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Topic: Benchmarks

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ESMA consults on fees for benchmarks administrators under BMR

On 25 September 2020, the European Securities and Markets Authority (ESMA) issued a consultation paper on fees for benchmarks administrators under the Benchmarks Regulation (BMR). Article 5 of the BMR (as amended) provides ESMA with new direct supervisory powers. In particular, the amended BMR designates ESMA as the competent authority of both administrators of critical … Continue Reading

Working Group on Sterling Risk-Free Reference Rates issues recommendations on conventions to support the use of SONIA in loan markets for Sterling Bilateral and Syndicated Facilities (September 2020)

The recommendations reiterate that market participants should be ready to offer non-LIBOR loans’ products by end Q3 2020. SONIA compounded in arrears remains the Working Group’s recommended alternative to Sterling LIBOR and the intent of the recommendations is to enable and expedite the transition away from the use of LIBOR based products for the loan … Continue Reading

Minutes of the Working Group on Sterling Risk-Free Reference Rates (23 June 2020)

On 4 September 2020, the Bank of England published the minutes from a virtual meeting of the Working Group on Sterling Risk-Free Reference Rates held on 23 June 2020. Among other things the minutes cover the impact of COVID-19 on the transition and expectations on Q1 2021 milestone for significant reduction of legacy LIBOR exposures. … Continue Reading

Commission publishes targeted amendments to the Benchmarks Regulation

On 24 July 2020, the European Commission published proposed targeted amendments to the EU Benchmarks Regulation (BMR) in light of the fact that the London Interbank Offered Rate (LIBOR) is expected to be phased out by the end of 2021. As there will be contracts and financial instruments referencing LIBOR still in place at the … Continue Reading

Amending the transitional period for third country benchmarks in the UK

On 22 July 2020, HM Treasury issued a policy paper explaining the government’s rationale for extending the transitional period for third country benchmarks under the UK Benchmarks Regulation to 31 December 2025. The EU Benchmarks Regulation (BMR) has directly applied in the UK since 1 January 2018. To ensure that the existing regime continues to … Continue Reading

Commission adopts Delegated Regulations supplementing the BMR

On 22 July 2020, the European Commission adopted the following Delegated Regulations supplementing the Benchmarks Regulation on sustainable finance issues: Commission Delegated Regulation (EU) of 17.7.2020 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks. The objective of this … Continue Reading

FSB statement on the impact of COVID-19 on global benchmark reform

On 1 July 2020, the Financial Stability Board (FSB) issued a statement concerning the impact of the COVID-19 pandemic on global benchmark transition. The statement notes that it is likely that some firms’ transition plans are likely to be temporarily disrupted or delayed, whilst others are continuing. The FSB maintains its view that financial and … Continue Reading

Supporting Risk-Free Rate transition through the provision of compounded SONIA

On 26 February 2020, the Bank of England (BoE) published a discussion paper ‘Supporting Risk-Free Rate transition through the provisions of compounded SONIA’. In this discussion paper the BoE requested views from sterling market participants in relation to: the BoE’s intention to publish a daily SONIA Compounded Index; and the usefulness of the BoE publishing … Continue Reading

The Prudential Regulation Authority publish statement on on prioritisation in light of Covid-19

The Prudential Regulation Authority (PRA) has published a statement today on the prioritisation of its work in light of the COVID-19 pandemic. The statement sets out further details of the Prudential Regulation Authority’s plans to help firms maintain their safety and soundness and deliver the critical functions they provide to the economy. Accordingly, the statement … Continue Reading

ESMA issues no action letter on the new ESG disclosure requirements under the BMR

On 29 April 2020, the European Securities and Markets Authority (ESMA) issued a no action letter intended to promote coordinated action by Member State national competent authorities (NCAs) regarding the new environmental, social and governance (ESG) disclosure requirements for benchmark administrators under the Benchmarks Regulation (BMR). ESMA has also issued an opinion to the European … Continue Reading

ISDA announces preliminary results of second consultation on pre-cessation fallbacks

On 16 April 2019, ISDA announced the preliminary results of its consultation on the implementation of pre-cessation fallbacks for derivatives referencing LIBOR. The consultation, commenced in February 2020, invited feedback from market participants on whether a pre-cessation trigger should be included in ISDA standard documents in addition to the permanent cessation fallbacks that ISDA is … Continue Reading

International Accounting Standards Board consults on interest rate benchmark reform changes

The International Accounting Standards Board  (IASB) has announced a consultation on proposed amendments to the International Financial Reporting Standards (IFRS) Standards to assist companies in providing useful information to investors about the effects of interest rate benchmark reform on financial statements. The IASB has split its work on interest rate benchmark reform on financial reporting … Continue Reading

ESMA promotes coordinated action regarding benchmarks external audit requirements

On 9 April 2020, the European Securities and Markets Authority (ESMA) issued a public statement intended to promote coordinated action by Member State national competent authorities (NCAs) regarding the timeliness of fulfilling external audit requirements for interest rate benchmark administrators and contributors to interest rate benchmarks. ESMA states that, in coordination with NCAs, it expects … Continue Reading

European Commission sets out sustainability criteria for benchmarks

On Wednesday, 8 April 2020, the European Commission published three draft delegated regulations setting out sustainability criteria for benchmarks provided in accordance with the Regulation (EU) 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (BMR). These measures follow amendments to the BMR introduced … Continue Reading

EBA updates impact of the Basel III reforms on EU banks’ capital and compliance with liquidity measures

On 8 April 2020, the European Banking Authority (EBA) published two reports measuring the impact of implementing the final Basel III reforms and monitoring the current implementation of liquidity measures in the EU. Overall, the EBA estimates that the Basel III reforms, once fully implemented in 2028 after the additional delay of one year agreed … Continue Reading

Japanese Financial Services Agency and the Bank of Japan – Summary of Survey Results on the Use of LIBOR and Main Actions Needed

The Japanese Financial Services Agency (JFSA) and the Bank of Japan have published the results of a survey on the use of LIBOR by financial institutions (including banks, securities companies insurance companies and others), their LIBOR exposures and LIBOR transition progress. The survey enables supervisory authorities to quantify the number of contracts that reference LIBOR … Continue Reading

Bank of England consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR – Summary of responses

The Working Group on Sterling Risk-Free Reference Rates (Working Group) has published a consultation paper for the sterling cash market (including loans, bonds, and securitisations) considering four methodologies that could be used to calculate the credit adjustment spread for fallbacks from GBP LIBOR to SONIA in cash products maturing beyond the end of 2021. The … Continue Reading

European Commission publishes roadmap for European Benchmarks Regulation review

On 18 March 2020 the European Commission published a roadmap for the review of Regulation (EU) 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (“European Benchmark Regulation” or BMR). The roadmap – formal title being “inception impact assessment” – sets out the Commission’s … Continue Reading

Working Group on Euro Risk-free Rates’ factsheets on EONIA to €STR transition and EURIBOR fallbacks

The European Central Banks’s working group on euro risk-free rates has published a factsheet on EONIA to €STR transition and a factsheet on understanding EURIBOR fallbacks. The EONIA to €STR transition factsheet provides background information on why the transition is happening, a timeline and some of the key issues arising from the transition, which include: … Continue Reading

LIBOR Transition – Bank of England announces intention to publish a daily SONIA Compounded Index

Introduction On 26 February 2020, the Bank of England published a discussion paper Supporting Risk-Free Rate transition through the provisions of compounded SONIA, February 2020 (the Discussion Paper) which requested views from sterling market participants in relation to: the Bank of England’s intention to publish a daily SONIA Compounded Index; and the usefulness of the … Continue Reading

ECB working group on euro risk-free rates seeks feedback on Swaptions impacted by transition from EONIA to the €STR

On 13 March 2020, the European Central Bank (ECB) working group on euro risk-free rates launched a public consultation on whether to issue recommendations to address specific issues for swaption products as a result of the proposed transition from EONIA to the euro short-term rate (€STR). The central counterparty (CCP) discounting switch from EONIA to … Continue Reading

Loans Enablers Task Force – path to discontinuation of new GBP LIBOR lending by end-Q3 2020

On 10 March 2020, the Loans Enablers Task Force (the Task Force) of the Working Group on Sterling Risk-Free Reference Rates (the RFR Working Group) published an indicative roadmap outlining a path for the discontinuation of new GBP LIBOR-based cash lending by end-Q3 2020. This roadmap is intended to act as a guide for lenders, … Continue Reading

BoE and FCA letter to trade associations – how discontinuation of LIBOR may affect your members and stakeholders

On 9 March 2020, the Bank of England (BoE) and the Financial Conduct Authority (FCA) published a letter that they had sent to trade associations regarding how the discontinuation of LIBOR might affect their members and stakeholders. The letter explains why LIBOR is ending, how this will affect trade associations and their members, the alternatives … Continue Reading
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