Weaning the world off Libor
|
|
- Erin Floyd
- 5 years ago
- Views:
Transcription
1 Whitepaper : UK Weaning the world off Libor Project Finance Private Equity Corporates Social Infrastructure Real Estate Financial Risk Advisors jcragroup.com
2 Whitepaper Contents Background 1 What is SONIA? 1 What are the key differences between SONIA and Libor? 2 Impact on Interest Rate Derivatives 3 Impact on Floating Rate Debt 4 Unintended consequences 4 What next? 4
3 Whitepaper 1 Libor has become a cornerstone of loan and derivative markets, with over $350tn of contracts referencing the rate. Background On 27 July 2017, nine whole years after the tampering scandal reared its ugly head, the Financial Conduct Authority announced that LIBOR will likely be phased out by While some commentators have said the FCA s announcement may be premature, it has been in the works for some time. Since its introduction in 1984, Libor has become a cornerstone of loan and derivative markets, with over $350tn of contracts referencing the rate. As it has grown in use, however, so too have markets changed. Libor is not as robust as it once was, and newer alternatives offer fundamental improvements. Different countries have selected different successors to LIBOR but in the UK, this is expected to be SONIA. Timeline July the Financial Stability Board (FSB) published its report 1 on interest rate benchmark reform prompting the formation of working groups across the G20. March the Bank of England commences a working group on Sterling Risk-Free Reference Rates; the US starts the Alternative Reference Rates Committee, the Swiss start National Working Group and the Japanese Study Group on Risk-Free Rates. April the Bank of England s working group announces that it has decided on SONIA as its preferred near risk-free interest rate benchmark for use in sterling derivative and other financial contracts. 15 June International Swaps and Derivatives Association (ISDA) Chief Executive, Scott O Malia announces formation of working groups to agree fall-backs in the event that Libor was unavailable, and to assist with the transition from Libor in the derivatives markets 29 June Bank of England working group publishes a whitepaper on potential approaches to a broader adoption in sterling markets of the SONIA benchmark. 27 July the CEO of the Financial Conduct Authority (FCA), Andrew Bailey, announced that Libor will be phased out by September Bank of England whitepaper closes to feedback after which the working group should publish a summary. What is SONIA? SONIA stands for Sterling Over-Night Index Average. Every day, banks and building societies cover their short-term sterling funding requirements by entering into unsecured overnight transactions. The market for such transactions is intermediated by brokers, who are usually members of the Wholesale Markets Brokers Association (WMBA). All transactions brokered by a WMBA member in London between midnight and 18:00 with a deal size of 25m or more are taken by the WMBA who, as calculation and publication agent, calculates the volume weighted average annualised interest rate across these transactions. This is then published as SONIA at 18:30 each day and from Spring 2018 will be published at 09:00 on the next business day. SONIA should be distinguished from RONIA (R for Repurchase), its sister index which uses secured overnight transactions, rather than unsecured. 1 Available at
4 2 Whitepaper SONIA fixes in arrears and is purely an overnight rate which may cause more issues for many end-users, particularly smaller derivative end-users and borrowers. What are the key differences between SONIA and Libor? SONIA is by definition an overnight rate, whereas Libor fixes for a range of tenors Another point linked to this is that SONIA fixes daily in arrears, whereas Libor fixes in advance for the given tenor, for example 3-month. The fact that SONIA fixes in arrears and is purely an overnight rate may cause more issues for many end-users, particularly smaller derivative end-users and borrowers. For example, as a borrower looking to manage cash flow within your business it can be valuable to understand what your interest expense for the quarter will be at the beginning rather than at the end of the quarter. It may be possible to utilise short-term swaps that reference SONIA, called Overnight Index Swaps (OIS), to generate a mechanism that will both fix in advance and provide fixing values for different tenors. However, this may re-introduce liquidity issues in the benchmark (i.e. if there is limited trading in a particular OIS tenor) and it would need to be determined who would calculate and produce these indices. Figure 1: Historical 3-month GBP Libor-OIS Spread SONIA is a near risk-free-rate, whereas Libor captures a credit risk component This may not actually be a desirable feature of Libor and many participants in the UK market welcome the move to a near risk-free rate. However, the credit component of Libor will need to be a consideration for legacy instruments and their migration. In figure 1 below, the historical difference between three-month Libor and OIS shows that during periods of uncertainty the differential gets wider. It is expected that ISDA s working groups for formulating fall-backs in the event that Libor is unavailable will likely be the relevant risk-free OIS rate for each currency, with the addition of a spread to incorporate residual term bank credit premia. SONIA is a transaction-based benchmark, whereas Libor is a judgement-based benchmark Fundamentally, it is this point that has written Libor s death certificate. As Mark Carney outlined 2, a lack of unsecured term deposit transactions and therefore a continued reliance on judgement represents a serious structural weakness in LIBOR. A situation in which a judgement-based benchmark underpins an estimated US $350 trillion-worth of contracts is not desirable. Source: Bank of England 2 6th July 2017, available at:
5 Whitepaper 3 The move to a single benchmark will be a change welcomed by many and lead to improved pricing for the market. Impact on Interest Rate Derivatives From a technical or pricing perspective, the move to a single benchmark will make derivative pricing simpler and more efficient. We have been operating in a multi-curve environment for the last decade and it is evident that it adds to the complexity of derivative pricing and risk management. The move to a single benchmark will be a change welcomed by many and lead to improved pricing for the market. As seen in figure 2 below, there is already a market for OIS, which is helpful in the transition from Libor to SONIA. Currently, the OIS curve is quoted from 1-week up to 50-year maturities. There are pockets of liquidity in tenor beyond one year. The recent decision with regard to SONIA as the chosen risk free rate will help improve liquidity. In addition, it is clear that there are concerted efforts from regulators, industry bodies and market participants to continue to improve liquidity especially in longer tenors. Currently, OIS is only clearable out to a 30-year maturity. There is an effort to make OIS clearable out to 50 years and certainly, with quotes now available out to this tenor, it should only be a matter of time before LCH adds these maturity points. The other segment of liquidity in the curve is that of Libor futures. Further work will need to be undertaken to migrate Libor futures contracts to SONIA and we will continue to monitor developments in this area. Figure 2: Interest rate instrument and illustrative liquidity Source: Bank of England
6 4 Whitepaper For end-users, it will be important that any transition takes place across both debt and derivative instruments in a similar fashion, and on a similar timetable to avoid introducing new risks. Impact on Floating Rate Debt The Loan Market Association (LMA) overhauled the fall-back interest rate benchmark provisions in their recommended form facility agreements in November Currently, the LMA provisions do not provide for an automatic switch to a different public rate. Preliminary conclusions from ISDA suggest possible triggers could include: insolvency of the relevant IBOR administrator a public statement by the relevant IBOR administrator that it will cease publishing the relevant IBOR permanently or indefinitely a public statement by the supervisor for the relevant IBOR administrator that the relevant IBOR has been permanently or indefinitely discontinued a statement by the supervisor for the relevant IBOR administrator that the relevant IBOR may no longer be used 3 Given that the choice of SONIA as a risk-free benchmark is relatively recent, this may be a development that will come into place over the next year or two. However, it is clear that SONIA and Libor are different so a simple switch may not be appropriate without some adjustment to the rate or margin. For end-users, it will be important that any transition takes place across both debt and derivative instruments in a similar fashion, and on a similar timetable to avoid introducing new risks that would be difficult to manage efficiently. It is quite likely that ISDA will seek to adopt a protocol approach leading to a large widespread change in the derivatives market, so it would be good to see the lending market start to prepare itself for the change. Unintended consequences Hedge Accounting Many corporate end-users of derivative instruments seek to apply hedge accounting in order to prevent volatility of reported profit and loss. A material amendment to an existing derivative could result in a requirement to dedesignate an existing hedging relationship and re-designate a new one Even if the change of reference rate is the same on the debt and the derivative instrument, this could still lead to ineffectiveness as the re-designated hedging relationship may be off-market. Further ineffectiveness would occur if the changes to the reference rate for the debt and derivative are different or happen at different points in time. Collateralisation Under EMIR, some market counterparties are required to clear or otherwise collaterise new derivative instruments. However, to soften the impact of this change there has been some grandfathering of legacy swaps. Any material amendment to an existing trade would lead to it being brought into scope a rule that was intended to avoid participants perpetually modifying trades to avoid the rules. The change of reference risk free rate could result in a material amendment to legacy swaps, which may prevent the grandfathering that many market participants have relied upon. This is already on the agenda for market participants and ISDA, amongst others, is likely to lead on the lobbying with regard to this area. What next? While it is a little early to give specific direction on commercial or documentation points that will arise from the transition, JCRA are engaging with the Bank of England on their consultation process with regard to benchmark risk-freerates. We will continue to monitor developments, engage with government and industry bodies and provide updates on Libor as the story evolves. 3 ISDA, 'Benchmarks Fallbacks for LIBOR and other key IBORs ISDA':
7 Whitepaper 5 About JCRA JCRA are independent financial risk advisors, specialising in hedging and debt advice that is strategically aligned to what you and your business want to achieve. We have over 25 years experience structuring and advocating for competitive pricing in derivative products. We formulate and execute interest rate, foreign exchange, inflation and commodity hedging strategies and provide debt advice to real estate, project finance and infrastructure, private equity, social infrastructure and corporate clients across the globe. Helping businesses and organisations stay one step ahead. jcragroup.com For more information, or to discuss this whitepaper, please contact: Ivan Harkins Director T: +44 (0) E: ivan.harkins@jcrauk.com
8 Disclaimer J.C. Rathbone Associates Limited is authorised and regulated by the Financial Conduct Authority (FCA) in the United Kingdom under reference number This document is intended for persons who would come within the FCA s definition of professional clients and eligible counterparties only and should not be relied upon or distributed to persons who would come within the FCA s definition of retail clients. No other person should rely upon the information contained within it. This document has been issued by J.C. Rathbone Associates Limited for information purposes only and does not constitute investment advice and is not to be construed as a solicitation or an offer to purchase or sell investments or related any financial instruments. This document has no regard for the specific investment objectives, financial situation or needs of any specific person or entity. The information contained herein is based on materials and sources that we believe to be reliable, however, J.C. Rathbone Associates Limited makes no representation or warranty, either express or implied, in relation to the accuracy, completeness or reliability of the information contained herein. The information in this document is not suitable for use in any jurisdiction where such activity or its distribution is prohibited. Any persons resident outside the United Kingdom must satisfy themselves that they are not subject to any local requirements which prohibit or restrict them from doing so. In particular, the information herein does not constitute a solicitation in the United States of America to or for the benefit of any US Person as such term is defined under the United States Securities Act of 1933, as amended. The above data and graphs are provided for illustrative purposes only and are not to be reproduced in any form without the express consent of J.C. Rathbone Associates Limited. Data has been smoothed in their preparation and have been based upon prevailing market rates as at the date given jcragroup.com
Development of Fallbacks for LIBOR and other Key IBORs. Work of the FSB OSSG and ISDA
Work of the FSB OSSG and ISDA Development of Fallbacks for IBORs Background Recent FSB Official Sector Steering Group (OSSG) Market Participants Group Final Report (July 2014) In most cases, fallback provisions
More informationHeir to LIBOR. The Background Why? November 2017
November 2017 Heir to LIBOR For many of us in the U.S., the UK Financial Conduct Authority s (FCA) decision to abolish LIBOR by the end of 2021 is a non-event, not to mention it is still four years away
More informationISDA Symposium - Financial Benchmarks Scott O Malia, Chief Executive, ISDA June 15, 2017, 9am Risk-free Rates
ISDA Symposium - Financial Benchmarks Scott O Malia, Chief Executive, ISDA June 15, 2017, 9am Good morning, and welcome to ISDA s benchmark symposium. This event comes at an opportune time. Next week,
More informationLIBOR 2021 FRANCIS EDWARDS AND DAUWOOD MALIK APRIL 2018
FRANCIS EDWARDS AND DAUWOOD MALIK APRIL 2018 OVERVIEW LIBOR currently a key interest rate benchmark for global financial system for a large volume ($350 trillion or more?) and broad range of financial
More informationIntroduction. Loan Market Association Association of Corporate Treasurers
1 Contents Introduction Background to LIBOR reform Financial Conduct Authority speeches Alternative risk free rates Implications for financial markets general loans bonds derivatives LIBOR and the LMA
More information2021: A Benchmark Odyssey
2021: A Benchmark Odyssey January 2018 Andrew Bailey announced the FCA s intention to withdraw its support for LIBOR last July. In November it was confirmed that the banks participating in LIBOR have agreed
More informationLibor Podcast October 2017
Libor Podcast Emily: Hello and welcome to this DerivSource podcast. I am Emily Fraser Voigt, deputy editor of Derivsource.com. Andrew Bailey CEO of the Financial Conduct Authority wants to see a replacement
More informationSummary responses to White Paper questions. The Group had received 35 responses to its White Paper from a diverse range of organisations (Chart 1).
Summary responses to White Paper questions Number of responses The Group had received 35 responses to its White Paper from a diverse range of organisations (Chart 1). Chart 1: Breakdown of respondents
More informationDiscontinuation of LIBOR
6 Hogan Lovells Discontinuation of LIBOR How documentation in securitizations and other debt capital markets transactions is responding to the development Issues Market participants should not rely on
More informationREG IASB Meeting IBOR Reform and the Effects on Financial Reporting
IASB STAFF PAPER December 2018 REG IASB Meeting Project Paper topic IBOR Reform and the Effects on Financial Reporting Research findings CONTACT(S) Fernando Chiqueto fchiqueto@ifrs.org +44 (0) 20 7246
More informationImplementation of risk free rates and transition away from LIBOR: Key issues for the global financial markets
31 January 2018 Laurence White Financial Stability Board Bank for International Settlements Centralbahnplatz 2 CH-4002 Basel Switzerland Email: Laurence.White@fsb.org Dear Laurence, Implementation of risk
More informationMoving with the change
Moving with the change Planning and preparing a move toward alternative reference rates kpmg.com Zurich Market reform around benchmark rates has been in the works since the Wheatley Review 1 was released
More informationMoving to new risk-free rates
Moving to new risk-free rates Why asset managers need to prepare for the transition from IBORs January 2019 kpmg.com/evolvinglibor 2 Why Asset Managers need to prepare for change Introduction European
More informationGeneral risks related to the use of Benchmarks
The risks identified in this notice are provided as general information only. Clients and counterparties of BNP Paribas that have entered into (or may in the future enter into) financial contracts or have
More informationDerivative contract robustness to risks of interest rate benchmark discontinuation
April 10, 2019 Andrew Bailey Chief Executive Officer UK Final Conduct Authority John Williams President and Chief Executive Officer Federal Reserve Bank of New York Co-Chairs Official Sector Steering Group
More informationBRIEFING NOTE: TRANSITION TO RISK FREE RATE BENCHMARKS A TREASURER'S CHECKLIST
BRIEFING NOTE: TRANSITION TO RISK FREE RATE BENCHMARKS A TREASURER'S CHECKLIST OCTOBER 2018 Briefing note TRANSITION TO RISK FREE RATE BENCHMARKS A Treasurer s Checklist This briefing note may be freely
More informationSo Long, Libor: Transition Is Underway to SOFR and Other Alternative Reference Rates
So Long, Libor: Transition Is Underway to SOFR and Other Alternative Reference Rates September 4, 2018 by Courtney Garcia, Jerome Schneider of PIMCO SUMMARY Over the past year, industry leaders and regulators
More informationWorking Group on euro risk-free rates. Guiding principles for fallback provisions in new contracts for euro-denominated cash products
Working Group on euro risk-free rates Guiding principles for fallback provisions in new contracts for euro-denominated cash products January 2019 Contents 1 Introduction 2 2 Current legal frameworks and
More informationIn depth A look at current financial reporting issues
In depth A look at current financial reporting issues December 2018 No. 2018-14 What s inside: Background 1-2 2018 reporting.2 2019+ reporting...2-5 Appendix...6 Financial reporting impacts from replacement
More informationAlternative Reference Rate for. Hong Kong Interbank Offered Rate (HIBOR) - Consultation with. Industry Stakeholders. Treasury Markets Association
Alternative Reference Rate for Hong Kong Interbank Offered Rate (HIBOR) - Consultation with Industry Stakeholders Treasury Markets Association April 2019 About this document 1. This paper is published
More informationIBOR Fallbacks for 2006 ISDA Definitions FAQs
IBOR Fallbacks for 2006 ISDA Definitions FAQs 1. How were the fallback rates determined? ISDA determined, after consultation with its members, other industry participants, regulators and the Financial
More informationOverview of the Risk-Free Rate Transition
Overview of the Risk-Free Rate Transition Working Group on Sterling Risk-Free Reference Rates: Infrastructure Forum 31 January 2019 The FSB s multiple rate approach The FSB s 2014 report built on the work
More informationCHF LIBOR, JPY LIBOR, TIBOR,
Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, 1 CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW
More informationThe demise of LIBOR What next? THE DEMISE OF LIBOR WHAT NEXT?
THE DEMISE OF LIBOR WHAT NEXT? This white paper provides a snapshot of what has been agreed to date and looks at where we are likely to go moving forward. It also considers how Calypso could help; where
More informationComments on the ARRC Consultation Regarding More Robust LIBOR Fallback
November 26, 2018 The Secretariat of the Alternative Reference Rates Committee (via Email: arrc@ny.frb.org) Comments on the ARRC Consultation Regarding More Robust LIBOR Fallback Contract Language for
More informationIBOR transition. A certainty not a choice
IBOR transition A certainty not a choice In July 2018, regulators and industry groups launched an intensified, carefully coordinated global push for firms to recognize the pressing circumstances surrounding
More informationEnd of an IBOR era. Key transition challenges for the financial services industry
End of an IBOR era Key transition challenges for the financial services industry After more than 40 years of the financial services industry relying on interbank offered rates (IBORs) as a reference rate
More informationFallbacks for Derivatives Background and Role of A Vendor. January 2019
Fallbacks for Derivatives Background and Role of A Vendor January 2019 IBOR Fallbacks: ISDA s Work ISDA is currently undertaking work to amend the 2006 ISDA Definitions to implement fallbacks for: LIBOR
More informationWhat you need to know before LIBOR disappears
What you need to know before LIBOR disappears Impact on Swaps and Variable Rate Debt Date: August 22, 2017 By: Chuck Kirkpatrick 615-613-0215 www.ponderco.com What you need to know before LIBOR disappears
More informationFor more than 40 years, interbank offered rates (IBORs), especially the London Interbank Offered Rate
10 things you need to know about the IBOR transition The upcoming phase-out of the interbank lending rate (IBOR) means big changes to financial services but few firms are prepared. For more than 40 years,
More informationComments on the Consultation on Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions
October 22, 2018 International Swaps and Derivatives Association, Inc. (via Email: FallbackConsult@isda.org) Comments on the Consultation on Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions
More informationTerms of reference for the Working Group on. Euro Risk-Free Rates
Terms of reference for the Working Group on Euro Risk-Free Rates 1 Introduction Major reference interest rates play a pivotal role in the global financial system because of their usage in a broad range
More informationAsia Securities Industry & Financial Markets Association Transition from LIBOR to Replacement Benchmarks
Asia Securities Industry & Financial Markets Association Transition from LIBOR to Replacement Benchmarks June 13, 2018 Asian Regional PDM Forum, Koh Samui, Thailand www.asifma.org Follow ASIFMA on Twitter
More informationThe accounting impact of the LIBOR transition
The accounting impact of the LIBOR transition Uncover the potential accounting impact of a shift in benchmark rate The London Interbank Offered Rate (LIBOR) is expected to be phased out after 30 long years,
More informationInternational Swaps and Derivatives Association, Inc. IBOR Alternative Reference Rates Disclosure
Disclosure for Rates Transactions International Swaps and Derivatives Association, Inc. IBOR Alternative Reference Rates Disclosure This Disclosure supplements and should be read in conjunction with the
More informationISDA Benchmarks Supplement FAQs. List of Questions. 2. What does the EU Benchmark Regulation require in this context?
ISDA Benchmarks Supplement FAQs This FAQ is provided for information purposes only. It does not constitute or contain legal or any other form of advice and is merely intended as an information resource
More informationWHITE PAPER: Market transition from LIBOR to SONIA
NOVEMBER 2018 WHITE PAPER: Market transition from LIBOR to SONIA Executive Summary by Jonathan Clarke, George Karalis and Jonathan Cawdron Following the various travails of LIBOR over the last few years,
More informationMoving with the change
Moving with the change Planning and preparing a move toward alternative reference rates kpmg.ca A Canadian perspective For a number of years now, regulators, central banks, and the industry alike have
More informationRecent History 2013 International Organization of Securities Commissions Financial Stability Oversight Council 2014 Financial Stability Board 2017
Reference Rates 2013 Recent History International Organization of Securities Commissions published a set of principles for financial benchmarks stating that benchmark rates should be: Anchored in observable
More informationExchange rate implications on aspects of the UK economy
Exchange rate implications on aspects of the UK economy Exchange rate implications on aspects of the UK economy Project Finance Private Equity Corporates Social Infrastructure Real Estate Financial Risk
More informationARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES September 24, 2018
ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES September 24, 2018 TABLE OF CONTENTS Part I: ARRC Consultation Overview... 2 A. Background...
More informationARRC CONSULTATION NEW ISSUANCES OF LIBOR SECURITIZATIONS December 7, 2018
ARRC CONSULTATION NEW ISSUANCES OF LIBOR SECURITIZATIONS December 7, 2018 TABLE OF CONTENTS Part I: ARRC Consultation Overview...2 A. Background... 2 B. An Explanation of SOFR and Differences between SOFR
More informationIBOR transition. A Swiss perspective. August 2018
IBOR transition A Swiss perspective August 2018 End of the (L)IBOR era Interbank offered rates (IBORs) are deeply embedded in a broad range of financial activities. IBORs serve as reference rates for financial
More informationThoughts on the Methodologies in the ISDA Consultation. David Bowman Senior Advisor to the Board
Thoughts on the Methodologies in the ISDA Consultation David Bowman Senior Advisor to the Board 1 These comment reflect my own thoughts and should not be taken as reflecting the views of the Federal Reserve
More informationConsultation Paper on the Evolution of SIBOR
Consultation Paper on the Evolution of SIBOR 04 December 2017 ABS Benchmarks Administration Co Pte Ltd and Singapore Foreign Exchange Market Committee DISCLAIMER This consultation paper sets out the proposals
More informationAFME Member Briefing. Phasing out IBORs: What does the transition to new risk-free rates mean for the industry?
Association for Financial Markets in Europe AFME Member Briefing Phasing out IBORs: What does the transition to new risk-free rates mean for the industry? 20 June 2018 Iain Budge, Vice President, UK &
More informationCLIENT USE ONLY - NOT FOR DISTRIBUTION TO THE GENERAL PUBLIC.
LIBOR Transition 2018 Goldman Sachs does not provide accounting, tax or legal advice. Please note that these materials are for informational purposes only and do not provide any recommendation to buy or
More informationPhase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing New Reference Rates
Presenting a live 90-minute webinar with interactive Q&A Phase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing New Reference Rates TUESDAY, JULY 10, 2018 1pm Eastern 12pm Central
More informationINTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018
January 2019 INTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018 This report provides an analysis of trading volumes of interest rate derivatives (IRD) transactions in the US
More informationLeveling the Playing Field What Will Happen to LIBOR - Q3 2017
Leveling the Playing Field What Will Happen to LIBOR - Q3 2017 The financial industry is trying to create a realistic alternative to LIBOR, but it will be challenging to switch seamlessly over to a newly
More informationBenchmark reform: transition from IBORs to risk-free rates in the Euro area
Association for Financial Markets in Europe Benchmark reform: transition from IBORs to risk-free rates in the Euro area Richard Hopkin Managing Director and Head of Fixed Income ECB Bond Market Contact
More informationEFAMA response to the ECB s first public consultation on developing a euro unsecured overnight interest rate
developing a euro unsecured overnight interest rate A. Preliminary comments The European Fund and Asset Management Association, EFAMA 1, welcomes the decision of the ECB to consult market participants
More informationThe Bank of Nova Scotia -- Response
ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR SYNDICATED BUSINESS LOANS The Bank of Nova Scotia -- Response Question 1. If the ARRC were to adopt
More informationWhite Paper: SONIA as the RFR and approaches to adoption
9 October 2017 Will Parry Esq Bank of England Threadneedle St London EC2R 8 AH Dear Mr Parry White Paper: SONIA as the RFR and approaches to adoption The role of the Financial Markets Law Committee (the
More informationINTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018
November 2018 INTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018 As the financial industry is preparing to transition from LIBOR and other interbank offered
More informationAlternative Reference Rates Committee Terms of Reference (Revised March 7, 2018)
Alternative Reference Rates Committee Terms of Reference (Revised March 7, 2018) The Alternative Reference Rates Committee (the ARRC ), is a private-sector organization sponsored by the Board of Governors
More informationIBOR transition. IFRS accounting challenges and considerations
IBOR transition IFRS accounting challenges and considerations 1 IBOR transition IFRS accounting challenges and considerations Introduction The transition from Interbank Offered Rates (IBORs) to so-called
More informationLIBOR What to do Now. New York Wednesday, November 28, 2018
LIBOR What to do Now New York Wednesday, November 28, 2018 History of LIBOR and the Transition Away From LIBOR Stuart M. Litwin Co-Head, Structured Finance Practice slitwin@mayerbrown.com +1 312 701 7373
More informationLCH Limited Self Certification: Rule Changes on the addition of SOFR Swaps as eligible SwapClear products
VIA CFTC PORTAL June 26 2018 Mr Christopher Kirkpatrick Commodity Futures Trading Commission 115 21 st Street NW Three Lafayette Centre Washington DC 20581 LCH Limited Self Certification: Rule Changes
More informationDocket Number OP-1573, Request for Information Relating to Production of Rates
Ann E. Misback 20 th Street and Constitution Avenue NW, Washington, DC 20551 Re: Docket Number OP-1573, Request for Information Relating to Production of Rates Dear Ms. Misback: The Securities Industry
More informationLIBOR Transition Series
www.pwc.com/libor LIBOR Transition Series Executive Summary August 2018 As global regulatory and advisory bodies, working with market participants around the world, have progressed in their identification
More informationInvesco Fixed Income Investment Insights What may LIBOR s phase-out mean for investors?
Invesco Fixed Income Investment Insights What may LIBOR s phase-out mean for investors? October 2018 Key takeaways With the phasing out of the London interbank offered rate (LIBOR), a new, more transparent
More informationFrom LIBOR to SOFR. Interest Rates 25 November Why the Change? SOFR is closer to the Fed Fund Target Rate. LIBOR SOFR: Key differences
From LIBOR to SOFR After years of concerns relating to the LIBOR s vulnerability to manipulation, the UK Financial Conduct Authority has decided that it will no longer collect LIBOR quotes from participating
More informationLIBOR TRANSITION ROADMAP FOR INVESTMENT MANAGERS. February 2019
LIBOR TRANSITION ROADMAP FOR INVESTMENT MANAGERS February 2019 1 THE INVESTMENT ASSOCIATION The Investment Association (the Association ) has made available to its members the LIBOR Transition Roadmap
More informationSecond public consultation by the working group on euro risk-free rates
Second public consultation by the working group on euro risk-free rates on determining an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts Final December 2018 Contents
More informationARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR BILATERAL BUSINESS LOANS December 7, 2018
TABLE OF CONTENTS ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR BILATERAL BUSINESS LOANS December 7, 2018 Part I: ARRC Consultation Overview...1
More informationResearch Paper Series. aaaaa. Interest Rate Benchmarks Reform Time to Transition is Now. Raphael Cavallari Luca Olivo
aaaaa Interest Rate Benchmarks Reform Time to Transition is Now Raphael Cavallari Luca Olivo September 2018 Iason Consulting ltd is the editor and the publisher of this paper. Neither editor is responsible
More informationIN THE KNOW. Transaction Costs and What They Mean
IN THE KNOW Transaction Costs and What They Mean In the Know. Transaction Costs and What They Mean As investment managers, we occupy the privileged position of being trusted with people s money. With trust
More informationARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES (dated September 24, 2018)
ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES (dated September 24, 2018) Question 1(a): Should fallback language for FRNs include
More informationDemystifying derivative instrument valuations: A commercial and accounting perspective
21 NOVEMBER 2017 WHITE PAPER: Demystifying derivative instrument valuations: A commercial and accounting perspective Recently several of our treasury clients have been querying the difference between the
More informationThe Association of Corporate Treasurers
The Association of Corporate Treasurers Comments in response to Second Position Paper on the Evolution of ICE LIBOR ICE Benchmark Administration Limited, 31 July 2015 The Association of Corporate Treasurers
More informationBenoît Cœuré: Waiting for ESTER - the road ahead for interest rate benchmark reform
Benoît Cœuré: Waiting for ESTER - the road ahead for interest rate benchmark reform Speech Mr Benoît Cœuré, Member of the Executive Board of the European Central Bank, at the ECB s Money Market Contact
More informationBrexit CCP Location and Legal Uncertainty
August 2017 Brexit CCP Location and Legal Uncertainty The UK s withdrawal from the European Union (EU), set for March 2019, is now little more than 18 months away. Negotiations between the UK government
More informationIntroduction. Interim Report and Consultation The Alternative Reference Rates Committee
Introduction Interim Report and Consultation The Alternative Reference Rates Committee 1 Alternative Rates Interim Report and Consultation The Alternative Reference Rates Committee 2 Alternative Rates
More informationPhase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing Alternative Reference Rates
Presenting a 90-minute encore presentation featuring live Q&A Phase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing Alternative Reference Rates WEDNESDAY, JANUARY 3, 2018 1pm
More informationDerivatives and Hedging (Topic 815)
Proposed Accounting Standards Update Issued: February 20, 2018 Comments Due: March 30, 2018 Derivatives and Hedging (Topic 815) Inclusion of the Overnight Index Swap (OIS) Rate Based on the Secured Overnight
More informationPreparing for transition: Update on LIBOR and a possible shift to alternative reference rates MARCH 2018
Preparing for transition: Update on LIBOR and a possible shift to alternative reference rates MARCH 2018 Prepared by: The Regulatory Strategy and Engagement team within RBC Capital Markets Transformation
More informationWhat will be the future of LIBOR?
What will be the future of LIBOR? LIBOR manipulations consequences LIBOR (i.e. London Interbank Offered Rate ) has been a great stabilizing influence in the world s debt capital markets. It also facilitated
More informationEU Benchmark Regulation: Is your transaction up to the mark?
15 EU Benchmark Regulation: Is your transaction up to the mark? Key points the EU Benchmark Regulation is, as of January 1 2018, now in effect, applying to administrators, users and contributors to benchmarks;
More informationSpeech. Embargo 22 September 2017, am. Dewet Moser
Speech Embargo 22 September 2017, 11.00 am The international reform process so far and the importance of interest rate benchmarks from a central bank perspective Joint Event SIX Swiss Exchange and SFAA
More informationA TALE OF TWO BENCHMARKS THE FUTURE OF EURO INTEREST RATES
A TALE OF TWO BENCHMARKS THE FUTURE OF EURO INTEREST RATES EXECUTIVE SUMMARY The Euro Interbank Offered Rate (Euribor) and the Euro Overnight Index Average (Eonia) are critically important interest rate
More informationInsight Liquidity Funds p.l.c. Supplement dated 5 December 2018 to the Prospectus for ILF EUR Liquidity Plus Fund
Insight Liquidity Funds p.l.c. Supplement dated 5 December 2018 to the Prospectus for ILF EUR Liquidity Plus Fund This Supplement contains specific information in relation to ILF EUR Liquidity Plus Fund
More informationQuarterly Bulletin 2018 Q1. Topical article Sterling money markets: beneath the surface. Bank of England 2018 ISSN
Quarterly Bulletin 218 Q1 Topical article Sterling money markets: beneath the surface Bank of England 218 ISSN 2399-4568 Topical article Sterling money markets: beneath the surface 1 Sterling money markets:
More informationReport by the working group on euro risk-free rates. on the transition from EONIA to ESTER
Report by the working group on euro risk-free rates on the transition from EONIA to ESTER December 2018 Contents 1 Executive summary 3 2 Introduction 6 2.1 Background 6 2.2 The working group on euro risk-free
More informationCONTRACT RULES: ICE FUTURES EUROPE ERIS GBP LIBOR INTEREST RATE FUTURES CONTRACTS
SECTION - INTEREST RATE FUTURES CONTRACTS.1 Definitions 1.2 Contract Specification.3 Price 2.4 Last Trading Day and Maturity Date 3.5 Daily Settlement Price and Exchange Delivery Settlement Price ("EDSP")
More informationNOTES ON THE BANK OF ENGLAND UK YIELD CURVES
NOTES ON THE BANK OF ENGLAND UK YIELD CURVES The Macro-Financial Analysis Division of the Bank of England estimates yield curves for the United Kingdom on a daily basis. They are of three kinds. One set
More informationISDA. International Swaps and Derivatives Association, Inc. Disclosure Annex for Interest Rate Transactions
ISDA International Swaps and Derivatives Association, Inc. Disclosure Annex for Interest Rate Transactions This Annex supplements and should be read in conjunction with the General Disclosure Statement.
More informationTable of Contents. ASX BBSW Trade and Trade Reporting Guidelines v ASX Limited ABN /22
ASX BBSW Trade and Trade Reporting Guidelines Version 1.6 10 October 2017 Table of Contents 1. Introduction... 4 1.1. Purpose... 4 1.2. Application... 4 1.3. Reference Documentation... 5 1.4. Version History...
More informationThe European Union Benchmarks Regulation ('BMR')
The European Union Benchmarks Regulation ('BMR') 20 Sep 2018 The BMR regulates indices used as benchmarks in nancial instruments and nancial contracts (and/or to measure the performance of investment funds)
More informationUCL Financial Mathematics Practitioners Seminar
UCL Financial Mathematics Practitioners Seminar Game of Benchmarks: LIBOR and IRON thrones Marc Henrard Advisory Partner - OpenGamma Visiting Professor - University College London UCL Practitioners Seminar
More informationCITI 80% PROTECTED DYNAMIC ALLOCATION FUND. Dynamic Allocation Rules
FINAL VERSION CITI 80% PROTECTED DYNAMIC ALLOCATION FUND Dynamic Allocation Rules This document (the Dynamic Allocation Rules) describes the Dynamic Allocation Rules referenced in the Supplement (as defined
More informationComments on POSITION PAPER ON THE EVOLUTION OF ICE LIBOR issued by the ICE Benchmark administration
December 19, 2014 To the ICE Benchmark administration Japanese Bankers Association Comments on POSITION PAPER ON THE EVOLUTION OF ICE LIBOR issued by the ICE Benchmark administration We, the Japanese Bankers
More informationGovernment Finance Officers Association 660 North Capitol Street, Suite 410 Washington, D.C fax:
Government Finance Officers Association 660 North Capitol Street, Suite 410 Washington, D.C. 20001 202.393.8467 fax: 202.393.0780 November 26, 2018 Alternative Reference Rates Committee Federal Reserve
More informationConsultation on Term SONIA Reference Rates Summary of Responses. The Working Group on Sterling Risk-Free Reference Rates
Consultation on Term SONIA Reference Rates Summary of Responses The Working Group on Sterling Risk-Free Reference Rates November 2018 Term Sonia Reference Rates Consultation - Summary of Responses 1 The
More informationRecommendations on additional financial benchmarks to be brought into UK regulatory scope. Report to HM Treasury
Recommendations on additional financial benchmarks to be brought into UK regulatory scope Report to HM Treasury August 2014 1 Contents 1. Background 3 1.1 The Fair and Effective Markets Review 3 1.2 The
More informationSummary of responses. February Executive summary
Second public consultation by the working group on euro risk-free rates on determining an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts Summary of responses 1 Executive
More informationLIBOR CROSS PRODUCT REVIEW
LIBOR CROSS PRODUCT REVIEW DECEMBER 2018 Following an announcement by Andrew Bailey, Chief Executive of the UK s Financial Conduct Authority (FCA) on 27 July 2017, it became evident that market participants
More informationHow will you respond to IBOR transition?
How will you respond to IBOR transition? July 2018Q4 201 Fall back language is an essential safety net a seatbelt in case of a crash when LIBOR reaches the end of the road. But fall backs are not designed
More informationHoneycomb Investment Trust plc
Registered Number: 09899024 Honeycomb Investment Trust plc Interim Report and Unaudited Financial Statements For the period from 1 January 2017 to 30 June 2017 Table of Contents 1 Strategic Report... 3
More informationConsultation paper on CEBS s Guidelines on Liquidity Cost Benefit Allocation
10 March 2010 Consultation paper on CEBS s Guidelines on Liquidity Cost Benefit Allocation (CP 36) Table of contents 1. Introduction 2 2. Main objectives.. 3 3. Contents.. 3 4. The guidelines. 5 Annex
More information