IBOR transition: Resources

Deutsche Bank's IBOR newsletter, timelines on the RFR/IBOR transition, industry news/updates can be found on this page.

A glossary of terms used to describe Deutsche Bank's IBOR project is also available.

ibor-transition-newsletter-banner

Timeline of RFR/IBOR reforms

ibor-transition-timelines-june-2021

Timeline of RFR/IBOR reforms: Reform for Loans

ibor-transition-loans-june-2021

Key attributes for each IBOR and Risk-free Rates

IBOR-transition-benchmark-table-January-2021

*Transition from IBOR to RFR could bring additional benchmark rates in scope which are indirectly linked to IBOR or use IBOR in the methodology. For example, MIFOR, SOR, etc.

Industry and Regulatory News

Information from the relevant regulators and trade bodies, by currency and geography, can be accessed in the different sections below.

Show content of CHF (Switzerland)

CHF (Switzerland) Document

Date of publication

Swiss financial regulator FINMA publishes LIBOR transition update September 2021
Revised roadmap shared by FINMA for LIBOR replacement December 2020
SIX launches SARON Compound indices March 25, 2020
SNB announces move away from LIBOR June 13, 2019

Show content of Euro (Europe)

Euro (Europe) Document

Publication date

EUR Risk Free Rates Working Group publishes recommendation on availability of derivatives products referencing €STR September 2022
EUR RFR Working Group recommends switch to €STR for EUR leg of EUR USD cross currency swaps December 2021
Euro Risk Free Rates Working Group publishes letter to the European Commission July 2021
"Market participants strongly encouraged to cease using LIBOR in new contracts" by European authorities June 2021
ECB starts publishing compounded euro short-term rate (€STR) average rates on 15 April 2021 (europa.eu) March 2021
EMMI encourages Eonia users to accelerate their transition to €STR February 2021
The working group on euro risk-free rates closed two public consultations on EURIBOR fallback trigger events and €STR-based EURIBOR fallback rates on 15 January 2021. The recommendations from the consultations are expected to be published in Q1 2021, as per the Press release. These recommendations will aim to set plans to mitigate the risks resulting from a future EURIBOR discontinuation. January 2021
Following consultations in late 2020, LCH and EUREX announced plans to convert existing cleared EONIA swaps into €STR swaps in exercises, both due to take place on 15th October 2021. November / December 2020
AFME and Simmons & Simmons publish white paper on conduct risks and client communications during LIBOR transition  June 23, 2020
EACH statement on ESTR discounting switch April 17, 2020
EU WG factsheets on EURIBOR fallbacks and transfer from EONIA to €STR March 17, 2020
EU WG report on the transfer of EONIA’s cash and derivatives markets liquidity to the €STR February 19, 2020
Report on EIOPA's approach for the implementation of IBOR transitions February 6, 2020
EMMI granted authorisation by Belgian FSMA for provision and administration of EONIA December 11, 2019
EU WG report on ESTR Fallbacks November 12, 2019
ECB WG issues recommendations to address accounting impact of euro risk-free rates transition November 5, 2019
European Commission consultation on EU benchmark regulation October 11, 2019
Details of ECB second roundtable on euro risk-free rates September 26, 2019
EU WG issues recommendations on the transition from EONIA to €STR for cash and derivatives products August 19, 2019
EU WG recommends legal action plan for transition from EONIA to €STR July 16, 2019
EMMI granted authorisation by Belgian Financial Services and Markets Authority July 3, 2019
EMMI consultation paper on the recommendations for EONIA May 31, 2019
ECB provides a one-off spread between €STR and EONIA May 31, 2019
EU WG recommends transition path from EONIA to €STR and €STR-based forward-looking term structure methodology March 14, 2019

Information from the Working Group on Euro Risk-Free Rates

Show content of JPY (Japan)

JPY (Japan) Document

Date

Transition of Quoting Conventions in the JPY interest rate swaps market ("TONA First") August 2021
A $27 Trillion Challenge Looms as Yen Libor Shift Nears April 2021
Japan debuts swaptions linked to risk-free rate March 2021
Japan’s JBATA announces retention of JPY TIBOR and cessation of EuroYen TIBOR by December 2024 March 2021
JFSA and BoJ survey on use of LIBOR March 13, 2020
BoJ report on use of Japanese Yen benchmarks November 29, 2019
BoJ announces “Task Force on Term Reference Rates” August 28, 2019
BoJ consultation on Japanese Yen benchmarks July 2, 2019

Show content of GBP (UK)

GBP (UK) Document

Date published

FCA announces 1 and 6-month synthetic sterling LIBOR settings to continue until end-March 2023 September 2022
FCA consultation on winding down ‘synthetic’ sterling LIBOR and U.S. dollar LIBOR June 2022
FCA to seek views on retiring 1-month and 6-month synthetic sterling LIBOR at end-2022 April 2022
Achievements in sterling markets and what remains to be done (joint press release from the Bank of England, FCA and the Working Group on Sterling Risk-Free Reference Rates) February 2022
Bank of England RFRWG Newsletter December 2021
FCA's Edwin Schooling Latter delivers speech - 'So long LIBOR – 3 weeks to go' December 2021
FCA announces further technical publications expected in new year December 2021
FCA feedback statement on synthetic LIBOR and restricted use of USD LIBOR December 2021
Sterling RFR Working Group publishes December statement December 2021
Bank of England RFR WG Newsletter November 2021
Bank of England RFR WG newsletter October 2021
FCA publishes Q&A on its new powers under the UK Benchmarks Regulation October 2021
Bank of England RFR WG newsletter September 2021
UK government introduces Critical Benchmarks (References and Administrators' Liability) Bill September 2021
Bank of England RFRWG newsletter August 2021
ICE Benchmark Administration publishes feedback statement on intention to cease publishing ICE Swap Rate settings based on GBP LIBOR August 2021
Bank of England RFR WG newsletter July 2021
FCA and Bank of England encourage switch to RFRs in LIBOR cross-currency swaps market from 21 September July 2021
FMSB publishes Standard on use of Term SONIA reference rates June 2021
'LIBOR - 6 months to go' - read speech by FCA's Edwin Schooling Latter June 2021
Operational considerations for fallbacks in uncleared linear derivatives - Bank of England RFR WG April 2021
Active transition of legacy GBP LIBOR contracts - Bank of England RFR WG April 2021
Announcements on the end of LIBOR | Bank of England
FCA announces the dates that panel bank submissions for all LIBOR settings will cease, after which representative LIBOR rates will no longer be available.		 March 2021
Best practice guide for GBP Loans - Bank of England RFR WG
A best practice guide in relation to conventions for GBP SONIA-referencing loans and transition of legacy GBP LIBOR-referencing loans.		 February 2021
GBP loan market Q&As for end-Q1 2021 milestone - Bank of England RFR WG
Addresses questions related to the end-Q1 2021 recommended milestone to cease new issuance of GBP LIBOR-linked loans by end-Q1 2021.		 February 2021
Priorities and roadmap for the final year of transition – Bank of England RFR WG February 2021
The path to ending new use of GBP LIBOR-linked derivatives – Bank of England RFR WG February 2021
The Working Group on Sterling Risk-Free Reference Rates: Newsletter November 2020 November 2020
Reforming Major Interest Rate Benchmarks: FSB progress report November 20, 2020
Statement by IBA on its intention to consult on the future of LIBOR after end-2021 November 18, 2020
FCA consults on new benchmarks powers November 18, 2020
Sterling RFR WG statement on updated priorities July 28, 2020
Libor: Entering the Endgame July 13, 2020
Supporting Risk-Free Rate transition through the provision of compounded SONIA July 6, 2020
FCA statement on planned amendments to the Benchmarks Regulation June 23, 2020
FMSB publishes a Spotlight Review on navigating conduct risks in LIBOR transition June 11, 2020
Sterling WG Paper on the identification of Tough Legacy issues May 29, 2020
Further statement from the Sterling WG on the impact of Coronavirus on the timeline for firms’ LIBOR transition plans April 29,2020
FCA Statement on the Impact of the coronavirus on firms’ LIBOR transition plans March 25, 2020
HMRC Draft guidance on the taxation impacts arising from the withdrawal of LIBOR and other benchmark rate reform March 19, 2020
FCA Statement on LIBOR contractual triggers March 11, 2020
Sterling WG: Path to discontinuation of new GBP LIBOR lending by end-Q3 2020 March 10, 2020
Sterling WG Statement on bond market conventions: Use of the SONIA Index and weighting approaches for observation periods March 10, 2020
BoE: Turbo-charging sterling LIBOR transition February 26, 2020
FCA & PRA: next steps on IBOR Transition January 16, 2020
Sterling WG: Use Cases of Benchmark Rates: Compounded in Arrears, Term Rate and Further Alternatives January 16, 2020
Joint fact sheet on priorities for the year January 16, 2020
FCA: Next steps in transition from LIBOR November 21, 2019
FCA published on Conduct risk during LIBOR transition November 19, 2019
UK Finance publishes on Looking ahead to LIBOR transition November 14, 2019
BoE publishes on Transition to sterling risk-free rates from LIBOR October 23, 2019
FCA publishes on Transition from LIBOR September 4, 2019
Sterling WG publishes on conventions for referencing SONIA in new contracts August 18, 2019
FCA on LIBOR: preparing for the end July 15, 2019
BoE Speech: Why it makes business sense to move on from LIBOR June 27, 2019
PRA & FCA: Key themes, good practice, and next steps June 5, 2019
Sterling WG: Progress on adoption of risk-free rates in sterling markets May 15, 2019
FCA speech on Ending reliance on LIBOR February 21, 2019
BoE and FCA on transition to using SONIA as the primary interest rate benchmark in sterling markets February 7, 2019

Further information can be accessed at the Bank of England facilitated Working Group on Sterling Risk-Free Reference Rates and the FCA’s webpage on Transition from LIBOR websites.

Show content of USD (US)

USD (US) Document

Publication

Fed publishes proposal to implement Adjustable Interest Rate (LIBOR) Act July 2022
FCA consultation on winding down ‘synthetic’ sterling LIBOR and U.S. dollar LIBOR June 2022
ARRC recommendations for contracts linked to USD LIBOR ICE Swap Rate June 2, 2022
ARRC meeting highlights May 18, 2022
ARRC welcomes CME Group’s SOFR First for options announcement May 2022
ARRC Welcomes Passage of Federal LIBOR Transition Legislation March 2022
ARRC 2022 objectives March 2022
ARRC Newsletter December 2021 / January 2022
ARRC releases statutory fallback recommendations for 1-week and 2-month USD LIBOR contracts December 2021
ARRC Newsletter - October/November 2021 November 2021
ICE Benchmark Administration launches U.S. Dollar SOFR ICE Swap Rate for use as a benchmark November 2021
US Regulators publish statement on managing LIBOR transition October 2021
ARRC Recommends Acting Now to Slow USD LIBOR Use October 2021
ARRC Newsletter - August/September 2021 October 2021
ARRC FAQs on best practices for SOFR term rate September 2021
ARRC welcomes launch of Refinitiv’s USD IBOR cash fallbacks prototype August 2021
ARRC Newsletter – June/July 2021 July 2021
ARRC endorses MRAC recommendations for 21 September “RFR First” move of interdealer cross-currency swap market trading conventions July 2021
ARRC recommends loan conventions and best practices for use of forward-looking SOFR Term Rate July 2021
SOFR First – recommendation to transition interdealer swap market trading conventions from LIBOR to SOFR on 26 July 2021 June 2021
ARRC identifies market indicators to support a recommendation of a forward-looking SOFR term rate May 2021
ARRC update on forward-looking term SOFR March 2021
ARRC Confirms a “Benchmark Transition Event” has occurred under ARRC Fallback Language March 2021
ARRC FAQs Regarding the Occurrence of a Benchmark Transition Event March 2021
ARRC Updates Best Practices to Encourage Adherence to ISDA Protocol August 19, 2020
ARRC releases transition aid for SOFR adoption July 8, 2020
ARRC releases Best Practice guidelines for Completing Transition from LIBOR May 27, 2020
ARRC releases Best Practice guidelines for Vendors May 7, 2020
ARRC proposals for legislative relief March 6, 2020
ARRC Chair Tom Wipf Welcomes the Publication of SOFR Averages and a SOFR Index March 2, 2020
ARRC welcomes decision to cease LIBOR mortgages February 5, 2020
ARRC publishes summary of fallback language November 15, 2019
NY Fed consultation on SOFR averages and SOFR index November 4, 2019
FHFA Instructs FHLBanks to Begin Transitioning Away from LIBOR September 27, 2019
NY Fed speech - LIBOR: The Clock Is Ticking September 23, 2019
ARRC releases Practical Implementation Checklist for SOFR Adoption September 19, 2019
ARRC provides guidelines on SOFR conventions August 1, 2019
SEC statement on LIBOR transition July 12, 2019
ARRC paper on Options for Using SOFR in Adjustable Rate Mortgages July 11, 2019
ARRC releases fallback language for bilateral business loans and securitizations May 31, 2019
ARRC releases fallback language for FRNs and syndicated loans April 25, 2019
ARRC publishes a user’s guide to SOFR April 22, 2019
ARRC requests guidance from US Treasury and IRS on tax implications April 8, 2019
Fed speech on SOFR and the Transition from LIBOR February 26, 2019

Information from the Alternative Reference Rates Committee (ARRC)

Show content of Other currencies

Documents for other currencies

Date:
Canadian Alternative Reference Rate Working Group commends decision to cease publication of CDOR May 16, 2022
MAS Announces Key Initiatives to Support SORA Adoption August 5, 2020
HKMA letter on reform of benchmarks July 10, 2020
EMEAP publishes study on the Implications of Financial Benchmark Reforms September 24, 2019
Singapore banks publish Roadmap for Transition of Interest Rate Benchmark August 30, 2019
Bank of Canada to become the administrator of key interest rate benchmark July 16, 2019
ASIC writes to Australian CEOs May 9, 2019
HKMA writes to CEOs in Hong Kong March 5, 2019

Show content of Global announcements

Document

Date published:

Six key LIBOR transition updates you should know - update from CME Group September 2022
ISDA guidance on Bloomberg-published fallback rates September 2022
FCA encourages market participants to continue transition of LIBOR-linked bonds

August 2022
Financial Stability Board welcomes smooth transition from LIBOR

April 2022
FCA summary of changes to LIBOR as of end 2021

January 2022
Financial Stability Board issues statement to support preparations for LIBOR transition

November 2021
FCA confirms rules for legacy use of synthetic LIBOR rates and no new use of US dollar LIBOR November 2021
FCA publications on LIBOR wind-down (including synthetic LIBOR methodology and permitted use) September 2021
Board of the International Organisation of Securities Commissions publishes statement on credit sensitive rates September 2021
"Market participants strongly encouraged to cease using LIBOR in new contracts" by European authorities June 2021
Global Transition Roadmap for LIBOR (Financial Stability Board)
Update to the Global Transition Roadmap in light of announcements made confirming LIBOR cessation dates and associated proposals by authorities and national working groups.		 June 2021
Overnight risk-free rates and term rates (Financial Stability Board)
Report considers the use of forward-looking risk-free rate term rates as alternatives to overnight risk-free rates.		 June 2021
Use of ISDA Spread Adjustments in Cash Products (Financial Stability Board) June 2021
Bloomberg Spread Adjustments March 2021
ISDA Board Statement on Adherence to the IBOR Fallback Protocol 29 July 2020
BISL publishes ISDA fallback rates 21 July 2020
FSB and Basel Committee report on LIBOR transition 09 July 2020
Basel Committee publishes FAQs on IBOR reform 5 June 2020
ISDA Publishes Report Summarizing Final Results of Consultation on Pre-cessation Fallbacks for LIBOR 14 May 2020
ISDA publishes IBOR reform webpage 12 May 2020
Bloomberg publishes ISDA IBOR fallback methodology and test data 22 April 2020
FSB Chair’s letter to G20 Finance Ministers and Central Bank Governors 14 April 2020
ISDA Consultation on How to Implement Pre-Cessation Fallbacks in Derivatives 25 February 2020
FSB report on need to reduce risks to financial stability 18 December 2019
FSB letter to ISDA on pre-cessation triggers 15 November 2019
ISDA Publishes Results of Consultation on Final Parameters for Benchmark Fallback Adjustments 15 November 2019