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GFMA IBOR Transition Materials

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GFMA IBOR Transition Materials Transitioning from Interbank Offered Rates (IBORs) to new Risk Free Rates (RFRs)* September 2019 In recent years, international and domestic authorities alike have actively These documents have been updated from their previous versions (April worked with the private sector to address LIBOR’s shortcomings and to 2019) to include rates for the Australian dollar, Canadian dollar, Hong find alternative rates. In 2013, the International Organization of Securities Kong dollar and Singapore dollar in addition to the currencies included in Commissions (IOSCO) developed an international set of principles the initial documents (Japanese yen, Euro, UK pound sterling, U.S. dollar for financial benchmarks. These principles—which include 19 specific and Swiss franc). standards across governance, benchmark quality, methodology, and accountability—have emerged as the international standard. IOSCO has The information contained herein is based on the work of the FSB rightly focused on tying benchmarks more closely to observable, arms- through the OSSG as well as other publicly available information. For length transactions. ongoing IBOR transition updates, please reference the individual central bank working groups: The Financial Stability Board (FSB) and its members have published proposals, plans, and timelines for reference rate reform and have • Japanese yen: Study Group on Risk-Free Reference Rates and the promoted the strengthening of the major interest rate benchmarks. The Bank of Japan Cross-Industry Committee on Japanese Yen Interest FSB and its members have been carrying out work on the development Rate Benchmarks and introduction of alternative benchmarks, developing a plan to • Euro: Working Group on Euro Risk-Free Rates accomplish a transition to new benchmarks, encouraging work by the private sector on contract robustness, and reporting regularly on the • UK pound sterling: Working Group on Sterling Risk-Free Rates progress made. • U.S. dollar: Alternative Reference Rates Committee To aid in the awareness of the IBOR transition processes impacting • Swiss franc: National Working Group on Swiss Franc Reference Rates globally-active financial institutions, the Global Financial Markets Association (GFMA) has created the following documents outlining the • Australian dollar: Reserve Bank of Australia Market Operations Resources various parts and players. This information is organized into the enclosed three products: • Canadian dollar: Canadian Alternative Reference Rate Working Group 1. Key Timelines and Milestones for the transition from IBORs to RFRs; 2. Snapshot of the IBOR and RFR variables associated with each currency; 3. ‘At a Glance’ Tracker of each official sector working group activities and near-term expected actions. *Current as of September 2019 1 IBORs to RFRs Transition Timeline This timeline lists key dates and milestones associated with the transition from IBORs to risk free rates for the Japanese yen, Euro, UK pound sterling, U.S. dollar, Swiss franc, Australian dollar, Canadian dollar, Hong Kong dollar and Singapore dollar. ECB publishes summary of responses Legend for the third public BoJ publishes public Bank of Canada consultation by the Recommends consultation on the to become JAPAN TONAR be working group on appropriate choice and administrator EMMI announces end calculated by Euro risk-free rates on usage of Japanese Yen of CORRA to efforts on EONIA EU BOJ the EONIA to ESTR Interest rate benchmarks reform. Selects €STR as legal action plan UK replacement for EONIA EMMI receives license for CARR plans the administration of Euribor Some EMMI concludes to implement Australia Cash Rate EURIBOR recalibration from the Belgian FSMA enhanced WG publishes methodology tenors cease of EONIA methodology responses to Term WG Euro RFR US introduced to exist methodology as for CORRA Publishes Sonia Reference Rates €STR + 8.5bp as ECB Recommendations Switzerland (TSRR) consultation of October 2019 publishes on the Legal Action €STR WG publishes “Next Plan for Transition Conversion Canada Steps” paper on from EONIA to €STR mechanisms HK development of consulted Expects discussion on and TSRR and issuance Releases roadmap paper on legacy developed SG of first SONIA-linked by Working Group cash products for GBP securitisation [retained and findings of the referencing GBP LIBOR to Other regulatory on balance sheet] “Dear CEO” letters LIBOR SONIA milestones May Dec Sept Sept Nov Dec May June July Q4 Oct Q1 Q2 2016 2016 2016 2017 2017 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2020 2020 2020 2021 2022 Oct Dec Apr July Oct Mar Q2 April Aug Early July Oct Q1 Q4 End of Start of 2017 2017 2018 2018 2018 2019 2019 2019 2019 2020 2020 2020 2021 2021 2021 2022 Fed Final recommendations CME plans Expect publishes for fallback contract discounting term SOFR language for FRNs, switch from daily publication bilateral business effective federal of SOFR Transitional funds rate ABS-SFEMC loans, syndicated loans provisions of and securitizations (EFFR) to SOFR issues MAS establishes the Benchmark consultation Regulation steerco to LCH plans on enhancing expire. BMR Recommends ARRC releases a facilitate SOR discounting SIBOR comes into force Recommends compounded user guide for SOFR transition to SORA switch to SOFR SARON SARON as term encouraging transition EONIA new reference rate ABS-SFEMC issues FCA no business after ABS-SFEMC develops WGARR releases consultation on Enhanced longer this date must proposal to strengthen consultation on SORA transition SIBOR to be compels reference €STR SIBOR based on refinements for from SOR implemented panel consultation responses HONIA as ARR banks to Basel III BIS releases a FSB publishes Expected Data collection begins on submit and FRTB primer on the new user guide for finalized ISDA model-ability criteria for LIBOR implementation benchmark rates overnight RFRs fallback language FRTB implementation quotes goes live 2 Snapshot: Variables of each IBOR and RFR by Jurisdiction The following lists out the key factors to be aware of in each IBOR and risk-free reference rate. Reformed IBOR include Alternative Alternative RFR Transaction Overnight Secured/ Underlying Rates Jurisdiction Benchmark IR Administrator waterfall RFR Administrator based? rate? Unsecured Transactions Published approach? JBA TIBOR JBA TIBOR Yes Yes EUROYEN Administration TIBOR Money TONA Bank of Japan Yes Unsecured July 1985 Markets Japan ICE Benchmark JPY LIBOR Administration Yes Yes (IBA) Euro short- term rate Yes October EONIA/ European Money (€STR) European Yes Money 2019 EURIBOR Markets Institute Yes Central Bank Unsecured (€STR) Markets (€STR) (EMMI) (ECB) Reformed EU Partly EURIBOR Reformed sterling ICE Benchmark overnight Bank of Money 23 April GBP LIBOR Administration Yes Yes Yes Unsecured index England Markets 2018 (IBA) UK average (SONIA) Secured Federal ICE Benchmark overnight Reserve Bank Repo USD LIBOR Administration Yes Yes Yes Secured 3 April 2018 financing of New York Transactions (IBA) US rate (SOFR) (FRBNY) Swiss ICE Benchmark average rate SIX Swiss Repo 25 August CHF LIBOR Administration Yes Yes Yes Secured overnight Exchange Transactions 2009 (IBA) (SARON) Switzerland 3 Snapshot: Variables of each IBOR and RFR by Jurisdiction The following lists out the key factors to be aware of in each IBOR and risk-free reference rate. Reformed IBOR include Alternative Alternative RFR Transaction Overnight Secured/ Underlying Rates Jurisdiction Benchmark IR Administrator waterfall RFR Administrator based? rate? Unsecured Transactions Published approach? Australian RBA Cash Reserve Bank Current Bank Bill Swap Cash Market Methodology Securities Yes Rate of Australia Yes Yes Unsecured Rate (BBSW) Transactions Introduced Exchange (ASX) (AONIA) (RBA) Australia May 2016 Thomson Refinitiv Enhanced Reuters – transferring CORRA Repo CDOR Refinitiv No CORRA to Bank of Yes Yes Secured to be Transactions Benchmark Canada in Published Canada Services 2020 Q2 2020 Overnight Hong Kong Interbank Hong Kong Enhanced Treasury Deals Treasury Markets HONIA HIBOR No HONIA Markets Yes Yes Unsecured Routed Association yet to be Association Through (TMA) published Hong Kong (TMA) Money Brokers The Association None SIBOR of Banks in Yes Selected Singapore (ABS) Unsecured overnight Monetary Published The Association SORA interbank Authority of daily by Singapore SOR of Banks in pending Yes Yes Unsecured SGD Singapore MAS since Singapore (ABS) consultation transactions (MAS) July 2005 brokered in Singapore 4 At a Glance: Official Sector Working Group Activities and Near-Term Expectations This tracker follows the official sector working group activities, near-term expected actions, industry actions around cash fallback language, term rate statuses, and issuance of alternate RFRs to date. Working Working Group Alternative/New Cash Fallback Term Rate Near Term Expected Issuance to Date Group Structure RFR Status Language Status Status Actions The Cross-Industry December 2016: Future work plan for The Committee released Committee on Yen Interest Recommended Tokyo term reference rate a Public Consultation Rate Benchmarks is divided Overnight Average Rate based on Swaps and on the Appropriate into three subgroups and (TONA) calculated by the Futures is discussed in Choice and Usage of one working group Bank of Japan. the subgroup for the Japanese Yen Interest Bank of Japan Study focusing on: development of term Rate Benchmarks on 2 Group on Risk-Free reference rates. The July 2019 1. Loans Reference Rates subgroup considers Cross-Industry 2. Bonds possible
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