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: 
  • November 2020: The FCA has published a Statement setting out its potential approach to the use of proposed new powers under the Financial Services Bill to ensure an orderly wind down of LIBOR. Among other things, the FCA sets out different possible approaches for different LIBOR currencies. The FCA 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.
  • November 2020: The FCA released two corresponding consultations: the first, on designating an unrepresentative benchmark using new powers under proposed Article 23A of the Financial Services Bill, and the second requiring changes to a critical benchmark, including its methodology, using new powers under proposed Article 23D.
  • October 2020: The latest Working Group on Sterling Risk-Free Reference Rates newsletter for October 2020 is available to view here.
  • October 2020: The Working Group on Sterling Risk-Free Reference Rates has published two papers, (i) a summary of the freely available independent RFR calculators on the market and (ii) a summary of the key attributes of Beta versions of Term SONIA Reference Rates (TSRRs) published by independent benchmark administrators. The aim of the papers is to assist market participants and vendors to remain informed and consider whether any amendments may be required to their systems or products if they choose to adopt SONIA compounding methods or transition to TSRRs (where such transition is appropriate, which it isn’t expected to be in the case of the bond markets).
  • September 2020: the FCA has engaged with interest rate swap liquidity providers and interdealer brokers to determine support for a change in the quoting conventions of sterling interest rate swaps in the interdealer market. An FCA survey of liquidity providers identified strong support for a change in the interdealer quoting convention that would see SONIA rather than LIBOR become the default price from 27 October 2020, subject to prevailing market conditions at that time.
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EU and euro area:

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US:

  • October 2020: the ARRC released FAQs to its Request for Proposals (RFP) for spreads (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).
  • September 2020: The latest ARRC newsletter for August-September is available to view here.
  • 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.”
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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:

  • 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.
  • October 2020: ISDA published a statement from its Board of Directors on the forthcoming launch of the IBOR Fallbacks Supplement and IBOR Fallbacks Protocol, which it hopes will launch on 23 October 2020 and will be effective from 25 January 2021. This was subsequently welcomed by the Sterling Risk-Free Rate Working Group, the ARRC and the FSB, which strongly encourages widespread and early adherence to the Protocol as it will be a major driver of transition for derivatives in all LIBOR currencies and a critical step in benchmark transition ahead of end-2021.
  • October 2020: The US Department of Justice has written to ISDA concluding that the ISDA's Protocol is unlikely to produce anticompetitive effects, and has the potential to offer substantial benefits to the financial services industry. Accordingly, the DoJ has no present intention to challenge ISDA's proposal to amend its standardized documentation.
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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 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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