May 16, 2019

ISDA published two consultations on benchmark fallbacks, the comment periods for which expire on July 12, 2019. One of these consultations covers adjustments that would apply to fallback rates in the event certain interbank offered rates (IBORs) are permanently discontinued while the other consultation related to the pre-cessation issues for LIBOR and certain other IBORs.

The first consultation sets out options for adjustments that will apply to the relevant risk-free rates (RFRs) if fallbacks are triggered for derivatives referencing US dollar LIBOR, Hong Kong’s HIBOR, and Canada’s CDOR. Feedback is also sought on a proposed fallback for Singapore’s SOR following a permanent cessation of US dollar LIBOR, given US dollar LIBOR is currently used as an input to calculate the Singapore rate. These adjustments reflect that the IBORs are currently available in multiple tenors—for example, one, three, six and 12 months—but the RFRs identified as fallbacks are overnight rates. The IBORs also incorporate a bank credit risk premium and a variety of other factors (such as liquidity and fluctuations in supply and demand), while RFRs do not.

The consultation on pre-cessation issues seeks comment on how derivatives contracts should address a regulatory announcement that LIBOR or certain other IBORs categorized as critical benchmarks under the EU Benchmarks Regulation are no longer representative of an underlying market. Anything implemented as a result of this consultation would be in addition to the fallbacks ISDA expects to implement to address a permanent cessation of a key IBOR. This consultation follows a request by the Official Sector Steering Group of FSB (FSB OSSG) for ISDA to request comment on the events that should trigger a move to a spread-adjusted fallback rate for LIBOR.

 

Related Links

Comment Due Date: July 12, 2019

Keywords: International, Banking, Insurance, Securities, IBOR, OTC Derivatives, Interest Rate Benchmarks, Benchmark Fallbacks, Risk-Free Rates, ISDA

Related Articles
News

EBA Consults on Guidelines for Loan Origination and Monitoring in EU

EBA launched a consultation on the guidelines on loan origination and monitoring in EU.

June 19, 2019 WebPage Regulatory News
News

OCC Bulletin on Risk Management Guidance for Home Mortgage Lending

OCC published Bulletin 2019-28 on risk management guidance for higher-loan-to-value (LTV) lending activities in communities targeted for revitalization.

June 19, 2019 WebPage Regulatory News
News

IFRS to Discuss Phase II of IBOR Reform at July Meeting of ASAF

IFRS published agenda papers for the Accounting Standards Advisory Forum (ASAF) meeting to be held on July 11–12, 2019.

June 19, 2019 WebPage Regulatory News
News

EC Amends Regulation Supplementing Solvency II Directive

EC published the Delegated Regulation (EU) 2019/981 that amends the Regulation (EU) 2015/35, which supplements Solvency II Directive (2009/138/EC) on the taking-up and pursuit of the business of insurance and reinsurance.

June 18, 2019 WebPage Regulatory News
News

IOSCO Report Examines Application of International Cyber Standards

IOSCO published a final report that examines the application of the three internationally recognized cyber standards and frameworks by IOSCO member jurisdictions.

June 18, 2019 WebPage Regulatory News
News

PRA Launches 2019 Stress Test Exercise for Life and General Insurers

PRA has launched the biennial insurance stress test and is asking the largest regulated life and general insurers to provide information about the impact of a range of stress tests on their business.

June 18, 2019 WebPage Regulatory News

SRB Outlines Upcoming Changes in Context of CRR2 and BRRD2

SRB published presentations made at the 8th Industry Dialogue in Brussels.

June 18, 2019 WebPage Regulatory News
News

EC Publishes Guidelines on Climate-Related Information Reporting

EC published the guidelines and associated frequently asked questions (FAQs) on corporate climate-related information reporting, as part of its sustainable finance action plan.

June 18, 2019 WebPage Regulatory News
News

PRA Finalizes Reporting Amendments to Pillar 2 Liquidity Framework

PRA published the final Policy Statement PS13/19 on regulatory reporting amendments and clarifications to the Pillar 2 liquidity framework for banks in UK.

June 17, 2019 WebPage Regulatory News
News

FSB Assesses Implementation of Compensation Standards and Principles

FSB published the sixth progress report on the implementation of its principles and standards for sound compensation practices in financial institutions.

June 17, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3276