IBRD Lending Rates and Spreads Applicable on or after January 1, 2017
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1 Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized From: The President January 24, 2017 I. Introduction IBRD Lending Rates and Spreads Applicable on or after January 1, 2017 Semi-annually, IDRD provides an update of the lending rates and spreads applicable to its financing products as set out in the terms of each product.' The purpose of this paper is to summarize the lending rates and spreads applicable to IDRD loans outstanding as ofjanuary 1, II. The Structures of IBRD Lending Rates and Spreads The structure oflending rates and spreads applicable to the IDRD loans outstanding can be broadly grouped into three categories: variable spreads over a market reference rate (the Reference Rate), fixed spreads over the Reference Rate, and currency pool based rates. Variable spreads and fixed spreads are currently offered under the IDRD Flexible Loan (IFL) product which consolidated the two previously offered LID OR products: the Variable Spread Loan (VSL) and the Fixed Spread Loan (FSL).2 In addition, there are other LID OR based products' and currency pool based products in IDRD's portfolio. Those products have been discontinued for new loan commitments but will continue to require rate resetting for outstanding loans. The interest rate of all IDRD loan products is subject to an implicit floor of zero on the overall rate." The rate structure and current pricing of each product group is provided in sections A to C. A. IFL Variable Spread The pricing principle of the variable spread is to pass through the benefits and risks of changes in IDRD's cost of borrowing to the borrowers. The variable spread consists of the following components: Where: IFL Rate with Variable Spread = RR + cls + mp + afs \ Splfad RR = Reference Rate which varies by currency choice cls = contractual lending spread which is approved by the IBRD' s Executive Directors and reviewed annually mp = maturity premium charged on loans with average maturities greater than 8 years which is approved by IBRD's Executive Directors and reviewed annually afs = IBRD's average funding spread relative to the Reference Rate which is calculated every January 1 and July 1 based on the actual cost incurred during the previous six months for funding the loans J A proposal, "Increasing the frequency of Variable Spread reset for IBRD IFLs," to update the VS at the first day of each calendar quarter has been approved by the WB Finance and Risk Committee (FRC) in November 2016 and is pending approval from the Executive Directors. 2 In addition, IBRD offers other financial products including: hedging products, guarantees, and disaster risk financing. 3 Aside from VSLs and FSLs, in FY07', IBRD offered the borrowers of currency pool and US dollar pool loans the option to convert their terms to a LIBOR based loan with a spread of 100 basis points fixed for the remaining life of the converted loans, 4 "Implicit Lending Rate Floor of Zero on Interest Rate in IBRD's Loans," WB FRC, dated June 8, 2016, I
2 2 Among the variable spread components, the contractual lending spread and the maturity premium are determined at loan signing and remain constant over the life of the loan; the reference rate and the average funding spread are determined on the lending rate reset dates and are applicable for the following six months. The lending rates and spreads applicable to variable spread IFLs as of January 1, 2017 are summarized in Box 1.5 These spreads will be used for rate resetting dates between January 1, 2017 and June 30, (For the historical spread analysis of the IFL, please see Annex 1.) Box 1. IFL Variable Spread Applicable as of January 1,2017 (in basis points) Greater than 8 Greater than 10 Greater than 12 Greater than 15 Greater than 18 Average Maturity 8 years and below and up to 10 and up to 12 and up to 15 and up to 18 and up to 20 years years years years years Actual Funding Spread Contractual Lending Spread Maturity Premium Total Spread - Current Semester Total Spread - Prior Semester Reference Rate for January 1, 2017* Indicative Total Lending Rate** * USD 6 month LIBOR applicable to loan rates. The reference rates for IFLs are the 6 month LIBOR in their loan currencies mostly. All euro-denominated loans for which the invitation to negotiate is issued on or after July 31, 20 I 0 have EURIBOR as the reference rate. ** The total lending rate is only indicative. The lending rate of a loan is determined based on the Reference Rate effective on the reset date subject to an implicit floor of zero on the overall rate. B. IFL Fixed Spread The IFL fixed spread over the Reference Rate consists of five components as shown below: IFL Rate with Fixed Spread = RR + cls + mp + pfs + mrp + bsa Where: Spread RR = Reference Rate which varies by currency choice cis = contractual lending spread which is approved by IBRD's Executive Directors and reviewed annually mp = maturity premium charged on loans with average maturities greater than 8 years which is approved by IBRD's Executive Directors and reviewed annually pfs = projected USD funding spread to the Reference Rate where IBRD expects, on average, to be able to fund over the lifetime of the loan mrp = market risk premium reflecting funding and refinancing risks involved in providing loans with a fixed spread bsa = projected basis swap spread applied to non-usd loans (currently EUR, GBP and JPY) to adjust the projected USD funding spread for other currencies 5 Please see Annex 2 for the listing of the additional variable rates and spreads applicable to IFLs and discontinued products for rate resetting dates between January I and June 30, 2017.
3 Because ffird absorbs the full risk of future financing costs for the fixed spread loans, the pricing principle of the fixed spread is to cover the ffird's projected funding cost for the life of the loan. Accordingly, ffird regularly reviews the technical components" of the fixed spread to ensure that these reflect underlying market conditions. In FY2017, the technical components of fixed spread increased on November 5,2016. The detailed components of current fixed spread in effect since November 5,2016 are provided in Box 2. The fixed spread for a loan is determined at loan signing and remains constant over the life of the loan. (For the historical spread analysis of the IFL, please see Annex 1.) 3 Box 2. IFL Fixed Spread Currently Available for USD Denominated Loans" (in basis points) Average Maturity 8 years and below Greater than 8 and Greater than 10 and Greater than 12 and Greater than 15 and Greater than 18 and up to 10 years up to 12 years up to IS years up to 18 years up to 20 years Projected Funding Spread Market Risk Premium Contractual Lending Spread Maturity Premium Total Spread - Current Semester b , Total Spread - Prior Semester Reference Rate for January, 1, 2017d Indicative Total Lending Rate" a. The current spread is applicable to loans signed on or after November 5, Loans for which the Invitation to Negotiate was issued on or before June 30,2014 and approved by the Executive Directors on or before September 30, 2014, include an annual maturity premium of 0.10% for loans with average repayment maturities of greater than 12 to 15 years, or 0.20% for loans with average repayment maturities of greater than 15 to 18 years. b. Total spread for USD donominated loans only. A basis swap adjustment of -0.15% is applicable to EU R fixed spread, -0.35% is applicable to the JPY fixed spread, and -0.05% is applicable to GBP fixed spread. c. Total spread as of January 1,2017 for USD donominated loans only. A basis swap adjustment of -0.15% is applicable to EUR fixed spread, -0.35% is applicable to the JPY fixed spread, and -0.05% is applicable to GBP fixed spread. d. USD 6-month LlBOR applicable to loan rates. The reference rates for IFLs are the 6 month LIBOR in the relevant loan-denomination currencies mostly. All euro-denominated loans for which the invitation to negotiate is issued on or after July 31,2010 have EURIBOR as the reference rate. e. The total lending rate is only indicative. The lending rate of a loan is determined based on the Reference Rate effective on the reset date subject to an implicit floor of zero on the overall rate. C. Currency Pool Products The Currency Pool products, offered between 1982 and 2001, are based on the pools of borrowings either in a basket of currencies or in a single currency and their lending rates are derived from the pooled cost of borrowings allocated to each product pool. The pooled cost of borrowings for each pool is calculated at the end of each semester and the semester rate is equitably charged to all applicable loans in the pool for rate setting for the subsequent semester. As of December 31, 2016, the currency pool products which have not been converted to LffiOR based pricing have outstanding balances of $8 million and all will mature by the end of FY The variable rates and spreads applicable to currency pool products for rate resetting dates between January 1 and June 30, 2017 are provided in Annex 2. 6 The technical components include the projected funding spread, the market risk premium, and the basis swap adjustment.
4 4 III. Notification to Borrowers IDRD will notify current borrowers, as required, of the rates and spreads (both inclusive of waivers for eligible borrowers) applicable for interest periods beginning on or after January 1,2017. Jim YongKim President
5 5 Annex 1. Historical Trend of IFL Spreads f/) '0 c: 180 Q, f/) 160 'iii tu II] t.~~./~n.. nn.n.' nnn.n, n '" ~-- ::::::::::::::::::::::::~:::::~~~~~~~_i~~:!:::::::::~:: o ~ ~ Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1S Jul-1S Jan-16 Jul-16 Jan-17 --Fix 18-20y --FixlS-18y --Fix12-15y --Fixl0-12y --Fix a-1oy ----Var18-20y --_. Var 15-18y Fix upto By ---- Var 12-15y --_. Var 10-12y ---- Var a-1oy Var upto By A. On AprilS, 2012, Management reduced the technical components of the fixed spread over the Reference Rate for IBRD IFLs across all maturity categories. The decrease was made up of lower projected funding costs for all currencies by 10 basis points for loans with average repayment maturities of 15 years or less and 5 basis points for loans with average repayment maturities greater than 15 years and up to 18 years. In addition, for euro and yen denominated loans, the projected basis swap adjustment was lowered by 5 basis points compared to the previous level. This change affected all fixed spread IFLs signed on or after April 6, B. On April 26, 2013, Management increased the projected funding spread component of the fixed spread over the Reference Rate by 10 basis points for IBRD IFLs with average repayment maturities of 15 years or less. This change affected all fixed spread IFLs signed on or after April 27, C. On April 22, 2014, Management increased the projected funding spread component of the fixed spread over the Reference Rate by 5 basis points for IBRD IFLs for all maturities. This change affected all fixed spread IFLs signed on or after April 23, D. On February 11,2014, IBRD's Executive Directors approved the extension of the maximum maturity for loans and guarantees to 35 years with the revision to the maturity premium schedule. The revision of the maturity premium schedule required a corresponding realignment of the average maturity buckets set in June All eligible loans and guarantees will be subject to a 10 basis points annual premium for average maturities greater than 8 years and up to 10 years, a 20 basis points annual premium for average maturities greater than 10 years and up to 12 years, a 30 basis points annual premium for average maturities greater than 12 years and up to 15 years, a 40 basis points annual premium for average maturities greater than 15 years and up to 18 years, and a 50 basis point annual premium for average maturities greater than 18 years and up to 20 years (the maximum average maturity available). This change came into effect on July 1, It does not affect loans or guarantees for which (i) the Invitation to Negotiate was issued before December 31,2014, and (ii) that were approved by Executive Directors on or before September 30,2014. E. As of July 1,2014, the projected funding spread component of the fixed spread for average maturities 8 years and below has been set at zero basis point. F. On October 7, 2015, Management increased the technical components of the fixed spread over the Reference Rate for IBRD IFLs across all maturity categories. The increase was made up of higher
6 6 projected funding costs for all currencies by 10 basis points for loans with average repayment maturities of 12 years or less and 5 basis points for loans with average repayment maturities greater than 12 years. This change affected all fixed spread IFLs signed on or after October 8, G. On January 14, 2016, Management increased the technical components of the fixed spread over the Reference Rate for IBRD IFLs across all maturity categories. The increase was made up of higher projected funding costs for all currencies by 15 basis points for all repayment maturities. In addition to the change in the projected funding cost, the basis swap adjustments have changed to -0.15%, -0.35%, and -0.05% for fixed spread loans denominated in EUR, JPY and GBP, respectively. Previously, the basis swap adjustments were -.05%, -.15%, and 0% for fixed spread loans denominated in EUR, JPY, and GBP, respectively. This change affected all fixed spread IFLs signed on or after January 15, H. On April 15, 2016, Management increased the technical components of the fixed spread over the Reference Rate for IBRD IFLs across all maturity categories. The increase was made up of higher projected funding costs for all currencies by 10 basis points for the loans with average repayment maturities greater than 8 years. This change affected all fixed spread IFLs signed on or after April 16, I. On November 5, 2016, Management decreased the technical components of the fixed spread over the Reference Rate for IBRD IFLs with maturities of 15 years or less. The decrease was made up of lower projected funding costs for all currencies by 10 basis points for the loans with average repayment maturities of 12 years or less, and by 5 basis points for the loans with average repayment maturities of greater than 12 years and up to 15 years. The fixed spreads for the loans with average repayment maturities greater than 15 years were unchanged. This change affected all fixed spread IFLs signed on or after November 5, 2016.
7 7 Annex 2. Additional Variable rates and spreads applicable to IFLs and discontinued products for rate resetting between January 1, 2017 and June 30, 2017 Loan Product Funding Contractual Eligibility Criteria cost/cost of Lending borrowing Spread Maturity Premium Total Spread/Rate Loans approved between June 30, 20 I 0 and IFL VS" June 30, 2014 with average maturity of 12-6 bps 50 bps o bps 44 bps years or less Loans approved between June 30, 2010 and IFL VS" June 30, 2014 with average maturity greater -6 bps 50 bps 10 bps 54 bps than 12 years and up to 15 years Loans approved between June 30, 20 I 0 and IFL VS" June 30, 2014 with average maturity greater -6 bps 50 bps 20 bps 64 bps than 15 years and up to 18 years IFL VS issued (i) on or after July 23, 2009; or (ii) prior to July 23,2009, and which were not approved by November 30, bps 50 bps N/A 44 bps IFL VS issued Prior to July 23, 2009, and which were -6 bps 30 bps N/A 24 bps approved by November 30, 2009 VSLb Loans signed on or after September 28, bps 30 bps N/A 24 bps VSLb issued: On or after July 31, 1998 and signed -6 bps 74 bps" N/A 68 bps before September 28, 2007 VSLb VLR89 VLR89 issued: Prior to July 31, 1998 Invitation to Negotiate date issued prior to July 31,1998 Invitation to Negotiate date issued on or after July 31, bps 49 bps" N/A 43 bps 7.74% 50 bps N/A 8.24% 7.74% 75 bps N/A 8.49% a. Includes loans for which the invitation to negotiate was issued before December 31, 2014 and that have been approved by Executive Directors on or before September 30,2014. b. Rates do not take interest waivers into account for loans signed before September 28, Interest waivers do not apply on loans signed on or after September 28, c. Effective July I, 2008, as part of the migration into a unified loan product (IFL), all loans under the IFL program, and VSLs signed on or after September 28, 2007, have a contractual lending spread that is not adjusted for day count (see R ). The total spread for other variable spread loans is adjusted to account for the different day conventions between borrowing transactions and the Bank's loans.
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