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The “Principles for Financial Benchmarks” published by IOSCO in 2013 marked the beginning of the regulatory review of the LIBOR scandal. The EU has transposed this into European law (EU BMR or EU 2016/1011) and set 2021 as the deadline by which only approved reference interest rates may be used for new business. It is clear that Eonia will not be reformed but rather replaced by €STR as the central overnight rate in the European currency area. LIBOR has been reformed into the Evolved LIBOR and Euribor is now the Hybrid Euribor.
Despite the reforms, the FCA stresses that it does not expect LIBOR quotations from the LIBOR panel banks from 2022 onwards. As replacement, a new family of reference interest rates, namely Risk-Free Rates (RFRs), is developing.
RFRs are fundamentally different from IBORs, though. This poses numerous challenges for implementing the reform within banks. Even though questions remain unanswered, the tight timetable and significant implementation hurdles mean that action must be taken immediately. Waiting until all open issues have been resolved is risky. It should be borne in mind that it is not only progress on Euribor that is decisive, as LIBOR reform is progressing independently in the various currencies.
Nov 23, 2020
The EUR-WG provides recommendations regarding the most appropriate EURIBOR fallback rate based on (a) a €STR-based term structure methodology for each cash product, and (b) a spread adjustment methodology used.
Nov 23, 2020
Feedback period ending 15 January 2021. EUR-WG meets on 18 February 2021 and final recommendations on the EURIBOR fallback measures are expected shortly thereafter.
Nov 18, 2020
“Neither of these statements constitute an index cessation event under ISDA IBOR Fallbacks Supplement or (…) Protocol”. (…) Therefore, these statements will not trigger the fallbacks under the supplement or protocol (…) or have any effect on the calculation of the spread”
Nov 18, 2020
Two expected consultations setting out FCA’s potential approach to the use of proposed new powers under the Financial Services Bill to ensure an orderly wind down of LIBOR.
Nov 18, 2020
The anounced consultation by ICE Benchmark Administrator (IBA) happens in the near future and yet excludes USD LIBOR from this activity.
Nov 12, 2020
On 4th September 2020, RBSL issued a consultation in respect of possible changes to CDOR under consideration. Implemented CDOR changes (based on feedback): Calculation and publication of the 6-month and 12-month CDOR tenors will cease from Monday 17th May 2021 onwards. The last day of publication for the 6-month and 12-month CDOR tenors will be Friday 14th May 2021. The 1-month, 2-month and 3-month tenors will not be affected by this action.
Nov 2, 2020
The Sterling Working Group on Risk-Free Reference Rates publishes its monthly newsletter (working group updates, market developments, key liquidity indicators).
Oct 30, 2020
The Swiss Banking Association (SBA) publishes two documents to incorporate the ISDA IBOR Fallback Protocol for open legacy as well as new transactions. The documents.are free of charge and publicly available and SBA recommends all market participants to use these new documents going forward.
Oct 23, 2020
As the calculation of a compounded rate can be complex, independent RFR calculators could be beneficial in helping market participants calculate and validate the amount of interest due under their agreements.
Oct 23, 2020
The paper is a summary of the key attributes of Beta versions of Term SONIA Reference Rates (“TSRRs”) published by independent benchmark administrators.
Oct 20, 2020
Over one million contracts transitioned with a total notional of $120 Trillion. LCH calculated and processed compensation payments for resulting valuation changes and created compensating swap hedges for risk changes.
Oct 16, 2020
The list contains five types of transactions: 1. syndicated / club loans referencing RFRs directly in LIBOR currency jurisdictions; 2. syndicated / club loans which reference LIBOR but contain an in-built switch mechanism to reference RFRs; 3. new bilateral loans referencing RFRs directly; 4. legacy LIBOR referencing bilateral loans amended to reference RFRs; and 5. RFR-referencing loans in non-LIBOR currency jurisdictions.
Oct 14, 2020
Agenda: Update by Commission on BMR Review, Public consultation on EURIBOR Fallback Triggers, Draft Consultation on EURIBOR Fallbacks
Oct 9, 2020
The Protocol will take effect on January 25, 2021, at which point existing derivatives contracts will incorporate the new fallbacks if both counterparties have adhered to the Protocol or otherwise bilaterally agreed to include the new fallbacks in their contracts. The Supplement will also take effect on January 25, 2021, at which point new derivatives contracts that incorporate the 2006 ISDA Definitions and reference a relevant IBOR will also incorporate the new fallbacks.
Oct 7, 2020
The Benchmark Regulation currently does not address the possibility of cessation of a critical benchmark. The aim of the amendments is to create a framework that would allow a statutory replacement rate to be in place by the time a systemically important benchmark such as LIBOR is no longer in use. This will reduce legal uncertainty regarding legacy contracts and avoid risks to financial stability.
Oct 1, 2020
The Working Group on Sterling Risk Free Reference Rates published ist monthly newsletter.
Sep 30, 2020
The Swiss NWG expects that CHF LIBOR will be discontinued at the end of 2021. A synthetic CHF LIBOR is not expected.
Sep 30, 2020
The Alternative Reference Rate Committee published ist periodic newsletter for the time period August to September 2020.
Sep 28, 2020
FCA encourages liquidity providers in the sterling interest rate swaps market to adopt new quoting conventions for inter-dealer trading based on SONIA instead of LIBOR as the default price from 27 October 2020, subject to prevailing market conditions at that time.
Sep 18, 2020
ISDA Webinar covering CCP Discounting Changes, the Collateral Agreement Interest Rate Definitions (CAIRD) as well as four bilateral amendment agreements concerning USD and EUR collateral agreements for non-cleared derivatives.
Sep 10, 2020
ARRC seeks a potential administrator to publish forward-looking Secured Overnight Financing Rate (SOFR) term rates to be published in the first half of 2020. Responses can be submitted until October 31, 2020.
Sep 4, 2020
The Sterling RFR Working Group publishes its monthly newsletter.
Sep 4, 2020
Representatives had been invited to speak on the morning’s announcement of the Government’s intention to amend the UK’s existing regulatory framework for benchmarks to, amongst other things, ensure it can be used to manage different scenarios prior to a critical benchmark’s eventual cessation
Sep 2, 2020
The ARRC will use responses to the RFP to identify an administrator or administrators who will be responsible for calculating and publishing the spreads and the resulting interest rates based on the ARRC’s recommended fallback adjustment methodology
Aug 27, 2020
The IBOR transition brings many changes to the capital markets sector. One of the critical challenges of transition management is the amendment of collateralization for OTC derivatives.
Aug 18, 2020
Guides aim to support the transition away from LIBOR to alternative reference rates like the Secured Overnight Financing Rate (SOFR), the ARRC’s preferred alternative to U.S. dollar (USD) LIBOR
Aug 11, 2020
The survey on the use of LIBOR jointly conducted by the Financial Services Agency and the Bank of Japan aims to accurately ascertain financial institutions' outstanding balances of financial instruments and transactions that reference LIBOR, the adoption of alternative benchmarks to LIBOR, and the status of establishing a managerial framework and allocating staff to prepare for LIBOR cessation at financial institutions, as well as further encourage financial institutions to ensure a smooth transition.
Aug 10, 2020
The International Swaps and Derivatives Association (ISDA) is preparing to release its IBOR Fallback Protocol and IBOR Fallback Supplement .
Aug 7, 2020
Eurex Clearing has cleared its first SOFR swaps transactions. Initial trades were submitted by J.P. Morgan and LBBW.
Aug 7, 2020
Following the conclusion of ARRC's "SOFR Summer Series", the SOFR Starter Kit includes three compact factsheets that provide key information, milestones and references on transition to SOFR
Aug 7, 2020
Considering the developments since the publication of the final report on the results of the last public consultation.
Aug 7, 2020
Update on International Discussions on Interest Rate Benchmarks and Report from the Sub-Groups
Aug 4, 2020
xIBOR: What is happening beyond LIBOR?
Aug 3, 2020
Bank of England begins publishing SONIA Compound Index.
Jul 30, 2020
The Alternative Reference Rates Committee publishes a newsletter for June - July 2020
Jul 29, 2020
The Association of Banks in Singapore (“ABS”), the Singapore Foreign Exchange Market Committee (“SFEMC”), and the Steering Committee for SOR Transition to SORA (“SC-STS”) today issued a consultation report (“Report”), titled SIBOR Reform and the Future Landscape of SGD Interest Rate Benchmarks.
Jul 29, 2020
The International Swaps and Derivatives Association, Inc. (ISDA) published a statement from its Board of Directors on adherence to the forthcoming IBOR Fallback Protocol.
Jul 28, 2020
This Q&A has been prepared for the purpose of highlighting to market participants some potential considerations. It does not constitute a comprehensive outline of all relevant considerations. Market participants should seek their own advice in relation to their legal, regulatory and other obligations and as to any other considerations or risks that may arise or be relevant
Jul 28, 2020
Updated Roadmap
Jul 17, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jul 15, 2020
Bank of England's Summary and Response to Market Feedback
Jul 2, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jun 29, 2020
Fact Sheet: IBOR Fallbacks (ISDA, Linklaters, Bloomberg)
Jun 29, 2020
Briefing Paper: The Importance of Reforming the EU Benchmarks Regulation
Jun 23, 2020
Mastering the discounting switch
Jun 15, 2020
SOFR & €STR Discounting Transition Process For Cleared Swaps
Jun 9, 2020
Implications of COVID-19 on Spread Adjustments under a conduct risk perspective
Jun 1, 2020
The Working Group on Sterling Risk-Free Reference Rates published a Paper on the identification of Tough Legacy issues
Jun 1, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
May 29, 2020
The Alternative Reference Rates Committee publishes a newsletter for April - May 2020
May 27, 2020
ARRC Recommended Best Practices for Completing the Transition from LIBOR
May 20, 2020
Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting
May 12, 2020
Transforming legacy business to new benchmarks
May 1, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly Newsletter.
Apr 6, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Mar 31, 2020
The Alternative Reference Rates Committee publishes a Newsletter for February - March 2020.
Mar 27, 2020
ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback
Mar 27, 2020
With the Coronavirus pandemic unfolding and threatening banks financial health, countries, central banks and other financial institutions worldwide are taking remedial actions to calm down the markets.
Mar 25, 2020
SARON Compound Indices for different tenors
Mar 25, 2020
Impact of the coronavirus on firms' LIBOR Transition plans
Mar 25, 2020
Credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR
Mar 24, 2020
Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates
Mar 18, 2020
Path to discontinuation of new GBP LIBOR lending by end-Q3 2020
Mar 17, 2020
The Working Group on Euro Risk-Free Reference Rates publishes a Newsletter featuring recent market and regulatory developments as well as working Group publications.
Mar 13, 2020
On Swaptions impacted by the CCP discounting transition from EONIA to the €STR
Mar 2, 2020
Publication of SOFR Averages and SOFR Index Data
Mar 2, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Feb 27, 2020
RFR Working Group publishes Dear CEO Letter to Asset Managers
Feb 27, 2020
ICMA publishes a quick guide to the transition to risk-free rates in the international bond market
Feb 26, 2020
IASB finished phase 2 of discussions of IBOR reform implications on IFRS
Feb 26, 2020
Supporting Risk-Free Rate transition through the provision of compounded SONIA
Feb 24, 2020
ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR
Feb 19, 2020
Recommendations to support smooth transfer of EONIA's liquidity to €STR
Feb 12, 2020
ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020
Feb 7, 2020
ARRC Releases Consultation on Swaptions Impacted by Central Counterparty Clearing Houses’ Discounting Transition to SOFR
Feb 6, 2020
With the introduction EurexOTC Clear Release 10.1 in July 2020, Eurex Clearing will introduce changes to the EurexOTC Clear interfaces and clearing eligibility of SOFR swaps. Furthermore, the €STR discounting switch will be performed.
Feb 5, 2020
Another Look at Pre-cessation
Feb 3, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jan 31, 2020
Buy-Side/Asset Owner Checklist
Jan 24, 2020
IBA letter to ISDA on pre-cessation trigger
Jan 24, 2020
Conventions for RFR-RFR cross-currency swaps, for RFR-IBOR cross-currency swaps and Fallbacks for cross-currency swaps currently referencing IBORs.
Jan 21, 2020
Consultation on Spread Adjustment Methodologies for Fallbacks in Cash Products
Jan 20, 2020
FCA letter to ISDA on non-representative LIBOR
Jan 16, 2020
Next steps on LIBOR transition
Jan 16, 2020
Referencing Legacy Bonds to SONIA by way of Consent Solicitation
Jan 16, 2020
The Bank of England, Financial Conduct Authority and the Working Group on Sterling Risk-Free Reference Rates have published a set of documents today, outlining priorities and milestones for 2020 on LIBOR transition.
Oct 10, 2019
CFA Lecture
Jul 24, 2019
Melden Sie sich jetzt an und tauchen Sie tief in den Themenkomplex ein und verstehen Sie die weitreichenden Auswirkungen auf Ihr Institut und die Finanzmärkte.
Apr 23, 2019
A complicated transition of the new European Overnight rate. LPAPerspectives
Mar 11, 2019
Guest contribution for Zeitschrit für das gesamte Kreditwesen
Mar 6, 2019
The IBOR reform and the resulting transformation towards a new system of reference interest rates
Feb 18, 2019
On Monday, February 11th 2019 Christian Behm joined the flagship event hosted by the Swiss Risk Association “LIBOR –Past, Present And Future”.
Jan 30, 2019
Will recent developments mark the end of LIBOR and EURIBOR by January 2022?
Dec 20, 2018
The IBOR reform raises many questions: What is the reform of reference interest rates about and what is its objective? Where are the biggest hurdles to implementation?
Oct 12, 2018
We are pleased that LPA was involved with an article on valuation effects of the switch to RFRs.
Sep 13, 2018
ECB working group recommends ESTER as euro risk-free rate and replacement for Eonia
Aug 6, 2018
IBOR Transition: Enhancing EURIBOR and LIBOR.
Aug 2, 2018
LPA Academy offers broad range of seminars in Frankfurt
May 28, 2018
On the 18th of May, ECB officially announced the implementation of a new reference rate called ESTER (euro short-term rate) until 2020. It is established as the successor of EONIA.
Nov 23, 2020
The EUR-WG provides recommendations regarding the most appropriate EURIBOR fallback rate based on (a) a €STR-based term structure methodology for each cash product, and (b) a spread adjustment methodology used.
Nov 23, 2020
Feedback period ending 15 January 2021. EUR-WG meets on 18 February 2021 and final recommendations on the EURIBOR fallback measures are expected shortly thereafter.
Nov 18, 2020
“Neither of these statements constitute an index cessation event under ISDA IBOR Fallbacks Supplement or (…) Protocol”. (…) Therefore, these statements will not trigger the fallbacks under the supplement or protocol (…) or have any effect on the calculation of the spread”
Nov 18, 2020
Two expected consultations setting out FCA’s potential approach to the use of proposed new powers under the Financial Services Bill to ensure an orderly wind down of LIBOR.
Nov 18, 2020
The anounced consultation by ICE Benchmark Administrator (IBA) happens in the near future and yet excludes USD LIBOR from this activity.
Nov 12, 2020
On 4th September 2020, RBSL issued a consultation in respect of possible changes to CDOR under consideration. Implemented CDOR changes (based on feedback): Calculation and publication of the 6-month and 12-month CDOR tenors will cease from Monday 17th May 2021 onwards. The last day of publication for the 6-month and 12-month CDOR tenors will be Friday 14th May 2021. The 1-month, 2-month and 3-month tenors will not be affected by this action.
Nov 2, 2020
The Sterling Working Group on Risk-Free Reference Rates publishes its monthly newsletter (working group updates, market developments, key liquidity indicators).
Oct 30, 2020
The Swiss Banking Association (SBA) publishes two documents to incorporate the ISDA IBOR Fallback Protocol for open legacy as well as new transactions. The documents.are free of charge and publicly available and SBA recommends all market participants to use these new documents going forward.
Oct 23, 2020
As the calculation of a compounded rate can be complex, independent RFR calculators could be beneficial in helping market participants calculate and validate the amount of interest due under their agreements.
Oct 23, 2020
The paper is a summary of the key attributes of Beta versions of Term SONIA Reference Rates (“TSRRs”) published by independent benchmark administrators.
Oct 20, 2020
Over one million contracts transitioned with a total notional of $120 Trillion. LCH calculated and processed compensation payments for resulting valuation changes and created compensating swap hedges for risk changes.
Oct 16, 2020
The list contains five types of transactions: 1. syndicated / club loans referencing RFRs directly in LIBOR currency jurisdictions; 2. syndicated / club loans which reference LIBOR but contain an in-built switch mechanism to reference RFRs; 3. new bilateral loans referencing RFRs directly; 4. legacy LIBOR referencing bilateral loans amended to reference RFRs; and 5. RFR-referencing loans in non-LIBOR currency jurisdictions.
Oct 14, 2020
Agenda: Update by Commission on BMR Review, Public consultation on EURIBOR Fallback Triggers, Draft Consultation on EURIBOR Fallbacks
Oct 9, 2020
The Protocol will take effect on January 25, 2021, at which point existing derivatives contracts will incorporate the new fallbacks if both counterparties have adhered to the Protocol or otherwise bilaterally agreed to include the new fallbacks in their contracts. The Supplement will also take effect on January 25, 2021, at which point new derivatives contracts that incorporate the 2006 ISDA Definitions and reference a relevant IBOR will also incorporate the new fallbacks.
Oct 7, 2020
The Benchmark Regulation currently does not address the possibility of cessation of a critical benchmark. The aim of the amendments is to create a framework that would allow a statutory replacement rate to be in place by the time a systemically important benchmark such as LIBOR is no longer in use. This will reduce legal uncertainty regarding legacy contracts and avoid risks to financial stability.
Oct 1, 2020
The Working Group on Sterling Risk Free Reference Rates published ist monthly newsletter.
Sep 30, 2020
The Swiss NWG expects that CHF LIBOR will be discontinued at the end of 2021. A synthetic CHF LIBOR is not expected.
Sep 30, 2020
The Alternative Reference Rate Committee published ist periodic newsletter for the time period August to September 2020.
Sep 28, 2020
FCA encourages liquidity providers in the sterling interest rate swaps market to adopt new quoting conventions for inter-dealer trading based on SONIA instead of LIBOR as the default price from 27 October 2020, subject to prevailing market conditions at that time.
Sep 18, 2020
ISDA Webinar covering CCP Discounting Changes, the Collateral Agreement Interest Rate Definitions (CAIRD) as well as four bilateral amendment agreements concerning USD and EUR collateral agreements for non-cleared derivatives.
Sep 10, 2020
ARRC seeks a potential administrator to publish forward-looking Secured Overnight Financing Rate (SOFR) term rates to be published in the first half of 2020. Responses can be submitted until October 31, 2020.
Sep 4, 2020
The Sterling RFR Working Group publishes its monthly newsletter.
Sep 4, 2020
Representatives had been invited to speak on the morning’s announcement of the Government’s intention to amend the UK’s existing regulatory framework for benchmarks to, amongst other things, ensure it can be used to manage different scenarios prior to a critical benchmark’s eventual cessation
Sep 2, 2020
The ARRC will use responses to the RFP to identify an administrator or administrators who will be responsible for calculating and publishing the spreads and the resulting interest rates based on the ARRC’s recommended fallback adjustment methodology
Aug 18, 2020
Guides aim to support the transition away from LIBOR to alternative reference rates like the Secured Overnight Financing Rate (SOFR), the ARRC’s preferred alternative to U.S. dollar (USD) LIBOR
Aug 11, 2020
The survey on the use of LIBOR jointly conducted by the Financial Services Agency and the Bank of Japan aims to accurately ascertain financial institutions' outstanding balances of financial instruments and transactions that reference LIBOR, the adoption of alternative benchmarks to LIBOR, and the status of establishing a managerial framework and allocating staff to prepare for LIBOR cessation at financial institutions, as well as further encourage financial institutions to ensure a smooth transition.
Aug 10, 2020
The International Swaps and Derivatives Association (ISDA) is preparing to release its IBOR Fallback Protocol and IBOR Fallback Supplement .
Aug 7, 2020
Eurex Clearing has cleared its first SOFR swaps transactions. Initial trades were submitted by J.P. Morgan and LBBW.
Aug 7, 2020
Following the conclusion of ARRC's "SOFR Summer Series", the SOFR Starter Kit includes three compact factsheets that provide key information, milestones and references on transition to SOFR
Aug 7, 2020
Considering the developments since the publication of the final report on the results of the last public consultation.
Aug 7, 2020
Update on International Discussions on Interest Rate Benchmarks and Report from the Sub-Groups
Aug 3, 2020
Bank of England begins publishing SONIA Compound Index.
Jul 30, 2020
The Alternative Reference Rates Committee publishes a newsletter for June - July 2020
Jul 29, 2020
The Association of Banks in Singapore (“ABS”), the Singapore Foreign Exchange Market Committee (“SFEMC”), and the Steering Committee for SOR Transition to SORA (“SC-STS”) today issued a consultation report (“Report”), titled SIBOR Reform and the Future Landscape of SGD Interest Rate Benchmarks.
Jul 29, 2020
The International Swaps and Derivatives Association, Inc. (ISDA) published a statement from its Board of Directors on adherence to the forthcoming IBOR Fallback Protocol.
Jul 28, 2020
This Q&A has been prepared for the purpose of highlighting to market participants some potential considerations. It does not constitute a comprehensive outline of all relevant considerations. Market participants should seek their own advice in relation to their legal, regulatory and other obligations and as to any other considerations or risks that may arise or be relevant
Jul 28, 2020
Updated Roadmap
Jul 17, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jul 15, 2020
Bank of England's Summary and Response to Market Feedback
Jul 2, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jun 29, 2020
Fact Sheet: IBOR Fallbacks (ISDA, Linklaters, Bloomberg)
Jun 29, 2020
Briefing Paper: The Importance of Reforming the EU Benchmarks Regulation
Jun 15, 2020
SOFR & €STR Discounting Transition Process For Cleared Swaps
Jun 1, 2020
The Working Group on Sterling Risk-Free Reference Rates published a Paper on the identification of Tough Legacy issues
Jun 1, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
May 29, 2020
The Alternative Reference Rates Committee publishes a newsletter for April - May 2020
May 27, 2020
ARRC Recommended Best Practices for Completing the Transition from LIBOR
May 20, 2020
Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting
May 1, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly Newsletter.
Apr 6, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Mar 31, 2020
The Alternative Reference Rates Committee publishes a Newsletter for February - March 2020.
Mar 27, 2020
ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback
Mar 25, 2020
SARON Compound Indices for different tenors
Mar 25, 2020
Impact of the coronavirus on firms' LIBOR Transition plans
Mar 25, 2020
Credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR
Mar 24, 2020
Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates
Mar 18, 2020
Path to discontinuation of new GBP LIBOR lending by end-Q3 2020
Mar 17, 2020
The Working Group on Euro Risk-Free Reference Rates publishes a Newsletter featuring recent market and regulatory developments as well as working Group publications.
Mar 13, 2020
On Swaptions impacted by the CCP discounting transition from EONIA to the €STR
Mar 2, 2020
Publication of SOFR Averages and SOFR Index Data
Mar 2, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Feb 27, 2020
RFR Working Group publishes Dear CEO Letter to Asset Managers
Feb 27, 2020
ICMA publishes a quick guide to the transition to risk-free rates in the international bond market
Feb 26, 2020
IASB finished phase 2 of discussions of IBOR reform implications on IFRS
Feb 26, 2020
Supporting Risk-Free Rate transition through the provision of compounded SONIA
Feb 24, 2020
ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR
Feb 19, 2020
Recommendations to support smooth transfer of EONIA's liquidity to €STR
Feb 12, 2020
ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020
Feb 7, 2020
ARRC Releases Consultation on Swaptions Impacted by Central Counterparty Clearing Houses’ Discounting Transition to SOFR
Feb 6, 2020
With the introduction EurexOTC Clear Release 10.1 in July 2020, Eurex Clearing will introduce changes to the EurexOTC Clear interfaces and clearing eligibility of SOFR swaps. Furthermore, the €STR discounting switch will be performed.
Feb 5, 2020
Another Look at Pre-cessation
Feb 3, 2020
The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.
Jan 31, 2020
Buy-Side/Asset Owner Checklist
Jan 24, 2020
IBA letter to ISDA on pre-cessation trigger
Jan 24, 2020
Conventions for RFR-RFR cross-currency swaps, for RFR-IBOR cross-currency swaps and Fallbacks for cross-currency swaps currently referencing IBORs.
Jan 21, 2020
Consultation on Spread Adjustment Methodologies for Fallbacks in Cash Products
Jan 20, 2020
FCA letter to ISDA on non-representative LIBOR
Jan 16, 2020
Next steps on LIBOR transition
Jan 16, 2020
Referencing Legacy Bonds to SONIA by way of Consent Solicitation
Jan 16, 2020
The Bank of England, Financial Conduct Authority and the Working Group on Sterling Risk-Free Reference Rates have published a set of documents today, outlining priorities and milestones for 2020 on LIBOR transition.
Aug 27, 2020
The IBOR transition brings many changes to the capital markets sector. One of the critical challenges of transition management is the amendment of collateralization for OTC derivatives.
Mar 27, 2020
With the Coronavirus pandemic unfolding and threatening banks financial health, countries, central banks and other financial institutions worldwide are taking remedial actions to calm down the markets.
Apr 23, 2019
A complicated transition of the new European Overnight rate. LPAPerspectives
Mar 11, 2019
Guest contribution for Zeitschrit für das gesamte Kreditwesen
Mar 6, 2019
The IBOR reform and the resulting transformation towards a new system of reference interest rates
Jan 30, 2019
Will recent developments mark the end of LIBOR and EURIBOR by January 2022?
Oct 12, 2018
We are pleased that LPA was involved with an article on valuation effects of the switch to RFRs.
Sep 13, 2018
ECB working group recommends ESTER as euro risk-free rate and replacement for Eonia
Aug 6, 2018
IBOR Transition: Enhancing EURIBOR and LIBOR.
May 28, 2018
On the 18th of May, ECB officially announced the implementation of a new reference rate called ESTER (euro short-term rate) until 2020. It is established as the successor of EONIA.
Aug 4, 2020
xIBOR: What is happening beyond LIBOR?
Jun 23, 2020
Mastering the discounting switch
Jun 9, 2020
Implications of COVID-19 on Spread Adjustments under a conduct risk perspective
May 12, 2020
Transforming legacy business to new benchmarks
Oct 10, 2019
CFA Lecture
Jul 24, 2019
Melden Sie sich jetzt an und tauchen Sie tief in den Themenkomplex ein und verstehen Sie die weitreichenden Auswirkungen auf Ihr Institut und die Finanzmärkte.
Feb 18, 2019
On Monday, February 11th 2019 Christian Behm joined the flagship event hosted by the Swiss Risk Association “LIBOR –Past, Present And Future”.
Oct 10, 2019
CFA Lecture
Jul 24, 2019
Melden Sie sich jetzt an und tauchen Sie tief in den Themenkomplex ein und verstehen Sie die weitreichenden Auswirkungen auf Ihr Institut und die Finanzmärkte.
Dec 20, 2018
The IBOR reform raises many questions: What is the reform of reference interest rates about and what is its objective? Where are the biggest hurdles to implementation?
Aug 2, 2018
LPA Academy offers broad range of seminars in Frankfurt
To master the IBOR transition, market participants need to monitor activities for existing benchmarks by the administrators, recommendations on alternative reference rates by several working groups as well as market driven impulses from industry associations.