AFME Member Briefing. Phasing out IBORs: What does the transition to new risk-free rates mean for the industry?
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1 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 & Ireland FI Solutions, NatWest Markets Marcus Mackenzie, Partner Global Transactions, Freshfields Bruckhaus Deringer LLP Jessica Wrigley, Knowledge Lawyer, Global Transactions, Freshfields Bruckhaus Deringer LLP Richard Hopkin, Managing Director, Head of Fixed Income, AFME Anna Bak, Associate Director, Securitisation, AFME Alex Hunt, Quantitative Analyst, AFME Stevi Iosif, Associate Director, Advocacy, AFME 1
2 Global move away from IBORs Work must begin in earnest on planning transition to alternative reference rates that are based firmly on transactions Andrew Bailey, Chief Executive of UK FCA 27 July 2017 Source: Market Participants Group on Reforming Interest Rate Benchmarks Report (2014) 2
3 Typical contracts based on IBORs % Notional Outstanding of all financial contracts linked to IBORs OTC derivatives: interest rate swaps, FRAs, cross-currency swaps. Exchange-traded derivatives: interest rate options, interest rate futures. Other, 20% OTC and Exchange Traded Derivatives, 80% Loans: syndicated loans, business loans, mortgages, credit cards, auto loans, consumer loans, student loans. Bonds and FRNs: corporate and non-us government bonds, agency notes, leases, trade finance, FRNs, covered bonds, capital securities, perpetuals. Short-term instruments: repos, reverse repos, time deposits, CDS, commercial paper. Securitisations: MBS, ABS, CMBS, CLOs and CMOs. Source: Market Participants Group on Reforming Interest Rate Benchmarks and AFME Other: late payments, discount rates, overdrafts. Around 2.5 trillion of bonds and FRNs and 1.2 trillion of securitisations linked to GBP LIBOR/EURIBOR outstanding 3
4 Different regional approaches Jurisdiction Current IBOR Alternative RFR Secured / unsecured Published Eurozone EURIBOR* ESTER (Euro short term rate) Unsecured Expected before 2020 UK GBP LIBOR Reformed SONIA (Sterling overnight index average) Unsecured 24 th April 2018 US USD LIBOR SOFR (Secured overnight financing rate) Secured 3 rd April 2018 *EUR LIBOR also used but to a much lesser extent 4
5 Sterling and Euro RFR Working Groups Sterling (Secretariat provided by Bank of England) WORKING GROUP ON STERLING RISK FREE REFERENCE RATE (STEERING GROUP) TECHNICAL SUB GROUP BOND MARKETS TECHNICAL SUB GROUP TERM RATES TECHNICAL SUB GROUP SYNDICATED LOANS TECHNICAL SUB GROUP PENSION FUNDS & INSURANCE COMPANIES SONIA FUTURES RFR BUYSIDE FORUM RFR BANKING INDUSTRY FORUM RFR CORPORATES FORUM Euro (Secretariat provided by ECB) WORKING GROUP ON EURO RISK FREE RATES (STEERING GROUP) Subgroup on Term Rates Subgroup on Contractual Robustness 5
6 Practical issues arising for bonds: new issues and legacy deals Forward Looking Backward Looking Forward Looking Rate Known Backward Looking Rate Known 0.00 Source: Bloomberg 6
7 How is the market responding? Current documentation Attempts to address uncertainty in new transactions Legal issues for today Legacy transactions what will happen? 7
8 BMR As of 1 January 2018: Application of Benchmark Regulation 2016/1011 ( the BMR ) Fallbacks (Article 28.2 & ESMA Q&A) Pre-1 January 2020: Benchmark users can continue to use existing benchmarks (Article 51.3) Post-1 January 2020: Benchmark users can only use compliant benchmarks Relevant NCA decides on grandfathering of non compliant benchmarks for use in legacy contracts if certain conditions are met (Article 51.4) 8
9 Euribor/Eonia Euribor and Eonia may be used for new and existing contracts until 1 January 2020 Eonia will not evolve to compliance with BMR (EMMI) Art 51.4 applies & new RFR + fall backs required Reformed Euribor (EMMI) sustainability assessment not expected before Q FSMA authorisation needed by 1 January 2020 Possible mitigating measures to avoid financial stability risks? 9
10 Useful Links Bank of England ECB US Alternative Reference Rates Committee IBOR Global Transition Report (expected to be published shortly) 10
11 Offices The Association for Financial Markets in Europe advocates stable, competitive and sustainable European financial markets that support economic growth and benefit society. London Brussels Frankfurt 39 th Floor Rue de la Loi 82 Skyper Villa 25 Canada Square 1040 Brussels Taunusanlage 1 London, E14 5LQ Belgium Frankfurt am Mai United Kingdom Germany Tel: +44 (0) Tel: +32 (0) Tel: +49 (0)
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