In September 2018, the Financial Conduct Authority (FCA) and Prudential Regulation Authority (PRA) wrote to CEOs of major banks and insurers supervised in the UK asking for details of the preparations and actions they are taking to manage the transition from LIBOR to alternative interest rate benchmarks.

This document covers 8 key findings along with Further Supporting Information from the responses on each finding.

Read the document here

The International Swaps and Derivatives Association, Inc. (ISDA) has launched two new consultations on benchmark fallbacks – one covering adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued, and another relating to pre-cessation issues for LIBOR and certain other IBORs.

Find the supplementary consultation on spread and term adjustments here...

Find the consultation on pre-cessation issues for LIBOR here...

The Alternative Reference Rates Committee (ARRC) today released recommended contractual fallback language for U.S. dollar LIBOR denominated floating rate notes and syndicated loans.

Read the press release here...

This week, ISDA wrote a letter to the co-chairs of the FSB Official Sector Steering Group (OSSG) to update them on ISDA’s work to implement fallbacks for derivative contracts referencing key interest rate benchmarks. ISDA undertook this work in 2016 at the request of the FSB OSSG and expects the fallbacks to take effect in early 2020.The letter is available on the ISDA website.

Speech by Mr Randal K Quarles, Vice Chairman for Supervision of the Board of Governors of the Federal Reserve System, at the Financial Stability Board Roundtable on Reforming Major Interest Rate Benchmarks, Washington DCRead the full speech here.

The Working Group has published a discussion paper on Conventions for Referencing SONIA in New Contracts to raise awareness of SONIA market conventions and for it to be used by all market participants and infrastructure service providers to support their preparations for adopting SONIA in new products.Read the Discussion Paper here...

The Working Group on Sterling Risk-Free Reference Rates, which is made up of experts from major sterling swap dealers, discusses the development of sterling risk-free reference rates.Find the most recent minutes here...

See a copy of the letter from the Co-chairs of the FSB's Official Sector Steering Group (OSSG) that encourages the International Swaps and Derivatives Association (ISDA) to continue its work on derivatives contractual robustness to risks of interest rate determination.Read the press release and letter here...

Michael Held, Executive VP and General Counsel at the New York Fed remarks at SIFMA C&L Society

Read the full speech here...

The EU institutions have agreed to grant providers of "critical benchmarks" two extra years until 31 December 2021 to comply with the new Benchmark Regulation requirements

Read the press statement here...

The call for feedback on the report by the working group on euro risk-free rates concerning the transition from the euro overnight index average (EONIA) to the euro short-term rate (ESTER) closed on Friday, 1 February 2019. The report drew considerable interest from the financial sector and other interested parties. 63 market participants – 37 of which were from the banking sector –provided responses or comments. The response sample ensures appropriate geographic coverage and adequately reflects relevant (sub) sector views.The main messages may be viewed on the ECB website...

Speech by Megan Butler, Executive Director of Supervision – Investment, Wholesale and Specialists at the FCA, delivered at the Investment Association, London.To read the full speech click here...

The Working Group on Sterling Risk-Free Reference Rates, which is made up of experts from major sterling swap dealers, discusses the development of sterling risk-free reference rates.To view the latest minutes click here...

On the 12th February, the European Money Markets Institute (EMMI) published the summary of stakeholder feedback on the Second Consultation Paper on a Hybrid Methodology for EURIBOR. This Consultation is part of EMMI’s commitment to deliver a reformed and robust methodology for EURIBOR, which aims to meet regulatory and stakeholder expectations in a timely manner.

To read the consultation results, click here...

The ISDA report provides an analysis of trading volumes of interest rate derivatives (IRD) transactions in the US referenced to the Secured Overnight Financing Rate (SOFR) and other selected alternative ris-free rates (RFRs)

To read the full report click here...

• On a monthly basis, cleared notional in Sterling Overnight Index Average (SONIA) swaps is now higher than that for sterling London Inter-bank Offered Rate (LIBOR).
• The best and smoothest transition from LIBOR will be one in which contracts that reference LIBOR are replaced or amended before fallback provisions are triggered.
• Market participants should not rely on the availability of an option to use Libor for legacy contracts.

Read the entire speech here...

On 10th December 2018, the International Swaps and Derivatives Association, Inc. (ISDA) published the ISDA 2018 Benchmarks Supplement Protocol, intended to help market participants incorporate the ISDA Benchmarks Supplement into their interest rate, FX, equity and commodity derivatives transactions.

Click here to read the protocol

On 7th December 2018, the Alternative Reference Rates Committee issued consultations on draft fallback language for bilateral business loans and securitizations that reference the U.S. dollar London Interbank Offer Rate. With Libor’s future beyond 2021 uncertain, the ARRC — a group of private-sector market participants and public agencies convened by the Federal Reserve — is developing plans to facilitate the transition to its recommended alternative rate, the Secured Overnight Financing Rate.

The Working Group on Sterling Risk-Free Reference Rates (RFRWG) issued a consultation on forward-looking Term Sonia Reference Rates (TSRR) on 17 July 2018. The consultation ran until 26 October 2018 and attracted 45 responses from a wide variety of market participants.

To view the entire results, click here

The International Swaps and Derivatives Association, Inc. (ISDA) has today published a statement summarizing the preliminary results of a consultation on technical issues related to new benchmark fallbacks for derivatives contracts that reference certain interbank offered rates (IBORs).

View the result. 

The document, published by FSB, reports on progress made in implementing the recommendations of the Financial Stability Board (FSB) report Reforming Major Interest Rate Benchmarks (the 2014 Report), as well as in an additional stream of work launched by the FSB in 2016 to improve contractual robustness to the risk of major interest rate benchmarks’ discontinuation. In the 2014 Report, the FSB set out a series of recommendations for strengthening existing benchmarks for key interbank offered rates (IBORs) in the unsecured lending markets, and for promoting the development and adoption of alternative nearly risk-free reference rates (RFRs) where appropriate.To read more, click here

Brussels, 17 October 2018 – Today the European Money Markets Institute – EMMI announced the publication of the Second Stakeholder Consultation on the hybrid methodology for Euribor. This Second Consultation is part of EMMI’s commitment to deliver a reformed and robust methodology for Euribor, which aims to meet regulatory and stakeholder expectations in a timely manner.

To view the entire publication, click here

ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London

Read the remarks here. 

The Alternative Reference Rates Committee (ARRC) released consultations on U.S. dollar (USD) LIBOR fallback contract language for floating rate notes and syndicated business loans for public feedback. These consultations outline draft language for new contracts that reference LIBOR so as to ensure these contracts will continue to be effective in the event that LIBOR is no longer usable. Feedback should be submitted no later than November 8, 2018.

To read more, click here

On Wednesday 19 September the Financial Conduct Authority (FCA) and Prudential Regulation Authority (PRA) wrote to CEOs of major banks and insurers supervised in the UK asking for the preparations and actions they are taking to manage the transition from LIBOR to alternative interest rate benchmarks.

Read the complete letter here

The second fallbacks consultation webinar and updated FAQs have now been posted on ISDA.org.

In July, ISDA launched a market-wide consultation on technical issues related to new benchmark fallbacks for derivatives contracts that reference certain interbank offered rates (IBORs).

To view the second webinar click here...

The first public consultation by the WG on euro risk-free rates on the assessment of candidate euro risk-free rates closed on Friday, 13 July 2018. The consultation drew considerable interest from the financial sector. 66 market participants -41 of which are from the banking sector - submitted responses or comments in relation to the consultation document.

Click here to see the full results

The International Swaps and Derivatives Association, Inc. (ISDA) has launched a market-wide consultation on technical issues related to new benchmark fallbacks for derivatives contracts that reference certain interbank offered rates (IBORs). The consultation sets out options for adjustments that would apply to the fallback rate in the event an IBOR is permanently discontinued.

To view the consultation, click here...

A speech delivered by Andrew Bailey, FCA, on the 12th July 2018 covering:

• Why firms need to end their reliance on LIBOR by end-2021.
• Why overnight risk-free rates (RFRs) are the right foundation for interest rate markets.
• The progress made on transition to these overnight risk-free rates and the work that remains to be done.

To read the speech in its entirety, click here.

Interbank offered rates (IBORs) play a central role in financial markets, and act as reference rates to hundreds of trillions of dollars in notional amount of derivatives and trillions of dollars in bonds, loans, securitizations and deposits. The dependence on IBORs by all sectors of the financial markets is changing, however.To read the full post, click here...