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.

On 4 February 2021, ICMA held a briefing, providing an overview of the global transition from LIBOR to risk-free rates, particularly in the bond market. Paul Richards, Katie Kelly, Charlotte Bellamy and Mushtaq Kapasi discussed the adoption of risk-free rates and the active transition of legacy LIBOR bonds, legislation on tough legacy contracts and the transition to risk-free rates in Asia-Pacific.
Watch the webinar   |   Listen to the podcast version

ICMA produced 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: 
  • April 2021: The Chair of the Working Group wrote to HM Treasury, seeking an update on whether the Government intends to introduce safe harbour protections to reduce the risk of contractual uncertainty and disputes that may arise from the transition of tough legacy contracts. The letter also requests an indication of the proposed timing and possible legislative vehicles which may be used in order to provide reassurance that these protections can be put into place ahead of the end 2021 deadline.
  • April 2021: The FMSB published a Spotlight Review ‘LIBOR transition: Case studies for navigating conduct risks in back book transition’ and an accompanying press release. The Spotlight Review aims to provide practical guidance for how market participants may manage potential conduct risks arising in back book transition and builds on a previous Spotlight Review which focused on moving new business off LIBOR - LIBOR transition: Case Studies for navigating conduct risks, published by FMSB in June 2020.
  • April 2021: The Sterling RFRWG released a paper on Transition from LIBOR in sterling structured products. The paper describes how a sterling structured products market based on a risk-free rate could potentially be designed using compounded in arrears SONIA, and sets out considerations for the transition of existing sterling structured products from GBP LIBOR to SONIA.
  • April 2021: The Sterling Risk-Free Rate Working Group newsletter for March 2021 is available to view here.
  • March 2021: The FCA and the PRA issued a joint letter to the CEOs of supervised firms setting out supervisory expectations of the transition from LIBOR to risk free rates, and a list of priority areas where further action by firms is necessary. For the bond market, this includes intensifying “efforts to execute plans to transition the stock of legacy LIBOR-linked contracts ahead of confirmed cessation dates of panel bank LIBOR, wherever it is feasible to do so”. The letter also states that “As the time for remaining action is short and reducing in every LIBOR currency, action needs to be front-loaded to deliver demonstrable progress against a risk-based prioritisation of contracts”.
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EU and euro area:

  • March 2021: The ECB has announced that it will start publishing compounded €STR average rates and a compounded index based on €STR on 15 April 2021. Publication will take place on each TARGET2 business day at 09:15 CET and will include compounded €STR average rates for tenors of 1 week, 1 month, 3 months, 6 months and 12 months, as well as a compounded €STR index enabling the derivation of compounded rates for any non-standard tenor.
  • February 2021: The European Council has adopted amendments to the EU Benchmark Regulation addressing the termination of financial benchmarks. Under the new framework, the Commission will have the power to replace 'critical benchmarks', which could affect the stability of financial markets in the EU, and other relevant benchmarks, if their termination would result in a significant disruption in the functioning of financial markets in the EU. The text of the regulation adopted is expected to be signed on 10 February and published in the Official Journal on 12 February. It will enter into force and apply from 13 February.
  • November 2020: The working group on euro risk-free rates released a special edition Newsletter highlighting the two recent consultations on Euribor fallback trigger events and Euribor fallback rates.
  • November 2020: The working group on euro risk-free rates published two consultations on (i) EURIBOR fallback trigger events, and (ii) €STR-based EURIBOR fallback rates, together a dedicated press release. Replies to these CPs are welcome until 15 January 2021, 17:00 CET. In addition, a virtual roundtable event, including Q&A sessions dedicated to the two public consultations, will take place on 14 December 2020, 14:30 – 18:00. The registration link will be published on the ECB’s website soon.
  • November 2020: A Statement welcoming the launch by ISDA of its 2020 IBOR Fallbacks Protocol and IBOR Fallbacks Supplement on behalf of the EUR RFR WG, the ECB, the European Commission, ESMA and the FSMA was published.
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US:

  • April 2021: The ARRC has announced key principles for an ARRC-recommended forward-looking SOFR term rate in order to help guide the ARRC as it considers the conditions it believes are necessary to recommend a SOFR term rate. These principles build on the ARRC’s March 23 update and ongoing ARRC discussions, and will inform the ARRC’s continued consideration of a SOFR-based term rate.
  • April 2021: New York State Governor Andrew Cuomo has signed USD LIBOR legislation into law. Initially presented by the ARRC last year, the new law addresses the issue of legacy contracts that mature after mid-2023 and do not have effective fallbacks. The ARRC have endorsed this decision.
  • March 2021: The ARRC released its latest newsletter for February/March 2021.
  • March 2021: The ARRC has published a white paper that outlines a model for using SOFR in asset-backed securities (ABS) products. The paper describes how new issuance of ABS products could use 30-day Average SOFR, with a monthly reset, set in advance of the interest accrual period. This methodology uses the actual SOFR rates from the 30-day period before the applicable reset date, which the ARRC determined to be preferable to the alternatives for operational ease. This model for issuing new SOFR-based securitized products was designed and recommended by the ARRC’s Securitization Working Group (SWG).
  • March 2021: The ARRC has welcomed action by the New York State Legislature to reduce risks associated with the transition away from USD LIBOR by passing Senate Bill 297B/Assembly Bill 164B, which will be crucial in minimizing legal uncertainty and adverse economic impacts associated with the transition. The text of the legislation was initially presented by the ARRC last year. The bill’s passage follows confirmation by LIBOR’s regulator and administrator that it would cease publication of representative USD LIBOR for the major LIBOR settings in mid-2023. The legislation will provide legal clarity for contracts without effective fallbacks that are written under New York law and that mature after end of June 2023, and will lessen the burden on New York courts, as legal uncertainty surrounding the transition likely would have prompted disputes.
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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:
  • February 2021: The National Working Group on Swiss Franc Reference Rates published minutes of its February 2021 meeting.
  • 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.
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Global:

  • December 2020: Following the announcement by ICE Benchmark Administration (IBA) of its intention to consult on the cessation of the publication of some LIBOR settings, the relevant consultation has now been published with a deadline for responses of 5pm London time on Monday 25 January 2021. The consultation is not, and must not be taken to be, an announcement that IBA will cease or continue the provision of any LIBOR settings after 31 December 2021 or 30 June 2023.
  • November 2020: The Financial Stability Board released a Progress Report, Reforming Major Interest Rate Benchmarks - “The year of transition away from LIBOR” which gives an overview of progress on transition to risk-free rates across a range of currencies, accounting, tax and regulatory issues and a global transition roadmap for LIBOR.
  • November 2020: IBA has announced that it will consult on its intention that the GBP, EUR, CHF and JPY LIBOR panels would, subject to confirmation following IBA’s consultation, cease at end-2021. The IBA confirm that this statement should not be read as announcing that LIBOR has ceased, or will cease, to be provided permanently or indefinitely or that it is not, or no longer will be, representative.
  • October 2020: ISDA has launched its IBOR Fallbacks Supplement and the IBOR Fallbacks Protocol. The Fallbacks Supplement will amend ISDA’s standard definitions for interest rate derivatives to incorporate robust fallbacks for derivatives linked to certain IBORs. The Fallbacks Protocol will enable market participants to incorporate the revisions into their legacy non-cleared derivatives trades with other counterparties that choose to adhere to the protocol. Both will become effective on 25 January 2021.
  • October 2020: The FSB has published a global transition roadmap for LIBOR, which sets out key steps to remove remaining dependencies on LIBOR by the end of 2021.
View more...




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

January 2021
ICMSA Bulletin on the discontinuation of LIBOR/IBORS – implications for English-law note trustees and agency roles – Update – Legacy Transactions

January 2021
ICMSA Bulletin on the discontinuation of LIBOR/IBORS – operational and procedural considerations for Consent Solicitations and Written Resolutions

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 November 2020
Joint trade association letter regarding the third country transitional provisions of the EU Benchmarks Regulation

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
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8002 Zurich
ICMA London

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

T: +33 1 70 17 64 72
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75008 Paris
ICMA Brussels

T: +32 2 801 13 88
Avenue des Arts 56
1000 Brussels
ICMA Hong Kong

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