Welcome to the latest issue of Mayer Brown's IBOR Transition Digest—a periodic compendium of global regulatory and market developments and insights on the complex issues confronting financial market participants as they plan to transition from LIBOR and its variants to replacement benchmark interest rates. As attention to IBORtransition accelerates and becomes more focused, it is critical to have access to comprehensive and timely resources about the market.
For additional resources and an introduction to our global
cross-practice IBOR Transition Task Force, please visit Mayer
Brown's IBOR Transition portal.
Thought Leadership | News and Developments | Upcoming Events
ESMA Chair Steven Maijoor discusses the
status of €STR, EONIA and EURIBOR
Eye on IBOR Transition Blog, 20 October 2020
Summarizing the most recent and upcoming steps with regard
to the implementation of the Euro Short-Term Rate
("€STR")—an unsecured, transaction-based
overnight rate—as the new market standard interest rate for
Euro-based borrowings.
Financial Stability Board Issues Global
LIBOR Transition Roadmap
Eye on IBOR Transition Blog, 16 October 2020
The Financial Stability Board issued a Global Transition
Roadmap to support global coordination of LIBOR cessation.
Limited US Tax Guidance for Adding ARRC
and ISDA Fallbacks
Legal Update, 14 October 2020
The Internal Revenue Service has released Revenue
Procedure 2020-44, providing retroactive but limited relief for
amending specific types of legacy contracts to add fallback
mechanics for the London Interbank Offer Rate or other Interbank
Offer Rates.
US CFTC Provides Reporting Relief for
Swaps Related to Upcoming DCO Auctions Required for LIBOR
Transition
Eye on IBOR Transition Blog, 14 October 2020
The Division of Market Oversight of the Commodity Futures
Trading Commission issued swap transaction and pricing data
reporting relief to specific derivatives clearing organizations in
support of transitioning certain cleared swaps from discounting
using the Effective Federal Funds Rate to the Secured Overnight
Financing Rate.
United States – Derivatives
CFTC Staff Provides Reporting Relief for
Swaps Related to Upcoming DCO Auctions as Part of the Industry-Wide
Initiative to Transition Away from
LIBOR, with links to Staff
Letters 20-32 and 20-33
Commodity Futures Trading Commission, 13 October 2020
The CFTC announced that it has provided swap transaction
and pricing data reporting relief to specific derivatives clearing
organizations (DCOs) and market participants participating in
upcoming DCO auctions that will help transition certain cleared
swaps from discounting using the Effective Federal Funds Rate to
the Secured Overnight Financing Rate.
United States – General
Rev Proc 2020-44
Internal Revenue Service, 9 October 2020
The purpose of this revenue procedure is to facilitate the
market's transition from the London Interbank Offered Rate and
other interbank offered rates to alternative reference rates
through adoption of fallback language recommended by the
Alternative Reference Rates Committee and the International Swaps
and Derivatives Association.
United Kingdom – Derivatives
Statement welcoming the announcement by
ISDA on its IBOR Fallbacks Protocol and IBOR Fallbacks
Supplement
Working Group on Sterling Risk-Free Reference Rates, 9
October 2020
The Working Group strongly encourages early adherence to
the Protocol by both financial and non-financial firms. Market
participants that intend to adhere to the Protocol are encouraged
to do so during the escrow period, if possible, to support broader
adoption.
United Kingdom – General
Term SONIA Reference Rate Publication
Summary
Working Group on Sterling Risk-Free Reference Rates, 16
October 2020
An overview of the key features of SONIA term rates to
inform market participants and allow them to consider whether any
amendments might be required to their systems or products ahead of
transition to such rates.
Freely Available Independent RFR
Calculator Summary
Working Group on Sterling Risk-Free Reference Rates, 16
October 2020
A summary of the freely available independent RFR
calculators in the market to support the adoption of compounded
SONIA and assist in assessing related operating system
requirements.
Asia and Pacific Rim – Derivatives
Letter to Authorized Institutions
Requesting Adherence to ISDA Protocol
Hong Kong Monetary Authority, 16 October 2020
Requesting authorized institutions to take early action to
adhere to the IBOR Fallbacks Protocol.
TMA WGARR Statement on ISDA IBOR Fallbacks
Supplement and Protocol
Treasury Markets Association, 12 October 2020
The working group supports the launch of the ISDA Protocol
and encourages TMA members to adhere.
Global – Derivatives
FSB encourages broad and timely adherence
to the ISDA IBOR Fallbacks Protocol
Financial Stability Board, 9 October 2020
The FSB strongly encourages widespread and early adherence
to the Protocol – by all affected financial and non-financial
firms – which will be a major driver of transition for
derivatives in all LIBOR currencies and a critical step in
benchmark transition ahead of end-2021.
IBOR Alternative Reference Rates
Disclosure
International Swaps and Derivatives Association, 9 October
2020
This Disclosure is provided for Rates Transactions where
an IBOR is an Underlier, but also provides information that may be
useful in connection with other IBOR-based Obligations and
Investments
Global – General
Global Transition Roadmap for
LIBOR
Financial Stability Board, 16 October 2020
This Global Transition Roadmap is intended to inform those
with exposure to LIBOR benchmarks of some of the steps they should
be taking now and over the remaining period to end-2021 to
successfully mitigate these risks.
The ISDA Fallback
Protocol
IBOR Transition Webinar Series, 22 and 23 October 2020
Europe: 22 October, 2020 - 5:00 p.m. to 5:30
p.m GMT and 23 October, 2020 - 4:00 p.m. to 4:30 p.m. GMT
United States: 22 October, 2020 - 12:00 p.m. to
12:30 p.m EDT and 23 October, 2020 - 11:00 a.m. to 11:30 a.m.
EDT
Join Mayer Brown Partners Ed Parker, Chris Arnold and Curtis Doty for a discussion of the key features of the ISDA IBOR Fallbacks Protocol and its underlying document template, as well as related issues, including adherence to the protocol and key timing milestones. In the second part of the webinar we will focus on a critical analysis of the Protocol and answer questions relating to the key implications for loan markets and the likely adherents to the protocol.
Replays of all of our IBOR Transition Webinar Series presentations are available via iTunes podcasts, Google play or Spotify, as well as on the IBOR Transition Webinar Series page of our dedicated IBOR Transition portal.
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This Mayer Brown article provides information and comments on legal issues and developments of interest. The foregoing is not a comprehensive treatment of the subject matter covered and is not intended to provide legal advice. Readers should seek specific legal advice before taking any action with respect to the matters discussed herein.