Overview
A new era has begun! The final publication of a representative LIBOR occurred on June 30, 2023; the cessation date for US Dollar LIBOR tenors. We will continue to keep our eye on developments with continuing global transition away from interbank offered rates, as well as with respect to synthetic LIBORs.
In 2017, in response to the decline in eligible term borrowing transactions underlying the London Interbank Offered Rate (LIBOR) and with little prospect of these markets becoming substantially more active in the near future, the UK Financial Conduct Authority announced that it no longer would compel panel banks to quote LIBOR after December 31, 2021.
On March 5, 2021, ICE Benchmark Administration (IBA), the administrator of LIBOR, announced its intent to cease publication of all GBP, EUR, CHF, and JPY LIBOR settings, and the 1-week and 2-month USD LIBOR settings, following publication on December 31, 2021, and the overnight and 1-, 3-, 6-, and 12-month USD LIBOR setting following publication on June 30, 2023, subject to the UK Financial Conduct Authority (FCA) exercising its proposed new powers to compel continuing production of the rates on a synthetic basis. Although the March 5 announcements triggered the implementation of most recommended forms of LIBOR fallback language, the immediate effect was to set the fixed fallback rate spread adjustments and, depending on contractual language, trigger a notice obligation on the part of credit providers. The move to applicable fallback rates did not occur until relevant LIBOR publication ceased and became nonrepresentative.
Also on March 5, 2021, FCA announced that it did not intend to exercise such powers with respect to EUR and CHF LIBOR, but would consult on compelling a synthetic GBP and JPY LIBOR for 1-, 3-, and 6-month settings. Subsequently it also consulted on compelling publication of a synthetic USD LIBOR. FCA announced its decision to publish synthetic versions of JPY, GBP, and USD LIBOR. As of June 30, 2023, synthetic versions of GBP and USD continue to be published. 1-, 3-, and 6-month settings of USD LIBOR will be published through September 2024, and the 3-month setting of GBP LIBOR will be published through March 2024. FCA has been clear that these synthetic rates are not representative of their underlying markets. The purpose of the synthetic rates is to support an orderly runoff of difficult-to-amend (or “tough”) legacy contracts.
The transition from LIBOR to alternative benchmark interest reference rates is proving to be one of the most fundamental changes to the financial services industry in recent times. LIBOR is used in more than $300 trillion of mortgages, commercial loans, bonds and derivatives, with interest rate derivatives accounting for nearly 90 percent of the outstanding gross notional value of financial products that reference LIBOR.
Applicable regulators continue to emphasize safety and soundness concerns with interbank offered, and other credit sensitive, rates. Market participants have ample resources to transition to new risk-free rates, and this page serves as a repository of many of those resources.The problem of IBOR transition is global and complex, involving regulators and trade organizations across dozens of countries and currencies.
Through our global presence, deep knowledge of the affected markets and products, participation in many trade and industry groups and considerable experience in using a variety of technology solutions (including artificial intelligence and other technology-assisted review tools), Mayer Brown is uniquely positioned to advise financial institutions and other affected market participants as they continue to navigate this complex problem. Our IBOR Transition Task Force, composed of over 90 lawyers globally, is perhaps the best reflection of our strength and depth.
We have created a number of resources providing comprehensive information on the background of LIBOR and other IBORs, the latest market developments and our thought leadership, including:
- Eye on IBOR Transition Blog: Concise and current updates from our global, cross-practice IBOR experts, in a bite size format, of continuing regulatory and legislative announcements, trade group tools, and the status of market transition.
- IBOR Transition Digest: A compendium of global regulatory and market news as well as insights on the complex issues confronting financial market participants as they plan to transition from LIBOR and its variants to replacement benchmark interest rates.
- IBOR Transition Webinar Series: Detailed discussion and insight—in a digestible format— on a range of topics from setting and executing an effective IBOR Transition strategy to assessing the impact of IBOR issues on specific financial products.
We highlight these resources and our extensive experience in this short video.
Benchmark Transition Event Announcements
Alternative RFR Rate and Index Publication
Notable Recent Events
Recommended terms for Term CORRA to CORRA basis swaps (Canadian Alternative Reference Rate Working Group, 13 December 2023)
CDOR Transition FAQs (Canadian Alternative Reference Rate Working Group, 13 December 2023)
Minutes of the 13 November Working Group Meeting (Working Group on Euro Risk-Free Rates, 12 December 2023)
Final Statement (Working Group on Euro Risk-Free Rates, 4 December 2023)
ISDA-Clarus RFR Adoption Indicator – November 2023 (International Swaps and Derivatives Association)
ARRC Releases Final Reflections and Announces its Conclusion Following a Successful Transition (Alternative Reference Rates Committee, 30 November 2023)
ARRC Closing Report: Final Reflections on the Transition from LIBOR (Alternative Reference Rates Committee, 30 November 2023)
CARR amends recommended fallback for CDOR NHA MBS, and publishes a guide for Canadian companies transitioning from CDOR (Canadian Alternative Reference Rate Working Group, 30 November 2023)
CARR amends the Recommended Fallback for CDOR NHA MBS (Canadian Alternative Reference Rate Working Group, 30 November 2023)
Guide for Canadian companies transitioning from CDOR (Canadian Alternative Reference Rate Working Group, 30 November 2023)
Future Cessation Guidance - 2021 ISDA Interest Rate Derivatives Definitions, 2006 ISDA Definitions and 2018 ISDA Benchmarks Supplement Future Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (International Swaps and Derivatives Association, 20 November 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 20 November 2023)
Comparative Table of Available Term €STR Rates (Working Group on Euro Risk-Free Rates, 20 November 2023)
CARR publishes recommended conventions for Term CORRA swaps (Canadian Alternative Reference Rate Working Group, 16 November 2023)
Index Announcement - Future Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (Bloomberg Professional Services, 15 November 2023)
Recommended terms for fixed rate-to-Term CORRA interest rate swaps (Canadian Alternative Reference Rate Working Group, 10 November 2023)
ARRC November 8 Meeting Readout (Alternative Reference Rates Committee, 8 November 2023)
ISDA-Clarus RFR Adoption Indicator – October 2023 (International Swaps and Derivatives Association)
OSFI update on Canadian Dollar Offered Rate transition (Office of the Superintendent of Financial Institutions, 24 October 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 23 October 2023)
CFIF recommends path for winding down BA market (Bank of Canada, 16 October 2023)
ISDA-Clarus RFR Adoption Indicator – September 2023 (International Swaps and Derivatives Association)
Summary of Results of the Fifth Survey on the Use of LIBOR (Bank of Japan, 29 September 2023)
ARRC September 26 Meeting Readout (Alternative Reference Rates Committee, 26 September 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 25 September 2023)
LIBOR Transition: One (Two?) Last Hurrah(s) (Loan Syndications & Trading Association, 13 September 2023)
Consultation on the Proposed Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (Bloomberg Professional Services, 13 September 2023)
Update from the BA Transition Virtual Network (Canadian Fixed-Income Forum, 13 September 2023)
Calculation Methodology for SIBOR to SORA Adjustment Spread (Retail) – Spot-Spread (Steering Committee for the SOR & SIBOR Transition to SORA, 4 September 2023)
ISDA-Clarus RFR Adoption Indicator – August 2023 (International Swaps and Derivatives Association)
CARR finalizes the allowed uses for Term CORRA (Canadian Alternative Reference Rate Working Group, 29 August 2023)
CARR’s allowable use cases for Term CORRA - Finalized (Canadian Alternative Reference Rate Working Group, 29 August 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 28 August 2023)
Historical Information
Principles for Financial Benchmarks (IOSCO, July 2013)
Reforming Major Interest Rate Benchmarks (FSB, 22 July 2014)
EU Benchmarks Regulation (22 April 2016; came into full effect 1 January 2018)
Remarks re Future of LIBOR - UK FCA CEO Andrew Bailey (27 July 2017)
IBOR Global Benchmark Transition Roadmap (ISDA, AFME, ICMA and SIFMA, 1 February 2018)
Remarks re Status of Interest Rate Benchmark Reform - UK FCA CEO Andrew Bailey (12 July 2018)
EU Benchmarks Regulation (Regulation (EU) 2016/1011) (European Parliament, 8 June 2016 and revised through 12 February 2021)
UK Benchmarks Regulation (as modified by The Benchmarks (Amendment) (EU Exit) Regulations 2018)
Financial Services Act 2021 (UK Parliament, 29 April 2021)
HR 2471 – Consolidated Appropriations Act, 2022 - See Division U (Adjustable Interest Rate (LIBOR) Act) pp 777-786 (U.S. House of Representatives (enacted 9 March); U.S. Senate (enacted 10 March); signed into law on 15 March 2022)
Regulations Implementing the Adjustable Interest Rate (LIBOR) Act (Board of Governors of the Federal Reserve System (adopted 16 December 2022); published in the Federal Register 26 January 2023)
Benchmark Transition Event Announcements
ICE Benchmark Administration Publishes Feedback Statement for the Consultation on Its Intention to Cease the Publication of LIBOR Settings (ICE Benchmark Administration, 5 March 2021)
ICE LIBOR Feedback Statement on Consultation on Potential Cessation (ICE Benchmark Administration, 5 March 2021)
FCA Statement on future cessation and loss of representativeness of the LIBOR benchmarks (Financial Conduct Authority, 5 March 2021)
Announcements on the end of LIBOR (Bank of England, 5 March 2021)
ISDA Statement on the UK FCA LIBOR Announcement (ISDA, 5 March 2021)
Future Cessation and Non-Representativeness Guidance (ISDA, 5 March 2021 and updated 8 March 2021)
IBOR Fallbacks: Technical Notice – Spread Fixing Event for LIBOR (Bloomberg, 5 March 2021)
ARRC Commends Decisions Outlining the Definitive Endgame for LIBOR (ARRC, 5 March 2021)
LIBOR Cessation Dates Officially Announced (Structured Finance Association, 5 March 2021)
ARRC confirms a "Benchmark Transition Event" has occurred under ARRC fallback language (ARRC, 8 March 2021)
Response to the announcement on the end date of LIBOR panel publication and the announcement on the intention to consult on the publication of synthetic yen LIBOR (BOJ, 8 March 2021)
Statement of Policy on the FCA’s power under Article 21A BMR (FCA, 29 September 2021)
Statement of Policy on the FCA’s power under Article 23C BMR (FCA, 29 September 2021)
Notice of First Decision – Article 21(3) Benchmarks Regulation (FCA, 29 September 2021)
Notice of Designation – Article 23A Benchmarks Regulation (FCA, 29 September 2021)
Commission Implementing Regulation (EU) 2021/1847 on the designation of a statutory replacement for certain settings of CHF LIBOR (European Commission, 14 October 2021)
Commission Implementing Regulation (EU) 2021/1848 on the designation of a replacement for the benchmark Euro overnight index average (European Commission, 21 October 2021)
Benchmarks Regulation and amendments under the Financial Services Act 2021 (FCA, December 2021)
Article 23B Benchmarks Regulation – Notice Specifying the Effective Date of the Prohibition on Use of Article 23A Benchmark (Financial Conduct Authority, 10 December 2021)
Article 23C Benchmarks Regulation - Final Notice of Permitted Legacy Use by Supervised Entities (Financial Conduct Authority, 1 January 2022)
Article 21A Benchmarks Regulation - Notice of Prohibition on New Use of a Critical Benchmark (Financial Conduct Authority, 1 January 2022)
Article 23D Benchmarks Regulation - Final Notice of Requirements (Financial Conduct Authority, 1 January 2022)
Annex 4 Benchmarks Regulation - Notice of Modifications (Financial Conduct Authority, 1 January 2022)
Annex 4 Benchmarks Regulation - Additional Notice of Modifications (Financial Conduct Authority, 1 January 2022)
Announcement of Cessation of Canadian Dollar Offered Rate (CDOR) in June 2024 (Refinitiv Benchmark Services (UK) Limited, 16 May 2022)
Authorization Notice: the Canadian Dollar Offered Rate and Refinitiv Benchmark Services (UK) Limited (Ontario Securities Commission, 16 May 2022)
ISDA Statement on RBSL CDOR Announcement (International Swaps and Derivatives Associate, 16 May 2022)
ARTICLE 23A BENCHMARKS REGULATION – Notice of Designation (FCA, 3 April 2023)
ARTICLE 23C BENCHMARKS REGULATION – Draft Notice of Permitted Legacy Use By Supervised Entities (FCA, 3 April 2023)
ARTICLE 23D BENCHMARKS REGULATION – Draft Notice of Requirements (FCA, 3 April 2023)
ARTICLE 21(3) BENCHMARKS REGULATION – Notice of First Decision (FCA, 3 April 2023)
ARTICLE 23B BENCHMARKS REGULATION – Notice Specifying the Effective Date of the Prohibition on Use of Article 23A Benchmark (Financial Conduct Authority, 31 May 2023)
ANNEX 4 BENCHMARKS REGULATION – Notice of Proposed Modifications (Financial Conduct Authority, 31 May 2023)
ARTICLE 23D BENCHMARKS REGULATION – Notice of Requirements (Financial Conduct Authority, 1 July 2023)
ARTICLE 23C BENCHMARKS REGULATION – Notice of Permitted Legacy Use by Supervised Entities (Financial Conduct Authority, 1 July 2023)
ANNEX 4 BENCHMARKS REGULATION – Notice of Modifications (Financial Conduct Authority, 1 July 2023)
ANNEX 4 BENCHMARKS REGULATION – Additional Notice of Proposed Modifications (Financial Conduct Authority, 1 July 2023)
Alternative RFR Rate and Index Publication
SOFR Averages and Index Data (NY Fed)
Term SOFR Reference Rates (CME)
Ameribor Rate and Index Quotes (Ameribor)
ICE Bank Yield Index Quotes (ICE Benchmark Administration)
Bloomberg Short-Term Bank Yield Index (BSBY) Quotes (Bloomberg)
USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS) Chart and Data (IHS Markit)
SONIA Rates and Index Quotes (Bank of England)
Compounded €STR Average Rates and Compounded €STR Index Data (European Central Bank)
SARON Compound Indices and Rates (Swiss Infrastructure and eXchange)
Tokyo Term Risk Free Rate (TORF) Quotes (QUICK Benchmarks)
SORA Rate Quotes (Monetary Authority of Singapore)
Realised AONIA Quotes (Reserve Bank of Australia)
United States
Principal Regulatory Authorities, Committees, and Trade Organizations
The Alternative Reference Rates Committee (ARRC)
Federal Reserve Bank of New York (NY Fed)
Loan Syndications & Trading Association (LSTA)
Secured Overnight Financing Rate (SOFR)
Other USD Replacement Rate Options
Bloomberg Short-Term Bank Yield Index (BSBY)
IHS Markit Credit Inclusive Term Rate and Credit Inclusive Term Spread
Across-the-Curve Credit Spread Index (AXI) and Financial Conditions Credit Spread Index (FXI)
ARRC Consultations and Recommendations
Syndicated Loans Consultation (24 September 2018)
Syndicated Loans Final Recommended Fallback Language (25 April 2019)
ARRC Updated Recommendations Regarding More Robust Fallback Language for New Originations of LIBOR Syndicated Loans (30 June 2020)
ARRC Supplemental Recommendations of Hardwired Fallback Language for LIBOR Syndicated and Bilateral Business Loans (ARRC, 25 March 2021)
Floating Rate Notes Consultation (24 September 2018)
Floating Rate Notes Final Recommended Fallback Language (25 April 2019)
Securitizations Consultation (7 December 2018)
Securitizations Final Recommended Fallback Language (31 May 2019)
Bilateral Business Loans Consultation (7 December 2018)
Bilateral Business Loans Final Recommended Fallback Language (30 May 2019)
ARRC Updated Recommendations Regarding More Robust Fallback Language for New Originations of LIBOR Bilateral Business Loans (ARRC, 27 August 2020)
ARRC Supplemental Recommendations of Hardwired Fallback Language for LIBOR Syndicated and Bilateral Business Loans (ARRC, 25 March 2021)
Residential Adjustable Rate Mortgages Consultation (12 July 2019)
Residential Adjustable Rate Mortgages Final Recommended Fallback Language (15 November 2019)
Recommendations for Interdealer Cross-Currency Swap Market Conventions (24 January 2020)
Spread Adjustment Methodologies Consultation for USD Cash Products Fallbacks (21 January 2020)
Recommendation of a Spread Adjustment Methodology for Cash Products (ARRC, 8 April 2020)
Summary of Feedback Received in the ARRC Spread-Adjustment Consultation and Follow-Up Consultation on Technical Details (ARRC, 6 May 2020)
ARRC Announces Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products (ARRC, 30 June 2020)
Swaptions CCP Discounting SOFR Transition Consultation (7 February 2020)
Recommendations for Swaptions Impacted by the CCP Discounting Transition to SOFR (ARRC, 14 May 2020)
Amended Recommendations for Swaptions Impacted by the CCP Discounting Transition to SOFR (ARRC, 11 September 2020)
Variable Rate Private Student Loans LIBOR Fallback Consultation (ARRC, 27 March 2020) - comment period further extended on 1 June from 29 May to 15 June
ARRC Consultation Regarding More Robust LIBOR Fallback Contract Language for New Variable Rate Private Student Loans (30 June 2020)
RFP for Vendor to Publish ARRC-Recommended LIBOR Fallback Spread Adjustments and Spread-Adjusted Rates (ARRC, 2 September 2020)
ARRC Announces Refinitiv as Publisher of its Spread Adjustment Rates for Cash Products (ARRC, 17 March 2021)
RFP for Vendor to Publish Forward-Looking SOFR Term Rates (ARRC, 10 September 2020)
ARRC Releases Update on its RFP Process for Selecting a Forward-Looking SOFR Term Rate Administrator (ARRC, 21 May 2021)
Cleared Swaps Considerations for IBOR Fallbacks and Conversion Proposal (CME, 14 January 2021)
Consultation on the Proposed Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (Bloomberg Professional Services, 13 September 2023)
Other ARRC Resources
Paced Transition Plan for Developing SOFR Markets (October 2017)
Transition from LIBOR Timeline Progress (30 January 2019)
User’s Guide to SOFR (22 April 2019)
2019 Incremental Objectives to Paced Transition Plan (June 2019)
SOFR Floating Rate Note Conventions Matrix (1 August 2019)
Practical Implementation Checklist for SOFR Adoption (19 September 2019)
Summary of ARRC’s LIBOR Fallback Language Recommendations (15 November 2019)
Appendix to SOFR FRN Conventions Matrix (21 November 2019)
Buy-Side/Asset Owner Checklist for SOFR Adoption (31 January 2020)
2020 Objectives, Priorities, and Milestones (17 April 2020)
Statement on the Use of the SOFR Index in FRNs (6 May 2020)
Results of Vendor Survey to Assess SOFR Transition Readiness (7 May 2020)
Recommended Best Practices for Vendors on Completing the Transition from LIBOR (7 May 2020)
The Case for Industrywide Use of SOFR (American Banker, 11 May 2020)
Transition from U.S. Dollar LIBOR – Updated Timeline (ARRC, 27 May 2020)
Fact Sheet: Best Practices for Completing Transition from LIBOR (ARRC, 27 May 2020)
Options for Using SOFR in Student Loan Products (ARRC, 24 June 2020)
Internal Systems and Processes: Transition Aid for SOFR Adoption – key preparation actions (ARRC, 8 July 2020)
ARRC’s SOFR Summer Series Event Page - Providing Key Information on the Transition to SOFR (10 July 2020 and updated periodically)
How Correlated is LIBOR with Bank Funding Costs? (FRB, 29 June 2020)
SOFR “In Arrears” Conventions for Syndicated Business Loans (ARRC 22 July 2020)
SOFR Starter Kit Part I - Background on USD LIBOR (ARRC, 7 August 2020)
SOFR Starter Kit Part II - How SOFR Works (ARRC, 7 August 2020)
SOFR Starter Kit Part III - SOFR Best Practices (ARRC, 7 August 2020)
LIBOR-Based Private Student Loan Transition Resource Guide (ARRC, 18 August 2020)
LIBOR ARM Transition Resource Guide (ARRC, 18 August 2020)
Transition from LIBOR: Credit Sensitivity Group Workshops – FRBNY page with overview of program and agenda, minutes, and presentations from each workshop (created 25 February 2020; Workshop 1, 4 June 2002; Workshop 2, 22 July 2020; Workshop 3, 12 August 2020; Workshop 4, 27 August 2020; Additional Working Session (AWS) 1, 18 November 2020; AWS 2, 14 January 2021)
Technical Reference Appendix to Syndicated Loan Conventions (ARRC, 27 August 2020)
Updated ARRC Recommended Best Practices for Completing the Transition from LIBOR (ARRC, 27 May 2020 and updated 19 August 2020 to address ISDA Fallback Protocol and 3 September 2020 to address refreshed fallback language recommendations)
Updated Best Practices Fact Sheet (ARRC, 3 September 2020)
Frequently Asked Questions Regarding the RFP for the Administration of Recommended Spread Adjustments and Spread-Adjusted SOFR Rates to Facilitate Contractual Fallbacks (ARRC, 9 October 2020)
Updated Frequently Asked Questions (2 June 2020, 16 July 2020, and 15 October 2020)
Frequently Asked Questions Regarding the ARRC’s Request for Proposals for the Publication of Forward-Looking Term SOFR Rates (ARRC, 7 October 2020, and updated 14 October and 29 October 2020)
FAQs for Business Loans Hardwired Fallback Language (ARRC, 25 November 2020)
SOFR “In Arrears” Conventions for Use in Bilateral Business Loans (ARRC, 25 November 2020)
Guide on the Endgame for USD LIBOR (ARRC, 4 December 2020)
Further Updated Frequently Asked Questions (ARRC, 18 December 2020)
Recommendation for SOFR-Based Intercompany Loans Issued by Nonfinancial Corporations (ARRC, 29 January 2021)
An Updated User’s Guide to SOFR (ARRC, 1 March 2021)
ARRC FAQs Regarding the Occurrence of a Benchmark Transition Event (ARRC, 8 March 2021)
ARRC announces "The SOFR Symposium: The Final Year" (ARRC, 11 March 2021)
Update on Enterprise Transition from LIBOR to an Alternative Index for Single-Family ARMs (Federal Housing Finance Agency, 17 March 2021)
Progress Report: The Transition from U.S. Dollar LIBOR (ARRC, 22 March 2021, and updated 31 March 2021)
The SOFR Symposium: The Final Year (ARRC, Session 1 – 22 March; Session 2 – 11 May; Session 3 – 8 June 2021) – links to agenda, recordings and presentation materials
ARRC Provides Update on Forward-Looking SOFR Term Rate - Market Participants Encouraged to Transition without Reliance on SOFR Term Rate (ARRC, 23 March 2021)
White Paper on Suggested Fallback Formula for the USD LIBOR ICE Swap Rate (ARRC, 24 March 2021)
ARRC Welcomes Passage of LIBOR Legislation by the New York State Legislature (ARRC, 24 March 2021)
ARRC Releases Supplemental Recommendation of Hardwired Fallback Language for Business Loans (ARRC, 25 March 2021)
Options for Using SOFR in New ABS, MBS, and CMBS Products (ARRC, 29 March 2021)
Key Principles to Guide the ARRC as it Considers the Conditions it Believes are Necessary to Recommend a Forward-Looking SOFR Term Rate (ARRC, 20 April 2021)
Frequently Asked Questions (ARRC, 27 April 2021)
ARRC Announces the Second Event in its Series “The SOFR Symposium: The Final Year” (ARRC, 28 April 2021)
Market Indicators that Would Support an ARRC Recommendation of a Forward-Looking SOFR Term Rate (ARRC, 6 May 2021)
Guide to Published SOFR Averages (ARRC, 11 May 2021)
ARRC Announces the Third Event in its Series "The SOFR Symposium: The Final Year" (ARRC, 27 May 2021)
ARRC Recommends Loan Conventions and Best Practices for Use of Forward-Looking SOFR Term Rate to Accelerate the Transition Away from LIBOR (Alternative Reference Rates Committee, 21 July 2021)
Forward Looking Term SOFR and SOFR Averages (Applied in Advance) Conventions for Syndicated and Bilateral Business Loans (Alternative Reference Rates Committee, 21 July 2021)
ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate (Alternative Reference Rates Committee, 21 July 2021)
Factsheet - ARRC Formally Recommends a Forward-Looking SOFR Term Rate (ARRC, 29 July 2021)
Frequently Asked Questions on Best Practice Recommendations Related to Scope of Use of the Term Rate (Alternative Reference Rates Committee, 27 August 2021)
Updated Best Practice Recommendations Related to Scope of Use of the Term Rate (Alternative Reference Rates Committee, 27 August 2021)
Summary of the ARRC’s Fallback Recommendations (ARRC, 6 October 2021) - summarizing the decisions that the ARRC has made to date concerning its
recommended spread-adjusted fallbacks for contracts referencing U.S. dollar (USD) LIBOR
ARRC Recommends Acting Now to Slow USD LIBOR Use over the Next Six Weeks to be Well-Positioned to Meet Supervisory Guidance by Year-End (ARRC, 14 October 2021)
FAQs Regarding New York State LIBOR Legislation (Alternative Reference Rates Committee, 3 December 2021)
ARRC Releases LIBOR Transition Progress Report and Welcomes MRAC User Guide on Exchange-Traded Derivatives (Alternative Reference Rates Committee, 16 December 2021)
Year-End Progress Report: The Transition from U.S. Dollar LIBOR (Alternative Reference Rates Committee, 16 December 2021)
2022 Objectives (Alternative Reference Rates Committee, 17 February 2022)
ARRC Welcomes CME Group’s SOFR First for Options Announcement (Alternative Reference Rates Committee, 5 May 2022)
ARRC Provides Update Endorsing CME 12-Month SOFR Term Rate (Alternative Reference Rates Committee, 19 May 2022)
ARRC Releases Recommendations for Contracts Linked to the USD LIBOR ICE Swap Rate (Alternative Reference Rates Committee, 8 June 2022)
ARRC Recommendations for Contracts Linked to the USD LIBOR ICE Swap Rate (Alternative Reference Rates Committee, 8 June 2022)
ARRC Releases Guide to Support Transition of Legacy LIBOR Cash Products (Alternative Reference Rates Committee, 11 July 2022)
LIBOR Legacy Playbook (Alternative Reference Rates Committee, 11 July 2022)
ARRC Welcomes Statement by Refinitiv that it Intends to Publish ARRC-Recommended Fallback Rates Based on CME Term SOFR Rates in September (Alternative Reference Rates Committee, 11 July 2022)
ARRC Releases Loan Remediation Survey (Alternative Reference Rates Committee, 9 August 2022)
ARRC Releases Loan Remediation Survey Results (Alternative Reference Rates Committee, 13 October 2022)
Loan Remediation Survey Results (Alternative Reference Rates Committee, 13 October 2022)
November 9 Meeting Readout (Alternative Reference Rates Committee, 9 November 2022)
ARRC January 19 Meeting Readout (Alternative Reference Rates Committee, 19 January 2023)
Summary of Key ARRC Recommendations (Alternative Reference Rates Committee, 25 January 2023)
ARRC February 9 Meeting Readout (Alternative Reference Rates Committee, 15 February 2023)
Use of the DTCC LIBOR Replacement Index Communication Tool to Support Transition Away from USD LIBOR (Alternative Reference Rates Committee Operations and Infrastructure Working Group, 13 March 2023)
Improving Securities’ Transition Away from LIBOR: Using DTCC’s LIBOR Replacement Index Communication Tool for Documentation Changes (Alternative Reference Rates Committee, 13 March 2023)
ARRC March 9 Meeting Readout (Alternative Reference Rates Committee, 15 March 2023)
ARRC Recommended Fallbacks for Implementation of its Hardwired Fallback Language (ARRC, 15 March 2023)
ARRC April 20 Meeting Readout (ARRC, 20 April 2023)
Summary and Update of the ARRC’s Term SOFR Scope of Use Best Practice Recommendations (ARRC, 21 April 2023)
Using the DTCC LIBOR Replacement Index Communication Tool to Support the Transition Away from USD LIBOR (Alternative Reference Rates Committee, 24 May 2023) – webcast and presentation slides
ARRC May 25 Meeting Readout (Alternative Reference Rates Committee, 25 May 2023)
ARRC Statement on the Last 30 Days before U.S. Dollar LIBOR Panels End (Alternative Reference Rates Committee, 31 May 2023)
ARRC June 22 Meeting Readout (Alternative Reference Rates Committee, 22 June 2023)
ARRC July 31 Meeting Readout (Alternative Reference Rates Committee, 31 July 2023)
ARRC September 26 Meeting Readout (Alternative Reference Rates Committee, 26 September 2023)
ARRC November 8 Meeting Readout (Alternative Reference Rates Committee, 8 November 2023)
ARRC Releases Final Reflections and Announces its Conclusion Following a Successful Transition (Alternative Reference Rates Committee, 30 November 2023)
ARRC Closing Report: Final Reflections on the Transition from LIBOR (Alternative Reference Rates Committee, 30 November 2023)
Regulatory Notices and Statements
FASB Updates List of Permissible U.S. Benchmark Interest Rates for Hedge Accounting, with link to Accounting Standards Update (FASB, 25 October 2018)
Staff statement re identification and disclosure of LIBOR cessation risks and mitigation plans (SEC, 12 July 2019)
“Plain English” Disclosures for New Derivatives Referencing LIBOR and other IBORs (CFTC, 9 September 2019)
Notice of Proposed Rulemaking re margin relief for amending swaps to replace LIBOR with a replacement benchmark (OCC, FRB, FDIC, FCA, and FHFA, 17 September 2019)
Guidance on the Transition from IBORs to Other Reference Rates (IRS and Department of Treasury, 8 October 2019)
Request for Public Comment on Proposed Publication of SOFR Averages and a SOFR Index (NY Fed, 4 November 2019)
ARRC confirmation of SEC’s no-action position re preferred share fallback amendments to replace LIBOR (13 November 2019)
SOFR Discounting & Price Alignment Transition Plan for Cleared USD Interest Rate Swaps (CME, 3 December 2019)
No-Action Letters outlining the terms under which swap dealers can update the benchmark rates in swaps contracts tied to LIBOR (Commodity Futures Trading Commission, 18 December 2019)
Fannie Mae and Freddie Mac Update on LIBOR Transition – new required language and cessation of the purchase of LIBOR ARMs (FHFA, 5 February 2020)
Statement Regarding Publication of SOFR Averages and a SOFR Index Beginning March 2, 2020 (NY Fed, 12 February 2020)
Statement Introducing the SOFR Averages and Index (NY Fed, 2 March 2020)
SOFR Averages and Index Data (NY Fed, beginning 2 March 2020)
ARRC Releases a Proposal for New York State Legislation for U.S. Dollar LIBOR Contracts (ARRC, 6 March 2020)
Proposed Legislative Solution to Minimize Legal Uncertainty and Adverse Economic Impact Associated with LIBOR Transition (ARRC, 6 March 2020)
Additional Information about the Treasury Repo Reference Rates, including Data and Calculation Methodology for SOFR Averages and Index (NY Fed, 10 March 2020)
Accounting Standards Update No. 2020-04: Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting (FASB, 12 March 2020)
Expanded Recommendations re Treasury and IRS October 2019 Guidance on the Transition from IBORs to Other Reference Rates (ARRC, 24 March 2020)
Statement No. 93 – Replacement of Interbank Offered Rates (Governmental Accounting Standards Board, March 2020)
SOFR & €STR Discounting Transition Process for Cleared Swaps (CME, 20 April 2020)
LIBOR Transition – Freddie Mac to Use 30-Day Average for SOFR (Freddie Mac, 27 April 2020)
Letter from the Federal Reserve Chair Jerome Powell to Senator Tom Cotton in response to a question from a February 2020 hearing of the Senate Banking Committee (Federal Reserve Board, 28 May 2020)
Proposed Amendments to Regulation Z to Facilitate the LIBOR Transition (Consumer Financial Protection Bureau, 4 June 2020)
Fast Facts: Proposed LIBOR Transition Rule amending Regulation Z (CFPB, 4 June 2020)
ARRC letter to CFTC requesting No Action relief for IBOR discounting changes (16 June 2020)
SEC OCIE Risk Alert re Examination Initiative : LIBOR Transition Preparedness, including sample list of requests for information (18 June 2020)
Letter to the SEC on Accounting Considerations for Embedded Derivatives (ARRC, 20 April 2020 and updated June 2020)
Margin and Capital Requirements for Covered Swap Entities – Joint Final Rule permitting legacy swaps to retain legacy status without triggering margin exchange requirements (OCC/FRB/FDIC/FCA/FHFA, 25 June 2020)
Joint Statement on Managing the LIBOR Transition (Federal Financial Institutions Examination Council, 1 July 2020)
OCC Bulletin 2020-68 – LIBOR Transition: FFIEC Statement on Managing the LIBOR Transition and Guidance for Banks (Office of the Comptroller of the Currency, 1 July 2020)
Statement of Compliance of SOFR and other U.S. reference rates with the IOSCO Principles for Financial Benchmarks (FRB, 6 July 2020)
537 Days: Time Is Still Ticking – John Williams speech at BOE/FRBNY webinar (FRBNY, 13 July 2020)
ARRC letter to CFTC requesting modification of IBOR transition no-action relief in response to ARRC Issues List (20 July 2020)
FINRA Shares Practices Firms Implemented to Prepare for the LIBOR Phase-out – Regulatory Notice 20-26 (FINRA, 5 August 2020)
Letter to Membership re Adherence to ISDA Protocol (ARRC, 10 August 2020)
CFTC Provides Additional Relief to Market Participants Transitioning from LIBOR (Commodity Futures Trading Commission, 31 August 2020) – with links to all 3 Staff No-Action Letters
Letter to IRS and Treasury Requesting Guidance Regarding Financial Contract Discount Rate Transition (ARRC, 4 September 2020)
All Participant Memorandum 20-12: Ineligibility of LIBOR Products for Single-Class MBS (Government National Mortgage Association (Ginnie Mae), 21 September 2020)
Transitioning Away from LIBOR: Understanding SOFR’s Strengths and Considering the Path Forward – speech of SVP, Nathaniel Wuerffel (NY Fed, 18 September 2020)
The LIBOR Countdown Has Not Stopped - speech by EVP and General Counsel, Michael Held (NY Fed, 29 September 2020)
Business Review Letter 20-8 re DOJ enforcement intentions in connections with ISDA’s amendment of standardized documentation to account for IBOR cessation (U.S. Department of Justice, 1 October 2020)
Federal Reserve Board Supervision and Regulation Letter SR 20-22: ISDA IBOR Fallback Protocol and IBOR Fallback Supplement (Federal Reserve, 9 October 2020)
Rev Proc 2020-44 facilitating the market’s transition from IBORs to alternative reference rates (IRS, 9 October 2020)
CFTC Staff Provides Reporting Relief for Swaps Related to Upcoming DCO Auctions as Part of the Industry-Wide Initiative to Transition Away from LIBOR (CFTC, 13 October 2020) – with links to Staff Letters 20-32 and 20-33
ARRC Supports Forthcoming ISDA IBOR Fallbacks Protocol and Encourages Adherence (ARRC, 9 October 2020, and updated 22 October 2020)
Senate Bill S9070 to amend the uniform commercial code, in relation to the effect of a LIBOR discontinuance event on contracts, securities and other agreements (New York State Senate, 28 October 2020)
Memorandum to U.S. Prudential Regulators re Capital and Liquidity Regulatory Considerations in the Context of a Transition from Interbank Offered Rates to Alternative Risk-Free Rate Benchmarks (ARRC, 2 November 2020)
Statement on Reference Rates for Loans (FRB, FDIC, OCC, 6 November 2020)
Statement of Chairman Heath P. Tarbert Regarding the Transition Away from IBORs (CFTC, 24 November 2020)
Federal Reserve Board welcomes and supports release of proposal and supervisory statements that would enable clear end date for U.S. Dollar (USD) LIBOR and would promote the safety and soundness of the financial system (Federal Reserve Board, 30 November 2020)
Statement on LIBOR transition (Federal Reserve Board, Federal Deposit Insurance Corporation, and Office of the Comptroller of the Currency, 30 November 2020)
ARRC Applauds Major Milestone in Transition from U.S. Dollar LIBOR (Alternative Reference Rates Committee, 30 November 2020)
Statement on Developments Related to the LIBOR Transition (Securities Exchange Commission, 30 November 2020)
ARRC Proposal for New York State Legislation for U.S. Dollar LIBOR Contracts (ARRC, 4 December 2020)
A Resolution for 2021: No New LIBOR– speech of SVP, Nathaniel Wuerffel (SIFMA LIBOR Transition Forum, 10 December 2020)
Joint industry letter to Governor Cuomo in support of LIBOR transition legislation (ARRC/SIFMA/SFA/LSTA/ISDA/Others, 15 December 2020)
Statement on LIBOR Transition In The Municipal Securities Market (SEC Office of Municipal Securities, 8 January 2021)
FY2022 New York State Executive Budget – Part PP (Discontinuance of LIBOR) (State of New York, 19 January 2021)
LIBOR’s end game in the U.S. Requires Urgent Preparation – Opinion piece by ARRC Chair, Tom Wipf (Bloomberg, 28 January 2021)
OCC Bulletin 2021-7 - Libor Transition: Self-Assessment Tool for Banks (OCC, 10 February 2021) - superseded by OCC Bulletin 2021-46 (18 October 2021)
Supervision and Regulation Letter 21-7: Assessing Supervised Institutions' Plans to Transition Away from the Use of the LIBOR (Federal Reserve System Board, 9 March 2021)
New York State Senate Bill S297B - An act to amend the general obligations law, in relation to the discontinuance of the London interbank offered rate (passed by the NY State Legislature, 24 March 2021)
ARRC Endorses Decision to Sign New York State LIBOR Legislation into Law (Alternative Reference Rates Committee, 7 April 2021)
Discussion Draft: Adjustable Interest Rate (LIBOR) Act of 2021 (U.S. House of Representatives, 15 April 2021)
The End of LIBOR: Transitioning to an Alternative Interest Rate Calculation for Mortgages, Student Loans, Business Borrowing, and Other Financial Products – Testimony of Fed General Counsel Mark Van Der Weide before House Subcommittee on Investor Protection (15 April 2021)
LIBOR Discontinuance and Replacement Act of 2021 (Act 2021-323, Alabama Code, effective 29 April 2021)
CFTC Release Number 8394-21 - CFTC’s Interest Rate Benchmark Reform Subcommittee Recommends July 26 for Transitioning Interdealer Swap Market Trading Conventions from LIBOR to SOFR (CFTC, 8 June 2021)
“SOFR First” Transition Initiative – Frequently Asked Questions (CFTC, 8 June 2021)
ARRC Welcomes MRAC Subcommittee’s Recommended Dates for Transitioning Interdealer Swap Market Trading Conventions to SOFR (ARRC, 8 June 2021)
Remarks of Acting Chairman Rostin Behnam at The SOFR Symposium: The Final Year sponsored by the Alternative Reference Rates Committee (CFTC, 8 June 2021)
Remarks of Federal Reserve Board Vice Chair Quarles to the Financial Stability Oversight Council (Federal Reserve Board, 11 June 2021)
Remarks by Secretary of the Treasury Janet L. Yellen to the Financial Stability Oversight Council on LIBOR Transition (U.S. Department of Treasury, 11 June 2021)
Prepared Remarks of Chair Gary Gensler Before the Financial Stability Oversight Council (SEC, 11 June 2021)
Statement of Acting Chairman Rostin Behnam at the Open Session of the Meeting of the Financial Stability Oversight Council (Commodity Futures Trading Commission, 11 June 2021)
Statement by Acting Comptroller Michael Hsu at the Financial Stability Oversight Council (Office of the Comptroller of the Currency, 11 June 2021)
ARRC Welcomes and Highlights Messages from Recent FSOC Principals Meeting (ARRC, 15 June 2021)
Prepared Remarks of SEC Chair Gary Gensler at London City Week (SEC, 23 June 2021)
ARRC Welcomes FHFA Supervisory Letter on Transition Away from LIBOR (ARRC, 1 July 2021)
FHFA Supervisory Letter: Alternative Reference Rate Selection Risk Management (Federal Housing Finance Agency, 1 July 2021)
SOFR First – MRAC Subcommittee Recommendation (Commodity Futures Trading Commission, 13 July 2021)
ARRC Commends the CFTC Market Risk Advisory Committee’s Formal Adoption of a Recommendation on Transitioning Interdealer Derivatives Market Trading Conventions to SOFR (Alternative Reference Rates Committee, 13 July 2021)
Statement from CFTC Staff on Transition Away from LIBOR (Commodity Futures Trading Commission, 14 July 2021)
ARRC Endorses MRAC Recommendations for September 21 “RFR First” Move of Interdealer Cross-Currency Swap Market Trading Convention (Alternative Reference Rates Committee, 21 July 2021)
Update on Upcoming Formal Recommendation of Term SOFR – Latest Status of Formal Recommendation, Following Today’s Convention Switch of USD Linear Swap Trading from USD LIBOR to SOFR (ARRC, 26 July 2021)
Updated Draft – Adjustable Interest Rate (LIBOR) Act of 2021 (U.S. House of Representatives, 27 July 2021)
ARRC Formally Recommends Term SOFR – Announcement Completes the Toolkit that Market Participants Need to Accelerate Their Transition Away from LIBOR (ARRC, 29 July 2021)
OCC Bulletin 2021-32 – LIBOR Transition: Regulatory Capital Frequently Asked Questions (OCC, 29 July 2021)
SR 21-12 – Answers to Frequently Asked Questions on the Transition Away from the London Interbank Offered Rate (LIBOR) (Board of Governors of the Federal Reserve System, 29 July 2021)
FIL-54-2021 – Answers to Frequently Asked Questions about the Impact of London Interbank Offered Rate (LIBOR) Transitions on Regulatory Capital Instruments (FDIC, 29 July 2021)
Adjustable Interest Rate (LIBOR) Act of 2021 - as passed by House Financial Services Committee (U.S. House of Representatives, 29 July 2021)
House Passes Legislation to Advance Investor Protections, Support Manufactured Housing Committees, and Promote De Novo Depository Institutions – includes passage of the Adjustable Interest Rate (LIBOR) Act of 2021 (U.S. House Committee on Financial Services, 30 July 2021)
ARRC Welcomes Launch of Refinitiv’s USD IBOR Cash Fallbacks Prototype (Alternative Reference Rates Committee, 11 August 2021)
Prepare for Landing – speech by Fed EVP and GC, Michael Held, at the ISDA Benchmark Strategies Forum (15 September 2021)
Remarks of SEC Chair Gary Gensler Before the Alternative Reference Rates Committee’s SOFR Symposium (20 September 2021)
Letter from Federal Reserve Board to ISDA re reference to supervisory authorities in the fallback waterfall for BSBY and Ameribor (FRB, 20 September 2021) and related response from ISDA to FRB re Fallbacks for ‘Credit Sensitive Rates’ (ISDA, 23 September 2021)
Goodbye to All That: The End of LIBOR – speech by Fed Vice Chair for Supervision Randal Quarles at the Structured Finance Association Conference (5 October 2021)
LIBOR Transition: Updated Self-Assessment Tool for Banks - OCC Bulletin 2021-46 (Office of the Comptroller of the Currency, 18 October 2021) - includes guidance and link to tool
Joint Statement on Managing the LIBOR Transition (Federal Reserve/CFPB/FDIC/NCUA/OCC/SBCUR, 20 October 2021)
CFPB Joins Other Financial Regulatory Agencies in Issuing Statement on Discontinuation of LIBOR (Consumer Financial Protection Bureau, 20 October 2021)
Remarks by Acting Comptroller of the Currency Michael J. Hsu at the ARRC SOFR Symposium (Office of the Comptroller of the Currency, 26 October 2021)
Act Now, and Choose Wisely – speech of SVP Nathaniel Wuerffel at 2021 ISDA North America Conference (Federal Reserve Bank of New York, 27 October 2021)
Statement of Chairman Sherrod Brown at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (U.S. Senate, 2 November 2021)
Statement of Ranking Member Patrick Toomey at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (U.S. Senate, 2 November 2021)
Statement of Thomas Wipf at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (Alternative Reference Rates Committee, 2 November 2021)
Statement of Staff Attorney Andrew Pizor at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (National Consumer Law Center, 2 November 2021)
Statement of Former Chairman Christopher Giancarlo at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (Commodity Futures Trading Commission, 2 November 2021)
Statement of CEO Michael Bright at the U.S. Senate Committee on Banking, Housing, and Urban Affairs hearing on “The LIBOR Transition: Protecting Consumers and Investors” (Structured Finance Association, 2 November 2021)
Request for Information and Comment on Swap Clearing Requirement to Address IBOR Transition (Commodity Futures Trading Commission, 17 November 2021)
Revised Supervision and Regulation Letter SR21-12: Answers to Frequently Asked Questions on the Transition Away from London Interbank Offered Rate (LIBOR) (Board of Governors of the Federal Reserve System, 19 November 2021)
Updated LIBOR FAQs (Board of Governors of the Federal Reserve System, 19 November 2021)
Statement of the Alternative Reference Rates Committee as the “Relevant Recommending Body” under State LIBOR Legislation with respect to 1-week and 2-month USD LIBOR tenors (Alternative Reference Rates Committee, 3 December 2021)
Staff Statement on LIBOR Transition – Key Considerations for Market Participants (Securities and Exchange Commission, 7 December 2021)
H.R. 4616 Adjustable Interest Rate (LIBOR) Act of 2021 (U.S. House of Representatives, 8 December 2021)
Facilitating the LIBOR Transition (Regulation Z) (Consumer Financial Protection Bureau, 8 December 2021)
ARRC Welcomes Passage of LIBOR Transition Bill by U.S. House of Representatives (Alternative Reference Rates Committee, 9 December 2021)
HB 925: Benchmark Replacements for London Interbank Offered Rate (Florida House of Representatives, Introduced 15 December 2021)
SB 1246:Benchmark Replacements for London Interbank Offered Rate (Florida Senate, Introduced 15 December 2021)
Statements of Chair Gary Gensler at the Financial Stability Oversight Council Meeting (Securities and Exchange Commission, 17 December 2021)
CFTC Letter No. 21-26 re Revised No-Action Positions to Facilitate an Orderly Transition of Swaps from Inter-Bank Offered Rates to Alternative Benchmarks (Commodity Futures Trading Commission, 22 December 2021)
CFTC Letter No. 21-27 re Extension of Relief from the Trade Execution Requirement to Facilitate an Orderly Transition from Inter-Bank Offered Rates to Alternative Risk-Free Rates (Commodity Futures Trading Commission, 22 December 2021)
CFTC Letter No. 21-28 re Relief from the Swap Clearing Requirement for Amendments to Legacy Uncleared Swaps to Facilitate an Orderly Transition from Inter-Bank Offered Rates to Alternative Risk-Free Rates (Commodity Futures Trading Commission, 22 December 2021)
CFTC Letter No. 21-29 re Extension of Time-Limited No-Action Relief with Respect to Treatment of Separate Accounts by Futures Commission Merchants (Commodity Futures Trading Commission, 22 December 2021)
CFTC Letter No. 21-30 re No-Action Position With Respect to Certain Requirements of Parts 43 and 45 for Registered Entities and Swap Counterparties Reporting Swap Data for LIBOR Swaps That Will Transition to Risk-Free Rates (Commodity Futures Trading Commission, 22 December 2021)
Final Regulations: Guidance on the Transition From Interbank Offered Rates to Other Reference Rates (U.S. Department of the Treasury, Internal Revenue Service, 30 December 2021)
ARRC Chair Tom Wipf on LIBOR’s Demise, Momentum Towards SOFR, and the Work That Still Remains (Alternative Reference Rates Committee, 3 February 2022)
Waters Announces Committee Appropriations Victories in 2022 Omnibus Legislation (U.S. House Committee on Financial Services, 9 March 2022)
HR 2471 – Consolidated Appropriations Act, 2022 - See Division U (Adjustable Interest Rate (LIBOR) Act) pp 777-786 (U.S. House of Representatives (enacted 9 March); U.S. Senate (enacted 10 March); signed into law on 15 March 2022)
2022 Examination Priorities (Securities and Exchange Commission, 30 March 2022 – see Section VIII)
Clearing Requirement Determination Under Section 2(h) of the Commodity Exchange Act for Interest Rate Swaps To Account for the Transition From LIBOR and Other IBORs to Alternative Reference Rates (Commodity Futures Trading Commission, 31 May 2022)
Regulation Implementing the Adjustable Interest Rate (LIBOR) Act (Board of Governors of the Federal Reserve System, 28 July 2022)
Comments Received on Proposed Rulemaking Implementing the Adjustable Interest Rate (LIBOR) Act (Federal Reserve Board, 31 August 2022)
Financial Stability Oversight Council Principals Meeting (U.S. Department of Treasury, 16 December 2022) - first agenda item
FSOC 2022 Annual Report (Financial Stability Oversight Council, 16 December 2022)
Regulations Implementing the Adjustable Interest Rate (LIBOR) Act (Board of Governors of the Federal Reserve System (adopted 16 December 2022); published in the Federal Register 26 January 2023)
Adjustable Rate Mortgages: Transitioning from LIBOR to Alternate Indices (US Department of Housing and Urban Development, 1 March 2023)
Servicing Notice: Legacy LIBOR Replacement Index (Fannie Mae, 8 March 2023)
Bulletin 2023-2: LIBOR Transition (Freddie Mac, originally published 25 January 2023 and updated 8 March 2023)
LIBOR Transition: Joint Statement on Completing the LIBOR Transition – OCC Bulletin 2023-13 (Office of the Comptroller of the Currency, Board of Governors of the Federal Reserve System, Consumer Financial Protection Bureau, Federal Deposit Insurance Corporation, National Credit Union Administration, and State Bank and Credit Union Regulators, 26 April 2023)
Observations from Examinations of Investment Advisers and Investment Companies Concerning LIBOR-Transition Preparedness (Securities and Exchange Commission Division of Examinations, 11 May 2023)
Financial Stability Oversight Council Meeting (U.S. Department of the Treasury, 28 July 2023) - LIBOR discussion starts at 28:46
Index Announcement - Future Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (Bloomberg Professional Services, 15 November 2023)
Other Helpful Resources
Secured Overnight Financing Rate (SOFR) Primer – The transition away from LIBOR (Securities Industry and Financial Markets Association, 15 July 2019)
LIBOR Litigation Risks - Securitization Market Legacy Vehicles and Instruments (Structured Finance Association, 4 December 2019)
The LIBOR Phase Out and Transition: Frequently Asked Questions (FAQ) (NAIC, 10 March 2020)
Multiclass Participant Memorandum 20-01: Announcement of Updates to Multiclass Securities Guide and Adoption of ARRC LIBOR Fallback Recommendation for New Issuance of LIBOR Classes of Ginnie Mae Multiclass Securities and related Multiclass Securities Guide (Ginnie Mae, 19 March 2020)
U.S. Dollar ICE Bank Yield Index – Fourth Update (ICE Benchmark Administration, 6 May 2020)
Freddie Mac Key LIBOR Transition Milestones (28 May 2020)
Fannie Mae LIBOR Transition Timeline (28 May 2020)
Fannie/Freddie joint Frequently Asked Questions (28 May 2020)
Fannie/Freddie joint LIBOR Transition Playbook (28 May 2020)
Freddie Mac LIBOR Transition page (created 28 May 2020, updated regularly)
Fannie Mae LIBOR Transition page (created 28 May 2020, updated regularly)
LIBOR Transition FAQs – compliance with regulations currently in effect, prior to proposed Reg Z amendments (CFPB, 4 June 2020)
Structured Finance Association Supports Proposed Extension of USD LIBOR for Legacy Contracts (Structured Finance Association, 30 November 2020)
IHS Markit to Publish Daily Credit Spread Adjustment for SOFR from Q2 2021 (HIS Markit, 20 January 2021)
FRBNY, LSTA and Credit Sensitivity (LSTA, 18 February 2021)
Bloomberg Short-Term Bank Yield (BSBY) Index Methodology (Bloomberg, 30 March 2021)
LIBOR: A Dramedy for our Times (LSTA, 26 April 2021)
USD CRITR & CRITS Factsheet (IHS Markit, May 2021)
IHS Markit Begins Publishing Daily Credit Inclusive Term Rate (CRITR) and Credit Inclusive Term Spread (CRITS) for US Dollar Funding (IHS Markit, 1 June 2021)
USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS) Chart and Data (IHS Markit, from 1 June 2021)
ICMA's Official Sector Panel on the Transition to Risk Free Rates (Federal Reserve Bank of New York, 2 June 2021)
CME IBOR Conversion Plan for Cleared Swaps (CME Group, 9 June 2021)
Bloomberg Short-Term Bank Yield Index (BSBY) Report: Additional analysis and key facts (Bloomberg, 1 July 2021)
Term SOFR: Loans, CLOs in Scope! (LSTA, 21 July 2021)
LSTA Applauds ARRC Decision on Business Loans and CLOs (LSTA, 21 July 2021)
Term SOFR Conventions: (Almost) Just Like LIBOR (LSTA, 22 July 2021)
CME Term SOFR will be available in the near future for use in OTC derivatives in alignment with ARRC (CME Group, 22 July 2021)
Fallbacks: Report from the Institutional Loan Trenches (LSTA, 26 July 2021)
LSTA Podcast: Term SOFR in Scope for Business Loans & CLOs (LSTA, 26 July 2021)
In Focus: The LIBOR Transition (Congressional Research Service, 26 July 2021)
Joint Trades Letter in Support of Adjustable Interest Rate (LIBOR) Act (ISDA/LSTA/ABA/SFA/SIFMA/Others, 27 July 2021)
Term SOFR: Formally Recommended! (LSTA, 29 July 2021)
In Search Of… “Fair” Spread Adjustments for New SOFR Loans (LSTA, 17 August 2021)
CME IBOR Conversion for CHF, JPY and GBP Cleared Swaps (CME Group, 27 August 2021)
LSTA Publishes Term SOFR Concept Document (LSTA, 31 August 2021)
CME Term SOFR Reference Rates – Terms of Use and FAQs (CME Group, 7 September 2021)
SOFR Spread Solutions: The Price of Imperfection (LSTA, 8 September 2021)
Term SOFR now available for permissible OTC derivatives (CME Group, 8 September 2021)
BSBY Fact Sheet (Bloomberg Professional Services, 20 September 2021)
How to Get Your CME Term SOFR License (LSTA, 27 September 2021)
White Paper: Across-the-Curve Credit Spread Indexes (AXI) (SOFR Academy, 27 September 2021)
Concept Credit Agreement: Term SOFR + AXI (LSTA and SOFR Academy, 27 September 2021)
BSBY (Bloomberg Short-Term Bank Yield Index) Consultation on Methodology Enhancement (Bloomberg Professional Services, 7 October 2021)
Playing SOFR-doku (LSTA, 14 October 2021)
Updated LIBOR Transition Playbook (Fannie Mae/Freddie Mac, 15 October 2021)
An Update on the Across-the-Curve Credit Spread Indices (AXI) – remarks of Marcus Burnett at LSTA’s LIBOR Transition Q&A Call (SOFR Academy, 1 November 2021)
Announcement Post-Consultation on Methodology Enhancement (Bloomberg Index Services Limited, 8 November 2021) - relating to 7 October 2021 BSBY Consultation
SOFR & Sensitivity (Loan Syndications & Trading Association, 10 November 2021)
Refinitiv Launches USD IBOR Institutional Cash Fallbacks in Production to Facilitate Industry Transition from USD LIBOR (Refinitiv, 30 November 2021)
Draft Advisory – LIBOR Transition Checklist (Loan Syndications & Trading Association, 10 December 2021)
Robust BSBY Fallback Language Is Unveiled (Loan Syndications & Trading Association, 13 December 2021)
“SOFR First” User Guide for Exchange-Traded Derivatives Transactions (Commodity Futures Trading Commission, 16 December 2021)
Quick Reference Guide to SOFR Options (CME Group, 10 January 2022)
Information on the Robustness, Sustainability and Application of USD Invesco / SOFR Academy Across-the-Curve Credit Spread Indices (AXI) (SOFR Academy, 11 March 2022)
ICE Benchmark Administration Launches ICE Term SOFR Reference Rates as a Benchmark for use in Financial Instruments (ICE Benchmark Administration, 16 March 2022)
SOFR Amendments (Loan Syndications & Trading Association, 31 March 2022)
LIBOR Transition and Leveraged Loans: What 1Q22 Has Taught Us (LSTA, 20 April 2022)
On-Demand Webinar: CME SOFR First for Options (CME Group, 5 May 2022)
Announcing SOFR First for Options (CME Group, 5 May 2022)
LIBOR Transition: Lessons from Across the Ocean (Loan Syndications & Trading Association, 12 May 2022)
SOFR Academy Letter to Federal Reserve Bank of New York re Forthcoming Launch of Across-the-Curve Credit Spread Indices (SOFR Academy, 2 June 2022)
Refinitiv to launch forward looking term rate versions of ARRC recommended fallback rates this September to facilitate industry transition from USD LIBOR (Refinitiv, 11 July 2022)
SOFR Options Open Interest Surpasses 10 Million Contracts as Liquidity in SOFR Deepens (CME Group, 10 August 2022)
Rate volatility cements SOFR as top liquidity pool (CME Group, 27 September 2022)
Are you Ready … for the End of LIBOR? (Loan Syndications & Trading Association, 13 October 2022)
Spotlight on LIBOR Remediation Tools (Loan Syndications & Trading Association, 18 October 2022)
Introducing the SOFR Cost of Carry Calculator (Loan Syndications & Trading Association, 26 October 2022)
CME Term SOFR solidifies its benchmark position (CME Group, 17 November 2022)
Synthetic LIBOR: What It Means for LIBOR Transition (Loan Syndications & Trading Association, 15 December 2022)
January 2023 Rates Recap (CME Group, 10 January 2023)
Implementing the LIBOR Act: Part 1 and Part 2 (Loan Syndications & Trading Association, 5 and 11 January 2023)
Implementing the LIBOR Act: The Federal Reserve’s Final Rule (Loan Syndications & Trading Association, 13 January 2023)
LIBOR’s Ending! Act Now! (Loan Syndications & Trading Association, 18 January 2023)
Eurodollar Fallbacks Implementation Plan (CME Group, 22 February 2023)
Notice to Market Participants in DTC-Eligible Securities re Creation of LIBOR Replacement Index Communication Tool (Depository Trust & Clearing Corporation, 23 February 2023)
LIBOR Remediation: Speeding Up! (LSTA, 2 March 2023)
March Rates Recap (CME Group, 9 March 2023)
DTCC Launches New Centralized Communication Solution as Part of its LENS Service in Support of LIBOR Cessation (Depository Trust & Clearing Corporation, 13 March 2023)
LIBOR Replacement Index Communication Tool (Depository Trust & Clearing Corporation, 13 March 2023)
Reminder: Switch to SOFR data prior to April 14 Eurodollar Fallbacks Conversion (CME Group, 15 March 2023)
ICE Benchmark Administration Announces Intention to Launch SOFR Spread-Adjusted ICE Swap Rate® as a Benchmark (Intercontinental Exchange, 10 March 2023)
ICE Benchmark Administration Provides Update on its Intention to Launch USD SOFR Spread-Adjusted ICE Swap Rate® as a Benchmark (Intercontinental Exchange, 13 April 2023)
Notice: The CME Term SOFR terms of use will be amended to align with the updated Alternative Reference Rate Committee (ARRC) best practice recommendations (CME Group, 25 April 2023)
CME Term SOFR Amendment to Terms of Use (CME Group, 25 April 2023)
LIBOR Countdown! (Loan Syndications & Trading Association, 21 June 2023)
With LIBOR’s Long-Awaited Sunset, the Future of Interest Rate Benchmarking Must Be Defined by Choice (American Financial Exchange, 30 June 2023)
And Just Like That … LIBOR Ended (Loan Syndications & Trading Association, 5 July 2023)
AFX IOSCO Holding Statement (American Financial Exchange, 10 July 2023)
BSBY Bulletin -- Underlying Volumes, Resiliency in Periods of Stress and Current Landscape (Bloomberg Professional Services, 11 July 2023)
Joint Statement by Invesco Indexing LLC and SOFR Academy, Inc. re IOSCO Statement (Invesco Indexing LLC and SOFR Academy, Inc., 31 July 2023)
LIBOR Transition: One (Two?) Last Hurrah(s) (Loan Syndications & Trading Association, 13 September 2023)
Canada
Principal Regulatory Authorities, Committees, and Trade Organizations
Canadian Alternative Reference Rate Working Group (CARRWG)
Chosen Replacement Rate
Canadian Overnight Repo Rate Average (CORRA)
Consultations and Recommendations
Consultation Paper – Enhancements to the Canadian Overnight Repo Rate Average (Bank of Canada, 26 February 2019)
Results from the CARR Consultation on Enhancements to the Canadian Overnight Repo Rate Average (CARRWG, 16 July 2019)
Consultation Paper: CORRA-in-arrears calculation methodology and CDOR fallback language for Floating Rate Notes (CARRWG, 24 November 2020)
Results of consultation on CORRA-in-arrears calculation methodology and CDOR fallback language for Floating Rate Notes (CARRWG, 6 July 2021)
Consultation on Potential Cessation of Canadian Dollar Offered Rate (CDOR) (Refinitiv Benchmark Services (UK) Limited, 31 January 2022)
Outcome Statement Following Consultation on Potential Cessation of Canadian Dollar Offered Rate (CDOR) – Refinitiv, 16 May 2022
Consultation on a potential new term interest rate to replace CDOR in certain financial instruments (Canadian Alternative Reference Rate Working Group, 16 May 2022)
Consultation on a potential new term interest rate to replace CDOR in certain financial instruments - Summary of results (Canadian Alternative Reference Rate Working Group, 11 January 2023)
Other Working Group Resources
Benchmark Reform - Enhancements to the calculation methodology for CORRA (Canadian Alternative Reference Rate Working Group, July 2019)
Recommended fallback language for FRNs referencing CDOR (Canadian Alternative Reference Rate Working Group, 6 July 2021)
Interest-rate benchmark reform: Transition to risk-free rates (Canadian Alternative Reference Rate Working Group, October 2021)
CDOR Review and Analysis: CARR Update (Canadian Alternative Reference Rate Working Group, 25 October 2021)
Overview of methodology for CORRA compounded-in-arrears (Canadian Alternative Reference Rate Working Group, November 2021)
Canadian interest rate benchmark reform (Canadian Alternative Reference Rate Working Group, November 2021)
CARR publishes CORRA-related recommendations and key findings in its review of CDOR (Canadian Alternative Reference Rate Working Group, 23 November 2021)
Recommended terms for inter-bank CDOR/SOFR cross-currency basis swaps (Canadian Alternative Reference Rate Working Group, 23 November 2021)
Recommended terms for inter-bank CORRA/SOFR cross-currency basis swaps (Canadian Alternative Reference Rate Working Group, November 2021)
Recommended Conventions for CORRA-referencing Loans (Canadian Alternative Reference Rate Working Group, 23 November 2021)
Recommended CORRA Floating Rate Notes Conventions (Canadian Alternative Reference Rate Working Group, 23 November 2021)
Recommended Fallback Language for CORRA-referencing FRNs (Canadian Alternative Reference Rate Working Group, 23 November 2021)
CARR publishes White Paper on the recommended future of CDOR (Canadian Alternative Reference Rate Working Group, 16 December 2021)
CARR's Review of CDOR: Analysis and Recommendations (Canadian Alternative Reference Rate Working Group, 16 December 2021)
CARR publishes recommended fallback language for CDOR-based loans - English Version and French Version (Canadian Alternative Reference Rate Working Group, 3 August 2022)
Recommended fallback language for loans referencing CDOR - English Version and French Version (Canadian Alternative Reference Rate Working Group, 3 August 2022)
Overview of CARR’s Transition Roadmap (Canadian Alternative Reference Rate Working Group, 4 August 2022)
CARR agrees to begin process of developing Term CORRA benchmark (Canadian Alternative Reference Rate Working Group, 7 October 2022)
CARR’s CORRA-first initiatives for derivatives to begin on January 9 - update (Canadian Alternative Reference Rate Working Group, 15 December 2022)
CARR announces development of a Term CORRA benchmark (Canadian Alternative Reference Rate Working Group, 11 January 2023)
CARR’s approved use cases for Term CORRA (Canadian Alternative Reference Rate Working Group, 11 January 2023)
Term CORRA Methodology – CARR Recommended Approach (Canadian Alternative Reference Rate Working Group, 11 January 2023)
The Administration of Term CORRA (Canadian Alternative Reference Rate Working Group, 11 January 2023)
CDOR transition roadmap and milestones (Canadian Alternative Reference Rate Working Group, 16 May 2022, and updated 4 August 2022 and February 2023)
Minutes of the Canadian Alternative Reference Rate Working Group 12 December 2023 Meeting (Bank of Canada, 10 March 2023) – English Version and French Version
Minutes of the Canadian Alternative Reference Rate Working Group 30 January 2023 Meeting (Bank of Canada, 10 March 2023) – English Version and French Version
Derivatives Monitor (Canadian Alternative Reference Rate Working Group, 13 March 2023) – English Version and French Version
CARR publishes impact assessment checklist for market participants with CDOR exposure (Canadian Alternative Reference Rate Working Group, 28 March 2023)
CDOR transition – Impact assessment checklist (Canadian Alternative Reference Rate Working Group, 28 March 2023)
CDOR Transition – Implications for transactions as stage 1 ends and stage 2 begins (Canadian Alternative Reference Rate Working Group, 9 June 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 26 June 2023)
CARR releases its recommendations for legacy securities tied to CDOR (Canadian Alternative Reference Rate Working Group, 30 June 2023)
Analysis and recommendations on CDOR Legacy Securities (Canadian Alternative Reference Rate Working Group, 30 June 2023)
CARR publishes its recommendations for transitioning loans from CDOR to CORRA and provides a “no new CDOR or BA loan” milestone (Canadian Alternative Reference Rate Working Group, 27 July 2023)
Transitioning Loans from CDOR to CORRA – Best Practices (Canadian Alternative Reference Rate Working Group, 27 July 2023)
Recommended CORRA loan agreement definitions and loan mechanics (Canadian Alternative Reference Rate Working Group, 27 July 2023)
CORRA loan conventions comparison table (Canadian Alternative Reference Rate Working Group, 27 July 2023)
CARR begins publishing CDOR transition related FAQs (Canadian Alternative Reference Rate Working Group, 2 August 2023)
CDOR Transition FAQs (Canadian Alternative Reference Rate Working Group, 2 August 2023)
Term CORRA to be launched on September 5, 2023 (Canadian Alternative Reference Rate Working Group, 10 August 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 28 August 2023)
CARR finalizes the allowed uses for Term CORRA (Canadian Alternative Reference Rate Working Group, 29 August 2023)
CARR’s allowable use cases for Term CORRA - Finalized (Canadian Alternative Reference Rate Working Group, 29 August 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 25 September 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 23 October 2023)
Recommended terms for fixed rate-to-Term CORRA interest rate swaps (Canadian Alternative Reference Rate Working Group, 10 November 2023)
CARR publishes recommended conventions for Term CORRA swaps (Canadian Alternative Reference Rate Working Group, 16 November 2023)
Minutes of the Canadian Alternative Reference Rate Working Group (Canadian Alternative Reference Rate Working Group, 20 November 2023)
CARR amends recommended fallback for CDOR NHA MBS, and publishes a guide for Canadian companies transitioning from CDOR (Canadian Alternative Reference Rate Working Group, 30 November 2023)
CARR amends the Recommended Fallback for CDOR NHA MBS (Canadian Alternative Reference Rate Working Group, 30 November 2023)
Guide for Canadian companies transitioning from CDOR (Canadian Alternative Reference Rate Working Group, 30 November 2023)
CDOR Transition FAQs (Canadian Alternative Reference Rate Working Group, 13 December 2023)
Recommended terms for Term CORRA to CORRA basis swaps (Canadian Alternative Reference Rate Working Group, 13 December 2023)
Regulatory Notices and Statements
Bank of Canada to begin publishing Canadian Overnight Repo Rate Average in June (Bank of Canada, 18 February 2020)
Multilateral Instrument 25-102 Designated Benchmarks and Benchmark Administrators and Companion Policy (Ontario Securities Commission, 29 April 2021)
Letter to federally regulated financial institutions (FRFIs) re transition from LIBOR (Office of the Superintendent of Financial Institutions, 22 June 2021)
Announcement of Cessation of Canadian Dollar Offered Rate (CDOR) in June 2024 (Refinitiv Benchmark Services (UK) Limited, 16 May 2022)
Authorization Notice: the Canadian Dollar Offered Rate and Refinitiv Benchmark Services (UK) Limited (Ontario Securities Commission, 16 May 2022)
Avis autorisant Refinitiv Benchmark Services (UK) Limited à cesser de fournir le Canadian Dollar Offered Rate (DÉCISION N° 2022-PDG-0032) (Autorite des Marches Financiers, 16 May 2022)
OSFI’s expectations for CDOR Transition (Office of the Superintendent of Financial Institutions, 16 May 2022)
Impact of CDOR Cessation on Bankers’ Acceptance Market (Canadian Fixed-Income Forum, 16 January 2023)
Staff Notice 25-309 – Matters Relating to Cessation of CDOR and Expected Cessation of Bankers’ Acceptances (Canadian Securities Administrators of Ontario Securities Commission, 23 Feb 2023)
Canadian securities regulators encourage market participants to prepare for the cessation of CDOR (Ontario Securities Commission, 23 February 2023)
Creating an IOSCO compliant Term CORRA rate - CDOR Transition Webcast Series (Montreal Exchange, 3 May 2023)
Update from the BA Transition Virtual Network (Canadian Fixed-Income Forum, 13 September 2023)
CFIF recommends path for winding down BA market (Bank of Canada, 16 October 2023)
OSFI update on Canadian Dollar Offered Rate transition (Office of the Superintendent of Financial Institutions, 24 October 2023)
Other Helpful Resources
Methodology for Calculating the Canadian Overnight Repo Rate Average (CORRA) (Bank of Canada, 18 February 2020)
IBOR Fallbacks Technical Note – Amendment to Fixed Spread Adjustments of CAD CDOR 6M & 12M tenors (ISDA, 18 August 2021)
ISDA Statement on CARR and RBSL Announcements on CDOR (International Swaps and Derivatives Association, 17 December 2021)
CARR and TMX launch webcast series on the transition from CDOR (Canadian Alternative Reference Rate Working Group, 11 January 2023)
Transitioning to a New Canadian Interest Rate Benchmark (Montreal Exchange, 1 March 2023)
CORRA Microsite (Montreal Exchange, February 2023 and updated regularly)
CAD CDOR Fallbacks Fact Sheet (Bloomberg Professional Services, March 2023)
Canadian derivatives market hits milestone in transition from CDOR to CORRA (Bank of Canada, 25 April 2023)
BAX Fallback Provision & Implementation Plan (TMX Group, June 2023)
CanDeal Benchmark Solutions Announces Launch of Term CORRA Reference Rates on September 5th (CanDeal Benchmark Solutions, 10 August 2023)
TMX Datalinx Announces Production Date for Distribution of Term CORRA Reference Rates (TMX Datalinx, 10 August 2023)
United Kingdom
Principal Regulatory Authorities, Committees, and Trade Organizations
Bank of England/Working Group on Sterling Risk Free Reference Rates (WGSRFRR)
Chosen Replacement Rate
Sterling Overnight Indexed Average (SONIA)
Consultations and Recommendations
Consultation on Term SONIA Reference Rates (WGSRFRR, July 2018)
Discussion Paper: Conventions for referencing SONIA in new contracts (WGSRFRR, March 2019)
Summary of Responses to SONIA Conventions Discussion Paper (WGSRFRR, August 2019)
Consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR (WGSRFRR, 18 December 2019)
Summary of Responses - Consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR (BOE, 31 March 2020)
Recommendation of Credit Adjustment Spread Methodology for fallbacks in cash market products referencing GBP LIBOR (BOE, 10 September 2020)
Consultation on Rulebook Change for non-representativeness fallback trigger (LCH Group, 27 January 2020)
Summary of feedback from LCH’s consultation regarding proposed rule changes associated with a Pre-cessation Trigger (LCH Group, 22 April 2020)
Update to Consultation on introduction of ICE Swap Rate based on SONIA (ICE Benchmark Administration, 21 February 2020)
Discussion Paper - Supporting Risk-Free Rate transition through the provision of compounded SONIA (BOE, 26 February 2020)
Supporting Risk-Free Rate transition through the provision of compounded SONIA - Responses to the February 2020 Discussion Paper (BOE, 11 June 2020)
Summary and response to market feedback - Supporting Risk-Free Rate transition through the provision of compounded SONIA (BOE, 11 June 2020 and updated 15 July 2020)
Consultation: taxation impacts arising from the withdrawal of LIBOR (HMRC, 19 March 2020 and updated 28 April 2020)
Consultation on Proposed Policy with respect to the designation of benchmarks under new Article 23A (FCA, 18 November 2020)
Statement of Policy on the designation of benchmarks under Article 23A BMR and related Feedback Statement (FCA, 5 March 2021)
Consultation on Proposed Policy with respect to the exercise of the FCA’s powers under new Article 23D (FCA, 18 November 2020)
Statement of Policy on the designation of benchmarks under Article 23D BMR and related Feedback Statement (FCA, 5 March 2021
Overview Document: Benchmark Regulation and proposed amendments under the Financial Services Bill (FCA, 5 March 2021)
ICE LIBOR Consultation on Potential Cessation (ICE Benchmark Administration, 4 December 2020)
Consultation Paper 1/21 – Solvency II: Deep, liquid and transparent assessments, and GBP transition to SONIA (UK PRA, 7 January 2021)
Consultation on successor rate to GBP LIBOR in legacy bonds referencing GBP LIBOR (BOE, 1 February 2021)
Consultation on successor rate to GBP LIBOR in legacy bonds referencing GBP LIBOR - Summary of Responses (BOE, 18 March 2021)
Recommendation of Successor Rate for fallbacks in bond documentation referencing GBP LIBOR (BOE, 1 May 2021)
Consultation on Standard on Use of Term SONIA Reference Rates (FICC Markets Standards Board, 24 March 2021)
ICE Swap Rate based on GBP LIBOR – Consultation on Potential Cessation (ICE Benchmark Administration, 7 May 2021)
Feedback Statement – ICE Swap Rate based on GBP LIBOR – Consultation on Potential Cessation (ICE Benchmark Administration, 4 August 2021)
Standard on Use of Term SONIA Reference Rates (FICC Markets Standards Board, 28 July 2021)
Consultation Paper - Derivatives clearing obligation – modifications to reflect interest rate benchmark reform: Amendments to BTS 2015/2205 (BOE, 20 May 2021)
Policy Statement PS: Derivatives clearing obligation – modifications to reflect interest rate benchmark reform: Amendments to BTS 2015/2205 (Bank of England, 29 September 2021)
Consultation paper (CP 21/15) – Benchmark Regulation: how we propose to use our powers over use of critical benchmarks (FCA, 20 May 2021)
Feedback Statement (FS 21/10): FCA use of powers over use of critical benchmarks (FCA, 29 September 2021)
Consultation Paper (CP 21/19) - Proposed decision under Article 23D BMR for 6 sterling and yen LIBOR settings (FCA, 24 June 2021)
FS21/11 Feedback Statement –Article 23D BMR Decision for 6 sterling and yen LIBOR versions (Financial Conduct Authority, 16 November 2021)
Consultation Paper - LIBOR Transition and the Derivatives Trading Obligation (CP 21/22) (FCA, 14 July 2021)
Policy Statement PS21/13: LIBOR transition and the derivatives trading obligation (FCA, 15 October 2021)
Consultation Paper – Derivatives clearing obligation – introduction of contracts referencing TONA: Amendment to BTS 2015/2205 (Bank of England, 29 September 2021)
Policy Statement: Derivatives clearing obligation – introduction of contracts referencing TONA: Amendment to BTS 2015/2205 (Bank of England, 3 December 2021)
Consultation Paper CP21/29: Proposed decisions on the use of LIBOR (Articles 23C and 21A BMR) (FCA, 29 September 2021)
FS21/12 Feedback Statement – Decisions on the Use of LIBOR (Article 23C and 21A BMR) (Financial Conduct Authority, 10 December 2021)
Consultation Paper: Winding down 'synthetic' sterling LIBOR and US dollar LIBOR (CP22/11) (Financial Conduct Authority, 30 June 2022)
FCA announces decision on cessation of 1- and 6-month synthetic sterling LIBOR at end-March 2023 (Financial Conduct Authority, 29 September 2022)
Consultation Paper 22/21: Consultation on ‘synthetic’ US dollar LIBOR and feedback to CP22/11 (23 November 2022)
FCA announces decision on synthetic US dollar LIBOR (FCA, 3 April 2023)
Feedback Statement FS23/2 - Decisions on US dollar LIBOR: Feedback to CP22/21 (Financial Conduct Authority, 31 May 2023)
Other Working Group Resources
Key themes, good practice, and next steps – Firms’ preparations for transition from LIBOR to RFRs (BOE and FCA, June 2019)
Working Paper on Loans Processing (WGSRFRR, August 2019)
Infrastructure and systems priority list (WGSRFRR, August 2019)
2020 Top Level Priorities (WGSRFRR, 16 January 2020)
Working Paper re Use Cases of SONIA rates by market participants (WGSRFRR, 16 January 2020)
Progress on the Transition of LIBOR-Referencing Legacy Bonds to SONIA by Way of Consent Solicitation (WGSRFRR, 16 January 2020)
Factsheet – Calling Time on LIBOR: Why you need to act now (WGSRFRR, 16 January 2020)
Statement on bond market conventions: Use of the SONIA Index and weighting approaches for observation periods (WGSRFRR, 10 March 2020)
Path to discontinuation of new GBP LIBOR lending by end-Q3 2020 (WGSRFRR, 10 March 2020)
Paper on the identification of Tough Legacy issues (WGSRFRR, 29 May 2020)
Q&A on Revised End-Q3 Milestones for Loan Markets (BOE, 28 July 2020)
Statement from the Working Group on Sterling Risk-Free Reference Rates on LIBOR transition (BOE, 28 July 2020)
Survey on RFR Compounding Conventions for the Sterling Loan Market and Aggregated and anonymised summary of results (BOE, 1 September 2020)
Statement on behalf of the Working Group on Sterling Risk-Free Reference Rates – Recommendations for SONIA Loan Market Conventions (BOE, 1 September 2020)
Detailed Loans Conventions (BOE, 1 September 2020)
Securing a SONIA-based sterling loan market (BOE, 10 September 2020)
Active Transition of GBP LIBOR-Referencing Loans (BOE, 10 September 2020)
Active Transition of GBP LIBOR-Referencing Bonds (BOE, 10 September 2020)
Key Messages and Actions from Webinar Event: Is Your Business Prepared for LIBOR Transition? (WGSRFRR, 18 September 2020)
UK Working Group 2020-21 Top Level Priorities (BOE, 28 July 2020 and updated 28 September 2020)
Term SONIA Reference Rate Publication Summary (BOE, 16 October 2020)
Freely Available Independent RFR Calculator Summary (BOE, 16 October 2020)
Transition in Sterling Non-Linear Derivatives (The Working Group on Sterling Risk-Free Reference Rates, 26 November 2020)
Path for discontinuation of new sterling LIBOR-linked lending by end-Q1 2021 – December 2020 (BOE, 1 December 2020)
Credit Adjustment Spread Methods for Active Transition of GBP LIBOR Referencing Loans (BOE, 9 December 2020)
Transition in sterling non-linear derivatives referencing GBP LIBOR ICE Swap Rate (ISR) (BOE, February 2021)
Path to ending new use of GBP LIBOR-linked derivatives (BOE, 24 February 2021)
Transition from LIBOR in Sterling Structured Products (BOE, 19 April 2021)
Active transition of legacy GBP LIBOR contracts (BOE, 23 April 2021)
Operational considerations for fallbacks in uncleared linear derivatives (BOE, 23 April 2021)
Active transition of legacy GBP LIBOR contracts (BOE, 26 April 2021)
Updated Top Level Priorities – 2021 (BOE, 11 January 2021 and updated April 2021 and 31 May 2021)
Updated GBP loan market Q&A for the Working Group’s end-Q1 2021 recommended milestones (BOE, 25 February 2021 and updated 4 June 2021)
Updated Best Practice Guide for GBP Loans (BOE, 26 February 2021, and updated 18 March and 4 June 2021)
Active transition of legacy GBP LIBOR loan contracts – Timelines and considerations for borrowers (Bank of England, 13 July 2021)
The GBP LIBOR panel ceases at end-2021: Are you ready? (Working Group on Sterling Risk-Free Rates, 10 December 2021)
Summary Minutes of Sub-Group and Task Force Meetings – December 2022 (Bond Market Subgroup of Working Group of the Working Group on Sterling Risk-Free Reference Rates, 20 December 2022)
Regulatory Notices and Statements
Letter to European Insurance and Occupational Pensions Authority re removal of Solvency II barriers to LIBOR transition (WGSRFRR, 9 July 2019)
Bank of England/Financial Conduct Authority Letter to CEOs re LIBOR Transition Preparations (19 September 2018)
Letter to FCA re regulatory and conduct issues posing barriers to LIBOR transition (WGSRFRR, 23 October 2019)
Letter to PRA re prudential regulatory capital impediments that could inhibit banking firms from implementing LIBOR transition (WGSRFRR, 23 October 2019)
Letter to Bank for International Settlements re prudential regulatory frameworks that could inhibit banking firms from implementing LIBOR transition (WGSRFRR, 23 October 2019)
Letter to European Commission re banking and insurance regulatory, and conduct, issues posing barriers to LIBOR transition (WGSRFRR, 23 October 2019)
Response to WGSRFRR re regulatory capital impediments (PRA, 18 December 2019)
Statement by LCH on position in respect of Pre-cessation Triggers in relation to SwapClear (LCH Group, 20 December 2019)
Letter to senior managers of regulated entities re expectations for LIBOR transition progress during 2020 (BOE and FCA, 16 January 2020)
Joint statement re switching from LIBOR to SONIA for sterling interest rate swaps from Spring 2020 (BOE and FCA, 16 January 2020)
Letter to ISDA on length of time a non-representative LIBOR would be published (FCA, 20 January 2020)
Letter to ISDA on length of time a non-representative LIBOR would be published (ICE Benchmark Administration, 24 January 2020)
Speech by Executive Director Andrew Hauser – Turbo-charging Sterling LIBOR transition: why 2020 is the year for action – and what the Bank of England is doing to help (BOE, 26 February 2020)
Market Notice: Risk management approach to collateral referencing LIBOR for use in the Sterling Monetary Framework (BOE, 26 February 2020)
Dear CEO letter to asset management firms re preparing for the end of LIBOR (FCA, 27 February 2020)
Letter to trade associations re effect of discontinuation of LIBOR and next steps (BOE and FCA, 9 March 2020)
Statement on how the FCA would announce LIBOR contractual triggers (FCA, 11 March 2020)
Draft guidance on the taxation impacts arising from the withdrawal of LIBOR and other benchmark rate reform (HMRC, 19 March 2020)
Statement on Impact of the coronavirus on firms' LIBOR transition plans (FCA, 25 March 2020)
Transition to €STR Discounting: Updated Timing (LCH Group, 17 April 2020) – the date for transitioning the EUR swaps discounting curve from EONIA to €STR has been extended from 19 June 2020 to 27 July 2020
Further statement from the RFRWG on the impact of Coronavirus on the timeline for firms’ LIBOR transition plans (FCA, 29 April 2020)
Statement on planned amendments to the Benchmarks Regulation and Benchmark Regulation – Proposed New Powers FAQs (FCA, 23 June 2020)
Financial Services Regulation: Written Statement HCWS307 re intended amendments to the regulatory framework for benchmarks (UK Parliament, 23 June 2020)
PRA statement on Libor transition and PRA resolution-related rules (BOE, 7 July 2020)
Libor: Entering the Endgame – Andrew Bailey speech at Bloomberg webinar (BOE, 13 July 2020)
LIBOR transition – the critical tasks ahead of us in the second half of 2020 – Edward Schooling-Latter speech at ISDA webinar (FCA, 14 July 2020)
Letter to ICE Benchmark re GBP LIBOR ICE Swap Rate (BOE, 18 September 2020)
From LIBOR to SONIA: a bridge to the future – speech by Executive Director, Andrew Hauser (BOE, 21 September 2020)
The FCA and the Bank of England encourage market participants in further switch to SONIA in interest rate swap markets ("SONIA First" Initiative) (FCA/BOE, 28 September 2020)
Statement welcoming the announcement by ISDA on its IBOR Fallbacks Protocol and IBOR Fallbacks Supplement (BOE, 9 October 2020)
Financial Services Bill 200 (UK Parliament, 20 October 2020) – See sections 8-21 and Schedule 5
Amendments to the Benchmarks Regulation to support LIBOR transition - Policy Statement (HM Treasury, 21 October 2020)
FCA consults on new benchmarks powers (Financial Conduct Authority, 18 November 2020)
ICE Benchmark Administration to Consult On Its Intention to Cease the Publication of GBP, EUR, CHF and JPY LIBOR (Intercontinental Exchange, 18 November 2020)
ICE Benchmark Administration to Consult on Its Intention to Cease the Publication of One Week and Two Month USD LIBOR Settings at End-December 2021, and the Remaining USD LIBOR Settings at End-June 2023 (Intercontinental Exchange, 30 November 2020)
FCA response to IBA’s proposed consultation on intention to cease US$ LIBOR (Financial Conduct Authority (LIBOR’s regulator), 30 November 2020)
Bowing out gracefully: LIBOR’s retirement draws near - speech by Andrew Hauser (BOE, 8 December 2020)
The final countdown: Completing sterling LIBOR transition by end-2021 (BOE, 11 Jan 2021)
LMA responds to FCA consultation on proposed policy for exercising new benchmark powers under new Article 23A (LMA, 15 January 2021)
LMA responds to FCA consultation on proposed policy for exercising new benchmark powers under new Article 23D (LMA, 15 January 2021)
LMA responds to Working Group on Euro Risk-Free Rates' consultation on EURIBOR fallback trigger events (LMA, 15 January 2021)
LMA responds to Working Group on Euro Risk-Free Rates' consultation on €STR-based EURIBOR fallback rates (LMA, 15 January 2021)
Response to FCA Consultation on the proposed policy with respect to the exercise of its powers in relation to LIBOR Transition (Financial Markets Law Committee, 18 January 2021)
LIBOR – are you ready for life without LIBOR from end-2021? – speech by Edwin Schooling Latter (FCA, 26 January 2021)
Joint Letter to Trade Association Chairs/CEOs re How the Discontinuation of LIBOR May Affect Your Members and Stakeholders (BOE and FCA, 9 March 2021)
Market Notice re the Bank’s risk management approach to collateral referencing LIBOR for use in the Sterling Monetary Framework (BOE, 24 March 2021)
The Bank, the FCA, and the Working Group welcome the publication of the FMSB’s transparency draft of its market standard on use of Term SONIA reference rates (BOE, 24 March 2021)
Joint Letter to CEOs re Transition from LIBOR to Risk-Free Rates (BOE and FCA, 26 March 2021)
The FCA and the Bank of England encourage market participants in a switch to SONIA in the sterling non-linear derivatives market from 11 May (BOE, 29 March 2021)
Sterling Working Group Letter to HM Treasury re Financial Services Bill safe harbors (BOE, 21 April 2021)
Letter from the Economic Secretary to Sterling Working Group re Financial Services Bill safe harbors (HM Treasury, 7 May 2021)
Descending safely: Life after Libor - speech by Andrew Bailey at ARRC SOFR Symposium (BOE, 11 May 2021)
Statement encouraging market participants in a switch to SONIA in the sterling exchange traded derivatives market from 17 June (BOE, 13 May 2021)
ICE Benchmark Administration Launches GBP SONIA Spread-Adjusted ICE Swap Rate® ‘Beta’ Settings (ICE Benchmark Administration, 17 May 2021)
Policy Statement PS12/21 – Solvency II: Deep, liquid and transparent assessments, and GBP transition to SONIA (Bank of England, 3 June 2021)
Appendix 1: Update to Statement of Policy ‘The PRA’s approach to the publication of Solvency II technical information (Bank of England, 3 June 2021)
Appendix 2: Deep, liquid, and transparent (DLT) assessment of the Sterling Overnight Index Average (SONIA) Overnight Index Swap (OIS) market (Bank of England, 3 June 2021)
The FCA and the Bank of England encourage market participants in a switch to SOFR in US dollar interest rate swap markets from 26 July (FCA and BOE, 16 June 2021)
Benchmark Regulation and amendments under the Financial Services Act 2021 (FCA, June 2021)LIBOR – 6 months to go – speech by Edwin Schooling Latter at UK Finance’s Commercial Finance Week (Financial Conduct Authority, 5 July 2021)
The FCA and the Bank of England encourage market participants in a switch to RFRs in the LIBOR cross-currency swaps market from 21 September (Financial Conduct Authority and Bank of England, 21 July 2021)
Critical Benchmarks (References and Administrators' Liability) Bill (HL Bill 49) (UK House of Lords, 8 September 2021)
IBOR Transition: How Ready are We for 2022? – speech of Toby Williams at AFME/IMN Global ABS (FCA, 17 September 2021)
Letter from FCA to ISDA re Fallbacks to BSBY and compliance with BMR fallback requirements (FCA, 17 September 2021) and related response from ISDA to FCA re Fallbacks for ‘Credit Sensitive Rates’ (ISDA, 23 September 2021)
Statement of Policy on the FCA’s power under Article 21A BMR (FCA, 29 September 2021)
Statement of Policy on the FCA’s power under Article 23C BMR (FCA, 29 September 2021)
Notice of First Decision – Article 21(3) Benchmarks Regulation (FCA, 29 September 2021)
Notice of Designation – Article 23A Benchmarks Regulation (FCA, 29 September 2021)
Draft Notice of Requirements – Article 23D Benchmarks Regulation (FCA, 29 September 2021)
Further arrangements for the orderly wind-down of LIBOR at end-2021 (FCA, 29 September 2021)
LIBOR and the FCA's new powers under the UK Benchmarks Regulation: questions and answers (FCA, 15 October 2021)
LCH Limited Self-Certification: Bloomberg Short-Term Bank Yield Swaps (LCH Limited, 11 November 2021)
Article 23C Benchmarks Regulation – Draft Notice of Permitted Legacy Use by Supervised Entities (Financial Conduct Authority, 16 November 2021)
Article 21A Benchmarks Regulation – Notice of Prohibition on New Use of a Critical Benchmark (Financial Conduct Authority, 16 November 2021)
Annex 4 Benchmarks Regulation – Notice of Proposed Modifications (Financial Conduct Authority, 16 November 2021)
So long LIBOR – 3 weeks to go - speech by Director Edwin Schooling Latter at Risk.net’s LIBOR telethon (Financial Conduct Authority, 8 December 2021)
FCA issues final messages on LIBOR before end-2021 (Financial Conduct Authority, 10 December 2021)
Benchmarks Regulation and amendments under the Financial Services Act 2021 (FCA, December 2021)
Article 23B Benchmarks Regulation – Notice Specifying the Effective Date of the Prohibition on Use of Article 23A Benchmark (Financial Conduct Authority, 10 December 2021)
Critical Benchmarks (References and Administrators’ Liability) Act 2021 (UK Parliament, 15 December 2021)
Changes to LIBOR as of end-2021 (Financial Conduct Authority, 1 January 2022)
Article 23C Benchmarks Regulation - Final Notice of Permitted Legacy Use by Supervised Entities (Financial Conduct Authority, 1 January 2022)
Article 23D Benchmarks Regulation - Final Notice of Requirements (Financial Conduct Authority, 1 January 2022)
Article 21A Benchmarks Regulation - Notice of Prohibition on New Use of a Critical Benchmark (Financial Conduct Authority, 1 January 2022)
Annex 4 Benchmarks Regulation - Notice of Modifications (Financial Conduct Authority, 1 January 2022)
Annex 4 Benchmarks Regulation - Additional Notice of Modifications (Financial Conduct Authority, 1 January 2022)
Finalising LIBOR transition – achievements in sterling markets and what remains to be done (Financial Conduct Authority and Bank of England, 9 February 2022)
Market Notice - The Bank’s risk management approach to collateral referencing USD LIBOR for use in the Sterling Monetary Framework (Bank of England, 19 May 2022)
FCA encourages market participants to continue transition of LIBOR-linked bonds (Financial Conduct Authority, 16 August 2022)
Further consultation and announcements on the wind-down of LIBOR (Financial Conduct Authority, 23 November 2022)
Finalising LIBOR transition – achievements in sterling markets and what remains to be done (Bank of England and Financial Conduct Authority, 9 February 2023)
ARTICLE 23A BENCHMARKS REGULATION – Notice of Designation (FCA, 3 April 2023)
ARTICLE 23C BENCHMARKS REGULATION – Draft Notice of Permitted Legacy Use By Supervised Entities (FCA, 3 April 2023)
ARTICLE 23D BENCHMARKS REGULATION – Draft Notice of Requirements (FCA, 3 April 2023)
ARTICLE 21(3) BENCHMARKS REGULATION – Notice of First Decision (FCA, 3 April 2023)
The USD LIBOR panel ceases at end-June 2023: Are you ready? (Bank of England, 12 April 2023)
US dollar LIBOR panel – 1 month to go (Financial Conduct Authority, 31 May 2023)
ARTICLE 23B BENCHMARKS REGULATION – Notice Specifying the Effective Date of the Prohibition on Use of Article 23A Benchmark (Financial Conduct Authority, 31 May 2023)
ANNEX 4 BENCHMARKS REGULATION – Notice of Proposed Modifications (Financial Conduct Authority, 31 May 2023)
The US dollar LIBOR panel has now ceased (Financial Conduct Authority, 3 July 2023)
ARTICLE 23D BENCHMARKS REGULATION – Notice of Requirements (Financial Conduct Authority, 1 July 2023)
ARTICLE 23C BENCHMARKS REGULATION – Notice of Permitted Legacy Use by Supervised Entities (Financial Conduct Authority, 1 July 2023)
ANNEX 4 BENCHMARKS REGULATION – Notice of Modifications (Financial Conduct Authority, 1 July 2023)
ANNEX 4 BENCHMARKS REGULATION – Additional Notice of Proposed Modifications (Financial Conduct Authority, 1 July 2023)
Other Helpful Resources
Building Term SONIA Rates (ICE Benchmark Administration, 14 May 2019)
Statement on the progress of adoption of RFRs in Sterling markets (WGSRFRR, 15 May 2019)
LIBOR transition – the loan operations perspective (LMA, 6 June 2019) – webinar with accompanying slides
Summary of Results of Dealer Survey on preferred approach for trading of interbank SONIA swaptions, caps and floors (WGSRFRR, 15 February 2020)
LCH Benchmark Reform Resource Page (LCH, created May 2020, updated regularly)
LIBOR/RFR Glossary of Terms (LMA, 29 May 2020)
Illustrative series of SONIA Compounded Index data (BOE, 11 June 2020)
Spotlight Review: LIBOR Transition – Case Studies for Navigating Conduct Risks (FICC Markets Standards Board, 11 June 2020)
Discontinuation of LIBOR: Guide for Business Customers (UK Finance/Confederation of British Industry, 16 September 2020)
Transition from LIBOR for SME Customers – Best Practice Guidance (Lending Standards Board/UK Finance, 28 October 2020)
Updated List of RFR referencing syndicated and bilateral loans (LMA, 20 January 2021)
Spotlight Review: LIBOR Transition - Case studies for navigating conduct risks in back book transition (FICC Markets Standards Board, 20 April 2021)
LMA response to FCA consultation on powers for use over critical benchmarks (Loan Market Association, 17 June 2021)
The orderly wind-down of LIBOR in the bond market (ICMA, 8 July 2021)
List of RFR referencing syndicated and bilateral loans (LMA, 29 July 2021)
Europe
Principal Regulatory Authorities, Committees, and Trade Organizations
European Securities and Markets Authority/Updated Working Group on Euro Risk-Free Rates (ESMA) – new mandate and resources from 11 May 2021
European Central Bank/Working Group on Euro Risk-Free Rates (ECB) – incumbent group resources until 11 May 2021
Swiss National Bank/National Working Group on Swiss Franc Reference Rates (SNB)
Swiss Infrastructure and Exchange (SIX)
Chosen Replacement Rate
Euro Short-Term Rate (€STR) – for Euro
Swiss Average Rate Overnight (SARON) – for Swiss Francs
Consultations and Recommendations
Second Public Consultation on an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts (ECB, 20 December 2018)
Summary of Responses to Second Public Consultation on an ESTER-based term structure methodology (ECB, 22 February 2019)
Recommendations on the transition path from EONIA to the €STR and on a €STR-based forward-looking term structure methodology (ECB, 14 March 2019)
Consultation Paper on Recommendations for EONIA (European Money Markets Institute, 20 March 2019)
Summary of Stakeholder Feedback on EONIA Recommendations Consultation (EMMI, 31 May 2019)
Third public consultation on the EONIA to €STR Legal Action Plan (ECB, 15 May 2019)
Summary of responses to third consultation re EONIA to €STR Legal Action Plan (ECB, 27 June 2019)
Recommendations on the EONIA to €STR Legal Action Plan (ECB,16 July 2019)
Consultation – Review of the EU Benchmark Regulation (European Commission, 11 October 2019)
Inception Impact Assessment and Plan for the Review of the EU Benchmark Regulation (European Commission, 18 March 2020)
Consolidated Text of EU Benchmark Regulation (Regulation (EU) 2016/1011) (European Parliament, 13 February 2021)
High Level Recommendations for Cash Product and Derivatives Fallback Provisions Referencing EURIBOR (ECB, 6 November 2019)
Public Consultation on Swaptions impacted by the CCP discounting transition from EONIA to €STR (ECB, 13 March 2020)
Summary of responses to the public consultation on swaptions impacted by the CCP discounting transition from EONIA to the €STR (ECB, 4 May 2020)
Recommendation on Swaptions Affected by the central clearing counterparties’ discounting transition from EONIA to €STR (ECB, 16 June 2020)
Public Consultation on the publication by the ECB of compounded term rates using the €STR (ECB, 24 July 2020)
Summary of responses to the ECB’s public consultation on the publication of compounded term rates using the €STR (ECB, 7 October 2020)
Circular 20/150 Consultation - Transition Plans for LIBOR Based Futures Contracts (ICE Futures Europe, 21 October 2020)
LIBOR Transition Fallback (ICE Futures Europe, 22 March 2021)
Public Consultation on EURIBOR Fallback Trigger Events (ECB, 23 November 2020)
Summary of responses to the public consultation on EURIBOR fallback trigger events (ECB, 15 February 2021)
Public Consultation on €STR-Based EURIBOR Fallback Rates (ECB, 23 November 2020)
Summary of responses to the public consultation on €STR-based EURIBOR fallback rates (ECB, 15 February 2021)
Consultation Paper – Guidelines on methodology to be used in exceptional circumstances and amendment to the guidelines on non-significant benchmarks (ESMA, 25 February 2021)
Recommendations on Euribor fallback trigger events and €STR-based Euribor fallback rates (ECB, 11 May 2021)
Consultation Paper on the clearing and derivative trading obligations in view of the benchmark transition (ESMA, 9 July 2021)
Final Report on draft RTS on the clearing and derivative trading obligations in view of the benchmark transition to risk free rates (European Securities and Markets Authority, 18 November 2021)
Consultation Paper: Review of the RTS on the form and content of an application for recognition under the Benchmarks Regulation (European Securities and Markets Authority, 8 July 2022)
Other Working Group Resources
Guiding principles for fallback provisions in new contracts for euro-denominated cash products (ECB, 21 January 2019)
Starter Pack: LIBOR transition in Switzerland (SNB, February 2019)
Discussion paper on SARON Floating Rate Notes (SNB, 2 July 2019)
IBOR to RFR Transition: Effects on Financial Accounting (SNB, 2 July 2019)
Report on the impact (operational and valuation) of the transition from EONIA to €STR on cash and derivatives products (ECB, 19 August 2019)
Report on the risk management implications of the transition from EONIA to €STR and the introduction of €STR-based fallback for EURIBOR (ECB, 17 October 2019)
Checklists for navigating EONIA to €STR transition (ECB, October 2019)
Report on the financial accounting implications of the transition from EONIA to €STR and the introduction of €STR-based fallback for EURIBOR (ECB, 5 November 2019)
Report on €STR fallback arrangements and compliance with the EU Benchmarks Regulation (ECB, 12 November 2019)
Report on the transfer of EONIA’s cash and derivatives markets liquidity to the €STR (ECB, 19 February 2020) – a supplement to the August 2019 report above
Development of the €STR Benchmark (ECB, 24 March 2020)
Updated FAQs on Risk Free Rates (ECB, 31 March 2020)
Key messages for the transition from EONIA to €STR (ECB, 31 March 2020)
Understanding EURIBOR Fallbacks (ECB, 31 March 2020)
Draft Template – SARON/SOFR cross-currency basis swap terms confirmation (SNB, 7 May 2020)
Working Group Minutes with Summary of LIBOR Transition Progress (SNB, 7 May 2020)
Understanding EURIBOR Fallback (ECB, 30 June 2020)
Preparing for the interest rate benchmark reforms and the new risk-free rates (ECB, 30 June 2020)
SARON Compound Rates (SIX, June 2020)
SARON – Swiss Average Rate Overnight Factsheet (SIX, June 2020)
IBOR to RFR Transition: Effects on Financial Reporting (SNB, 2 July 2020)
Survey replies on €STR-based forward-looking rates production (ECB, 2 July 2020)
Cash and Derivative Products Update re EURIBOR Fallbacks and €STR Conventions (ECB, 2 July 2020)
Horizontal assessment of SSM banks’ preparedness for benchmark rate reform (ECB, 23 July 2020)
Report on preparations for benchmark rate reforms (ECB, 23 July 2020)
Executive Summary of 29 September 2020 Working Group Meeting (SNB, 30 September 2020)
Minutes of the 29 September 2020 meeting of the National Working Group on Swiss Franc Reference Rates (SNB, 22 October 2020) – including SARON market developments and alignment with international market conventions, and fallback recommendations
Summary Slides – Working Group Consultations on EURIBOR Fallback Trigger Events and Fallback Rates (Working Group on Euro Risk-Free Rates, 23 November 2020)
Guidance 10/2020: LIBOR transition roadmap (Swiss Financial Market Supervisory Authority, 4 December 2020)
Executive Summary of the 1 February 2021 meeting of the National Working Group on Swiss Franc Reference Rates (SNB, 2 February 2021) – includes form Rate Switch Amendment Agreement
Questions and Answers on the Benchmarks Regulation (ESMA, 31 March 2021)
Executive Summary of the 1 July 2021 meeting of the National Working Group on Swiss Franc Reference Rates (Swiss National Bank, 1 July 2021) – includes detailed analysis and charts of IBOR transition and SARON adoption
Updated Q&As on the Benchmarks Regulation (BMR) (ESMA, 28 May 2021 and updated 16 July 2021 and 29 July 2021)
Minutes of the 9 November 2021 meeting (National Working Group on Swiss Franc Reference Rates, 29 November 2021)
Questions and Answers on the Benchmarks Regulation (BMR) (European Securities and Markets Authority, 28 January 2022)
Terms of reference for the Working Group on Euro Risk-Free Rates (European Securities and Markets Authority, February 2022)
Working Group on Euro Risk-Free Rates – Work Programme for 2022/23 (European Securities and Markets Authority, 2 March 2022)
Guidelines on methodology, oversight function and record-keeping requirements under the Benchmarks Regulation (ESMA81-393-288) (European Securities and Markets Authority, 7 June 2022)
Questions & Answers on the Benchmarks Regulation (BMR) (European Securities and Markets Authority, further updated 23 June 2022)
Hybrid Conference of the Working Group on Euro Risk-Free Rates (European Securities and Markets Authority, 17 June 2022)
Meeting Minutes (Working Group on Euro Risk-Free Rates, 15 September 2022)
Meeting Minutes – 9 November 2022 (National Working Group on Swiss Franc Reference Rates, 29 November 2022)
Meeting Minutes – 13 December 2022 (Working Group on Euro Risk-Free Rates, 3 February 2023)
Minutes of 13 December 2022 Meeting of the Working Group on Euro Risk-Free Rates (European Securities and Markets Authority, 3 February 2023)
Comparative Table of Available Term €STR Rates (Working Group on Euro Risk-Free Rates, 3 May 2023)
Guidance for Corporate Lending Products for Implementing the Recommendations on EURIBOR Fallback Trigger Events and €STR-based EURIBOR Fallback Rates (Working Group on Euro Risk-Free Rates, 4 May 2023)
Minutes of the 3 April Working Group Meeting (Working Group on Euro Risk-Free Rates, 22 May 2023)
Minutes of the 13 July Working Group Meeting (Working Group on Euro Risk-Free Rates, 14 August 2023)
Comparative Table of Available Term €STR Rates (Working Group on Euro Risk-Free Rates, 20 November 2023)
Final Statement (Working Group on Euro Risk-Free Rates, 4 December 2023)
Minutes of the 13 November Working Group Meeting (Working Group on Euro Risk-Free Rates, 12 December 2023)
Regulatory Notices and Statements
European Central Bank Letter to CEOs re LIBOR Transition Preparations (3 July 2019)
Guideline (EU) 2019/1265 on the euro short-term rate (€STR) (ECB/2019/19) (ECB, 10 July 2019)
Letter to the IASB re potential accounting issues triggered by Euro interest rate reform (ECB, 16 July 2019)
Commission Regulation (EU) 2020/34, amending Regulation (EC) No 1126/2008 adopting certain international accounting standards as regards IAS 30, IFRS 7 and 9 (European Commission, 15 January 2020) – see Global Activity, Consultations and Recommendations, below, for amended accounting standards
Memorandum of Understanding regarding use of Singapore financial benchmarks in the EU and related cooperation arrangements (ESMA and MAS, 17 April 2020)
Letter to IASB requesting relief and guidance regarding IFRS9 and IAS39 (ECB, 8 July 2020)
Proposal to amend EU Benchmark Regulation as regards the exemption of certain third country foreign exchange benchmarks and the designation of replacement benchmarks for certain benchmarks in cessation (European Commission, 24 July 2020)
Questions and Answers, including regarding amendment to EU rules on financial benchmarks (European Commission, 24 July 2020)
2021: A Defining Moment for The Interest Rates Reform – speech by Chair, Steven Maijoor (ESMA, 21 September 2020)
ECB publishes statement of compliance of €STR with IOSCO Principles for Financial Benchmarks (ECB, 30 September 2020)
Guidance 8/2020: LIBOR replacement for derivatives (Swiss Financial Market Supervisory Authority, 16 October 2020)
Statement welcoming the launch by ISDA of its 2020 IBOR Fallbacks Protocol and IBOR Fallbacks Supplement (ECB, 23 November 2020)
Final Sprint in Transition to SARON - remarks by SNB board member, Andréa Maechler (SNB news conference, 17 December 2020)
Consolidated Text of EU Benchmark Regulation (Regulation (EU) 2016/1011) (European Parliament, 13 February 2021)
ECB starts publishing compounded euro short-term rate (€STR) average rates on 15 April 2021 (ECB, 18 March 2021)
SIX Adds Further SARON Compound Indices and Rates for Various Time Periods (SIX, 30 March 2021)
Compounded €STR Average Rates and Compounded €STR Index Data (ECB) – from 15 April 2021
Supervisory Briefing: Benchmark administrators’ presence in their Member States of location and outsourcing (European Securities and Markets Authority, 28 May 2021)
Joint Public Statement – Forthcoming Cessation of all LIBOR Settings (European Commission/ECB/EBA/ESMA, 24 June 2021)
Letter from the European RFR Working Group Chairman to the European Commission re a Statutory Replacement for EONIA (European RFR Working Group, 15 July 2021)
Recommendations from the Working Group on Euro Risk-Free Rates on the switch to risk free rates in the interdealer market - (“€STR First”) (European RFR Working Group, 15 July 2021)
Letter to the European Commission regarding draft implementing Act designating EONIA as a critical benchmark (European RFR Working Group, 2 September 2021)
Final Report: Guidelines on methodology, oversight function and record keeping under the Benchmarks Regulation (ESMA, 24 September 2021)
ESMA’s priorities for derivatives – keynote speech of Executive Director Natasha Cazenave at FIA IDX conference (27 September 2021)
Benchmark Rate Transition Risks - EBA/REP/2021/30 (European Banking Authority, 14 October 2021)
Commission Implementing Resolution (EU) 2021/1847 on the designation of a statutory replacement for certain settings of CHF LIBOR (European Commission, 14 October 2021)
Euro Overnight Index Average (EONIA) to Euro Short Term Rate (ESTR) - Floating Rate Conversion Notice (LCH, 15 Oct 2021)
IBOR reform moves forward: legacy transactions successfully converted to €STR (Eurex, 19 Oct 2021)
Commission Implementing Regulation (EU) 2021/1848 on the designation of a replacement for the benchmark Euro overnight index average (European Commission, 21 October 2021)
Summary of the 9 November 2021 Meeting of the National Working Group on Swiss Franc Reference Rates (Swiss National Bank, 10 November 2021)
Letter to the European Commission regarding potential designation of statutory replacement for GBP LIBOR and JPY LIBOR (European RFR Working Group, 15 November 2021)
Guidelines on methodology, oversight function and record keeping under the Benchmarks Regulation (European Securities and Markets Authority, 7 December 2021)
Statement from the EUR Risk Free Rates Working Group (European Securities and Markets Authority, 9 December 2021)
Statement on Preparedness for the Cessation of EUR, GBP, CHF and JPY LIBORs and EONIA, and ceasing use of USD LIBOR in new contracts, at the end of 2021 (Working Group on Euro Risk-Free Rates, 14 December 2021)
Call for expressions of interest: administrators developing €STR-based forward-looking term structure as a fallback in EURIBOR-linked contracts (European Securities and Markets Authority, 3 March 2022)
Life after LIBOR: A new era of reference interest rates (Swiss National Bank, 31 March 2022) – speech by Governing Board Members Andrea Maechler & Thomas Moser at Virtual Money Market Event
Recommendation from the Working Group on Euro Risk-Free Rates on the availability of derivative products referencing €STR (European Securities and Markets Authority, 26 September 2022)
Other Helpful Resources
IBOR Transition – where are we now? (Association for Financial Markets in Europe, 23 October 2019)
Basel Framework frequently asked questions (Bank for International Settlements, 5 June 2020)
Third roundtable on euro risk-free rates (ECB, 14 December 2020) – links to recordings of all presentations
ICE Transitions Sterling and Euroswiss LIBOR-based Derivatives to SONIA and SARON Ahead of Sterling and Swiss Franc LIBOR Cessation (Intercontinental Exchange, 21 December 2021)
Swiss Index – Methodology Rulebook Governing the Swiss Reference Rates (SIX, 23 March 2020, and updated 18 January 2021)
Asia/Pacific Rim
Principal Regulatory Authorities, Committees, and Trade Organizations
Bank of Japan/Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks (BOJ)
Treasury Markets Association (Hong Kong)
Monetary Authority of Singapore
Association of Banks in Singapore/Steering Committee for SOR Transition to SORA (ABS/SC-STS)
ASX Benchmarks Limited (Australia)
Executives’ Meeting of East Asia-Pacific Central Banks – comprised of the central banks of eleven economies: Reserve Bank of Australia, People’s Bank of China, Hong Kong Monetary Authority, Bank Indonesia, Bank of Japan, Bank of Korea, Bank Negara Malaysia, Reserve Bank of New Zealand, Bangko Sentral ng Pilipinas, Monetary Authority of Singapore, Bank of Thailand.
Asia Pacific Loan Market Association
Chosen Replacement Rate
Tokyo Overnight Average Rate (TONAR) – for Japanese Yen
Hong Kong Dollar Overnight Index Average (HONIA) – for Hong Kong Dollars, although the Hong Kong Interbank Offered Rate (HIBOR) will not be discontinued
Singapore Overnight Rate Average (SORA) – for Singapore Dollars
Bank Bill Swap Rate (BBSW) – for Australian Dollars
AUD Overnight Index Average or Interbank Overnight Cash Rate (Realised AONIA) - for Australian Dollars
Consultations and Recommendations
Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks with Appendix 1-a and Appendix 5-a (BOJ, 2 July 2019)
Final Report on Results of Japanese Yen Consultation (BOJ, 29 November 2019)
Second Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (BOJ, 7 August 2020)
Final Report on the Results of the Second Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (Bank of Japan, 30 November 2020)
Alternative Reference Rate for Hong Kong Interbank Offered Rate (HIBOR) - Consultation with Industry Stakeholders (TMA, 26 April 2019)
Conclusions from Consultation with Industry Stakeholders (TMA, 13 December 2019)
Roadmap for Transition of Interest Rate Benchmarks: From SGD Swap Offer Rate (SOR) to Singapore Overnight Rate Average (SORA) (ABS, 30 August 2019)
Response to Feedback Received on Proposed Roadmap for Transition from SOR to SORA (ABS/SC-STS, 19 March 2020)
SIBOR Reform and the Future Landscape for SGD Interest Rate Benchmarks (ABS/SC-STS, 29 July 2020)
Response to Feedback on SIBOR Reform and the Future Landscape for SGD Interest Rate Benchmarks Consultation (The Association of Banks in Singapore, Singapore Foreign Exchange Market Committee, and Steering Committee for SOR & SIBOR Transition to SORA, 11 December 2020)
BBSW Fall-back methodology – Consultation on stage three Bank Bill Futures algorithm (ASX, 16 January 2020)
BBSW Methodology Enhancements Consultation (ASX, 27 July 2020)
Discussion Paper: Alternative Reference Rate and Strategic Direction on KLIBOR and KLIRR for the Malaysian Financial Markets (Bank Negara Malaysia, 19 May 2021)
Public Consultation on the Treatment of Tough Legacy Contracts in Japan (Bank of Japan, 28 September 2021)
Final Report on the Results of the Public Consultation on the Treatment of Tough Legacy Contracts in Japan (Bank of Japan, 19 November 2021)
Consultation on Adjustment Spreads for the Conversion of Legacy SOR Contracts to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 18 May 2022)
Response to Consultation Feedback - Consultation on Adjustment Spreads for the Conversion of Legacy SOR Contracts to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 18 July 2022)
Public Consultation on fallback issues for JBA TIBOR (JBA TIBOR Administration, 1 August 2022)
Consultation on Adjustment Spreads for the Conversion of Legacy SIBOR Loans to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 15 March 2023)
Adjustment Spreads for the Conversion of SIBOR Loans to SORA - Response to Consultation Feedback and Final Recommendations (Steering Committee for the SOR & SIBOR Transition to SORA, 30 June 2023)
Public Consultation on permanent cessation of Euroyen TIBOR and related issues (JBA TIBOR Administration, 1 August 2023)
Other Working Group Resources
Study on the Implications of Financial Benchmark Reforms (Working Group on Financial Markets of the Executives’ Meeting of East Asia-Pacific Central Banks, 24 September 2019)
ASX Bank Bill Swap (BBSW) Conventions and BBSW Methodology - Fallback provisions addressed in Section 6.1 (ASX, 10 February 2020)
Summary of Results of Survey of Japanese Financial Institutions on LIBOR Exposures and Transition Progress (BOJ, 13 March 2020)
Industry Steering Committee Sets Out Key Priorities to Achieve Smooth Transition to SORA (ABS/SC-STS, 19 March 2020)
Updated SC-STS Transition Roadmap: Key Priorities (ABS/SC-STS, 19 March 2020 and updated May 2020 and July 2020)
IBOR Transition Guide for Asia (ASIFMA/APLMA/ICMA/ISDA, 10 July 2020)
Singapore Overnight Rate Average (“SORA”) - Key Features and Calculation Methodology (MAS, 5 August 2020)
Compounded Singapore Overnight Rate Average Index (“SORA Index”), Compounded SORA and MAS Floating Rate Notes (“MAS FRN”): A User Guide (MAS, 1 September 2020)
SC-STS Outlines Role of Fallback Rate Arrangements for SOR Derivatives and new webpage dedicated to the role of fallbacks in benchmark transition (SC-STS, 1 September 2020)
Industry Steering Committee Announces Timelines to Cease Issuance of SOR-Linked Financial Products, and Publishes Market Guidance to Support Transition to SORA (ABS/SC-STS, 27 October 2020)
Timelines to Cease Issuance of SGD Swap Offer Rate (SOR) Linked Financial Products (ABS/SC-STS, 27 October 2020)
Overview on the Usage of SORA in Loans – Customer Segments and Preferences (ABS/SC-STS, 27 October 2020)
SORA Market Compendium: Transition from SOR to SORA (ABS/SC-STS, 27 October 2020)
End-User Checklist on Benchmark Transition (ABS/SC-STS, 27 October 2020)
Interest Rate Benchmark Brochure (ASX, 28 October 2020)
Reports from the 5 November 2020 Meeting of the Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks (BOJ, 5 November 2020)
SORA – A Guide for Corporates and SMEs (Association of Banks in Singapore, 30 November 2020)
Example of the spread adjustment methodology using the "historical median approach over a 5-year lookback period" applicable to TIBOR as the replacement benchmark for loans (BOJ, 30 November 2020)
Roadmap to Prepare for the Discontinuation of LIBOR (BOJ 30 November 2020)
TONA (Fixing in Arrears) Conventions to Use in Loans (BOJ, 25 December 2020)
SOR Transition to SORA – FAQs for Corporates (SC-STS, 4 January 2021)
Industry Steering Committee Announces Further Measures to Boost SORA Transition (SC-STS, 2 February 2021)
Updated SC-STS Transition Roadmap: Top Priorities 2021/2022 (SC-STS, 2 February 2021)
Summary of Survey Results on the Use of LIBOR and Main Actions Needed (BOJ, 13 March 2020)
Preparations for the Discontinuation of LIBOR in the JPY interest rate swaps market (BOJ, 26 March 2021)
Report of the Subgroup for the Development of Term Reference Rates (Bank of Japan, 26 March 2021)
Update on "Roadmap to Prepare for the Discontinuation of Japanese Yen LIBOR" (Bank of Japan, 16 April 2021)
Roadmap to Prepare for the Discontinuation of Japanese Yen LIBOR (Bank of Japan, 16 April 2021)
New Timelines to Cease Issuance of SOR Derivatives and SIBOR-Linked Financial Products (Association of Banks in Singapore, 31 March 2021)
Statement regarding Calculation and Publication of Production Rates for Term Reference Rates (BOJ, 26 April 2021)
Key Results of the Survey on the Use of LIBOR (Bank of Japan, 19 May 2021)
Leaflet: Transitioning away from LIBOR – Important Points to Note for Corporate Treasurers (Hong Kong Monetary Authority and Treasury Markets Authority, 8 July 2021)
Transitioning away from LIBOR: Q&As for Corporate Treasurers (Hong Kong Monetary Authority and Treasury Markets Authority, 8 July 2021)
Updated: SORA – A Guide for Corporates and SMEs (Association of Banks in Singapore, 15 July 2021)
Recommendations for Transition of Legacy SOR Contracts (Association of Banks in Singapore, 29 July 2021)
Updated Timelines to Cease Issuance of SOR and SIBOR-Linked Financial Products (Association of Banks in Singapore, 5 August 2021)
Key Results of Results of the Brief Survey on the Use of JPY LIBOR (Bank of Japan, 1 November 2021)
Update to the SORA Market Compendium: Transition from SOR to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 17 November 2021)
FAQs on Transition of Legacy SOR Loan Contracts (Steering Committee for SOR & SIBOR Transition to SORA, 15 December 2021)
Key Results of the Third Survey on the Use of LIBOR (Bank of Japan, 31 March 2022)
Minutes - First Meeting of Cross-Industry Forum on Interest Rate Benchmarks (Bank of Japan, 21 April 2022)
Review of JPY LIBOR Transition and Future Initiatives (Bank of Japan, 30 May 2022)
Central Clearing of SORA Derivatives Extended to 31-Year Tenor (Steering Committee for SOR & SIBOR Transition to SORA, 20 June 2022)
Update to the SORA Market Compendium: Transition from SOR to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 17 November 2021, with minor corrections 7 July 2022)
Industry Steering Committee Finalises the Key Settings of the MAS Recommended Rate and Supplementary Guidance for Active Transition of Legacy Wholesale Market SOR Contracts to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 18 July 2022)
Timelines to Cease Issuance Of SOR And SIBOR-Linked Financial Products (Steering Committee for SOR & SIBOR Transition to SORA, 18 July 2022)
Minutes - Second Meeting of Cross-Industry Forum on Interest Rate Benchmarks (Bank of Japan, 9 September 2022)
Further updated SC-STS Transition Roadmap (Steering Committee for SOR & SIBOR Transition to SORA, 19 October 2022)
Implementation of Supplementary Guidance on Adjustment Spreads for the Conversion of Legacy SOR Loans to SORA (Steering Committee for SOR & SIBOR Transition to SORA, 14 December 2022)
Adjustment Spread Calculator for Active Transition of Institutional SOR Contracts (Steering Committee for SOR & SIBOR Transition to SORA, 14 December 2022)
SIBOR to SORA Transition Commences (Steering Committee for SOR & SIBOR Transition to SORA, 15 March 2023)
Key Results of the Survey on the Use of LIBOR (Bank of Japan, 24 March 2023)
SC-STS Confirms No Continued Publication of SOR After 30 June 2023 (Steering Committee for the SOR & SIBOR Transition to SORA, 19 May 2023)
Guidance on Spread Adjustments for the Transition of Legacy Fixed Rate Debt Securities Referencing SOR IRS (Steering Committee for the SOR & SIBOR Transition to SORA, 13 June 2023)
Adjustment Spread Calculator for Active Transition of Institutional SOR Contracts (Steering Committee for the SOR & SIBOR Transition to SORA, 26 June 2023)
Final Transition Approach for SIBOR Loans to SORA (Steering Committee for the SOR & SIBOR Transition to SORA, 30 June 2023)
Notice of Publication of MAS Recommended Rate by Bloomberg Index Services Limited (Steering Committee for the SOR & SIBOR Transition to SORA, 10 July 2023)
Calculation Methodology for SIBOR to SORA Adjustment Spread (Retail) – Spot-Spread (Steering Committee for the SOR & SIBOR Transition to SORA, 4 September 2023)
Summary of Results of the Fifth Survey on the Use of LIBOR (Bank of Japan, 29 September 2023)
Regulatory Notices and Statements
Circular on Interest Rate Benchmark Reform Developments (HKMA, 23 October 2019)
Letter informing ISDA of SC-STS 'support for the use of Adjusted SOR in the ISDA fallback approach (SC-STS, 11 December 2019)
Interest Rate Benchmark Reform (The Reserve Bank of New Zealand, 28 January 2020)
Interest Rate Benchmark Reform in Japan – speech by Deputy Governor Amamiya (BOJ, 30 January 2020)
Determination of the Calculating and Publishing Entity of Prototype Rates for Term Reference Rates (BOJ, 26 Feb 2020)
Transition Plan for switching to SOFR and €STR discounting (OTC Clearing Hong Kong Limited, 2 March 2020)
Preparation for LIBOR Transition – May 2019 “Dear CEO” letter feedback (ASIC, 8 April 2020)
Memorandum of Understanding regarding use of Singapore financial benchmarks in the EU and related cooperation arrangements (ESMA and MAS, 17 April 2020)
Letter to Authorized Institutions re Results of Survey on Reform of Interest Rate Benchmarks and related Summary of 4Q2019 Survey Results (HKMA, 23 April 2020)
Statement regarding Calculation and Publication of Prototype Rates for Term Reference Rates (BOJ, 26 May 2020)
Australian Securities and Investments Commission “Dear CEO” letter to the top 100 Australian-listed companies regarding their preparations for LIBOR transition (ASIC, 27 May 2020)
Letter to CEOs of Major Financial Institutions re Taking Actions for Permanent Cessation of LIBOR (BOJ, 1 June 2020)
Singapore Makes Significant Progress in Preparing for the SOR to SORA Transition (ABS/SC-STS, 29 June 2020)
Letter to Authorized Institutions re latest Interest Rate Benchmark Reform Survey results and Key Milestones to be achieved, with 2Q2020 Survey Results and Latest Developments in relation to Benchmark Reform (HKMA, 10 July 2020)
Transitioning Away from LIBOR: Points to Note for Corporate Treasurers (TMA, 13 July 2020)
Letter to Authorized Institutions providing guidance re application of Basel Framework FAQs (HKMA, 23 July 2020)
Media Release: Joint Industry Consultation on the SIBOR Reform and a Shift to a SORA-centered SGD Interest Rate Market (SC-STS, 29 July 2020
Singapore Overnight Rate Average (SORA): Statement of Compliance with the IOSCO Principles for Financial Benchmarks (MAS, 5 August 2020)
Financial Institutions' Preparedness for LIBOR Cessation and Future Actions with a Focus on the Results of the Joint Survey by the Financial Services Agency and the Bank of Japan (BOJ, 11 August 2020)
Letter to Member Banks and Institutions re Adherence to the ISDA IBOR Fallback Protocol (ABS/SC-STS, 18 August 2020)
Keynote Speech by Steering Committee Chairman, Samuel Tsien, re SGD Interest Rate Landscape Changes (SC-STS, 9 September 2020)
Keynote Speech by MAS Deputy Managing Director, Jacqueline Loh, re SGD Interest Rate Landscape Changes (Monetary Authority of Singapore, 9 September 2020)
TMA WGARR Statement on ISDA IBOR Fallbacks Supplement and Protocol (TMA, 12 October 2020)
Letter to Authorized Institutions Requesting Adherence to ISDA Protocol (HKMA, 16 October 2020)
Joint Media Release #2020-25 - Regulators urge Australian institutions to adhere to the ISDA IBOR Fallbacks Protocol and Supplement (Reserve Bank of Australia, 13 October 2020)
Letter to Authorized Institutions re Customer Protection in respect of Reform of Interest Rate Benchmarks (HKMA, 21 October 2020)
Statement regarding Adherence to the IBOR Fallbacks Protocol Launched by ISDA (BOJ, 6 November 2020)
TMA’s administered benchmarks are IOSCO compliant (TMA, 9 November 2020)
Benchmark Reforms – speech by Christopher Kent, Assistant Governor Financial Markets, Reserve Bank of Australia (Australian Securitisation Forum, 17 November 2020)
Interest Rate Benchmark Reform in Japan - Speech of Deputy Governor Amamiya (Kin'yu Konwa Kai (Financial Discussion Meeting), 30 January 2021)
Response to FCA Consultation on proposed policy with respect to the exercise of the FCA's powers under new Article 23D (BOJ, 3 February 2021)
Central Clearing of SORA Derivatives Extended to 21-Year Tenor (SC-STS, 22 February 2021)
Response to the announcement on the end date of LIBOR panel publication and the announcement on the intention to consult on the publication of synthetic yen LIBOR (BOJ and Financial Services Agency, 8 March 2021)
Response to the Letter regarding Transitioning Away from LIBOR, Published Jointly by the FSA and BOJ (BOJ, 11 March 2021)
Keynote Address at ISDA Virtual Conference: Benchmark Strategies Forum Asia Pacific – speech by Edmond Lau, Senior Executive Director (HKMA, 17 March 2021)
The End of LIBOR and the Australian Market – speech of Assistant Governor Christopher Kent at the ISDA Virtual Conference: Benchmark Strategies Forum Asia Pacific (Reserve Bank of Australia, 18 March 2021)
Letter to Authorized Institutions re Reform of Interest Rate Benchmarks (HKMA, 25 March 2021)
Compliance with "IOSCO Principles for Financial Benchmarks (19 Principles)" (JBA TIBOR Administration, 29 March 2021)
Compliance Assessment with IOSCO Principles (JBA TIBOR Administration, 29 March 2021)
Financial Stability Review - The Transition Away from LIBOR (Reserve Bank of Australia, April 2021)
Regulators expect Australian institutions to cease the use of LIBOR in new contracts before the end of 2021 (Reserve Bank of Australia, 4 June 2021)
LIBOR Transition in the Final Stage: There will be No Deus ex Machina – Speech by Deputy Governor Amamiya at NIKKEI Financial Online Seminar (Bank of Japan, 8 June 2021)
Letter to Authorised Institutions re Reform of interest rate benchmarks (Hong Kong Monetary Authority, 8 July 2021)
Cessation of LIBOR: Transition Arrangements (Reserve Bank of India, 8 July 2021)
Roadmap for LIBOR Transition (Reserve Bank of India, 8 July 2021)
Transition of Quoting Conventions in the JPY interest rate swaps market (“TONA First”) (BOJ, 26 July 2021)
Media Release: Recommendations for Transition of Legacy SOR Contracts (Association of Banks in Singapore, 29 July 2021)
Transition of Quoting Conventions in the Cross-Currency Swap Market (Bank of Japan, 13 August 2021)
Letter to Authorised Institutions re Reform of Interest Rate Benchmarks (Hong Kong Monetary Authority, 19 August 2021)
Response to Consultation on proposed decision under Article 23D Benchmarks Regulation for 6 sterling and yen LIBOR settings (Bank of Japan, 26 August 2021)
Media Release 2021-20: Robust Fallbacks Required for BBSW Securities (Reserve Bank of Australia, 13 September 2021)
Letter to Authorized Institutions re Reform of Interest Rate Benchmarks (HKMA, 14 September 2021)
Statement on the Cessation on the initiation of new interest rate swaps referencing JPY LIBOR (Bank of Japan, 28 September 2021)
Joint Letter to Financial Institutions regarding Final Report on the Results of the Public Consultation on the Treatment of Tough Legacy Contracts in Japan (Bank of Japan and Financial Services Agency, 25 November 2021)
Letter to Authorized Institutions re Reform of Interest Rate Benchmarks (Hong Kong Monetary Authority, 23 December 2021)
Fallbacks for BBSW Securities (Reserve Bank of Australia, 16 June 2022)
Reform of interest rate benchmarks (Hong Kong Monetary Authority, 19 December 2022)
Reform of interest rate benchmarks (Hong Kong Monetary Authority, 14 April 2023)
LIBOR Cover Note for Corporate Treasurers (Hong Kong Monetary Authority, 14 April 2023)
Transitioning away from LIBOR: Q&As for Corporate Treasurers (Hong Kong Monetary Authority, 14 April 2023)
Other Helpful Resources
ASPAC LIBOR Readiness Report – Indonesia Edition, with regional updates (KPMG, 31 January 2020)
Asia-Pacific to Tackle USD 190 billion of tough legacy bonds as LIBOR transition looms (ICMA, 25 May 2021)
Guide to Tough Legacy Bonds in Asia-Pacific (ICMA and Bloomberg, 25 May 2021)
Developments in Japanese Yen LIBOR transition: the Japanese perspective (ICMA, 8 July 2021)
The end of LIBOR (TMA and APLMA, 14 September 2021)
White Paper on Across-the-Curve Credit Spread Indices (AXI) for China – English Version and Chinese Version (XIN Fintech Research Center of Tsinghua University, 20 June 2022)
Chinese AXI can work with the depository-institutions repo rate (DR) to serve as a reference credit spread for Chinese commercial banks to conduct credit pricing and risk management (SOFR Academy, 27 July 2022)
Refinitiv to cease Tokyo Swap Rate (for swaps referencing TIBOR) (Refinitiv, 31 October 2022)
Tokyo Swap Rate Outcome Statement and Tokyo Swap Rate (for Swaps Referencing TIBOR) Cessation Notice (Refinitiv, 31 October 2022)
ISDA Statement on JBATA Consultation on Euroyen TIBOR (International Swaps and Derivatives Association, 1 August 2023)
Global
Principal Regulatory Authorities, Committees, and Trade Organizations
International Swaps and Derivatives Association
Official Sector Steering Group of the Financial Stability Board - comprised of Financial Stability Board members from Australia, Brazil, Canada, Hong Kong, Japan, Mexico, Singapore, South Africa, Switzerland, UK and US, as well as the European Central Bank, European Banking Authority, European Supervisory and Markets Authority, and the International Organization of Securities Commissions
International Capital Market Association
Consultations and Recommendations
Consultation on Fallbacks for Derivatives Referencing Major Non-USD IBORs (ISDA, 12 July 2018)
Results of Consultation on Major Non-USD Fallbacks (ISDA, 20 December 2018)
Consultation – Interest Rate Benchmark Reform – Proposed Amendments to IFRS 9 and IAS 39 (IASB/IFRS Foundation, May 2019)
Interest Rate Benchmark Reform – Amendments to IFRS 9, IAS 39 and IFRS 7 (IASB/IFRS Foundation, 26 September 2019)
Supplemental Consultation for Derivatives Referencing USD LIBOR, CDOR and HIBOR (ISDA, 16 May 2019)
Results of USD LIBOR, CDOR and HIBOR Supplemental Consultation (ISDA, 18 September 2019)
Consultation on Pre-Cessation Issues (ISDA, 16 May 2019)
Results of Pre-Cessation Consultation (ISDA, 21 October 2019)
Consultation on Final Parameters for Spread and Term Adjustments for Key IBORs (ISDA, 18 September 2019)
Results of Key IBORs Final Parameters Consultation (ISDA, 15 November 2019)
Supplemental Consultation on Spread and Term Adjustments and Final Parameters for Fallbacks referencing EUR LIBOR, EURIBOR and lesser used IBORs (ISDA, 18 December 2019)
Results of Supplemental Consultation re Fallbacks for EUR LIBOR, EURIBOR and lesser used IBORs (ISDA, 5 March 2020)
2020 Consultation on Implementation of Pre-Cessation Fallbacks in Derivatives (ISDA, 25 February, 2020)
ISDA Announces Preliminary Results of Consultation on Pre-cessation Fallbacks for LIBOR (ISDA, 15 April 2020)
Summary of Final Responses to the ISDA 2020 Consultation on How to Implement PreCessation Fallbacks in Derivatives (ISDA/Brattle Group, 14 May 2020)
Interest Rate Benchmark Reform — Phase 2: Proposed amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 and related Snapshot Overview of Proposed Amendments (IASB, 9 April 2020)
IBOR Reform and its Effect on Financial Reporting – Phase 2: Summary of Exposure Draft Feedback (IASB, 23-25 June 2020)
IFRS Taxonomy 2020: Interest Rate Benchmark Reform-Phase 2 (IFRS, 27 August 2020)
Supplement No. 70 - Amendments to the 2006 ISDA Definitions to include new IBOR Fallbacks (ISDA, 23 October 2020)
ISDA 2020 IBOR Fallbacks Protocol (ISDA, 23 October 2020)
Exposure Draft Proposed Accounting Standards Update – Reference Rate Reform (Topic 848): Scope Refinement (FASB, 29 October 2020)
Tentative decision regarding the comment letter feedback received on its proposed Accounting Standards Update, Reference Rate Reform (Topic 848): Scope Refinement (FASB, 17 December 2020)
2021 Consultation on Fallbacks for GBP LIBOR® ICE Swap Rate® and USD LIBOR® ICE Swap Rate® (International Swaps and Derivatives Association, 11 June 2021)
ISDA Announces Results of Consultation on Fallbacks for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate (ISDA, 23 July 2021)
ICE SWAP Rate® based on USD LIBOR® - Consultation on Potential Cessation (ICE Benchmark Administration, 30 August 2022)
ICE SWAP Rate® based on USD LIBOR® - Feedback Statement on Consultation on Potential Cessation (ICE Benchmark Administration, 14 November 2022)
Regulatory Notices and Statements
ISDA letter to U.S. Department of Justice re amendment of ISDA standardized documentation to account for IBOR cessation (ISDA, 4 June 2019)
Letter to ISDA from FCA re interaction of cessation and loss of representativeness (25 June 2020)
FSB statement on the impact of COVID-19 on global benchmark reform (FSB, 1 July 2020)
Letter to RFR Working Groups re ISDA Fallback Protocol (ISDA, 22 July 2020)
ISDA Board Statement on Adherence to the IBOR Fallback Protocol (ISDA, 29 July 2020)
Interest Rate Benchmark Reform–Part 2: Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4, and IFRS 16 (IFRS, 27 August 2020)
Letter to Regulators re Timing of the ISDA IBOR Fallbacks Protocol (ISDA, 21 September 2020)
BIS Working Paper No 891 - At the crossroads in the transition away from LIBOR: from overnight to term rates (Bank for International Settlements, 8 October 2020)
ISDA Board Statement on the IBOR Fallbacks Supplement and Protocol (ISDA, 9 October 2020)
FSB encourages broad and timely adherence to the ISDA IBOR Fallbacks Protocol (FSB, 9 October 2020)
IBOR Alternative Reference Rates Disclosure (ISDA, 9 October 2020)
ISDA Launches IBOR Fallbacks Supplement and Protocol (ISDA, 23 October 2020)
A Major Milestone for Benchmark Reform – speech of ISDA CEO, Scott O’Malia (ISDA, 26 October 2020)
ISDA Statement on IBA and UK FCA Announcements on LIBOR Consultations (ISDA, 18 November 2020)
ISDA Statement on IBA, UK FCA and Federal Reserve Board Announcements on US Dollar LIBOR Consultation (International Swaps and Derivatives Association, 30 November 2020)
Countdown to New Fallbacks – speech of ISDA CEO, Scott O’Malia (ISDA, 14 January 2021)
New IBOR Fallbacks Take Effect for Derivatives (ISDA, 25 January 2021)
A Big Milestone for Benchmark Reform - speech of ISDA CEO, Scott O’Malia (ISDA, 27 January 2021)
LIBOR Cessation and the Impact on Fallbacks – informal comments by ISDA CEO, Scott O’Malia (ISDA, 5 March 2021)
ISDA Statement on JBATA Announcement on Yen TIBOR and Euroyen TIBOR (ISDA, 29 March 2021)
No Delay for US Dollar LIBOR - informal comments by ISDA CEO, Scott O’Malia (ISDA, 22 April 2021)
Statement on Benchmarks Transition (IOSCO, 2 June 2021)
Statement supporting the use of ISDA spread adjustments in cash products (FSB, 2 June 2021)
Statement on smooth and timely transition away from LIBOR (FSB, 2 June 2021)
ISDA response to FCA on the use of powers over use of critical benchmarks under the Benchmarks Regulation (ISDA, 17 June 2021)
FSB urges action to complete the transition away from LIBOR by end-2021 (Financial Stability Board, 6 July 2021)
The LIBOR End Game – informal remarks by CEO Scott O’Malia (ISDA, 23 July 2021)
ISDA Responds to FCA on LIBOR Transition and the DTO (International Swaps and Derivatives Association, 25 August 2021)
Statement on Credit Sensitive Rates (IOSCO, 8 September 2021)
Letter from FCA to ISDA re Fallbacks to BSBY and compliance with BMR fallback requirements (FCA, 17 September 2021) and related response from ISDA to FCA re Fallbacks for ‘Credit Sensitive Rates’ (ISDA, 23 September 2021)
Letter from Federal Reserve Board to ISDA re reference to supervisory authorities in the fallback waterfall for BSBY and Ameribor (FRB, 20 September 2021) and related response from ISDA to FRB re Fallbacks for ‘Credit Sensitive Rates’ (ISDA, 23 September 2021)
ISDA response to the Bank of England consultation re Derivatives clearing obligation – modifications to reflect interest rate benchmark reform: Amendments to BTS 2015/2205 (International Swaps and Derivatives Association, 23 September 2021)
ISDA response to the Bank of England consultation Derivatives clearing obligation – introduction of contracts referencing TONA: Amendment to BTS 2015/2205 (International Swaps and Derivatives Association, 26 October 2021)
Opening Remarks – speech by Scott O’Malia at the 2021 ISDA Regional Events (International Swaps and Derivatives Association, 27 October 2021)
ISDA Statement on CARR and RBSL Announcements on CDOR (International Swaps and Derivatives Association, 17 December 2021)
ISDA Responds to CFTC’s Consultation on Clearing Requirements in Relation to LIBOR Transition (International Swaps and Derivatives Association, 25 January 2022)
ISDA Statement on RBSL Consultation on CDOR (International Swaps and Derivatives Association, 31 January 2022)
FSB statement welcoming smooth transition away from LIBOR (Financial Stability Board, 5 April 2022)
ISDA Statement on RBSL CDOR Announcement (International Swaps and Derivatives Associate, 16 May 2022)
June 2022 Benchmark Module of the ISDA 2021 Fallbacks Protocol (International Swaps and Derivatives Associate, 15 June 2022)
ISDA Guidance - Bloomberg published Fallback Rates: Interaction between RFR publications, IBOR Fallback publications and the ISDA Definitions (International Swaps and Derivatives Associate, 8 September 2022)
Future Cessation Guidance – 2021 ISDA Interest Rate Derivatives Definitions and 2006 ISDA Definitions - Tokyo Swap Rate (for swaps referencing TIBOR) (International Swaps and Derivatives Associate, 21 November 2022)
Progress Report on LIBOR and Other Benchmarks Transition Issues (Financial Stability Board, 16 December 2022)
ICMA Response to FCA Consultation Paper CP22/21 on ‘Synthetic’ US Dollar LIBOR (International Capital Markets Association, 20 December 2022)
ISDA Guidance - Bloomberg published Fallback Rates: Interaction between RFR publications, IBOR Fallback publications and the ISDA Definitions (ISDA, 10 March 2023)
IOSCO Board Priorities – Work Program 2023-2024 (5 April 2023)
Future Cessation Guidance – 2021 ISDA Interest Rate Derivatives Definitions and 2006 ISDA Definitions - IBA announcement of future permanent cessation of USD LIBOR ICE Swap Rate® (ISDA, 28 November 2022 and updated 13 April 2023)
FSB Statement to encourage final preparations for the USD LIBOR transition (Financial Stability Board, 27 April 2023)
Statement on Alternatives to USD LIBOR (International Organization of Securities Commissions, 3 July 2023)
Final Reflections on the LIBOR Transition (Financial Stability Board, 28 July 2023)
Future Cessation Guidance - 2021 ISDA Interest Rate Derivatives Definitions, 2006 ISDA Definitions and 2018 ISDA Benchmarks Supplement Future Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) (International Swaps and Derivatives Association, 20 November 2023)
Other Helpful Resources
Overnight Risk-Free Rates – A User’s Guide (FSB, 4 June 2019)
Reforming major interest rate benchmarks – Progress Report (FSB, 18 December 2019)
IBOR Fallback Rate Adjustments FAQs (ISDA, updated 4 February 2020)
Adoption of Risk-Free Rates: Major Developments in 2020 (ISDA, 12 February 2020)
Key Workstreams Related to Interest Rate Reform (ISDA, 12 February 2020)
A quick guide to the transition to risk-free rates in the international bond market (ICMA, 27 February 2020)
Updated Timeline for Implementation of IBOR Fallbacks (ISDA, 28 February 2020)
IBOR Fallback Rate Adjustments Rule Book (ISDA and Bloomberg, 22 April 2020)
ISDA Quarterly (ISDA, 11 May 2020) –Risk-Free Rate transition progress discussed at pages 40-47
Dedicated Benchmark Reform and Transition from LIBOR webpage (ISDA, launched 11 May 2020 and updated regularly)
Benchmark Update – Key 2020 Milestones and ISDA Deliverables for Derivatives (ISDA, May 2020)
Understanding Benchmark Fallbacks – Interview with Ann Battle, ISDA Head of Benchmark Reform (ISDA, 3 June 2020)
Understanding IBOR Benchmark Fallbacks – Factsheet (ISDA, 3 June 2020)
Transition to risk free rates: an official sector panel discussion – representatives from the FCA, FRBNY, ECB, SNB, EIB, and host ICMA discuss transition progress to date, remaining challenges (including legacy contracts), and the importance of international coordination (Webcast, 25 June 2020)
Tackling Tough Legacy, Comments of ISDA’s CEO re proposed new FCA powers (DerivatiViews, ISDA, 26 June 2020)
Briefing Paper: The Importance of Reforming the EU Benchmark Regulation (ISDA, FIA, ASIGMA, GFMA, AFME, SIFMA, 29 June 2020)
IBOR Fallbacks Fact Sheet (ISDA, 29 June 2020)
Supervisory Issues Associated With Benchmark Transition – Report to the G20 (FSB/BCBS , 9 July 2020)
Benchmark Reform at a Glance (ISDA, 16 July 2020)
Interest Rate Benchmarks Review: First Half of 2020 and Second Quarter of 2020 (ISDA, 21 July 2020)
Bloomberg Begins Publishing Calculations Related to IBOR Fallbacks (21 July 2020)
IBOR Fallback Rates (Delayed data) – covering AUD, CAD, CHF, EUR, GBP, HKD, JPY, and USD (Bloomberg, launched 21 July 2020)
White Paper re methodology for Clarus-ISDA RFR Adoption Indicator (ISDA, 28 July 2020)
ISDA Quarterly – Asian Options (ISDA, 3 September 2020)
Updating the Fallbacks Timetable (ISDA, 23 September 2020)
RFR Conventions and IBOR Fallbacks – Product Table (ISDA, 28 September 2020)
Global Transition Roadmap for LIBOR (FSB, 16 October 2020)
ISDA 2020 IBOR Fallbacks Protocol FAQs (ISDA, 23 October 2020)
Reforming Major Interest Rate Benchmarks – 2020 Progress Report (Financial Stability Board, 20 November 2020)
The Path Forward for LIBOR (ISDA webcast, 4 December 2020)
The Path Forward for LIBOR (Transcript of ISDA webcast, 4 December 2020)
Transition to RFRs Review: Full Year 2020 and the Fourth Quarter of 2020 (ISDA, 28 January 2021)
ISDA Press Briefing: The End of LIBOR – What It Means For Derivatives Markets (ISDA, 29 March 2021)
Adoption of RFRs: Major Developments in 2021 (International Swaps and Derivatives Association, 12 April 2021)
Transition to Risk-Free Rates (ICMA, 14 April 2021)
Transition to RFRs Review: First Quarter of 2021 (ISDA, 27 April 2021)
ICMA's Official Sector Panel on the Transition to Risk Free Rates (ICMA, FRB, FCA, ECB, and SNB, 2 June 2021)
FSB issues statements to support a smooth transition away from LIBOR by end 2021 (FSB, 2 June 2021)
Updated Global Transition Roadmap (FSB, 2 June 2021)
Report on interest rate benchmark reform (FSB, 2 June 2021)
Documenting RFR derivatives using different approaches to compounding/averaging under the 2006 ISDA Definitions (ISDA, 25 June 2021)
Progress Report to the G20 on LIBOR transition issues: Recent developments, supervisory issues and next steps (Financial Stability Board, 6 July 2021)
Updated IBOR Fallbacks Fact Sheet (ISDA, 13 July 2021)
Updated IBOR Fallback Rate Adjustments FAQs (ISDA, 13 July 2021)
ISDA Introduces New Benchmark Reform and Transition from LIBOR InfoHub (ISDA, 19 July 2021)
ISDA, NAFMII Publish Chinese Language IBOR Fallbacks Documents (ISDA, 30 July 2021)
IBOR Fallbacks Supplemental Agreement to the 2009 NAFMII Master Agreement (ISDA and NAFMII, 30 July 2021)
IBOR Fallbacks Booklet for China Interbank Market Financial Derivatives Transactions (ISDA and NAFMII, 30 July 2021)
RFR Conventions and IBOR Fallbacks – Product Table (ISDA, 4 October 2021)
The transition from LIBOR: “tough legacy” bonds (ICMA, 12 October 2021) – starting on page 8
Swaption Outcomes with and without application of the terms of Supplement 70 (International Swaps and Derivatives Association, 4 November 2021)
Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021 (International Swaps and Derivatives Association, 4 November 2021)
IIFM and ISDA publish IBOR Fallback Bilateral Amendment Agreement and Definitions Booklet (International Swaps and Derivatives Association, 14 December 2021)
ISDA Publishes New Fallbacks for Additional IBORs (International Swaps and Derivatives Association, 16 December 2021)
Future Cessation Guidance – 2006 ISDA Definitions – IBA announcements of future permanent cessation of GBP LIBOR ICE Swap Rate (ISDA, 4 August 2021 and updated 6 January 2022)
Transition from LIBOR to Risk-Free Rates (page 57) (International Capital Market Association, 12 January 2022 (First Quarter 2022))
Guidance Note – Linear Interpolation (International Swaps and Derivatives Association, 3 February 2022)
Market Practice Note - Effective Dates for SOFR Swaps Using Different Payment/Reset Date Calendars (International Swaps and Derivatives Associate, 8 April 2022)
Future Cessation Guidance – 2006 ISDA Definitions and 2021 ISDA Interest Rate Derivatives Definitions - Refinitiv announcement of future permanent cessation of remaining CDOR tenors (International Swaps and Derivatives Associate, 16 May 2022)
Fallbacks for GBP LIBOR ICE Swap Rate & USD LIBOR ICE Swap Rate – FAQs (International Swaps and Derivatives Associate, 15 June 2022)
Differences between the June 2022 USD ISR Fallbacks Module, the November 2021 Amendment Agreement for USD ISR Fallbacks and the Updated Amendment Agreement for USD ISR Fallbacks (International Swaps and Derivatives Associate, 15 June 2022)
Quarterly Assessment: The transition of legacy US dollar LIBOR bonds under English law (International Capital Markets Association, Fourth Quarter 2022)
Progress on Global Transition to RFRs in Derivatives Markets (ISDA, 15 March 2023)
ISDA-Clarus March 2023 RFR Adoption Indicator (ISDA, 11 April 2023)
Webinar: USD Libor Final Steps (ISDA, 13 April 2023) – Webcast and Presentation Materials
Cessation of panel bank US dollar LIBOR: implications for bonds under English law (ICMA, 18 and 13 April 2023) – podcast and article
Updating Term SOFR (DerivatiViews, ISDA, 27 April 2023)
Transition to RFRs Review: First Quarter of 2023 (ISDA, 3 May 2023)
ISDA Fallbacks vs. CCP Conversion – Worked Example (International Swaps and Derivatives Association, updated 26 June 2023)
IBOR Fallback Rate Adjustments Rule Book (Bloomberg Index Services Limited, updated 27 June 2023)
IBOR Fallback Rate Adjustments FAQs (Bloomberg Index Services Limited, updated 27 June 2023)
Fact Sheet – IBOR Fallbacks (Bloomberg Index Services Limited, updated 27 June 2023)
Technical Note – IBOR Fallbacks: Introduction of Additional ISDA IBOR Fallbacks (Bloomberg Index Services Limited, updated 27 June 2023)
ISDA Statement on JBATA Consultation on Euroyen TIBOR (International Swaps and Derivatives Association, 1 August 2023)
ISDA-Clarus RFR Adoption Indicator – July 2023 (International Swaps and Derivatives Association, 14 August 2023)
ISDA-Clarus RFR Adoption Indicator – August 2023 (International Swaps and Derivatives Association)
ISDA-Clarus RFR Adoption Indicator – September 2023 (International Swaps and Derivatives Association)
ISDA-Clarus RFR Adoption Indicator – October 2023 (International Swaps and Derivatives Association)
ISDA-Clarus RFR Adoption Indicator – November 2023 (International Swaps and Derivatives Association)
Highlights
