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.

ICMA published a Quick Guide to the transition to risk-free rates in the international bond market on 27 February 2020.

ICMA, together with APLMA, ASIFMA, and ISDA, published an IBOR Transition Guide for Asia on 13 July 2020.

Set out below are links to ICMA and official sector information and materials on this topic.

In addition, benchmark-related resources in selected Asia-Pacific markets are available on this ICMA webpage.






 
Key recent materials
Other materials
Joint trade association materials
ICMA materials
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Official and other key materials

Selected speeches
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Statements and other publications


UK: 
  • September 2020: The Working Group on Sterling Risk-Free Reference Rates released a recommendation of credit adjustment spread methodology for fallbacks in cash market products referencing LIBOR which identifies the historical five-year median spread adjustment methodology as the preferred methodology for credit adjustment spread calculations across both cessation and pre-cessation triggers for cash products maturing beyond end-2021, and a news release on securing a SONIA-based sterling loan market.
  • September 2020: The Working Group on Sterling Risk-Free Reference Rates released a recommendation paper on the active transition of GBP LIBOR-referencing bonds and a paper on the active transition of GBP LIBOR-referencing loans.
  • September 2020: the Working Group on Sterling Risk-Free Reference Rates released its monthly newsletter for August 2020.
  • September 2020: the Working Group on Sterling Risk-Free Reference Rates released recommendations on standard market conventions for sterling loans (and accompanying releases) based on compounded in arrears SONIA. This includes a recommendation for the use of a ‘Five Banking Days Lookback without Observation Shift’ as the standard approach (aligning with the approach recommended by the ARRC for US dollar loan markets), and a number of other aspects in relation to calculation of interest to support new lending on a SONIA-linked basis.
  • August 2020: In the Bank of England’s August Financial Stability Report, the FPC reiterated that it is essential to end reliance on LIBOR benchmarks before end-2021. Looking ahead, the FCA and PRA expect progress from firms against transition milestones across all key currencies, and expect to scrutinise alternative risk mitigation plans where industry best practice or timelines are not being met. The Report stresses that contractual parties who can transition away from LIBOR should do so on terms that they themselves agree with their counterparties.
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EU and euro area:

  • July 2020: The EU Commission has published its proposal for the BMR review, notably to address the situation of the cessation of a critical benchmark. The press release notably mentions that ‘’The Commission is proposing amendments to the Benchmark Regulation that will empower it to designate a replacement benchmark that covers all references to a widely used reference rate that is phased out, such as LIBOR, when this is necessary to avoid disruption of the financial markets in the EU. (…) For example, the Commission could replace any reference to LIBOR with a reference to a suitable replacement rate. In selecting this replacement rate, the Commission will take into account recommendations made by the relevant industry working groups, such as the US Alternative Reference Rates Committee for the LIBOR or the Working Group on Euro Risk-Free Rates for the EURIBOR. The statutory replacement rate will only be available for financial contracts that reference, for example LIBOR, at the time this benchmark ceases to be published. As the statutory replacement will be a matter of law, contractual conflicts on this issue will be avoided. At the same time, market participants are encouraged to agree on a permanent replacement rate for all new contracts whenever feasible.’’
  • July 2020: The EBC has announced that it is considering the publication of compounded term rates based on the €STR. In this context, the ECB has launched a public consultation on the publication of compounded €STR rates which seeks views on specific characteristics of compounded term rates based on €STR. The deadline for responses is 11 September.
  • July 2020: Two further ECB publications have been released: (i) Horizontal assessment of SSM banks’ preparedness for benchmark rate reforms and (ii) Report on preparations for benchmark rate reforms. These two documents are a follow-up to the ‘’dear CEOs’’ letter sent last summer to the banks under supervision of the ECB/SSM. One of the key findings of the Assessment is that: ‘’While banks are aware of the potential risks entailed by the BMR reform, their action plans and, more concretely, the development and implementation of mitigation actions, are generally behind schedule.’’. The Report details some EONIA and Euribor exposures of the European banks, the risks and challenges put forward by the supervised banks, and also lists some examples of best practices observed in terms of governance and implementation.
  • July 2020: The Euro RFRWG has published its July 2020 newsletter, which provides an update of the work of the Euro RFRWG and refers to developments in international markets.
  • July 2020: A letter was sent by the Chair of the Euro RFRWG to the Chair of the International Accounting Standard Board (IASB) relating to concerns in relation to potential accounting issues that could be considered as a direct consequence of the IBOR reform; specifically, IFRS9/IAS39 hedge accounting and IFRS9 solely payment of principal and interest (SPPI). In the letter the Euro RFRWG asked the IASB for (i) relief on the use of basis swaps in hedge accounting, and (ii) guidance on the use and form of regulated rates in the context of SPPI testing.
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US:

  • September 2020: The ARRC released an RFP for a potential administrator to publish forward-looking SOFR term rates in 1-month and 3-month tenors; 6-month or 1-year tenors may also be produced if considered feasible.
  • September 2020: The ARRC released a request for proposals for the administration of recommended spread adjustments and spread-adjusted SOFR rates, which are designed for use in legacy contracts with the ARRC’s recommended hardwired fallback language, and other instances where spread-adjusted replacement rates are needed.
  • August 2020: The ARRC updated its recommended Best Practices to encourage adherence to the forthcoming ISDA IBOR Fallback Protocol during the escrow period.”
  • August 2020: The ARRC Chair Tom Wipf sent a letter to ARRC Members urging them to be prepared to sign onto the ISDA IBOR Fallback Protocol, consistent with the ARRC's recommended Best Practices.
  • August 2020: The ARRC released the SOFR Starter Kit, a set of factsheets to inform the public about the transition away from USD LIBOR to SOFR. The SOFR Starter Kit includes three factsheets on (1) the background on the impetus for the transition away from LIBOR and the history of the ARRC and its work to select a preferred alternative rate, (2) key facts and figures about SOFR and (3) next steps covering SOFR best practices, the ARRC’s user’s guide to SOFR, fallback language and helpful tools from the ARRC.
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Japan:
  • August 2020: The Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks released a second public consultation on interest rate benchmark reform. The purpose of this public consultation is to present the results of the Committee's deliberations and to solicit comments from a wide range of market participants on specific matters to be dealt with when fallbacks are triggered in cash products referencing JPY LIBOR. In addition, this public consultation paper contains both the outcome of the deliberations in the Committee for enhancing the robustness of Term Reference Rates and a transition plan for cash products referencing JPY LIBOR maturing beyond the end-2021, with a time frame. For further details including related materials, see the "Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks" page of the Bank of Japan's website.
  • June 2020: The Bank of Japan has sent a Dear CEO letter setting out a series of required actions and submissions (with associated timings) required of financial institutions, given that LIBOR will be ceased permanently at the end of 2021.
  • March 2020: The Cross Industry Committee on JPY Interest Rate Benchmarks announced that Quick Corp. has been selected for calculating and publishing prototype rates for JPY term reference rates. Certain Committee documents, including a tentative plan for timing of publication of term reference rates, have also been made available, which show the publication of JPY term reference rates is anticipated for around mid-2021.
  • December 2019: The Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks closed the call for applications following the release of a statement soliciting potential future administrators of JPY term reference rates in October 2019.
  • November 2019: The Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks published a report on the results of its consultation on JPY interest rate benchmarks on 29 November. A summary of the main points and press release is also available.
Asia Pacific:
  • September 2019: The Executives' Meeting of East Asia-Pacific (EMEAP) Working Group on Financial Markets has released a Study on Implications of Financial Benchmark Reforms, which aims to raise market awareness and further enhance market readiness for financial benchmark reforms. The Study focuses on the implications of LIBOR discontinuation, EU Benchmarks Regulation (BMR) and reform of local benchmarks in the EMEAP region.
Switzerland:
  • July 2020: The Co-Chair of the National Working Group on Swiss Franc Reference Rates delivered a presentation on the evolution and performance of SARON in the Swiss market, and touched upon the tough legacy issue elsewhere, noting that there is only a limited tough legacy problem in Swiss francs. 
  • March 2020: SIX launched SARON Compound Indices for various time periods and updated its FAQ on the licensing model.
  • February 2020: SIX has published information on compounded SARON and the SARON Compound indices, including an appendix with a formula to calculate compounded SARON on non-business days.
  • February 2020: SIX has obtained endorsement by the Swedish Financial Supervisory Authority under the EU BMR in respect of its major Swiss indices, including SARON. These indices are now listed in the ESMA register.
  • December 2019: The National Working Group on Swiss Franc Reference Rates published an updated starter pack designed to inform readers about the transition from CHF LIBOR to SARON.
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Global:

  • August 2020: The International Accounting Standards Board (IASB) has finalised its response to IBOR reforms and other interest rate benchmarks by releasing a package of Phase 2 amendments to IFRS Standards, which amends requirements in IFRS 9 Financial Instruments, IAS 39 Financial Instruments: Recognition and Measurement, IFRS 7 Financial Instruments: Disclosures, IFRS 4 Insurance Contracts and IFRS 16 Leases relating to: changes in the basis for determining contractual cash flows of financial assets, financial liabilities and lease liabilities; hedge accounting; and disclosures. A project summary has also been published.
  • July 2020: ISDA published a statement from its Board of Directors on adherence to the forthcoming IBOR Fallback Protocol stating, among other things, that members of the ISDA Board of Directors strongly support broad adherence to the IBOR Fallback Protocol among all market participants globally that have non-cleared derivatives exposure to LIBOR and other IBORs.
  • July 2020: ISDA launched a new indicator to monitor the adoption of alternative RFRs in derivatives trading. The ISDA-Clarus RFR Adoption Indicator will be available each month on ISDA’s website. A whitepaper on the methodology is available.
  • July 2020: ISDA published a letter to the Chairs of several official RFR Working Groups regarding the launch of its IBOR Fallback Protocol and the IBOR Fallback Supplement outlining the next steps and seeking support for a successful launch.
  • July 2020: Bloomberg has begun publishing calculations related to IBOR fallbacks, including the adjusted RFR (compounded in arrears), the spread adjustment and the ‘all in’ IBOR fallback rates for a variety of IBORs across various tenors, all of which will be made broadly available to industry participants through various distribution channels, including the Bloomberg Terminal®, the desktop API and Bloomberg Data License. The real time data will also become available through authorized redistributors, and is publicly available on the Bloomberg website on a delayed basis.
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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

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

Charlotte Bellamy
Senior Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee (LDC) and related groups.
Direct line: +44 20 7213 0340

June 2020
ICMSA Bulletin on the discontinuation of LIBOR/IBORs – timeline of a consent solicitation

March 2020
ICMSA Bulletin on different approaches for IBOR transition under English law trust deeds and New York law indentures

January 2020
ICMSA Bulletin 200120/47 – Benchmark replacement and fallback provisions – Key principles and guidelines for agents and trustees

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

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

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

Charlotte Bellamy
Senior Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee (LDC) and related groups.
Direct line: +44 20 7213 0340

20 January 2020
APLMA, ASIFMA, ICMA, ISDA and KPMG held a webcast covering all aspects of LIBOR transition readiness, especially as it pertains to Asia-Pacific jurisdictions. This session focused on issues relevant for buy-side firms and corporate treasurers, such as debt issuance, interest rate derivatives hedging, and debt instruments held by investment managers.

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



Contacts:

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

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

Charlotte Bellamy
Senior Director, Market Practice and Regulatory Policy; secretary to the ICMA Legal & Documentation Committee (LDC) and related groups.
Direct line: +44 20 7213 0340

ICMA Zurich

T: +41 44 363 4222
Dreikönigstrasse 8
8002 Zurich
ICMA London

T: +44 20 7213 0310
110 Cannon Street
London EC4N 6EU
ICMA Paris

T: +33 1 70 17 64 72
62 rue la Boétie
75008 Paris
ICMA Hong Kong

T: +852 2531 6592
Unit 3603, Tower 2
Lippo Centre
89 Queensway, Admiralty
Hong Kong
 
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