Is the LIBOR going to disappear ?
Whats-happening-with-LIBOR-and-why-you-should-care
Speech by FCA about the future of LIBOR: 27/7/2017
speech from BoE Andrew Hauser 27062019
Practical considerations for corporate treasurers from PWC.
and from The Global Treasurer.
presentations from SOCGEN, JPMORGAN and GOLDMAN SACHS about IBOR:
J.P. Morgan – IBOR reform October 2019
Goldnman Sachs – LIBOR What You Need To Know Goldnman Sachs – Frequently Asked Questions Goldnman Sachs – LIBOR Transition – Presentation – May 2019
the-road-to-liboration-for-corporates-edistribution-3
Fallback Language:
The transition from LIBOR to alternative reference rates presents numerous challenges for both existing and new products. . Treasurers should act now to develop and use contract language appropriate for a permanent discontinuance of LIBOR, both for new contracts and for any existing contracts that are amended before 2021:
Oliver Wyman – LIBOR Fallbacks in Focus
ISDA consultation’s fallback. click heren
SARON® as the future CHF-alternative to LIBOR
ACTSR is a member of the Swiss National Working Group (NWG), the group overseeing the transition away from LIBOR benchmark in Switzerland and participates in the “Loan& Deposit market” subgroup. NWG is co chaired by Swiss National Bank and Zurich Kantonal Bak
Franck Paniandy and Guillermo de la Fuente are attending and representing ACTSR in the regular discussions.
Workshop on the implications of a transition from Swiss franc LIBOR to SARON for corporates. Zurich Sept.2018
Corporate Workshop SARON sept 2018 Zurich
checklist for Treasurers
checklist_operational_readiness.n (1)
SARON replaces LIBOR by UBS
you can watch here the podcast with the presentation as well as the minutes of the Swiss National Working Group:
http://www.six-swiss-exchange.com/news/overview_fr.html?id=saron
SARON compunded:
compound_rate_saron_description
Other countries alternative to LIBOR
UK. GBP
This page from ACT provides a reference both for corporates and other interested parties when considering the implications (primarily for corporates) of transitioning away from LIBOR.
Letter-re-Key-Issues-for-LIBOR-Transition-010218
presentation made at ACT Liverpool in 2018
LIBOR UK Sarah John, Bank of England
Sonia Calculator from NATWEST. Click here.
EU. EURO
The ECB has set up a working group, together with the Financial Services and Markets Authority (FSMA), the European Securities and Markets Authority (ESMA) and the European Commission, which is tasked with, among other things, identifying and recommending alternative risk-free rates. Such rates could serve as a basis for an alternative to current benchmarks used in a variety of financial instruments and contracts in the euro area.
ECB will publish new unsecured overnight benchmark interest rate before 2020. Read here.
A first public consultation was launched in November 2017. Read here.
A second public consultation was launched on 15 March 2018 to gather feedback from market participants and all other interested parties on the defined methodology of the new rate, as well as on key operational and technical parameters. The deadline for submitting comments is 20 April 2018. Read here.
Minutes from WG Meetings: read here.
The Future of EONIA and EURIBOR by OLIVIER WYMAN
OLIVER WYMAN Eonia-Euribor-rate-transition
US. USD
SOFR Checklist by ARRC:
FAQ ARRC:
Goldman Sachs – USD LIBOR Transition
Preliminary_Recommendations_for_Interdealer_Cross-Currency_Swap_Market_Conventions
ICE and LIBOR
Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announces that ICE Benchmark Administration Limited (IBA) will publish data relating to a three-month testing period during which all 20 LIBOR panel banks were required to make parallel LIBOR submissions. These parallel submissions used the evolved waterfall methodology (the “waterfall methodology”) set out in the ICE LIBOR output statement (the “output statement”).
Between September 15 and December 15, 2017 (the “testing period”) IBA conducted a test during which all 20 panel banks were required to make additional LIBOR submissions using the waterfall methodology to the same production standard as, and in parallel with, their existing LIBOR submissions. IBA has calculated LIBOR1 using submissions made under the waterfall methodology for each of the 35 LIBOR currency and tenor pairs for every applicable London business day of the testing period (the “test rates”). The calculations apply the same trimmed arithmetic mean approach used to calculate LIBOR as it is currently published.
from IGTA
mpg_corporate_outreach_survey_2014
IOSCO Principles for Financial Benchmarks
ICE report on Waterfall Methodology:
ICE_LIBOR_Evolution_Report_25_April_2018
IBA became the administrator of LIBOR in February 2014 and since then they have taken up the lead instigated by the Financial Stability Board (FSB ) in reforming the world’s largest Interest Rate Benchmark. IBA are working with panel banks and our Oversight Committee (which includes the Association of Corporate Treasurers in London) on proposed reforms and the objective is to consult as widely as possible with all stakeholders on the impact these changes may have – especially corporates.
ICE published a Position Paper in October 2014 and in April 2015 a Feedback Statement summarising the written comments to the Position Paper and also those raised during the round table meetings held with the central banks in each of the LIBOR currency countries.
ICE is planning to publish a further Consultation Paper this Summer 2015 and then repeat the series of round table meetings ensuring they have reached as many corporates as possible, especially in Switzerland this time.
ICE LIBOR Position Paper_20141020 PUBLISHED
IBA LIBOR Feedback Statement FINAL 30042015
See here the second position paper issued by ICE in July 2015
ICE_LIBOR_Second_Position_Paper
The second Evolution of LIBOR roundtable meeting will be held at the Swiss National Bank.
Details as follows;
Date: Tuesday 29th September
Time: 10-12am CET
Address: Swiss National Bank (SNB), Börsenstrasse 15, 8001 Zurich
The meeting will be hosted by Sébastien Kraenzlin, Deputy Director at SNB and Head of Money Markets and Finbarr Hutcheson, President of ICE Benchmark Administration (IBA) – the LIBOR administrator.
LIBOR Round Table Meeting Agenda 29092015_SNB_final
The meeting will discuss the key themes raised in IBA’s second consultation paper on the Evolution to LIBOR (due to be published in July 2015 ) – including proposed changes to the submission process, the calculation methodology and the publication.
Evolution of LIBOR_Invitation_SNB_ 29 September 2015
Evolution of LIBOR_Invitation_SNB_ 29 September 2015 (2)
we have already the feedback of the second position paper
IBA_LIBOR_Feedback_Evolution_Statement_20151214
ICE published on March 18th 2016 the Roadmap, which will be implemented this year, outlines a set of measures to anchor LIBOR in transactions from a broader set of market participants, reflecting changes in banks’ funding models. To support this, IBA has developed a waterfall of methodologies to ensure that LIBOR can be published every day and in all market circumstances, in line with feedback received from the consultation, as well as the direction set by the Financial Stability Board (“FSB”) and other official sector bodies.
The full Roadmap document for the Evolution of ICE LIBOR can be accessed>