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Fallbacks Protocol Effective

The IBOR Fallbacks Protocol is legally effective as of today. Following a permanent IBOR cessation, or an FCA determination that a LIBOR has “become” non-representative, fallbacks in the form of adjusted risk-free rates will apply to in-scope derivatives contracts. Clearly, the Protocol only applies to those who have adhered- 11902 to date. Purely in terms […]

Commission to be granted rate-replacement powers

On 30 November 2020, the EU Parliament and Council reached agreement on Commission-proposed amendments to the BMR. In anticipation of LIBOR’s end’ 2021 demise, the amendments give the Commission to power to propose replacement for the benchmark categories: “critical” benchmarks, which influence financial instruments and contracts with an average value of at least €500 billion […]

USD LIBOR joins the “on borrowed time” club

Following the administrator’s announcement on 18 November that it would consult on its intention to cease publication of all GBP, EUR, CHFand JPY LIBOR tenors on 31 December 2021; there was ill-founded speculation that USD LIBOR would somehow be reprieved. ICE Benchmark Administration (IBA) have today announced “will consult on its intention to cease the […]

See you CDOR

The Canadian CDOR rate will merit at least a small footnote in financial history as the first IBOR over the cliff. On 12 November, the CDOR administrator Refinitiv Benchmark Services (UK) Limited announced that it will cease to calculate and publish the rate’s 6 and 12 month tenors from 17 May 2021. In the absence […]

Landmark LIBOR date delayed

ISDA yesterday announced a further delay to the publication of the long-awaited IBOR Fallbacks Protocol. CEO Scott O’Malia used the ISDA derivatiViews blog to inform the market that the effective date of the protocol is now expected to be mid-late January, referencing a letter to this effect sent to the Bank of England and the […]

CFTC confirms Libor Relief

At the request of the ARRC, the CFTC has today announced comprehensive relief to swap dealers and other market participants as they make the transition from swaps that reference LIBOR and other “Impaired Reference Rates” to those that reference alternative benchmarks. The relief comprises no-action letters from each of the Commission’s main divisions, broadly covering […]

Heads on the Block as LIBOR meets the SM&CR

The transition away from Libor On 19 November 2019, the FCA published a Q&A document regarding conduct risk during the transition away from LIBOR.  As the FCA notes, the discontinuation of LIBOR will affect many firms, in terms of: developing and offering new products linked to risk-free rates; assessing and reducing their own and clients’ […]

ISDA Consultation – The results are in…

In May 2019, ISDA launched two consultations: one addressing adjustments to fallback rates if IBORs are permanently discontinued, and another to address the pre-cessation of LIBOR and other IBORs. The operationally imminent cessation of LIBOR can hardly be classified as breaking news. The light shone by the 2008 financial crash fatally exposed the benchmark’s fragility, […]

Benchmark Bother

Overshadowed by the MiFID 2 regulatory colossus, the start of the year also marked the coming into force of the EU’s Benchmark Regulation (BMR). As well as defining and categorising benchmarks, the BMR lays down obligations that affect both administrators and users, requiring firms to prepare written plans detailing their response to the cessation, material […]

Council adopts EU benchmark regulation

On 17 May 2016, the Council adopted the EU Benchmark Regulation. The EU Commission first proposed to regulate benchmarks in July 2012, in reaction to LIBOR manipulation. The final text can be found here. The regulation will enter into force on the day following publication in the Official Journal and will apply 18 months after.

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