2 June 2021: ICMA virtual event: Transition to risk free rates: an official sector panel discussion
ICMA's Paul Richards leads a panel discussion with speakers from the UK Financial Conduct Authority, the Federal Reserve Bank of New York, the Swiss National Bank and the European Central Bank about progress and the remaining challenges in the transition from LIBOR/IBORs to risk-free rates, international coordination, and key messages from the official sector for market firms in the run-up to the end of 2021.



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 and Bloomberg jointly published the Guide to Tough Legacy Bonds in Asia-Pacific on 25 May 2021.

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
  • UK, May 2021: Andrew Bailey, Governor of the Bank of England, gave a speech Descending safely: Life after LIBOR at the ARRC SOFR Symposium, in which he emphasised the need to transition to risk free rates such as SOFR, rather than alternative credit sensitive reference rates or term rates.
  • US, May 2021: John Williams, President and CEO of the Fed, gave a speech Measure Twice, Cut Once at the ARRC SOFR Symposium, in which he stressed the importance of the decisions made today in determining if the LIBOR transition is ultimately successful.
  • US, July – August 2020: The ARRC released a series of webinars entitled the SOFR Summer Series including Libor: Entering the Endgame of 13 July, SOFR Explained of 15 July, Preparing to Move From LIBOR Derivatives of 22 July 2020, Accounting/Tax/Regulation of 29 July, Approaching the Transition of 3 August and Office Hours Live of 7 August.
  • UK, July 2020: Edwin Schooling Latter, Director for Markets and Wholesale Policy at the FCA, delivered a speech entitled “LIBOR transition – the critical tasks ahead of us in the second half of 2020” at a webinar hosted by ISDA on 14 July 2020. In it, he emphasised the importance of the next four to six months for LIBOR transition and urged market participants to adhere to the ISDA protocol. He also discussed the new FCA powers to manage the end of LIBOR proposed by HM Treasury on 23 June.
  • UK, July 2020: Andrew Bailey, Governor of the Bank of England, and John Williams, President of the Federal Reserve Bank of New York, each delivered a speech via webinar. After touching upon the necessity for change, the alternatives to LIBOR and the impact of Covid on the transition to risk-free rates, Andrew Bailey discussed the importance of a market-driven transition away from LIBOR while acknowledging that the authorities have an important role to play with a solution for contracts that legitimately cannot be transitioned. John Williams highlighted what has already been achieved, and set out some of the key areas of focus in the SOFR market, including the challenges associated with legacy contracts, the development of a forward-looking SOFR rate, and finalising the ARRC-recommended spread adjustment for legacy contracts transitioning to SOFR.
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Statements and other publications


UK: 
  • June 2021: The FCA has published a consultation on its proposed decision to use one of its powers under the Benchmarks Regulation (BMR) to enable them to require the LIBOR administrator, IBA, to change the benchmark’s methodology after the end of 2021. This will mean using a forward-looking term version of the relevant risk-free rate (ie SONIA for sterling and TONA for yen) and the fixed ISDA spread adjustment published for the purposes of the ISDA IBOR Fallbacks Supplement and Protocol for the respective LIBOR setting. The consultation, which is open for comment until 27 August, is a key step in ensuring an orderly wind down of LIBOR.
  • June 2021: The Sterling Risk-Free Rate Working Group newsletter for May 2021 is available to view here.
  • May 2021: The FCA is consulting on how it proposes to use two new powers relating to the use of critical benchmarks that are being wound down: the first being permitted legacy use of a permanently non-representative benchmark, such as any synthetic LIBOR, and the second being a proposed approach to prohibiting new use of a critical benchmark which is ending, such as USD LIBOR. Deadline for responses to the FCA’s consultation is 17 June. FCA consults on use of new powers to support orderly wind down of critical benchmarks | FCA.
  • May 2021: The £RFRWG have released a recommendation on the successor rate for fallbacks in bond documentation referencing GBP LIBOR. The recommendation is the result of a consultation process, which identified a strong consensus in favour of overnight SONIA, compounded in arrears, as the recommended successor rate to GBP LIBOR for the purposes of the operation of fallbacks.
  • May 2021: The FCA and the Bank of England released a statement in which they encourage market participants in a switch to SONIA in the sterling exchange traded derivatives market from 17 June.
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EU and euro area:

  • May 2021: The working group on euro risk-free rates has released recommendations on EURIBOR fallback trigger events and €SRT-based EURIBOR fallback rates. In very broad terms, Contracts and financial instruments referencing EURIBOR should include provisions covering trigger events related to permanent cessation, temporary non-availability and non-representativeness (pre-cessation). For the bond market, the recommended fallback rate is €STR using a backward-looking lookback period methodology. For securiitsations, the recommended fallback rate is a €STR-based term structure methodology that is consistent with the a €STR-based term structure methodology in the underlying securitised assets. It is however acknowledged that parties may determine that it is necessary to have consistency with other debt market products, and so market participants could therefore also consider the appropriateness of having consistency with other debt securities, for which the backward-looking lookback period methodology is recommended.
  • 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.
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US:

  • May 2021: The ARRC released its latest newsletter for April/May 2021.
  • May 2021: The ARRC announced that it selected CME Group as the administrator that it plans to recommend for a forward-looking SOFR term rate, once market indicators for the term rate are met.
  • May 2021: The ARRC released a Guide to Published SOFR Averages, which provides key information on the LIBOR transition including how SOFR averages can be used and what factors market participants should consider before selecting the alternative rate they use.
  • May 2021: The ARRC has published a set of market indicators that it will consider in recommending a forward-looking SOFR term rate.
  • April 2021: The ARRC has updated its Frequently Asked Questions document.
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Japan:
  • June 2021: Bank of Japan Deputy Governor Amamiya delivered a speech noting the limited time before cessation of yen LIBOR at end-2021 and urging market participants to proceed with their transition plans in a steady and swift manner.
  • 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.
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:

  • June 2021: The European Commission, ESMA, ECB Banking Supervision and EBA released a joint statement, in which they strongly encourage market participants to use the time remaining until the cessation or loss of representativeness of LIBORs to substantially reduce their exposure to these rates. The statement also sets out steps to achieve this.
  • June 2021: ISDA has launched a consultation on fallbacks for the GBP LIBOR ICE swap rate (as suggested in a paper by the Non-Linear Derivatives Task Force of the £RFRWG), and the USD LIBOR ICE swap (as proposed in a paper published by a subcommittee of the ARRC). The consultation is open until 2 July.
  • June 2021: IOSCO has issued a statement on benchmark transition, in which it encourages all global market participants to discontinue new use of USD LIBOR-linked contracts, as soon as practicable and no later than end-2021, to avoid the safety and soundness risks associated with the continued use.
  • June 2021: The FSB has welcomed the IOSCO statement, and issued a suite of documents to facilitate an orderly transition away from LIBOR. These include: (i) an updated global transition roadmap summarising the high level steps firms needs to take now and over the course of 2021, (ii) a paper reviewing overnight RFRs and term rates, (iii) a statement on the use of the ISDA spread adjustments and (iv) a statement encouraging authorities to set globally consistent expectations that regulated entities should cease the new use of LIBOR in line with the relevant timelines for that currency.
  • 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.
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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

May 2021
ICMSA Bulletin – The role of Calculation Agents and Benchmark Agents/Independent Advisors

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

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