Featured Product

    EC Publishes Draft Rules on Replacement Rates for EONIA and CHF LIBOR

    August 03, 2021

    The European Commission (EC) published a draft implementing regulation on the designation of a replacement for the European Overnight Index Average (EONIA) benchmark in contracts and financial instruments, as referred to in Article 23a of Benchmarks Regulation (2016/1011). The Euro short-term rate (€STR) as published by the European Central Bank (ECB) is designated as replacement for EONIA. The fixed spread adjustment that shall be added to the designated replacement rate shall be equal to 8,5 basis points. The Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. The draft regulation is open for feedback until August 31, 2021 and the Regulation shall apply as of January 03, 2022.

    EC also published a draft implementing regulation on the designation of a statutory replacement for certain settings of Swiss franc London Interbank Offered Rate (CHF LIBOR). The following rates are designated as replacement for the CHF LIBOR in references to CHF LIBOR in contracts and financial instruments as referred to in Article 23a of Benchmarks Regulation:

    • 1-month CHF LIBOR is replaced by 1-month compounded Swiss Average Rate Overnight (SARON), as observed over the 1-month period preceding the interest period
    • 3-month CHF LIBOR is replaced by 3-month compounded SARON, as observed over the 3-month period preceding the interest period
    • 6-month CHF LIBOR is replaced by 6-month compounded SARON, as observed over the 6-month period preceding the interest period
    • 12-month CHF LIBOR is replaced by 12-month compounded SARON, as observed over the 12-month period preceding the interest period

    A fixed spread adjustment shall be added to these designated replacement rates. That fixed spread adjustment shall be equivalent to the spread published for each relevant tenor and calculated on March 05, 2021 as a historical median spread between the CHF LIBOR concerned and the respective SARON compounded over a five-year lookback period for each particular term. Credit institutions and other financial institutions that are a party to a CHF LIBOR contract shall inform their counterparts of the change in the rate and the effects on their contracts in writing and not later than thirty days before the statutory replacement rate starts to apply. The Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. This Regulation shall apply as of January 01, 2022. The draft regulation is open for feedback until August 31, 2021.

     

    Related Links

    Comment Due Date: August 31, 2021

    Effective Date: OJ+20 Days

    Keywords: Europe, EU, Banking, Securities, Interest Rate Benchmarks, EONIA, €STR, LIBOR, CHF LIBOR, Benchmarks Reforms, Benchmarks Regulation, SARON, ECB, EC

    Related Articles
    News

    EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models

    The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.

    June 21, 2022 WebPage Regulatory News
    News

    EP Reaches Agreement on Corporate Sustainability Reporting Directive

    The European Council and the European Parliament (EP) reached a provisional political agreement on the Corporate Sustainability Reporting Directive (CSRD).

    June 21, 2022 WebPage Regulatory News
    News

    PRA Consults on Model Risk Management Principles for Banks

    The Prudential Regulation Authority (PRA) launched a consultation (CP6/22) that sets out proposal for a new Supervisory Statement on expectations for management of model risk by banks.

    June 21, 2022 WebPage Regulatory News
    News

    EC Regulation Amends Standards for Calculating Credit Risk Adjustments

    The European Commission (EC) published the Delegated Regulation 2022/954, which amends regulatory technical standards on specification of the calculation of specific and general credit risk adjustments.

    June 21, 2022 WebPage Regulatory News
    News

    HKMA Announces Launch of Data Repository on Sustainable Finance

    The Hong Kong Monetary Authority (HKMA) announced that the Green and Sustainable Finance (GSF) Cross-Agency Steering Group has launched the information and data repositories and outlined the progress made in advancing the development of green and sustainable finance in Hong Kong.

    June 21, 2022 WebPage Regulatory News
    News

    BIS Hub Updates Work Program for 2022, Announces New Projects

    The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.

    June 17, 2022 WebPage Regulatory News
    News

    EIOPA Issues Cyber Underwriting Proposal, Statement on Open Insurance

    The European Insurance and Occupational Pensions Authority (EIOPA) published two consultation papers—one on the supervisory statement on exclusions related to systemic events and the other on the supervisory statement on the management of non-affirmative cyber exposures.

    June 17, 2022 WebPage Regulatory News
    News

    NGFS Report on Integration of G-Cubed Model into NGFS Scenarios

    The Network for Greening the Financial System (NGFS) published a report that explores the feasibility of integrating the G-Cubed general equilibrium model into the NGFS suite of models.

    June 17, 2022 WebPage Regulatory News
    News

    US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule

    Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)

    June 16, 2022 WebPage Regulatory News
    News

    EIOPA Consults on Review of Securitization Framework in Solvency II

    The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.

    June 16, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8301