Latest News
21-Jan-2020 - Interest Rate Benchmarks Review: Full Year 2019 and the Fourth Quarter of 2019
A new research paper has been posted on ISDA.org analyzing the trading volumes of IRD transactions in the US referencing SOFR and other selected alternative RFRs.
A link to the research paper can be found here...
16-Jan-2020 - Next steps for LIBOR transition in 2020: the time to act is now
The Bank of England (the Bank), Financial Conduct Authority (FCA) and the Working Group on Sterling Risk-Free Reference Rates (RFRWG) have published a set of documents today, outlining priorities and milestones for 2020 on LIBOR transition.
Read the publication here...
18-Dec-2019 - FSB report sets out need to reduce risks to financial stability from LIBOR transition
The Financial Stability Board (FSB) today published its annual progress report on implementation of recommendations to reform major interest rate benchmarks. The report emphasises that the continued reliance of global financial markets on LIBOR poses risks to financial stability and it calls for significant and sustained efforts by the official sector and by financial and non-financial firms across many jurisdictions to transition away from LIBOR by end-2021.
To read the full report click here...
18-Dec-2019 - Minutes of the Working Group on Sterling Risk-Free Reference Rates - November 2019
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.
Click here to read the minutes.
18-Dec-2019 - ISDA launches Consultation on Fallbacks for Euro LIBOR and EURIBOR
ISDA launched a supplemental consultation on the spread and term adjustments that would apply to fallbacks for derivatives referencing euro LIBOR and EURIBOR in the event those benchmarks are permanently discontinued.
Read the Press Release here
22-Nov-2019 - Minutes of the Working Group on Sterling Risk-Free Reference Rates - September 2019
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.
Click here to read the minutes.
21-Nov-2019 - FCA Conduct risk during LIBOR transition
Questions and answers for firms about conduct risk during LIBOR transition.
15-Nov-2019 - ISDA Publishes Results of Consultation on Final Parameters for Benchmark Fallback Adjustments
ISDA has published a report that summarizes responses to a consultation on the final parameters of adjustments that will apply to derivatives fallbacks for certain interbank offered rates (IBORs).
Read the press release here...
4 Nov 2019 - ARRC Welcomes Release of Proposed Publication of SOFR Averages and a SOFR Index
The Alternative Reference Rates Committee (ARRC) welcomed a consultation about the publication of Secured Overnight Financing Rate (SOFR) averages and a SOFR index, which was issued this morning by the Federal Reserve Bank of New York, in cooperation with the Treasury Department’s Office of Financial Research. SOFR is published by the New York Fed and it is the ARRC’s recommended alternative to U.S. dollar (USD) LIBOR.
21-Oct-2019 ISDA Publishes Report Summarizing Results of Benchmark Fallbacks Consultation on Pre-cessation Issues
ISDA recently published a report that summarizes responses to a consultation on pre-cessation issues for LIBOR and certain other interbank offered rates (IBORs).
This took place between May and July, and sought comment on how derivatives contracts should address a regulatory announcement that LIBOR or certain other IBORs categorized as critical benchmarks under the EU Benchmarks Regulation are no longer representative of an underlying market.
30-Sept-19 - BoE comments on Libor Transition
With Libor expected to be discontinued after end-2021, the use of alternative interest rate benchmarks is steadily increasing. But use of Libor remains widespread, and this poses risks to market stability.
30-July- 2019 - ISDA Publishes Preliminary Results of Supplemental Benchmark Fallbacks Consultation
NEW YORK, July 30, 2019 – The International Swaps and Derivatives Association, Inc. (ISDA) has today published a statement summarizing the preliminary results of a supplemental consultation on adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued.
15 July 2019 - 901 Days: Speech by John C. Williams, President and CEO NY Fed
John C. Willams delivered a speech at the Securities Industry and Financial Markets Association on the 15th July 2019 expressing his views on the LIBOR transition.
3 July 2019 - ECB Dear CEO letter: Banks' preparation with regard to interest rate benchmark reforms and the use of risk-free rates
June-2019 - Feedback on the Dear CEO letter on LIBOR Reform
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.
17-May-2019 - Minutes of the Working Group on Sterling Risk-Free Reference Rates - March 2019
16-May-2019 - ISDA Publishes two Consultations on Benchmark Fallbacks
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...
25-April-2019 - ARRC Releases Recommended Fallback Language for FRNs and Syndicated Loans
The Alternative Reference Rates Committee (ARRC) today released recommended contractual fallback language for U.S. dollar LIBOR denominated floating rate notes and syndicated loans.
11 April 19 - ISDA Letter to the FSB OSSG - Update on Fallbacks for Derivatives
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.
10 April 2019 - Randal K Quarles: Progress on the transition to risk-free rates
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.
March 19 - The Sterling RFR Working Group has published a discussion paper on Conventions for Referencing SONIA in New Contracts
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...
26-Mar-2019 - Minutes of the Working Group on Sterling Risk-Free Reference Rates - February 2019
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...
15-March-2019 - FSB letter to ISDA regarding derivative contract robustness to risks of interest rate benchmark discontinuation
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...
26-Feb-2019 - New York Fed Officer urges firms to prepare for LIBOR Transition
Michael Held, Executive VP and General Counsel at the New York Fed remarks at SIFMA C&L Society
25-Feb-2019 - European Commission agrees two-year break on EU benchmarks law
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
Feb-2019 - ECB - Feedback on the report on the transition from EONIA to ESTER by the working group on euro risk-free rates
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...
21-Feb-2019 - FCA Speech, Ending reliance on LIBOR
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...
12-Feb-2019 - Minutes of the Working Group on Sterling Risk-Free Reference Rates - December 2018
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...
12-Feb-2019 EMMI Published the stakeholder feedback summary on the second consultation paper on a hybrid methodology for EURIBOR
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.
29-Jan-2019 - Interest Rate Benchmarks Review: Full Year 2018 and the Fourth Quarter of 2018
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...
28-Jan-2019 Speech by Edwin Schooling Latter, Director of Markets and Wholesale Policy at the FCA, delivered at the International Swaps and Derivatives Association (ISDA) Annual Legal Forum.
- 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.
10-Dec-2018 - ISDA Publishes 2018 Benchmarks Supplement Protocol
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.
7-Dec-2018 - Draft Libor Transition Language Released for Business Loans, Securitizations
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.
Nov-2018 - Consultation on Term SONIA Reference Rates – Summary of Responses
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
27-Nov-2018 ISDA Published Preliminary Results of Benchmark Consultation
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).
14-Nov-2018 - FSB Reforming major interest rate benchmarks
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
17-Oct-18 - Second Stakeholder Consultation on Hybrid Methodology for Euribor
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
26-Sep-2018 - ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference
ISDA CEO Scott O’Malia Opening Remarks at ISDA Europe Conference, London
24-Sept-18 - ARRC Releases Consultations on Fallback Contract Language for Floating Rate Notes and Syndicated Business Loans
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.
19-Sep-2018 - Bank of England/ FCA Letter to CEO
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.
17-Sept-2018: ISDA IBOR Fallbacks: Consultation on Certain Aspects of Fallbacks for Derivatives
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).
August 2018 - European Central Bank - First Public consultation by the Working Group on euro risk-free rates
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.
12-Jul-2018 - ISDA Fallback consultation
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...
12-Jul-2018 - FCA Interest rate benchmark reform - Andrew Bailey Speech
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.
25-June-2018 - ISDA - IBOR Global Benchmark Transition Report
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...
27 Jul 2017 - FCA - The future of LIBOR
- Andrew Bailey examines important questions about the future of LIBOR.
- While significant improvements have been made to LIBOR since April 2013, the absence of active underlying markets raises a serious question about the sustainability of the LIBOR benchmarks that are based upon these markets.
- Panel bank support to sustain LIBOR until end-2021 will enable a transition that can be planned and executed smoothly.
- Work must begin in earnest on planning the transition to alternative reference rates that are based firmly on transactions.