Although the key LIBORs now have transitioned to risk-free replacement rates, global transition activity continues with respect to other interbank offered, and similar, rates, and we will continue to update you on these developments.
The IBOR Transition Digest is a periodic compendium of global regulatory and market developments and insights on the complex issues confronting financial market participants as they continue to transition from LIBOR and its variants to replacement benchmark interest rates.
For additional resources and an introduction to our global cross-practice IBOR Transition Task Force, please visit Mayer Brown’s IBOR Transition portal.
Thought Leadership | News and Developments | Events
View all of our IBOR transition thought leadership under the Perspectives tab of our IBOR Transition portal page. Our Eye on IBOR Transition blog, with three years of our analysis and commentary during the key transition years, has been retired but remains available for future reference.
United States – Syndicated and Bilateral Loans
LIBOR Transition: One (Two?) Last Hurrah(s)
Loan Syndications & Trading Association, 13 September 2023
Providing loan transition data and encouraging lenders to detail the values of the various components in the new benchmark rate.
United States – General
ARRC Releases Final Reflections and Announces its Conclusion Following a Successful Transition
Alternative Reference Rates Committee, 30 November 2023
The ARRC notes that while the ARRC will wind down, the New York Fed plans to launch a new sponsored group in 2024 to focus on promoting the integrity, efficiency, and resiliency in use of reference rates across financial markets.
ARRC Closing Report: Final Reflections on the Transition from LIBOR
Alternative Reference Rates Committee, 30 November 2023
The ARRC has published a concluding report to provide a historical summary and emphasize the three areas that it believes firms should focus on going forward in order to preserve the robust system of reference rates that has been achieved: (a) active review of any reference rates that firms may consider using to ensure that they are sufficiently robust and fit for purpose; (b) the importance of appropriate fallback language for any contractual use of reference rates; and (c) maintaining an appropriate balance between use of SOFR and Term SOFR.
Index Announcement - Future Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”)
Bloomberg Professional Services, 15 November 2023
Following a review of feedback received to its 13 September 2023 consultation on the cessation of publication of the Bloomberg Short-Term Bank Yield Index (BSBY), Bloomberg Index Services announced that the publication of all tenors of BSBY will cease permanently after publication on Friday, 15 November 2024.
ARRC November 8 Meeting Readout
Alternative Reference Rates Committee, 8 November 2023
At this final meeting, the ARRC members reviewed their closing report and noted that its best practice recommendations regarding reference rates remain firmly in place going forward to help preserve the robust system of reference rates that has been achieved.
ARRC September 26 Meeting Readout
Alternative Reference Rates Committee, 26 September 2023
The Operations/Infrastructure Working Group reported that usage of the DTCC LIBOR Replacement Index Communication Tool has been smooth. The Regulatory Issues Working Group reported that it formally filed a request for Pre-Trade Mid Mark relief with the CFTC to extend the relief currently afforded to certain swaps referencing USD LIBOR to the swap market’s predominant reference rate, SOFR OIS. The request is under review.
Consultation on the Proposed Cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”)
Bloomberg Professional Services, 13 September 2023
Because BSBY’s usage within financial products is limited and unlikely to see significant growth, resulting in insufficient usage of the benchmark, Bloomberg Index Services proposes to cease publication of all tenors of BSBY after publication on 15 November 2024, and seeks market feedback and information regarding outstanding instruments linked to the rate.
Canada – Floating Rate Notes and Bonds
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
The amended recommended fallbacks align calculation methodologies of newly issued CORRA-based NHA MBS and those using the recommended fallback rate.
CARR amends the Recommended Fallback for CDOR NHA MBS
Canadian Alternative Reference Rate Working Group, 30 November 2023
The amendment considers the uniqueness of CDOR NHA MBS compared to other CDOR-based legacy FRNs that have been affected by the CDOR transition. It applies to CDOR NHA MBS only.
Guide for Canadian companies transitioning from CDOR
Canadian Alternative Reference Rate Working Group, 30 November 2023
Providing guidance on the key points to consider when assessing the impact of the cessation of CDOR and its replacement with alternative reference rates such as CORRA, Term CORRA, or prime, including key transition dates and preparatory activities.
Canada – Derivatives
CARR publishes recommended conventions for Term CORRA swaps
Canadian Alternative Reference Rate Working Group, 16 November 2023
Recommended terms for Term CORRA to CORRA basis swaps
Canadian Alternative Reference Rate Working Group, 13 December 2023
Recommended terms for fixed rate-to-Term CORRA interest rate swaps
Canadian Alternative Reference Rate Working Group, 10 November 2023
Describing contractual terms that CARR recommends for basis swaps that exchange Canadian Overnight Repo Rate Average (CORRA) cashflows for Term CORRA cashflows and swaps that exchange Term CORRA cashflows for a fixed Canadian dollar cashflow. CARR is recommending these terms as part of a broader effort to develop and promote industry agreed market standards for products referencing risk-free rates in the Canadian marketplace, to facilitate alignment with recommended Term CORRA loan conventions and lower hedging costs.
Canada – General
CDOR Transition FAQs
Canadian Alternative Reference Rate Working Group, 13 December 2023
Updated to respond to a number of new questions across product categories.
Minutes of the Canadian Alternative Reference Rate Working Group
Canadian Alternative Reference Rate Working Group, 20 November 2023
Minutes of the Canadian Alternative Reference Rate Working Group
Canadian Alternative Reference Rate Working Group, 23 October 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, 28 August 2023
Provide reports on CDOR transition status, the official launch and adoption status of Term CORRA, and includes subgroup reports.
OSFI update on Canadian Dollar Offered Rate transition
Office of the Superintendent of Financial Institutions, 24 October 2023
Supporting CARR's “no new CDOR or BA loan” milestone and encouraging regulated financial institutions to transition their loans and funding actively to new reference rates.
CFIF recommends path for winding down BA market
Bank of Canada, 16 October 2023
The Canadian Fixed-Income Forum recommends that Canadian banks begin tapering off their BA issuance starting in November 2023 to coincide with CARR’s “no new CDOR or BA loan” milestone.
Update from the BA Transition Virtual Network
Canadian Fixed-Income Forum, 13 September 2023
The BA Transition Virtual Network subgroup of the CFIF provides an update on its activities to facilitate an orderly transition away from the bankers’ acceptance rate.
CARR finalizes the allowed uses for Term CORRA
Canadian Alternative Reference Rate Working Group, 29 August 2023
Term CORRA will be launched officially on 5 September 2023. The use of Term CORRA will be restricted to use cases developed by CARR, specifically loans and any associated derivative hedges, pursuant to approved use cases. Term CORRA will be published on the CanDeal Benchmark Administration website on a T+1 basis for free, but access to real-time data or the creation of financial contracts or instruments referencing Term CORRA will require licensing from TMX Datalinx.
CARR’s allowable use cases for Term CORRA - Finalized
Canadian Alternative Reference Rate Working Group, 29 August 2023
Approved use cases include (1) specified business loans, (2) single currency derivatives for lenders, borrowers and guarantors hedging Term CORRA based loans, (3) cross-currency derivatives for borrowers hedging Term CORRA based loans, and (4) inter-dealer trading of CORRA-Term CORRA basis swaps, with specified limitations.
Europe – General
Minutes of the 13 November Working Group Meeting
Working Group on Euro Risk-Free Rates, 12 December 2023
Discussion of the results of a EURIBOR fallbacks survey, noting the high level of fallbacks use in derivatives, compared with low use in cash products. Some respondents indicated that they were not inclined to include fallbacks until additional supportive legislation is produced, prompting working group members to consider a follow-up survey in the future to see if recent industry association fallback templates lead to increased usage.
Final Statement
Working Group on Euro Risk-Free Rates, 4 December 2023
Key points: (1) A multiple-rate environment operates in the eurozone – EURIBOR and €STR. (2) Adoption of €STR has steadily increased, creating market liquidity that has supported the publication of Term €STR. (3) Robust contractual fallbacks in both EURIBOR and €STR contracts is crucial, including the trigger events recommended by the Working Group. (4) For use cases for which Term €STR is supported, a “simple two-level waterfall structure”—Term €STR, followed by compounded €STR in arrears—is recommended. (5) The results of a 3Q2023 survey support the need to include fallbacks in all types of contracts. The Working Group agreed that its current mandate had been completed and that the Working Group in its current form will cease, with the European Securities and Markets Authority continuing to monitor benchmark transition developments in the EU.
Comparative Table of Available Term €STR Rates
Working Group on Euro Risk-Free Rates, 20 November 2023
Informs market participants about the €STR-based forward-looking term structure rates that are or may become available, with an overview of key features.
Asia & Pacific Rim – Syndicated and Bilateral Loans
Calculation Methodology for SIBOR to SORA Adjustment Spread (Retail) – Spot-Spread
Steering Committee for the SOR & SIBOR Transition to SORA, 4 September 2023
In furtherance of the two-phase retail loan transition from SIBOR to SORA, the steering committee published the adjustment computation, based on the spot spread, for the active transition period that will end on 30 April 2024. Thereafter the adjustment will be based on the 5-year historical median between the applicable SIBOR and 3-month compounded SORA.
Asia & Pacific Rim – General
Summary of Results of the Fifth Survey on the Use of LIBOR
Bank of Japan, 29 September 2023
Providing a status report on the key LIBORs, including remaining synthetic LIBORs (GBP and USD), and noting a to-be-expected significant decline in the volume of contracts using those benchmarks.
Global – Derivatives
ISDA-Clarus RFR Adoption Indicator – November 2023
ISDA-Clarus RFR Adoption Indicator – October 2023
ISDA-Clarus RFR Adoption Indicator – September 2023
ISDA-Clarus RFR Adoption Indicator – August 2023
International Swaps and Derivatives Association
Tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in eight major currencies. The indicators general show stable transition levels.
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
Updated guidance on the consequences under the ISDA 2021 Definitions, 2006 Definitions and ISDA Benchmarks Supplement that apply following the 15 November 2023 occurrence of an Index Cessation Effective Date in respect of the cessation of publication of BSBY on Monday, November 18, 2024.
MAYER BROWN EVENTS
Replays of all of our IBOR Transition Webinar Series presentations are available via iTunes podcasts, Google play or Spotify, as well as on the IBOR Transition Webinar Series page of our dedicated IBOR Transition portal.
