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: 
  • October 2021: The Sterling Risk-Free Rate Working Group newsletter for September 2021 is available to view here.
  • September 2021: HM Treasury and FCA are holding a joint webinar open to all industry participants to discuss the Critical Benchmarks Bill, and the broader timeline and recent FCA publications on LIBOR Transition. The event will take place on 8 October from 14:30-15:30 BST. A link to this event can be found here: Join via Teams Live. HMT will talk through the Critical Benchmarks Bill and its impact, and the FCA will speak to preparations for the end of LIBOR. Questions for a Q&A session may be submitted in advance, by Monday 4 October, to: MarketConduct@hmtreasury.gov.uk.
  • September 2021: The FCA has announced further arrangements for the orderly wind-down of LIBOR at end-2021. The announcements confirm the methodology for synthetic LIBOR, being forward-looking term versions of the relevant risk-free rate (ie the ICE Term SONIA Reference Rates provided by IBA for sterling, and the Tokyo Term Risk Free Rates (TORF) provided by QUICK Benchmarks Inc., adjusted to be on a 360 day count basis, for Japanese yen), plus the respective ISDA fixed spread adjustment (that is published for the purpose of ISDA’s IBOR Fallbacks for the 6 LIBOR settings). The announcement also includes a consultation paper on the FCA’s proposed decision on which legacy contracts can use these synthetic rates. The deadline for responses to the consultation paper is 20 October.
  • September 2021: On 8 September, the Critical Benchmarks (References and Administrators' Liability) Bill was introduced to Parliament, and was accompanied by Explanatory Notes. The Bill will support the effective operation of the powers granted to the FCA under the Financial Services Act 2021 to oversee the wind-down of a critical benchmark. In particular, this Bill will provide legal certainty as to how contractual references to a critical benchmark should be treated where the FCA exercises powers under the Benchmarks Regulation (BMR) to provide for the continuity of an unrepresentative critical benchmark. The Bill will also grant an immunity to the administrator of a critical benchmark that is designated under Article 23A of the BMR where the administrator acts in accordance with specific requirements imposed upon it by the FCA.
  • September 2021: The Sterling Risk-Free Rate Working Group newsletter for August 2021 is available to view here.
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EU and euro area:

  • September 2021: The Chairman of the Euro Risk Free Rates Working Group has written to the European Commission suggesting some refinements relating to the scope of the statutory replacement rate and date of application of the designation.
  • July 2021: The minutes of the latest Working Group on euro risk free rates meeting have been released.
  • July 2021: The Working Group on euro risk free rates have published recommendations on a €STR First Initiative and a common start date to switch the quoting convention for cross-currency swaps involving non-Euro currencies.
  • 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.
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US:

  • October 2021: The ARRC has released a summary of its recommendations to date regarding spread-adjusted fallbacks for contracts referencing USD LIBOR. This document is intended to provide a singular reference point for market participants to understand the ARRC’s current recommendations in relation to its fallback language and to state legislation that references ARRC recommended fallbacks.
  • October 2021: The ARRC has recommended that all market participants act now to slow their use of USD LIBOR, and leverage the next six weeks as a key window to reduce such activity to promote a smooth end to new LIBOR contracts by the end of the year.
  • October 2021: The ARRC released its recent newsletter for August-September.
  • September 2021: The ARRC has announced the fifth The SOFR Symposium: The Final Year on 20 September 20 2021, which builds on the ARRC’s SOFR Symposium series (see recordings from Parts I, II, III, and IV), and will perspectives of the U.S. Securities and Exchange Commission (SEC) and buy-side institutions.
  • August 2021: The ARRC released FAQs on Best Practice Recommendations Related to Scope of Use of the Term Rate.
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Japan:
  • September 2021: The Cross Industry Committee on Japanese Yen Interest Rate Benchmarks published a consultation on the treatment of tough legacy contracts in Japan. The consultation seeks comments on: (1) views on contracts that fall under the category of tough legacy contracts and for which the use of synthetic yen LIBOR may be considered and (2) matters that contracting parties should keep in mind when actually considering the use of synthetic yen LIBOR.
  • 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.
Asia Pacific:
  • September 2021: Bank Negara Malaysia (“BNM”) announced the launch of the Malaysia Overnight Rate (MYOR) as the new alternative reference rate for Malaysia on 24 September. In conjunction with the launch, BNM published the MYOR Policy Document which incorporates key features and governance standards developed in collaboration with the Financial Markets Committee.
  • September 2021: The Reserve Bank of Australia is introducing robust fallback provisions into eligibility criteria for securities to be accepted as collateral in the Reserve Bank's market operations.
  • July 2021: IOSCO APAC Hub have released a webcast on the remaining challenges in benchmarks transition, particularly related to USD LIBOR, to help regulators and market participants plan the steps they need to take in the coming months.
  • May 2021: Tough legacy bonds in Asia Pacific video report presentation (ICMA Members only) from the ICMA/Bloomberg joint virtual event - LIBOR Transition: Tough Legacy Bonds in Asia Pacific on 25 May 2021.
  • 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 2021: The minutes of the latest National Working Group on Swiss France Reference Rates meeting have been released.
  • 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.
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Global:

  • September 2021: ICE Benchmark Administration has launched ICE Risk Free Rate Indexes in SOFR, €STR and TONA. The Indexes are designed to provide parties with a simple method to calculate compound interest between two dates and agree on their associated interest accruals. As described in the associated whitepaper, all ICE RFR Indexes use the same underlying calculation methodology.
  • September 2021: IOSCO have released a statement on the use of credit sensitive rates, calling for greater attention to Principle 6 (which asks administrators to take into account the ‘relative size of the underlying market in relation to the volume of trading’) and Principle 7 (which emphasises ‘data sufficiency in a benchmark’s design to accurately and reliably represent the underlying market’ measured by the benchmark). The statement also says that widespread use of and transition to credit sensitive rates, instead of SOFR, may therefore pose risks to financial stability.
  • July 2021: ISDA have announced the results of its consultation on the implementation of fallbacks for the sterling LIBOR ICE Swap Rate and the US dollar LIBOR ICE Swap Rate. The results indicate a significant majority of respondents agree with the fallback provisions set out in the draft amendments attached to the consultation, which implement the fallbacks suggested by the Non-Linear Task Force of the RFRWG and a Subcommittee of the ARRC in the US.
  • 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.
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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

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