Quick Find:
Benchmark reform and transition to risk-free rates
ICMA has been engaging with regulators and members on the global issue of benchmark reform for several years.

Most recently, ICMA’s focus is the development of Risk-Free Reference Rates (RFRs), which are being developed in response to recommendations by the Financial Stability Board (FSB) made to increase confidence in the reliability and integrity of interest rate benchmarks.

In particular, ICMA is a member of the Working Group on Sterling Risk-Free Reference Rates, with Paul Richards (Head of Market Practice and Regulatory Policy, ICMA) chairing a sub-group focusing on benchmark transition issues in bond markets. ICMA is also a non-voting member of the Working group on euro risk-free rates established by the ECB, the Belgian Financial Services and Markets Authority, ESMA and the European Commission. ICMA also participates in the National Working Group on Swiss Franc Reference Rates.

Set out below are links to official sector and ICMA information and materials on this topic.
 
 
Transition to risk free rates: the challenges for market participants panel discussion at the 51st ICMA AGM and Conference in Stockholm, May 17, 2019






Selected speeches
For speeches prior to 2019, visit the archive page.



Recent statements and other publications

UK
  • August 2019: The Working Group on Sterling Risk-Free Reference Rates published its monthly Newsletter. This one page document provides a high level summary of market and official sector developments in the sterling market but also highlights related initiatives across the globe. Previous editions are available on the Bank of England website.
  • August 2019: The £RFR Working Group published minutes from its May meeting (which includes summaries of presentations by potential term rate providers).
  • August 2019: The £RFR Working Group released a Statement on conventions for referencing SONIA in new contracts and a summary of responses to the discussion paper issued in March 2019 seeking feedback from market participants on how to reference SONIA.
  • August 2019: ISDA released a statement regarding the preliminary results of its consultation on pre-cessation issues. This consultation followed a request by the (FSB OSSG) for ISDA to request comment on the events that should trigger a move to a spread-adjusted fallback rate for LIBOR. The results show no clear consensus from the 89 market participants respondents as to the question of whether there should be a pre-cessation trigger based on “unrepresentativeness”.
  • July 2019: ISDA announced that Bloomberg Index Services Limited (BISL) has been selected to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions.
  • July 2019: The Working Group on Sterling Risk-Free Reference Rates wrote to the European Insurance and Occupational Pensions Authority (EIOPA) to welcome its decision to add the monitoring of LIBOR transition to their 2019 priorities. The Working Group recognises EIOPA’s planned review of Solvency II in 2020, and would be grateful for further details regarding changes to the Solvency II risk-free reference rate. The letter would welcome EIOPA’s consideration of a pan-European taskforce to address regulatory barriers to LIBOR transition.
Euro area
  • September 2019: The ECB are hosting their second roundtable on euro risk-free rates on Wednesday 25 September from 09:00 to 13:00 CET at the ECB in Frankfurt. Full details are now available on the ECB’s website. Interested market participants are asked to express their interest in attending the roundtable by sending an email to the ECB (Roundtable.EuroRFR@ecb.europa.eu). Participation is limited to one representative per institution. Seats are allocated on a first come, first served basis.
  • August 2019: The ECB's working group on euro risk-free rates published a report on the impact the transition from the euro overnight index average (EONIA) to the euro short-term rate (€STR) will have on cash and derivatives products. Market participants will need to prepare for this benchmark rate change (for example, adapting IT systems and reviewing documents and procedures) and the report analyses the implications of the transition and provides recommendations to help with the change.
  • July 2019: EMMI published the EURIBOR benchmark statement.
  • July 2019: The final recommendations on the EONIA to €STR legal action plan for the transition from EONIA to €STR were published, together with an associated press release.
  • July 2019: A letter to the International Accounting Standards Board (IASB) from the Chair of the Working Group on Euro Risk-Free Rates was published.
  • July 2019: An updated version of the explainer on benchmark rates was made available on the ECB website.
  • July 2019: The ECB announced that the publication time for €STR will be 8am CET (instead of the previously anticipated 9am CET). If errors are detected following the publication of €STR that affect €STR by more than 2 basis points, the ECB will revise and re-publish €STR on the same day at 9am CET.
  • July 2019: ESMA published updated Q&As on the Benchmark Regulation.
  • July 2019: EMMI was granted authorisation for the administration of EURIBOR from the Belgian FSMA.
  • July 2019: The ECB published a call to benchmark administrators for expressions of interest in producing a €STR-based forward-looking term structure.
  • July 2019: The ECB sent out a Dear CEO Letter to significant institutions with a deadline for responses by 31 July to supply a board-approved summary of key risks relating to benchmark reform and a detailed action plan to mitigate such risks, address pricing issues, and implement process changes, as well as contact points at management level who are in charge of overseeing the implementation of these action plans. In addition they have asked for a reply to a detailed questionnaire attached to the letter by 15 September.
US
Global
  • July 2019: IOSCO has published a statement setting out matters for market participants to consider if they have exposure to LIBOR, particularly USD LIBOR, in light of its expected cessation after the end of 2021 and USD LIBOR’s widespread global use. The key messages from the statement are: RFRs provide a robust alternative to IBORs and can be used in the majority of products; in both new and existing IBOR contacts, the inclusion of robust fallbacks should be considered a priority; the best risk mitigation to a LIBOR cessation event is moving to RFRs now; and it is prudent risk management for market participants to engage early in the LIBOR transition process in preparation for the cessation of LIBOR post-2021.
  • July 2019: ISDA published a statement summarising the preliminary results of a supplemental consultation on adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued.
For statements and other publications prior to July 2019, visit the archive page.




General information and materials:



Contacts:

Paul Richards
Managing Director, Head of Market Practice and Regulatory Policy; Member of ICMA's Executive Committee  
Direct line: +44 20 7213 0315
EMAIL | DOWNLOAD BUSINESS CARD

David Hiscock
Managing Director, Deputy Head, Market Practice and Regulatory Policy; secretary to the ICMA Regulatory Policy Committee and to the ICMA Euro Commercial Paper Committee (ECP).
Direct line: +44 20 7213 0321
EMAIL | DOWNLOAD BUSINESS CARD

Charlotte Bellamy
Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee and related groups.
Direct line: +44 20 7213 0340
EMAIL | DOWNLOAD BUSINESS CARD

Katie Kelly

Senior Director, Market Practice and Regulatory Policy; Secretary to the ICMA Financial Institution Issuer Forum (FIIF).
Direct line: +44 20 7213 0331
EMAIL | DOWNLOAD BUSINESS CARD

16 September 2019
Briefing call for ICMA members on the transition from IBORs to risk-free rates
(ICMA members only)

September 2019
Presentation to the Bank of England on transition issues and market developments in new RFRs for FRNs

11 July 2019
The transition to risk-free rates in the bond market by Paul Richards, ICMA. Originally published in the ICMA Quarterly Report, Third Quarter 2019.

11 July 2019
Fallbacks for LIBOR floating rate notes by Catherine Wade, ICMA. Originally published in the ICMA Quarterly Report, Third Quarter 2019.

11 July 2019
Recent publications on the transition to risk-free rates by Katie Kelly, ICMA. Originally published in the ICMA Quarterly Report, Third Quarter 2019.

2 July 2019
ICMA European Repo and Collateral Committee (ERCC) memorandum outlining recommendations for repo market best practice to address the transition from EONIA to €STR

12 April 2019
Interest rate benchmarks by David Hiscock, ICMA. Originally published in the ICMA Quarterly Report, Second Quarter 2019.

12 April 2019
Legacy sterling LIBOR bonds by Charlotte Bellamy, ICMA. Originally published in the ICMA Quarterly Report, Second Quarter 2019.

12 April 2019
Market conventions for referencing SONIA by Katie Kelly, ICMA. Originally published in the ICMA Quarterly Report, Second Quarter 2019.

10 January 2019
The transition from LIBOR to risk-free rates by Paul Richards, ICMA. Originally published in the ICMA Quarterly Report, First Quarter 2019.

10 January 2019
The transition to risk-free rates in the euro area by David Hiscock and Charlotte Bellamy, ICMA. Originally published in the ICMA Quarterly Report, First Quarter 2019.

10 January 2019
The impact of the EU BMR on the use of third country benchmarks by Patrik Karlsson, ICMA. Originally published in the ICMA Quarterly Report, First Quarter 2019.

16 November 2018
ICMA Legal and Documentation Committee response to ARRC consultation regarding more robust LIBOR fallback contract language for new issuances of USD-LIBOR floating rate notes

11 October 2018
Establishing a euro risk-free rate by David Hiscock, ICMA. Originally published in the ICMA Quarterly Report, Fourth Quarter 2018.

11 October 2018
New sterling bonds referencing LIBOR by Charlotte Bellamy, ICMA. Originally published in the ICMA Quarterly Report, Fourth Quarter 2018.

22 August 2018
Briefing call for ICMA members on the transition to risk-free rates
(ICMA members only)
The call highlighted recent developments related to ICMA’s work and involvement in the Working Group on Sterling Risk-Free Reference Rates, for which Paul Richards, Head of Market Practice and Regulatory Policy, chairs a sub-group focusing on benchmark transition issues in bond markets. We also touched on developments in the euro area (where ICMA is a non-voting member of the Working group on euro risk-free rates) and Switzerland (where ICMA participates in the National Working Group on Swiss Franc Reference Rates).

21 August 2018
ICMA suggested language for EU Benchmark Regulation Article 29(2) statement

5 July 2018
The transition to risk-free rates in the international bond market by Paul Richards, ICMA. Originally published in the ICMA Quarterly Report, Third Quarter 2018.

12 April 2018
The transition from IBORs to near risk-free rates by Paul Richards, David Hiscock and Charlotte Bellamy, ICMA. Originally published in the ICMA Quarterly Report, Second Quarter 2018.

10 January 2018
The transition from LIBOR by Paul Richards, ICMA. Originally published in the ICMA Quarterly Report, First Quarter 2018.

12 October 2017
Benchmark reform and the future of LIBOR: implications for the primary bond markets by Catherine Wade, ICMA. Originally published in the ICMA Quarterly Report, Fourth Quarter 2017

29 September 2017
ICMA response to the Bank of England White Paper “SONIA as the RFR and approaches to adoption”

7 September 2017
Briefing call for ICMA members: Benchmark Reform and the Future of LIBOR - implications for the primary bond markets 
(ICMA members only)
Following the speech by Andrew Bailey of the FCA on 27 July 2017 on the future of LIBOR, Catherine Wade and Ruari Ewing of ICMA gave an overview of recent regulatory initiatives in relation to benchmark reform, and in particular the implications for contracts referencing LIBOR, on a briefing call for members.




Contacts:

Paul Richards
Managing Director, Head of Market Practice and Regulatory Policy; Member of ICMA's Executive Committee  
Direct line: +44 20 7213 0315
EMAIL | DOWNLOAD BUSINESS CARD

David Hiscock
Managing Director, Deputy Head, Market Practice and Regulatory Policy; secretary to the ICMA Regulatory Policy Committee and to the ICMA Euro Commercial Paper Committee (ECP).
Direct line: +44 20 7213 0321
EMAIL | DOWNLOAD BUSINESS CARD

Charlotte Bellamy
Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee and related groups.
Direct line: +44 20 7213 0340
EMAIL | DOWNLOAD BUSINESS CARD

Katie Kelly
Senior Director, Market Practice and Regulatory Policy; Secretary to the ICMA Financial Institution Issuer Forum (FIIF).
Direct line: +44 20 7213 0331
EMAIL | DOWNLOAD BUSINESS CARD


18 January 2019
ICMSA Bulletin 190118/45: The discontinuation of LIBOR/IBORS - implications for English-law agency roles

1 November 2018
ICMA and SIX Joint Conference - LIBOR to SARON: Are you ready?
Presentations given at this event are available on the ICMA event webpage.

18 October 2018
ICMSA Bulletin 81018/44: Implications for English law Trustees on discontinuation of LIBOR/IBORs

19 September 2018
ISDA Benchmarks Supplement, associated FAQ and press release

12 July 2018
ISDA consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW

15 February 2017
ICMA response to the ICE Benchmark Administration Limited Additional Consultation on ICE LIBOR Evolution

31 March 2016
ICMA response to ESMA Discussion Paper on Benchmarks Regulation

29 January 2016
ICMA response to EMMI Consultative Position Paper on the Evolution of Euribor

16 October 2015
ICMA response to the ICE Benchmark Administration Limited Second Position Paper on the Evolution of ICE LIBOR

19 September 2014
ICMA response to the ICE Benchmark Administration Error Policy Consultation

29 November 2013
ICMA response to to ILOC / BBALIBOR Joint Consultation Paper on LIBOR Re-fixing

16 May 2013
ICMA response to IOSCO’s consultation on "Principles for Financial Benchmarks"

11 February 2013
ICMA response to IOSCO’s consultation on "Financial Benchmarks"
ICMA response to ESMA-EBA’s joint consultation on “Principles for Benchmark Setting Processes in the EU”

6 December 2012
ICMA response to the BBA’s consultation on "Strengthening LIBOR"

27 November 2012
ICMA response to the European Commission’s "Consultation Document on the Regulation of Indices"

7 September 2012
ICMA submission in relation to the August 2012 initial discussion paper “The Wheatley Review of LIBOR”




Contacts:

Paul Richards
Managing Director, Head of Market Practice and Regulatory Policy; Member of ICMA's Executive Committee  
Direct line: +44 20 7213 0315
EMAIL | DOWNLOAD BUSINESS CARD

David Hiscock
Managing Director, Deputy Head, Market Practice and Regulatory Policy; secretary to the ICMA Regulatory Policy Committee and to the ICMA Euro Commercial Paper Committee (ECP).
Direct line: +44 20 7213 0321
EMAIL | DOWNLOAD BUSINESS CARD

Charlotte Bellamy
Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee and related groups.
Direct line: +44 20 7213 0340
EMAIL | DOWNLOAD BUSINESS CARD

Katie Kelly

Senior Director, Market Practice and Regulatory Policy; Secretary to the ICMA Financial Institution Issuer Forum (FIIF).
Direct line: +44 20 7213 0331
EMAIL | DOWNLOAD BUSINESS CARD
25 June 2018
IBOR Global Benchmark Report 2018
Download the press release

1 February 2018
IBOR Global Benchmark Survey 2018 Transition Roadmap
Download the press release

31 January 2018
Joint trade association letter to the FSB regarding implementation of risk free rates and transition away from LIBOR: key issues for the global financial markets




Minutes of LIBOR Trade Association Working Party Meetings

10 July 2019
Minutes of the July 2019 LIBOR Trade Association Working Party meeting

5 June 2019
Minutes of the June 2019 LIBOR Trade Association Working Party meeting

2 May 2019
Minutes of the May 2019 LIBOR Trade Association Working Party meeting

28 March 2019
Minutes of the March 2019 LIBOR Trade Association Working Party meeting

28 February 2019
Minutes of the February 2019 LIBOR Trade Association Working Party meeting

24 January 2019
Minutes of the January 2019 LIBOR Trade Association Working Party meeting

17 December 2018
Minutes of the December 2018 LIBOR Trade Association Working Party meeting

15 November 2018
Minutes of the November 2018 LIBOR Trade Association Working Party meeting

10 October 2018
Minutes of the October 2018 LIBOR Trade Association Working Party meeting

10 September 2018
Minutes of the September 2018 LIBOR Trade Association Working Party meeting




Contacts:

Paul Richards
Managing Director, Head of Market Practice and Regulatory Policy; Member of ICMA's Executive Committee  
Direct line: +44 20 7213 0315
EMAIL | DOWNLOAD BUSINESS CARD

David Hiscock
Managing Director, Deputy Head, Market Practice and Regulatory Policy; secretary to the ICMA Regulatory Policy Committee and to the ICMA Euro Commercial Paper Committee (ECP).
Direct line: +44 20 7213 0321
EMAIL | DOWNLOAD BUSINESS CARD

Charlotte Bellamy
Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee and related groups.
Direct line: +44 20 7213 0340
EMAIL | DOWNLOAD BUSINESS CARD

Katie Kelly

Senior Director, Market Practice and Regulatory Policy; Secretary to the ICMA Financial Institution Issuer Forum (FIIF).
Direct line: +44 20 7213 0331
EMAIL | DOWNLOAD BUSINESS CARD