight index average

On 2 October 2019, the European Money Markets Institute (EMMI) announced the publication, for the first time, of the euro overnight index average (EONIA) under the reformed determination methodology. From 1 October 2019, EONIA’s methodology will directly track the euro short-term rate (€STR) of the European Central Bank (ECB) (see previous blog here). The ECB … Continue Reading

AFM and DNB: findings and best practices on transitioning to alternative benchmarks

On 25 September 2019, the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten, AFM) and the Dutch Central Bank (De Nederlandsche Bank, DNB) published their findings and best practices on the transitioning to alternative benchmarks. The transitioning to alternative benchmarks follows from the EU Benchmarks Regulation (BMR). The AFM and DNB require the users … Continue Reading

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
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