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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.
 
 
Selected speeches



Recent statements and other publications
  • Euro area, 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.
  • UK, June 2019: The Bank of England published a discussion paper on the Bank’s own approach to managing collateral referencing LIBOR in the Sterling Monetary Framework with responses sought by 27 September. The paper outlines a number of risk management approaches currently under consideration by the Bank to ensure that it remains well placed to provide liquidity insurance in support of financial stability.
  • UK, June 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.
  • UK, June 2019: Last Orders: Calling Time on LIBOR: The Bank of England shared the materials from its joint conference with the FCA and the Working Group on Sterling Risk Free Reference Rates on 5 June. The materials comprise Roadmap published by the Working Group on Sterling Risk Free Reference Rates, Dear CEO Thematic Feedback. Please also see “Selected Speeches” above for additional materials.
  • June, 2019: The FSB published Overnight Risk-Free Rates - A User’s Guide. The Guide provides an overview of RFRs, details of how they are calculated, and options on how overnight RFRs can be used in cash products. The FSB aims to encourage adoption of these rates where they are appropriate.
  • Euro area, May 2019: EMMI published the results of its consultation, confirming that the EONIA methodology will change to €STR plus spread on 2 October 2019. EONIA is expected to be discontinued on 3 January 2022. The results of the consultation and EMMI’s press release are available here.
  • Euro area, May 2019: The ECB announced a one-off spread between €STR and EONIA, to be used by EMMI in the new EONIA methodology as of October 2019. The methodology used to calculate the spread (which will be 8.5bp) is based on the recommendations of the working group on euro risk-free rates published on 14 March.
  • US, May 2019: The Alternative Reference Rates Committee (ARRC) has published recommended contractual fallback language for USD LIBOR denominated bilateral business loans and securitisations. Further information can be found in the ARRC’s press release.
  • UK, May 2019: ISDA launched two new consultations on benchmark fallbacks – one covering adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued, and another relating to pre-cessation issues for LIBOR and certain other IBORs. The deadline for responses for each consultation is 12 July 2019.
  • Euro area, May 2019: The Working group on euro risk-free rates has launched a public consultation and associated press release on a legal action plan for the proposed transition from EONIA to €STR, including a set of draft recommendations which address the legal implications for new and legacy contracts referencing EONIA.
  • UK, May 2019: The Working Group on Sterling Risk-Free Reference Rates published a statement to update on progress in the adoption of SONIA in sterling markets, including work currently underway to develop a forward-looking term benchmark.
  • Euro area, May 2019: EMMI, the administrator of the EURIBOR benchmark, announced that it has applied for authorisation from the Belgian FSMA under EU BMR. As a subsequent step, EMMI has started transitioning Panel Banks from the current EURIBOR methodology to the new hybrid methodology.
  • US, May 2019: The Alternative Reference Rates Committee (ARRC) issued SOFR: A Year in Review to commemorate the one-year anniversary of the publication of the Secured Overnight Financing Rate (SOFR). SOFR is the rate that the ARRC selected as its preferred alternative to U.S. dollar LIBOR.
  • US, April 2019: The ARRC released recommended contractual fallback language for USD-denominated floating rate notes and syndicated loans. The fallbacks are for market participants’ voluntary use in new contracts that reference USD LIBOR and were developed with the goal of reducing the risk of serious market disruption in the event that LIBOR is no longer usable.
  • US, April 2019: The ARRC published a User’s Guide to SOFR. Intended to help explain how market participants can use SOFR in cash products, the User’s Guide lays out a number of considerations that market participants will need to consider, such as simple average or compounded in advance or in arrear, and the conventions pertaining to all.
  • US, April 2019: ISDA published a letter to the FSB's Official Sector Steering Group Derivative contract robustness to risks of interest rate benchmark discontinuation to provide an update on the status of their work to implement more robust fallbacks for derivatives referencing key interbank offered rates and key milestones over the next year.
  • US, April 2019: IBA issued a press release providing an update on their proposed U.S. Dollar ICE Bank Yield Index.
  • US, March 2019: The ARRC published its Feb-March 2019 Newsletter providing an update on key news relating to risk-free rates transition in the US and global markets.
  • US, March 2019: The ARRC launched an enhanced version of its website in the interest of providing comprehensive information about, and facilitating the public's understanding of the ARRC and its work in supporting a successful transition away from USD LIBOR to a more robust reference rate, its recommended alternative, the SOFR.
  • UK, March 2019: The FSB’s Official Sector Steering Group sent a letter to ISDA encouraging ISDA to ask for market opinion on the addition of other trigger events, the timing for an ISDA consultation on U.S. dollar LIBOR and certain other IBORs and the governance and transparency necessary as ISDA makes its final decisions.
  • UK, March 2019: IBA released the results of its Survey on the Use of LIBOR from December 2018, which sets out to identify the LIBOR settings that are most widely used.
  • Euro area, March 2019: The European Money Markets Institute (EMMI) released a public consultation on the recommendations for EONIA of the working group on euro risk-free rates, together with an accompanying press release.
  • UK, March 2019: The Working Group on Sterling Risk-Free Reference Rates published a Discussion Paper: Conventions for referencing SONIA in new contracts and updated webpage: Transition to sterling risk-free rates from Libor. This Discussion Paper is addressed to market participants who are considering how to reference SONIA in new contracts and it is intended to raise market awareness of the identified conventions for referencing SONIA.
  • Euro area, March 2019: The ECB issued a press release confirming that it will start publishing €STR as of 2 October 2019 and that it will provide the computation of a one-off spread between €STR and EONIA, as requested by the €RFR WG and calculated by the ECB according to the methodology publicly recommended by the € Risk Free Rate Working Group.
  • Euro area, March 2019: The working group on euro risk free rates has endorsed recommendations to market participants regarding (i) the transition from EONIA to €STR; and (ii) the calculation of a €STR-based term structure.
  • UK, March 2019: The FCA published a statement clarifying its approach to, among other things, the EU Benchmarks Regulation if the UK leaves the EU without an implementation period (a no-deal scenario). The statement notes that the FCA will be setting up a UK public register of benchmarks and administrators authorised in the UK.
  • Euro area, February 2019: The working group on euro risk-free rates published a summary of responses to the second public consultation on determining an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts.
  • Euro area, February 2019: The working group on euro risk-free rates published a summary of responses to its report on the transition from EONIA to ESTER.
  • Switzerland, February 2019: The National Working Group on Swiss Franc Reference Rates, which is the key forum for considering proposals to reform reference interest rates in Switzerland, has published a starter pack designed to inform readers about the transition from CHF LIBOR to SARON.
  • Euro area, January 2019: The working group on euro risk-free rates published guiding principles for fallback provisions in new contracts for euro-denominated cash products and an associated press release.
For statements and other publications prior to 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

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.

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

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