On March 26, 2021, the LMA published a note outlining considerations for market participants relating to the use of forward-looking term SONIA reference rates (Term SONIA Rates).
Term SONIA Rates have been available in beta form since July 2020, and available for use since 11 January 2021. Term SONIA Rates are expected to have limited…
On March 9, 2021, the Federal Reserve in its Supervision and Regulation Letter (the Letter) provided guidance to Federal Reserve examiners and supervised institutions to assist in assessing progress in preparing for the LIBOR transition.
Specifically, examiners are directed to review the supervised institutions’ “planning for, and progress in, moving away from LIBOR.” Supervised institutions…
March 5, 2021 marks an important day in the LIBOR transition process as the ICE Benchmark Administration (IBA), UK Financial Conduct Authority (FCA) and ISDA made important announcements on the cessation of LIBOR. In recent years the Bank of England and the FCA have made it clear that the lack of an active underlying market…
As the end of Q1 2021 draws closer, the Working Group on Sterling Risk-Free Reference Rates (the Working Group) published a Q&A that aims to address the end-Q1 milestone for no new GBP LIBOR lending and a best practice guide for GBP referencing loans (the Best Practice Guide) on February 26, 2021.
As discussed in…
On November 20, 2020, the working group on euro risk-free rates (the Euro Working Group) published two consultations on fallback rates to EURIBOR. Market participants were invited to provide their views on the potential events that could trigger fallback measures and the fallback rates based on the euro short-term rate (€STR) and spread adjustment methodologies.…
On February 15, 2021, the UK Treasury published a consultation paper on potential legal ‘safe harbor’ rules for legacy LIBOR-referencing contracts which have been amended by the Financial Conduct Authority (the FCA) under the Financial Services Bill.…
The U.S. Office of the Comptroller of the Currency published a three-page self-assessment tool for national banks, federal savings associations, and federal branches and agencies of foreign banking organizations to evaluate their preparedness for the expected cessation of LIBOR. The three-page “tool” poses a series of questions for each bank to answer in a self-assessment. …
On February 13, 2021, the European Union’s (EU) amendments to the Benchmarks Regulation (2016/1011) (the Amended BMR) came into force, which provides a legislative fix for the cessation of LIBOR in legacy contracts. The Amended BMR gives the European Commission (the Commission) the power to replace critical benchmarks and other relevant benchmarks if their termination…
On January 28, 2021, the UK Loan Market Association (LMA) published exposure drafts of two multicurrency term and revolving facilities agreements which incorporate, among others, backward-looking compounded risk-free rates (the Exposure Drafts). In addition, the LMA published commentary on the Exposure Drafts, which aims to assist market participants in understanding the terms thereof. The Exposure…
ISDA’s IBOR Fallbacks Supplement and Protocol came into effect today. These fallbacks, which are discussed in more detail here, will be incorporated with immediate effect into all new derivatives contracts which incorporate the 2006 ISDA Definitions, and in all legacy non-cleared derivatives where both parties have adhered to ISDA’s IBOR Fallbacks Protocol. To date,…
