Another key IBOR transition date has passed, but there still is work to be done. Active transition continues in Canada and Asia, and the final synthetic LIBOR settings—1-, 3-, and 6-month USD LIBOR—will cease publication in a couple of months.
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. With 30 June 2023 quickly approaching, it is critical to have access to comprehensive and timely resources about the market.
For additional resources and an introduction to our global cross-practice IBOR Transition Task Force, please visit Mayer Brown’s IBOR Transition portal.
News and Developments | Thought Leadership | Events
NEWS AND DEVELOPMENTS
United States – Syndicated and Bilateral Loans
End September Cessation for Libor: We Mean It!
Loan Syndications & Trading Association, 18 June 2024
Advising market participants to take stock of any existing credit agreement that references one or more of the USD settings and endeavor to transition any affected agreement to a replacement rate ahead of permanent cessation. Some technical details around permanent cessation are highlighted.
Canada – Syndicated and Bilateral Loans
CARR to begin publishing data on the transition of CDOR based loans to CORRA
Canadian Alternative Reference Rate Working Group, 15 April 2024
CARR will begin to publish two monthly reports reporting the aggregated outstanding amount of CDOR loans that have not transitioned to other benchmarks, the volume of new loans referencing CORRA and/or Term CORRA, and trading volumes of bankers’ acceptances.
Changing lanes: The road ahead post CDOR and BAs
Canadian Alternative Reference Rate Working Group and PwC, 29 February 2024
A webinar focusing on lending and hedging, and the transition away from the Bankers’ Acceptance market as the cessation of CDOR approached.
Canada – Floating Rate Notes and Bonds
CARR publishes illustrative examples on determining fallback rates on floating rate notes that reference CDOR
Canadian Alternative Reference Rate Working Group, 13 May 2024
The two published presentations clarify how CARR’s recommended fallback rate for floating rate notes that reference CDOR should be implemented for calculating the appropriate fallback rate and accrued daily compounded interest post-June 2024.
Canada – Securitizations and CLOs
Advice No. 20 - Direction to Issuers on Applicable Fallback Provisions for CDOR NHA MBS
Canada Mortgage and Housing Corporation, 15 December 2023
Confirming its determination that use of the one-month Daily Compounded CORRA calculation methodology for new NHA MBS is consistent with accepted market practice and should be used to calculate interest on all CDOR NHA MBS containing CARR-recommended NHA MBS fallback provisions effective 1 July 2024.
Canada – Derivatives
CAD CDOR Fallbacks
International Swaps and Derivatives Association, 17 June 2024
Providing a recap, and illustrating the application, of the fallbacks for CAD CDOR in the ISDA IBOR Fallbacks Supplement (Supplement 70 to the 2006 ISDA Definitions), the 2021 ISDA Interest Rate Derivatives Definitions and the ISDA 2020 IBOR Fallbacks Protocol. These slides accompany the related webcast presentation.
Canada – General
CDOR Transition FAQs
Canadian Alternative Reference Rate Working Group, 10 July 2024
The FAQs were updated to address specific use cases for Term CORRA.
CARR provides guidance for CDOR-based loans, derivatives and securities that do not have a robust fallback in place for CDOR’s cessation post June 28, 2024
Canadian Alternative Reference Rate Working Group, 10 June 2024
The new guidance identifies a best practice approach, consistent with recommended fallbacks published by both CARR and ISDA, in the event that the benchmark transition options previously outlined by CARR in its 30 April 2024 guidance, linked below, have been unsuccessful or otherwise not yet resolved.
Notice to Issuers re fallbacks for securities referencing the Canadian Dollar Offered Rate (CDOR)
Canadian Alternative Reference Rate Working Group, 3 May 2024
Advising that all securities that refer to CDOR and that have an interest rate reset date after 28 June 2024 must be transitioned to another benchmark interest rate ahead of such reset date, and recommending CORRA as the replacement benchmark. The notice also advises issuers of CDOR-linked floating rate notes and capital securities that they may request that the Canadian Depository for Securities (CDS) notify its participants via CDS Bulletin of the transition from CDOR to a fallback rate for such securities.
CDOR Cessation Reminder – Final CDOR Publication on June 28th 2024
Refinitiv Benchmark Services (UK) Limited, 30 April 2024
Reminding users of CDOR to be prepared for the cessation of all three tenors of CDOR after publication on 28 June 2024, in line with the recommendation of the Canadian Securities Administrators.
CARR reiterates that market participants with CDOR-based loans, derivatives or securities must prepare for CDOR’s cessation post June 28, 2024
Canadian Alternative Reference Rate Working Group, 30 April 2024
CARR provided important product-specific information about the transition from CDOR to CORRA, consolidating prior guidance and reminding market participants that no synthetic version of CDOR will be made available or published.
Call to action for CDOR/BA borrowers
Canadian Alternative Reference Rate Working Group, 22 February 2024
Advising that CDOR and BA-linked contracts must be transitioned (using fallbacks or amendments) in an orderly and timely manner, and the recommended methodology for replacing CDOR and BAs has been designed to preserve economic equivalence for borrowers.
Republication of Term CORRA Rates Policy
CanDeal Benchmark Solutions, April 2024
Providing a high-level overview of the methodology for calculating the Term CORRA rates, publication times and delayed release considerations.
Minutes of the Canadian Alternative Reference Rate Working Group
Canadian Alternative Reference Rate Working Group, 24 June 2024
Canadian Alternative Reference Rate Working Group, 21 May 2024
Canadian Alternative Reference Rate Working Group, 29 April 2024
Canadian Alternative Reference Rate Working Group, 25 March 2024
Canadian Alternative Reference Rate Working Group, 26 February 2024
Canadian Alternative Reference Rate Working Group, 29 January 2024
Canadian Alternative Reference Rate Working Group, 11 December 2023
Reports on CDOR transition status and details of the ongoing development and auditing of Term CORRA production and publication, and includes subgroup reports.
United Kingdom – General
Remaining synthetic US dollar LIBOR settings – 3 months to go
Financial Conduct Authority, 28 June 2024
The last remaining synthetic LIBOR settings—1-, 3- and 6-month synthetic USD LIBOR—are expected to cease after publication on Monday 30 September 2024, marking the final milestone in the transition away from LIBOR.
Article 21(3) Benchmarks Regulation – Notice of First Decision
Financial Conduct Authority, 17 May 2024
Having taken account of further feedback and information available to it, the Financial Conduct Authority has decided to require IBA to continue to publish 1-, 3-, and 6-month USD LIBOR under the existing changed, “synthetic” methodology, for a further 3 months starting immediately after publication on 28 June 2024 until immediately after final publication on 30 September 2024.
3-month synthetic sterling LIBOR – 1 month to go
Financial Conduct Authority, 29 February 2024
Reminding market participants that 3-month synthetic GBP LIBOR will cease permanently on 28 March 2024, and that all remaining synthetic USD LIBOR settings will cease to be published at the end of September 2024. Market participants must be prepared for cessation and take necessary steps to transition to robust, appropriate reference rates.
Review of the use of our Article 23D power for 3-month synthetic sterling LIBOR
Financial Conduct Authority, 29 February 2024
Analyzing whether FCA’s use of its power under Article 23D(2) of the Benchmark Regulation to require ICE Benchmark Administration to publish 3-month sterling LIBOR under a ‘synthetic’ methodology advanced consumer protection and integrity objectives. The report concluded that, given the scale of the estimated outstanding legacy contracts referencing LIBOR at the end of 2021 and potential related market disruption if those contracts were not able to continue to function, the use of its compulsion power ensured the continuity of these contracts and, consequently, FCA’s consumer protection and market integrity objectives.
Article 21(3) Benchmarks Regulation – Notice of First Decision
Financial Conduct Authority, 15 November 2023
Having taken account of further feedback and information available to it, the Financial Conduct Authority has decided to require IBA to continue to publish 3-month GBP LIBOR under the existing changed, “synthetic” methodology, for a further 3 months starting immediately after publication on 29 December 2023 until immediately after final publication on 28 March 2024
Europe – General
Final Results of EMMI Consultation Paper on Proposed Changes to Euribor® Methodology
European Money Markets Institute, 6 March 2024
EMMI’s proposed enhancements to the methodology for calculating EURIBOR, on which it consulted in October 2023, received widespread market approval. The revised methodology includes additional controls to address exceptionally adverse market conditions and will be implemented during the last half of 2024. The Summary of stakeholder feedback about the Consultation Paper on Enhancements to Euribor’s Hybrid Methodology describes the changes and phase-in plans in greater detail.
Asia & Pacific Rim – General
Singapore Overnight Rate Average (“SORA”) - Key Features and Calculation Methodology
Monetary Authority of Singapore, 24 March 2024
Contains clarifying revisions and an updated list of reporting banks.
Statement on the end of Euroyen TIBOR (Publication of the Results of Public Consultation on permanent cessation of Euroyen TIBOR and related issues)
JBA TIBOR Administration, 6 March 2024
JBA TIBOR Administration (JBATA) has announced the permanent cessation of all tenors (1- week, 1-month, 3-month, 6-month, and 12-month) of Euroyen TIBOR at the end of December 2024, in line with feedback received from market participants on the August 2023 Public Consultation on permanent cessation of Euroyen TIBOR and related issues. The Results of the Public Consultation reported unanimous support for both the permanent cessation of the rate and a cessation date of 30 December 2024. JBATA will aim to maintain and further enhance the transparency, robustness, and reliability of Japanese Yen TIBOR which continues to be published.
Global – Syndicated and Bilateral Loans
Open Letter to Loan Market Stakeholders re Outreach and action to mitigate residual loan market transition risks in developing markets from cessation of Synthetic USD LIBOR
Loan Market Association and Asia Pacific Loan Market Association, 22 July 2024
Market participants that have not completed their USD LIBOR transition activities yet should take action now to be fully prepared ahead of cessation of the remaining synthetic USD LIBOR settings. “All those with an interest in the efficient functioning of the loan markets have a shared responsibility to ensure maximum preparedness for the forthcoming deadline.”
Transition from IBORs in the Loan Market in 2024: Where Are We Now?
Loan Market Association, 17 June 2024
Reviewing recent developments in the transition of various global benchmarks, including an overview of the features of the LMA’s rate switch agreement for South Africa, and providing timeline reminders.
Global – Derivatives
ISDA Statement on JBATA’s Euroyen TIBOR Announcement
International Swaps and Derivatives Association, 6 March 2024
Announcing that the statement by JBA TIBOR Administration confirming the future cessation of all tenors of Euroyen TIBOR (linked above), constituted an index cessation event under the ISDA 2020 IBOR Fallbacks Supplement, the 2021 ISDA Interest Rate Derivatives Definitions and the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment published by Bloomberg is fixed as of 6 March 2024 for all Euroyen TIBOR settings.
THOUGHT LEADERSHIP
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.
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.
