The IBOR Transformation Australia Working GroupĬanadian Overnight Repo Rate Average (CORRA)Ĭanadian Alternative Reference Rate Working Group (CARR) Reserve Bank of Australia Interbank Overnight Cash Rate (AONIA) It also contains similar information about SOR, THBFIX, PHIREF and MIFOR, which are synthetic benchmarks that use USD LIBOR as an input. This section covers LIBOR in the five currencies in which it is currently published (US dollar, sterling, Swiss franc, Japanese yen and euro), EURIBOR, TIBOR, Euroyen TIBOR, BBSW, HIBOR, CDOR, BKBM and NIBOR (each an IBOR) and their current administrators, as well as information about the alternative RFR for each IBOR, the administrators for the alternative RFRs, and the designated public-/private-sector working group for each relevant jurisdiction. It maintains information about the transition away from LIBOR on its website. UK FCA is the supervisor for the IBA, which is the administrator of LIBOR in all five currencies. This approach follows similar supervisory guidance issued by US regulatory authorities (see “United States” under “Regulatory and Risk-free Rate Working Group Market Guidance”).
The FCA has also stated that it will consider the case for requiring IBA to continue publishing one-month, three-month and six-month US dollar LIBOR on a non-representative and synthetic basis for a further period after the end of June 2023. Importantly, though, the FCA has prohibited the use by UK supervised entities of all 5 continuing USD LIBOR tenors in new transactions with effect from January 1, 2022, except for specific activities which are designed to facilitate risk management or reduction of exposures incurred prior to January 1, 2022. It has published a draft notice which confirms that, while use of synthetic LIBOR by UK regulated firms will be prohibited for new transactions under the UK Benchmark Regulation from January 1, 2022, use of synthetic LIBOR by regulated firms will be permitted for all legacy products other than cleared derivatives until at least end of 2022. Importantly, the FCA confirmed the sterling and yen LIBOR tenors would no longer be representative of their underlying market after December 31, 2021. Since the FCA’s announcement, the derivatives industry has had clarity on exactly when new fallbacks for outstanding LIBOR exposures will kick in for all 35 currency and tenor pairs pursuant to the IBOR Fallbacks Supplement and the IBOR Fallbacks Protocol (described below), as well as the spread adjustments that will be added to the adjusted RFRs in the fallback methodology.įurthermore, the FCA is using new powers introduced into the UK Benchmarks Regulation by the Financial Services Act to require IBA to continue publishing one-month, three-month and six-month sterling LIBOR and one-month, three-month and six-month yen LIBOR on a synthetic basis for an additional year after end-2021 (after which synthetic yen LIBOR is expected to stop being published and the need to continue publication of synthetic sterling LIBOR will be reviewed). Publication of the overnight and 12-month US dollar LIBOR settings will cease for good immediately after June 30, 2023, while the 1-month, 3-month and 6-month settings will become non-representative from that date. Specifically, the FCA confirmed that all seven tenors for both euro and Swiss franc LIBOR, overnight, one-week, two-month and 12-month sterling LIBOR, spot next, one-week, two-month and 12-month yen LIBOR and one-week and two-month US dollar LIBOR will permanently cease immediately after December 31, 2021. In the case of LIBOR, it has long been clear that market participants cannot rely on this rate after the end of 2021, but on March 5, 2021, following a consultation by ICE Benchmark Administration (IBA), the administrator of LIBOR, the UK Financial Conduct Authority (FCA) gave firms a clear timetable for when they need to shift to alternative reference rates. Key interbank offered rates (IBORs), types of interest rate benchmarks, are undergoing a period of change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs).
If you have any questions or would like additional information in relation to these matters, please email: page is separated in eleven sections:
This page will be updated on a regular basis as relevant information becomes available globally and will serve as the central repository for information from ISDA relating to financial benchmark reform and the transition from LIBOR.