Quick Find:
Benchmark reform and transition to risk-free rates archive
Selected speeches



Statements and other publications
  • 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: 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” 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.
  • UK, December 2018: The Working Group on Sterling Risk-Free Reference Rates published a Next Steps document related to LIBOR transition and the development of a term rate based on SONIA. This follows other publications related to term SONIA reference rates detailed below.
  • UK, November 2018: The Working Group on Sterling Risk-Free Reference Rates published a starter pack called “Preparing for 2022: What you need to know about LIBOR transition”, which is designed to inform readers about the transition from LIBOR to SONIA and may be updated periodically to reflect relevant developments. Interested parties are encouraged to use the pack when engaging with internal and external stakeholders on the topic.
  • UK, November 2018: The Working Group on Sterling Risk-Free Reference Rates published a summary of responses to the consultation on term SONIA reference rates.
  • Global, November 2018: The FSB published a progress report on reforming major interest rate benchmarks, together with a press release.
  • Euro area, November 2018: The ECB held a roundtable on euro risk-free rates.
  • UK, September 2018: The UK Financial Conduct Authority and Prudential Regulation Authority wrote letters to CEOs of major banks and insurers supervised in the UK asking for the preparations and actions they are taking to manage transition from LIBOR to alternative interest rate benchmarks.
  • US, September 2018: The Alternative Reference Rates Committee (ARRC) published frequently asked questions and an associated press release to build on efforts to engage and educate market participants and other stakeholders.
  • Euro area, September 2018: The private sector working group on euro risk-free rates recommended ESTER as the euro risk-free rate.
  • UK, July 2018: The Working Group on Sterling Risk-Free Reference Rates published a paper on new issuance of Sterling bonds referencing Libor.
  • UK, July 2018: The Working Group on Sterling Risk-Free Reference Rates published a consultation on term SONIA reference rates, together with a press release
  • Global, July 2018: The Financial Stability Board published a statement on interest rate benchmark reform – overnight risk-free rates and term rates, together with a press release.
  • US, July 2018: The Alternative Reference Rates Committee (ARRC) published non-binding guiding principles for consideration when drafting LIBOR fallback language for cash products, together with a press release.
  • UK, June 2018: The Working Group on Sterling Risk-Free Reference Rates published a provisional timeline with milestones for RFR transition in sterling markets.
  • US, March 2018: The Alternative Reference Rates Committee (ARRC) published its Second Report which discusses a “Paced Transition Plan”.



International benchmark reform panel at the 50th ICMA AGM and Conference, 31 May 2018


View here.



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