Featured Product

    BNM Proposes Strategic Direction for KLIBOR and KLIRR

    May 19, 2021

    BNM published a discussion paper that sets out proposed design and features for the development of an alternative reference rate, potential enhancements to the Kuala Lumpur Interbank Offered Rate (KLIBOR), IBOR fallback language, and a review of the Kuala Lumpur Islamic Reference Rate (KLIRR). BNM, in consultation with the Financial Markets Committee, is conducting a comprehensive review on the continuity of KLIRR and a potential alternative Islamic reference rate that adheres to the global standards for financial benchmarks. The comment period for this discussion paper ends on June 18, 2021.

    BNM currently compiles and publishes the Average Overnight Interbank Rate (AOIR), which is a near risk-free weighted average overnight interbank funding rate that considers the BNM's monetary operations and interbank transactions based solely on transaction data, consistent with the development of major alternative reference rates of major currencies worldwide. Taking into consideration the characteristics of the current AOIR, the Financial Markets Committee identified AOIR as the ARR. Financial Markets Committee also proposed some technical refinements to the AOIR to enhance its robustness and representativeness. The refined AOIR is proposed to be renamed as the Malaysia Overnight Rate (MYOR), with the following proposed features:

    • Calculation methodology. MYOR will be calculated as the volume-weighted average rate of unsecured overnight MYR interbank transactions.
    • Data source. MYOR will capture all eligible transactions sourced from the Real-time Electronic Transfer of Funds and Securities System (RENTAS).
    • Data collection window. All eligible transactions settled via RENTAS throughout the entire business day will be included in the MYOR calculation
    • Publication time. To capture all eligible transactions settled on the same day, the Financial Markets Committee proposes for the publication time of the next business day. This proposed change is in line with the international practices for publication of rates such as the Secured Overnight Financing Rate (SOFR) and the Sterling Overnight Index Average (SONIA), which are published on the following business day.
    • Erroneous data. A re-publication shall be made if the error is more than two basis points away from the correct rate and is identified or reported by 2.00 pm on publication day. The re-publication will be made by 4.0 0pm on the same day. If findings or reports of erroneous calculations are made after the cut-off time, no republication will be made.
    • Contingency arrangements. As a backstop in the event of disruption to the normal production of MYOR, BNM shall, at its discretion, publish MYOR using a simple average of MYOR over the previous three publication days. For exceptional circumstances, BNM reserves the right to determine the appropriate contingency rate.

    With respect to refinements to KLIBOR, the Financial Markets Committee proposes to adopt a phased approach to potentially discontinue rate submissions for the least referenced tenors to ensure the integrity of KLIBOR rates and facilitate transition. In this regard, the two-month and twelve-month tenors will be discontinued first, followed by the six-month tenor. The Financial Markets Committee proposes that market participants are given an advance notice of 12 months in the event that certain KLIBOR tenors are discontinued upon review.


    Related Links

    Comment Due Date: June 18, 2021

    Keywords:  Asia Pacific, Malaysia, Banking, Securities, KLIBOR, Alternative Reference Rates, ARR, KLIRR, Interest Rate Benchmarks, Benchmarks Reforms, BNM

    Related Articles

    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

    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

    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

    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

    UK Authorities Issue Regulatory and Reporting Updates for Banks

    The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.

    June 15, 2022 WebPage Regulatory News

    BaFin Consults on Resolvability Requirements for Resolution Planning

    The Federal Financial Supervisory Authority of Germany (BaFin) proposed to amend the “Capital Investment Conduct And Organization Ordinance” and issued a draft circular on the minimum resolvability requirements for resolution planning.

    June 10, 2022 WebPage Regulatory News

    EBA Consults on Certain Standards and Guidelines Under CRR and BRRD

    The European Banking Authority (EBA) proposed guidelines, for the resolution authorities, on the publication of the write-down and conversion and bail-in exchange mechanic, with the comment period ending on September 07, 2022.

    June 08, 2022 WebPage Regulatory News

    OJK Publishes Regulatory Updates for Financial Sector Entities

    The Financial Services Authority of Indonesia (OJK) is strengthening cooperation with the Australian Prudential Regulation Authority (APRA) and the Japanese Financial Services Agency (JFSA)

    June 03, 2022 WebPage Regulatory News

    EU Publishes Rules on DLT and Data Governance

    The European Parliament and the Council published Regulation 2022/868 on European data governance (Data Governance Act).

    June 03, 2022 WebPage Regulatory News

    EBA Publishes Phase 2 of Reporting Framework 3.2

    The European Banking Authority (EBA) published phase 2 of its reporting framework 3.2. The technical package supports the implementation of the updated reporting framework by providing standard specifications

    June 03, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8267