As the world continues to deal with the COVID-19 pandemic, the end of 2021 deadline for the LIBOR transition has remained unchanged. However, certain deadlines along the way have been extended in recognition of the difficulties that market participants face in these tumultuous times.

In what follows, we explore the current timelines on the path to the transition from LIBOR.


Continue Reading Updated LIBOR Transition Timeline in the COVID-19 Pandemic

Update: The Bank of England has delayed the introduction of increased haircuts to apply to all LIBOR linked collateral. For more details, please refer to our July 28 post.

The FCA and the Bank of England (BoE) have encouraged market participants to switch from LIBOR to SONIA from March 2, 2020 in all new trades.  Some market participants have already started referencing RFRs.  For the year to date ending on March 6, 2020 the following notionals* (as published by ISDA) were traded.

RFR Traded Notional Trade Count
SOFR $222.9 billion 998
SONIA $7.1 trillion 6,304
€STR $0.9 billion 16
SARON $4.2 billion 9
TONAR $76.3 billion 178


Continue Reading Recent Commentary from the UK Financial Conduct Authority (FCA) and Bank of England

In a letter to the International Swaps and Derivatives Association (ISDA) on January 20, 2020, the Financial Conduct Authority (FCA) confirmed the possibility that LIBOR may continue to be published for a short period after regulators have announced that it is no longer representative of an underlying market (a non-representative LIBOR). The European Benchmarks Regulation could prohibit EU-supervised firms from entering into new derivatives transactions referencing such a non-representative LIBOR. As a result, the FCA encouraged ISDA to provide the derivatives market with the ability to insert triggers into their derivatives contracts to allow fallbacks to risk-free rates if such a regulatory announcement is made prior to the cessation of LIBOR (a pre-cessation trigger).

Continue Reading ISDA to Revisit LIBOR Pre-Cessation Triggers

On July 27, 2017, the chief executive of the Financial Conduct Authority, Andrew Bailey, announced that the London Interbank Offered Rate (LIBOR) may not continue to be available after 2021. Since this announcement, a number of national working groups have been set up, and consultations carried out, to develop and select alternative risk-free rates (RFRs) to replace LIBOR.

Continue Reading Update on Benchmarks Reform in Derivatives