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: 

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EU and euro area:

  • April 2022: The Euro RFRWG has published minutes of its meeting on Wednesday 2 March 2022.
  • December 2021: The European Commission has released a planned initiative to designate statutory replacement rates under the EU Benchmarks Regulation for each of sterling and yen LIBOR.
  • December 2021: The EU RFR WG has released a statement supporting the CFTC’s MRAC announcement last week that 13 December has been selected for Part II of the RFR First initiative for cross currency swaps, and recommending alignment with Part II in EU interdealer cross currency swap markets. Moreover, the EUR RFR WG also recommends the adoption of €STR for the EUR leg of EUR vs USD cross currency swaps in the EU interdealer market as of 13 December 2021.
  • November 2021: The Chairman of the Euro RFR WG wrote to Tilman Lueder, Head of Securities Markets at the EC, suggesting alignment for tough legacy contracts under EU law with the approach taken by the UK, i.e. synthetic LIBOR for GBP- and JPY LIBOR-referencing contracts and the adoption of specific legislation. The letter also says that full legal certainty under EU law can only be achieved with the designation of a statutory replacement rate, but suggests that there are certain challenges with this approach, and welcomes further discussion.
  • October 2021: Implementing decisions on the designation of the statutory replacement of EONIA and on the designation of a statutory replacement for certain settings of CHF LIBOR have been published in the Official Journal of the European Union.
  • 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.

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US:

  • March 2022: The ARRC has welcomed news that President Joe Biden has signed into law the Consolidated Appropriations Act, 2022, which contains critical legislation related to the transition away from USD LIBOR. This new federal LIBOR law takes an approach similar to the legislation that was initially proposed by the ARRC in 2020 and has since been passed by New York and several other states. The federal legislation applies to all U.S. law contracts and will make further state-by-state action unnecessary.
  • February 2022: At the latest ARRC meeting of February 2022, it was noted that the transition away from LIBOR to robust reference rates is progressing strongly into 2022, and that use of SOFR has accelerated across cash and derivatives markets. The ARRC’s objectives for 2022 were also considered, with two key priority areas being identified: promoting continued growth in use of SOFR in new activity across markets, and supporting the transition of legacy contracts ahead of the 2023 end of USD LIBOR.
  • January 2022: The ARRC has released its newsletter for December 2021 – January 2022.
  • December 2021: The US House of Representatives has passed the Adjustable Interest Rate (LIBOR) Act. The bill will now move to the US Senate for consideration. The ARRC has welcomed this action, which will minimise the risk of disruptive litigation and adverse economic impacts associated with the transition away from USD LIBOR by providing a uniform legislative solution for US law governed contracts, and a safe harbour from litigation.
  • December 2021: The ARRC, as a “Relevant Recommending Body” under New York and Alabama State LIBOR Legislation (State LIBOR Legislation), released a statement selecting and recommending forms of the SOFR, along with associated spread adjustments and conforming changes, to replace references to 1-week and 2-month USD LIBOR in certain contracts affected by the State LIBOR Legislation, which will not be published after 31 December 2021.
  • December 2021: The ARRC released FAQs on the scope and operation of the New York State LIBOR legislation.

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Japan:

  • November 2021: The Financial Services Agency (FSA) and Bank of Japan (BOJ) released a statement on the use of synthetic yen LIBOR in response to the Final Report on the Results of the Public Consultation on the Treatment of Tough Legacy Contracts in Japan published by the Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks.
  • November 2021: The Financial Services Agency (FSA) and the Bank of Japan (BoJ) have published the key findings of a survey relating to the remediation of Japanese yen (JPY) LIBOR. Large financial institutions were surveyed about the number of contracts referencing JPY LIBOR and incorporation of fallback provisions at domestic branches on a non-consolidated basis; and their challenges and policies for the transition with regard to legacy contracts as of end-September 2021.
  • 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.

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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:

  • November 2021: The National Working Group on Swiss Franc Reference Rates published minutes of its November 2021 meeting.
  • 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.

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Global:

  • November 2021: The FSB have released a Statement to Support Preparations for LIBOR Cessation, in which they urge market participants to act urgently to complete any remaining steps from the FSB’s global roadmap. The Statement encourages adoption of overnight RFRs as opposed to any other rates, and stresses that active transition of legacy contracts remains the best way for market participants to have control and certainty over their existing agreements.
  • 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.

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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

January 2022
ICMSA Bulletin - Synthetic LIBOR, type 1 fallbacks an dealer poll mechanisms

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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