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IBOR Transition

Want to know how LPA is helping other banks address the transition and provide an understanding into the breadth of capability we possess?

IBOR Reform


Take advantage of the opportunities arising from the transition and shape the future of capital markets with us. LPA is your competent and reliable partner for all questions relating to products, markets, regulation, risk management and new technologies. We understand your business.

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.

Public consultation by the EUR-Working Group on €STR-based EURIBOR fallback rates for cash products (feedback period ending 15 January 2021)

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.

Public consultation by the EUR-Working Group on EURIBOR fallback trigger events

​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.

ISDA Statement on IBA and UK FCA Announcements on LIBOR Consultations

“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”

FCA consults on new benchmarks powers

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.

IBA Consults On Its Intention to Cease the Publication of GBP, EUR, CHF and JPY LIBOR (all tenors) after December 31, 2021

The anounced consultation by ICE Benchmark Administrator (IBA) happens in the near future and yet excludes USD LIBOR from this activity.

Announcement Following Public Consultation: CDOR 6-M and 12-M Tenor Cessation

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.

Newsletter - October 2020

The Sterling Working Group on Risk-Free Reference Rates publishes its monthly newsletter (working group updates, market developments, key liquidity indicators).

Documentation for Swiss Master Agreement for OTC Derivatives

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.

Freely Available Independent RFR Calculator Summary

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.

Term SONIA Reference Rate Publication Summary

The paper is a summary of the key attributes of Beta versions of Term SONIA Reference Rates (“TSRRs”) published by independent benchmark administrators.

LCH successfully completes transition to SOFR discounting

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.

Loan Market Association (LMA) publishes updated list of RFR referencing syndicated and bilateral loans

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.

Meeting Minutes of the Teleconference of the Working Group on Euro Risk-Free Rates (10 September)

Agenda: Update by Commission on BMR Review, Public consultation on EURIBOR Fallback Triggers, Draft Consultation on EURIBOR Fallbacks

ARRC Supports Forthcoming ISDA IBOR Fallbacks Protocol and Encourages Adherence

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.

Benchmark Regulation: EU Council adopts position on amendments addressing LIBOR cessation

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.

Newsletter - September 2020

The Working Group on Sterling Risk Free Reference Rates published ist monthly newsletter.

​Executive Summary of the 29 September 2020 Meeting of the National Working Group on Swiss Franc Reference Rates

The Swiss NWG expects that CHF LIBOR will be discontinued at the end of 2021. A synthetic CHF LIBOR is not expected.

ARRC Newsletter August - September 2020

The Alternative Reference Rate Committee published ist periodic newsletter for the time period August to September 2020.

FCA proposes change for IBDs in Sterling Swaps Market to switch quoting to SONIA from 27 October 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.

Collateral Changes for USD and EUR Derivatives

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.

ARRC Releases Request for Proposals for the Publication of Forward-Looking SOFR Term Rates

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.

Newsletter - August 2020

The Sterling RFR Working Group publishes its monthly newsletter.

Minutes of the Meeting on 23 June 2020 - The Working Group on Sterling Risk-Free Reference Rates

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

Proposals for the Administration of Recommended Spread Adjustments and Spread-Adjusted SOFR Rates to Facilitate Contractual Fallbacks

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

CSA Management: One of the most underrated aspects of the IBOR transition?

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.

LIBOR ARM and private student loans transition resource guide

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

Financial Institutions' Preparedness for LIBOR Cessation and Future Actions

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.

ARRC Letter on ISDA Protocol

The International Swaps and Derivatives Association (ISDA) is preparing to release its IBOR Fallback Protocol and IBOR Fallback Supplement .

Eurex clears first SOFR swap transactions

Eurex Clearing has cleared its first SOFR swaps transactions. Initial trades were submitted by J.P. Morgan and LBBW.

ARRC releases SOFR Starter Kit

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

2nd Consultation on Appropriate Choice and Usage of JPY Interest Rate Benchmarks

Considering the developments since the publication of the final report on the results of the last public consultation.

Minutes of the Meeting on 16 July 2020 - Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks

Update on International Discussions on Interest Rate Benchmarks and Report from the Sub-Groups

IBOR Transition Webinar xIBOR

xIBOR: What is happening beyond LIBOR?

SONIA Compound Index

Bank of England begins publishing SONIA Compound Index.

ARRC Newsletter June - July 2020

The Alternative Reference Rates Committee publishes a newsletter for June - July 2020

Joint industry consultation on the SIBOR reform and shift to a SORA centred SGD interest rate market

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.

ISDA Board on Adherence to the IBOR Fallback Protocoll

The International Swaps and Derivatives Association, Inc. (ISDA) published a statement from its Board of Directors on adherence to the forthcoming IBOR Fallback Protocol.

The Working Group on Sterling Risk-Free Reference Rates - Q&A Session

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

The Working Group on Sterling Risk-Free Reference Rates - Updated Roadmap

Updated Roadmap

Newsletter - July 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Supporting Risk-Free Rate transition through the provision of compounded SONIA

Bank of England's Summary and Response to Market Feedback

Newsletter - June 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Fact Sheet: IBOR Fallbacks

Fact Sheet: IBOR Fallbacks (ISDA, Linklaters, Bloomberg)

The Importance of Reforming the EU Benchmarks Regulation

Briefing Paper: The Importance of Reforming the EU Benchmarks Regulation

IBOR Transition Webinar CSA Management

Mastering the discounting switch

SOFR & €STR Discounting Transition Process For Cleared Swaps

SOFR & €STR Discounting Transition Process For Cleared Swaps

IBOR Transition Webinar Spread Adjustments

Implications of COVID-19 on Spread Adjustments under a conduct risk perspective

Paper on the identification of Tough Legacy issues

The Working Group on Sterling Risk-Free Reference Rates published a Paper on the identification of Tough Legacy issues

Newsletter - May 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

ARRC Newsletter April - May 2020

The Alternative Reference Rates Committee publishes a newsletter for April - May 2020

ARRC Best Practices

ARRC Recommended Best Practices for Completing the Transition from LIBOR

Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting

Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting

IBOR Transition Webinar Legacy Contracts

Transforming legacy business to new benchmarks

Newsletter - April 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly Newsletter.

Newsletter - March 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

ARRC Newsletter February - March 2020

The Alternative Reference Rates Committee publishes a Newsletter for February - March 2020.

ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback

ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback

Implications of Covid-19 on the IBOR transition

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.

SARON Compound Indices for different tenors

SARON Compound Indices for different tenors

Impact of the coronavirus on firms' LIBOR Transition plans

Impact of the coronavirus on firms' LIBOR Transition plans

Consultation by the Working Group on Sterling Risk-free Reference Rates

Credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR

Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates

Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates

Path to discontinuation of new GBP LIBOR lending by end-Q3 2020

Path to discontinuation of new GBP LIBOR lending by end-Q3 2020

Newsletter - March 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.

Consultation by the working group on Euro Risk-free Rates

On Swaptions impacted by the CCP discounting transition from EONIA to the €STR

Publication of SOFR Averages and SOFR Index Data

Publication of SOFR Averages and SOFR Index Data

Newsletter - February 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Dear CEO Letter to Asset Managers

RFR Working Group publishes Dear CEO Letter to Asset Managers

A quick guide to the transition to risk-free rates in the international bond market

ICMA publishes a quick guide to the transition to risk-free rates in the international bond market

IASB finished phase 2 of discussions of IBOR reform implications on IFRS

IASB finished phase 2 of discussions of IBOR reform implications on IFRS

Supporting Risk-Free Rate transition through the provision of compounded SONIA

Supporting Risk-Free Rate transition through the provision of compounded SONIA

ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

Recommendations to support smooth transfer of EONIA's liquidity to €STR

Recommendations to support smooth transfer of EONIA's liquidity to €STR

ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020

ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020

ARRC Consultation

ARRC Releases Consultation on Swaptions Impacted by Central Counterparty Clearing Houses’ Discounting Transition to SOFR

EurexOTC Clear Release 10.1

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.

Another Look at Pre-cessation

Another Look at Pre-cessation

Newsletter - January 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Buy-Side/Asset Owner Checklist

Buy-Side/Asset Owner Checklist

IBA letter to ISDA on pre-cessation trigger

IBA letter to ISDA on pre-cessation trigger

Recommendations for Interdealer Cross-Currency Swap Market Conventions

Conventions for RFR-RFR cross-currency swaps, for RFR-IBOR cross-currency swaps and Fallbacks for cross-currency swaps currently referencing IBORs.

ARRC Consultation

Consultation on Spread Adjustment Methodologies for Fallbacks in Cash Products

FCA letter on pre-cessation trigger

FCA letter to ISDA on non-representative LIBOR

Dear SMF Letter

Next steps on LIBOR transition

Progress on the Transition of LIBOR

Referencing Legacy Bonds to SONIA by way of Consent Solicitation

Next Steps for LIBOR transition in 2020: the time to act is now

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.

CFA Lecture: IBOR Transition

CFA Lecture

Seminare der LPA Academy 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.

The new European overnight rate

A complicated transition of the new European Overnight rate. LPAPerspectives

Benchmark reform: the way into a new interest world

Guest contribution for Zeitschrit für das gesamte Kreditwesen

Contract and Fallback Management

The IBOR reform and the resulting transformation towards a new system of reference interest rates

Swiss perspective on IBOR Transition

On Monday, February 11th 2019 Christian Behm joined the flagship event hosted by the Swiss Risk Association “LIBOR –Past, Present And Future”.

Postponement of EU BMR December 2019 deadline

Will recent developments mark the end of LIBOR and EURIBOR by January 2022?

CFA Lecture: IBOR Transition

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?

Risk Magazine Special Report 2018 “Beyond Libor”

We are pleased that LPA was involved with an article on valuation effects of the switch to RFRs.

ESTER replaces Eonia

ECB working group recommends ESTER as euro risk-free rate and replacement for Eonia

The reform within the reform

IBOR Transition: Enhancing EURIBOR and LIBOR.

LPA Academy 2018

LPA Academy offers broad range of seminars in Frankfurt

ESTER – ECB‘s new reference rate

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.

Public consultation by the EUR-Working Group on €STR-based EURIBOR fallback rates for cash products (feedback period ending 15 January 2021)

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.

Public consultation by the EUR-Working Group on EURIBOR fallback trigger events

​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.

ISDA Statement on IBA and UK FCA Announcements on LIBOR Consultations

“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”

FCA consults on new benchmarks powers

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.

IBA Consults On Its Intention to Cease the Publication of GBP, EUR, CHF and JPY LIBOR (all tenors) after December 31, 2021

The anounced consultation by ICE Benchmark Administrator (IBA) happens in the near future and yet excludes USD LIBOR from this activity.

Announcement Following Public Consultation: CDOR 6-M and 12-M Tenor Cessation

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.

Newsletter - October 2020

The Sterling Working Group on Risk-Free Reference Rates publishes its monthly newsletter (working group updates, market developments, key liquidity indicators).

Documentation for Swiss Master Agreement for OTC Derivatives

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.

Freely Available Independent RFR Calculator Summary

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.

Term SONIA Reference Rate Publication Summary

The paper is a summary of the key attributes of Beta versions of Term SONIA Reference Rates (“TSRRs”) published by independent benchmark administrators.

LCH successfully completes transition to SOFR discounting

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.

Loan Market Association (LMA) publishes updated list of RFR referencing syndicated and bilateral loans

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.

Meeting Minutes of the Teleconference of the Working Group on Euro Risk-Free Rates (10 September)

Agenda: Update by Commission on BMR Review, Public consultation on EURIBOR Fallback Triggers, Draft Consultation on EURIBOR Fallbacks

ARRC Supports Forthcoming ISDA IBOR Fallbacks Protocol and Encourages Adherence

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.

Benchmark Regulation: EU Council adopts position on amendments addressing LIBOR cessation

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.

Newsletter - September 2020

The Working Group on Sterling Risk Free Reference Rates published ist monthly newsletter.

​Executive Summary of the 29 September 2020 Meeting of the National Working Group on Swiss Franc Reference Rates

The Swiss NWG expects that CHF LIBOR will be discontinued at the end of 2021. A synthetic CHF LIBOR is not expected.

ARRC Newsletter August - September 2020

The Alternative Reference Rate Committee published ist periodic newsletter for the time period August to September 2020.

FCA proposes change for IBDs in Sterling Swaps Market to switch quoting to SONIA from 27 October 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.

Collateral Changes for USD and EUR Derivatives

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.

ARRC Releases Request for Proposals for the Publication of Forward-Looking SOFR Term Rates

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.

Newsletter - August 2020

The Sterling RFR Working Group publishes its monthly newsletter.

Minutes of the Meeting on 23 June 2020 - The Working Group on Sterling Risk-Free Reference Rates

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

Proposals for the Administration of Recommended Spread Adjustments and Spread-Adjusted SOFR Rates to Facilitate Contractual Fallbacks

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

LIBOR ARM and private student loans transition resource guide

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

Financial Institutions' Preparedness for LIBOR Cessation and Future Actions

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.

ARRC Letter on ISDA Protocol

The International Swaps and Derivatives Association (ISDA) is preparing to release its IBOR Fallback Protocol and IBOR Fallback Supplement .

Eurex clears first SOFR swap transactions

Eurex Clearing has cleared its first SOFR swaps transactions. Initial trades were submitted by J.P. Morgan and LBBW.

ARRC releases SOFR Starter Kit

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

2nd Consultation on Appropriate Choice and Usage of JPY Interest Rate Benchmarks

Considering the developments since the publication of the final report on the results of the last public consultation.

Minutes of the Meeting on 16 July 2020 - Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks

Update on International Discussions on Interest Rate Benchmarks and Report from the Sub-Groups

SONIA Compound Index

Bank of England begins publishing SONIA Compound Index.

ARRC Newsletter June - July 2020

The Alternative Reference Rates Committee publishes a newsletter for June - July 2020

Joint industry consultation on the SIBOR reform and shift to a SORA centred SGD interest rate market

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.

ISDA Board on Adherence to the IBOR Fallback Protocoll

The International Swaps and Derivatives Association, Inc. (ISDA) published a statement from its Board of Directors on adherence to the forthcoming IBOR Fallback Protocol.

The Working Group on Sterling Risk-Free Reference Rates - Q&A Session

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

The Working Group on Sterling Risk-Free Reference Rates - Updated Roadmap

Updated Roadmap

Newsletter - July 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Supporting Risk-Free Rate transition through the provision of compounded SONIA

Bank of England's Summary and Response to Market Feedback

Newsletter - June 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Fact Sheet: IBOR Fallbacks

Fact Sheet: IBOR Fallbacks (ISDA, Linklaters, Bloomberg)

The Importance of Reforming the EU Benchmarks Regulation

Briefing Paper: The Importance of Reforming the EU Benchmarks Regulation

SOFR & €STR Discounting Transition Process For Cleared Swaps

SOFR & €STR Discounting Transition Process For Cleared Swaps

Paper on the identification of Tough Legacy issues

The Working Group on Sterling Risk-Free Reference Rates published a Paper on the identification of Tough Legacy issues

Newsletter - May 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

ARRC Newsletter April - May 2020

The Alternative Reference Rates Committee publishes a newsletter for April - May 2020

ARRC Best Practices

ARRC Recommended Best Practices for Completing the Transition from LIBOR

Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting

Alternative Reference Rates Committee (ARRC), Minutes for the May 4, 2020 Meeting

Newsletter - April 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly Newsletter.

Newsletter - March 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

ARRC Newsletter February - March 2020

The Alternative Reference Rates Committee publishes a Newsletter for February - March 2020.

ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback

ARRC Releases Consultation on Fallback Language for New Variable Rate Private Student Loans for Public Feedback

SARON Compound Indices for different tenors

SARON Compound Indices for different tenors

Impact of the coronavirus on firms' LIBOR Transition plans

Impact of the coronavirus on firms' LIBOR Transition plans

Consultation by the Working Group on Sterling Risk-free Reference Rates

Credit adjustment spread methodologies for fallbacks in cash products referencing GBP LIBOR

Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates

Minutes of the Meeting on 27 February 2020 - Working Group on Euro Risk-free Rates

Path to discontinuation of new GBP LIBOR lending by end-Q3 2020

Path to discontinuation of new GBP LIBOR lending by end-Q3 2020

Newsletter - March 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.

Consultation by the working group on Euro Risk-free Rates

On Swaptions impacted by the CCP discounting transition from EONIA to the €STR

Publication of SOFR Averages and SOFR Index Data

Publication of SOFR Averages and SOFR Index Data

Newsletter - February 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Dear CEO Letter to Asset Managers

RFR Working Group publishes Dear CEO Letter to Asset Managers

A quick guide to the transition to risk-free rates in the international bond market

ICMA publishes a quick guide to the transition to risk-free rates in the international bond market

IASB finished phase 2 of discussions of IBOR reform implications on IFRS

IASB finished phase 2 of discussions of IBOR reform implications on IFRS

Supporting Risk-Free Rate transition through the provision of compounded SONIA

Supporting Risk-Free Rate transition through the provision of compounded SONIA

ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

ISDA Publishes Results of Consultation on Fallbacks for Derivatives Referencing Euro LIBOR and EURIBOR

Recommendations to support smooth transfer of EONIA's liquidity to €STR

Recommendations to support smooth transfer of EONIA's liquidity to €STR

ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020

ISDA Research Note: Adoption of Risk-free Rates - Major Developments in 2020

ARRC Consultation

ARRC Releases Consultation on Swaptions Impacted by Central Counterparty Clearing Houses’ Discounting Transition to SOFR

EurexOTC Clear Release 10.1

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.

Another Look at Pre-cessation

Another Look at Pre-cessation

Newsletter - January 2020

The Working Group on Sterling Risk-Free Reference Rates publishes its monthly newsletter.

Buy-Side/Asset Owner Checklist

Buy-Side/Asset Owner Checklist

IBA letter to ISDA on pre-cessation trigger

IBA letter to ISDA on pre-cessation trigger

Recommendations for Interdealer Cross-Currency Swap Market Conventions

Conventions for RFR-RFR cross-currency swaps, for RFR-IBOR cross-currency swaps and Fallbacks for cross-currency swaps currently referencing IBORs.

ARRC Consultation

Consultation on Spread Adjustment Methodologies for Fallbacks in Cash Products

FCA letter on pre-cessation trigger

FCA letter to ISDA on non-representative LIBOR

Dear SMF Letter

Next steps on LIBOR transition

Progress on the Transition of LIBOR

Referencing Legacy Bonds to SONIA by way of Consent Solicitation

Next Steps for LIBOR transition in 2020: the time to act is now

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.

CSA Management: One of the most underrated aspects of the IBOR transition?

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.

Implications of Covid-19 on the IBOR transition

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.

The new European overnight rate

A complicated transition of the new European Overnight rate. LPAPerspectives

Benchmark reform: the way into a new interest world

Guest contribution for Zeitschrit für das gesamte Kreditwesen

Contract and Fallback Management

The IBOR reform and the resulting transformation towards a new system of reference interest rates

Postponement of EU BMR December 2019 deadline

Will recent developments mark the end of LIBOR and EURIBOR by January 2022?

Risk Magazine Special Report 2018 “Beyond Libor”

We are pleased that LPA was involved with an article on valuation effects of the switch to RFRs.

ESTER replaces Eonia

ECB working group recommends ESTER as euro risk-free rate and replacement for Eonia

The reform within the reform

IBOR Transition: Enhancing EURIBOR and LIBOR.

ESTER – ECB‘s new reference rate

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.

LPA IBOR Hub

Mastering the IBOR transition

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.

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IBOR Transition: reforming EURIBOR, LIBOR and the rise of RFR


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