Transitioning from Interbank Offered Rates (IBORs) to new Risk Free Rates (RFRs)* - GFMA
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Transitioning from Interbank Offered Rates
(IBORs) to new Risk Free Rates (RFRs)*
September 2019
In recent years, international and domestic authorities alike have actively These documents have been updated from their previous versions (April
worked with the private sector to address LIBOR’s shortcomings and to 2019) to include rates for the Australian dollar, Canadian dollar, Hong
find alternative rates. In 2013, the International Organization of Securities Kong dollar and Singapore dollar in addition to the currencies included in
Commissions (IOSCO) developed an international set of principles the initial documents (Japanese yen, Euro, UK pound sterling, U.S. dollar
for financial benchmarks. These principles—which include 19 specific and Swiss franc).
standards across governance, benchmark quality, methodology, and
The information contained herein is based on the work of the FSB
accountability—have emerged as the international standard. IOSCO has
through the OSSG as well as other publicly available information. For
rightly focused on tying benchmarks more closely to observable, arms-
ongoing IBOR transition updates, please reference the individual central
length transactions.
bank working groups:
The Financial Stability Board (FSB) and its members have published
• Japanese yen: Study Group on Risk-Free Reference Rates and the
proposals, plans, and timelines for reference rate reform and have
Bank of Japan Cross-Industry Committee on Japanese Yen Interest
promoted the strengthening of the major interest rate benchmarks. The
Rate Benchmarks
FSB and its members have been carrying out work on the development
and introduction of alternative benchmarks, developing a plan to • Euro: Working Group on Euro Risk-Free Rates
accomplish a transition to new benchmarks, encouraging work by the
private sector on contract robustness, and reporting regularly on the • UK pound sterling: Working Group on Sterling Risk-Free Rates
progress made.
• U.S. dollar: Alternative Reference Rates Committee
To aid in the awareness of the IBOR transition processes impacting
• Swiss franc: National Working Group on Swiss Franc Reference Rates
globally-active financial institutions, the Global Financial Markets
Association (GFMA) has created the following documents outlining the ustralian dollar: Reserve Bank of Australia Market Operations Resources
• A
various parts and players. This information is organized into the enclosed
three products: • Canadian dollar: Canadian Alternative Reference Rate Working Group
1. K
ey Timelines and Milestones for the transition from IBORs to RFRs;
2. S
napshot of the IBOR and RFR variables associated with each
currency;
3. ‘At a Glance’ Tracker of each official sector working group activities
and near-term expected actions.
*Current as of September 2019
1IBORs to RFRs Transition Timeline
This timeline lists key dates and milestones associated with the transition from IBORs to risk free rates for the
Japanese yen, Euro, UK pound sterling, U.S. dollar, Swiss franc, Australian dollar, Canadian dollar, Hong Kong
dollar and Singapore dollar.
ECB publishes
summary of responses
for the third public BoJ publishes public
Legend
Bank of Canada
Recommends consultation by the consultation on the to become JAPAN
TONAR be working group on appropriate choice and administrator
EMMI announces end Euro risk-free rates on usage of Japanese Yen
calculated by of CORRA E
U
to efforts on EONIA the EONIA to ESTR Interest rate benchmarks
BOJ
reform. Selects €STR as legal action plan
replacement for EONIA EMMI receives license for
UK
CARR plans
Some EMMI concludes the administration of Euribor to implement Australia
Cash Rate EURIBOR recalibration from the Belgian FSMA enhanced
WG publishes of EONIA methodology
methodology tenors cease US
responses to Term WG Euro RFR for CORRA
introduced to exist methodology as
Sonia Reference Rates Publishes ECB
€STR + 8.5bp as Switzerland
(TSRR) consultation Recommendations publishes
of October 2019
on the Legal Action €STR
WG publishes “Next Plan for Transition Conversion Canada
Steps” paper on from EONIA to €STR mechanisms
consulted HK
development of
Expects discussion on and
TSRR and issuance Releases roadmap SG
paper on legacy developed
of first SONIA-linked by Working Group cash products for GBP
securitisation [retained and findings of the O
ther regulatory
referencing GBP LIBOR to
on balance sheet] “Dear CEO” letters milestones
LIBOR SONIA
May Dec Sept Sept Nov Dec May June July Q4 Oct Q1 Q2
2016 2016 2016 2017 2017 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2020 2020 2020 2021 2022
Oct Dec Apr July Oct Mar Q2 April Aug Early July Oct Q1 Q4 End of Start of
2017 2017 2018 2018 2018 2019 2019 2019 2019 2020 2020 2020 2021 2021 2021 2022
Fed Final recommendations CME plans Expect
publishes for fallback contract discounting term
SOFR language for FRNs, switch from daily publication
bilateral business effective federal of SOFR Transitional
loans, syndicated loans funds rate provisions of
ABS-SFEMC
and securitizations (EFFR) to SOFR the Benchmark
issues MAS establishes
consultation steerco to Regulation
LCH plans expire. BMR
on enhancing Recommends ARRC releases a facilitate SOR discounting comes into force
Recommends SIBOR compounded user guide for SOFR transition to SORA switch to SOFR
SARON SARON as term encouraging transition EONIA new
reference rate ABS-SFEMC issues
WGARR releases FCA no business after
ABS-SFEMC develops consultation on Enhanced
consultation on longer this date must
proposal to strengthen SORA transition SIBOR to be
refinements for compels reference €STR
SIBOR based on from SOR implemented
HONIA as ARR panel
consultation responses Basel III
banks to
BIS releases a FSB publishes Expected Data collection begins on submit and FRTB
primer on the new user guide for finalized ISDA model-ability criteria for LIBOR implementation
benchmark rates overnight RFRs fallback language FRTB implementation quotes goes live
2Snapshot: Variables of each IBOR and RFR by Jurisdiction
The following lists out the key factors to be aware of in each IBOR and risk-free reference rate.
Reformed
IBOR include Alternative Alternative RFR Transaction Overnight Secured/ Underlying Rates
Jurisdiction Benchmark IR Administrator
waterfall RFR Administrator based? rate? Unsecured Transactions Published
approach?
JBA TIBOR
JBA TIBOR
EUROYEN Yes Yes
Administration
TIBOR
Money
TONA Bank of Japan Yes Unsecured July 1985
Markets
Japan ICE Benchmark
JPY LIBOR Administration Yes Yes
(IBA)
Euro short-
term rate Yes October
EONIA/ European Money (€STR) European
Yes Money 2019
EURIBOR Markets Institute Yes Central Bank Unsecured
(€STR) Markets (€STR)
(EMMI) (ECB)
EU Reformed
Partly
EURIBOR
Reformed
sterling
ICE Benchmark
overnight Bank of Money 23 April
GBP LIBOR Administration Yes Yes Yes Unsecured
index England Markets 2018
(IBA)
UK average
(SONIA)
Secured Federal
ICE Benchmark
overnight Reserve Bank Repo
USD LIBOR Administration Yes Yes Yes Secured 3 April 2018
financing of New York Transactions
(IBA)
US rate (SOFR) (FRBNY)
Swiss
ICE Benchmark
average rate SIX Swiss Repo 25 August
CHF LIBOR Administration Yes Yes Yes Secured
overnight Exchange Transactions 2009
(IBA)
(SARON)
Switzerland
3Snapshot: Variables of each IBOR and RFR by Jurisdiction
The following lists out the key factors to be aware of in each IBOR and risk-free reference rate.
Reformed
IBOR include Alternative Alternative RFR Transaction Overnight Secured/ Underlying Rates
Jurisdiction Benchmark IR Administrator
waterfall RFR Administrator based? rate? Unsecured Transactions Published
approach?
Australian RBA Cash Reserve Bank Current
Bank Bill Swap Cash Market Methodology
Securities Yes Rate of Australia Yes Yes Unsecured
Rate (BBSW) Transactions Introduced
Exchange (ASX) (AONIA) (RBA) May 2016
Australia
Thomson Refinitiv Enhanced
Reuters – transferring CORRA
Repo
CDOR Refinitiv No CORRA to Bank of Yes Yes Secured to be
Transactions
Benchmark Canada in Published
Canada Services 2020 Q2 2020
Overnight
Hong Kong Interbank
Hong Kong Enhanced
Treasury Deals
Treasury Markets HONIA
HIBOR No HONIA Markets Yes Yes Unsecured Routed
Association yet to be
Association Through
(TMA) published
Hong Kong (TMA) Money
Brokers
The Association
None
SIBOR of Banks in Yes
Selected
Singapore (ABS)
Unsecured
overnight
Monetary Published
The Association SORA interbank
Singapore Authority of daily by
SOR of Banks in pending Yes Yes Unsecured SGD
Singapore MAS since
Singapore (ABS) consultation transactions
(MAS) July 2005
brokered in
Singapore
4At a Glance: Official Sector Working Group
Activities and Near-Term Expectations
This tracker follows the official sector working group activities, near-term expected actions, industry
actions around cash fallback language, term rate statuses, and issuance of alternate RFRs to date.
Working Working Group Alternative/New Cash Fallback Term Rate Near Term Expected
Issuance to Date
Group Structure RFR Status Language Status Status Actions
The Cross-Industry December 2016: Future work plan for The Committee released
Committee on Yen Interest Recommended Tokyo term reference rate a Public Consultation
Rate Benchmarks is divided Overnight Average Rate based on Swaps and on the Appropriate
into three subgroups and (TONA) calculated by the Futures is discussed in Choice and Usage of
one working group Bank of Japan. the subgroup for the Japanese Yen Interest
Bank of Japan Study focusing on: development of term Rate Benchmarks on 2
Group on Risk-Free reference rates. The July 2019
Reference Rates 1. Loans
subgroup considers
Cross-Industry 2. Bonds possible timing of the
Committee on implementation is
3. Development of term
Japanese Yen Interest around mid-2021.
reference rates
Rate Benchmarks
4. Currency Swaps
The Euro Working Group September 2018: Euro WG “Guiding On 25 Feb, the WG There is no issuance in
(WG) currently has five Recommended €STR to principles for fallback published a summary €STR yet.
sub-groups, focusing on: replace EONIA. provisions in new of responses to
contracts for euro- the second public
1. Term rate methodology ECB will begin publishing
denominated cash consultation on
Working Group on for euro short-term rate €STR by October 2, 2019.
products” published determining an €STR-
Euro Risk-Free Rates 2. Best practices for February 2019: in 2019 to promote based term structure
contract robustness and Euro WG confirms effective fallback methodology as
legacy contracts EURIBOR will continue for provisions in new a fallback in euro
the medium term. contracts for euro- interbank offered rate
3. Identification and
denominated cash (EURIBOR) linked
adoption of RFRs for cash
products. contracts.
products and derivatives
In 2019, the WG The ECB has
4. Risk management and
intends to recommend announced a call
accounting issues
more detailed fallback to benchmark
5. Communication and language. Much of this administrators for
education with market is outlined in the WG expressions of interest
participants Legal Action Plan. in administering
an €STR-based
forward-looking term
structure.
The WG may seek
further input from
market participants
through additional
consultations.
5At a Glance: Official Sector Working Group Activities and Near-Term Expectations (continued)
Working Working Group Alternative/New Cash Fallback Term Rate Near Term Expected
Issuance to Date
Group Structure RFR Status Language Status Status Actions
The WG is broken down into April 2017: GBP fallback language The RFRWG A 2019 focus will be To date there have been 68
sub-groups focusing on: Recommended reformed expected to be have confirmed on development of issues of sterling floating
Sterling Overnight Index agreed in 2019. FTSE Russell, operational capability rate notes which reference
1. Bonds
Average (SONIA). ICE Benchmark for SONIA-referencing SONIA with total volume of
Bank of England 2. Loans Administration, floating rate notes £33.6 bn, this is in addition
Working Group on Refinitiv and HIS (FRNs), loans and other to 18 sterling securitisation
3. Communications
Sterling Risk-Free Markit are working instruments. A term deals referencing SONIA
& Outreach
Rates (RFRWG) on development benchmark rate will be with total volume of £16.7bn.
4. Pension Funds & of a Term SONIA produced and made There has also been 1
Insurance Companies Reference Rate. available to use. corporate loan to National
Express which references
5. Infrastructure The RFRWG maintains
SONIA.
“Working Group Timeline
6. Term Rates (Task Force)
and Milestones.”
7. Accounting/Tax (Task
Force)
8. R
egulatory Dependencies
(Task Force)
The WG is broken down into June 2017: Recommended ARRC agreed on ARRC’s Paced ARRC to publish CME Group launched
sub-groups focusing on: Secured Overnight principles for fallback Transition Plan sets recommended fallback 3-month and 1-month SOFR
Financing Rate (SOFR) language, published end of 2019 goal to language for adjustable futures trading on 7 May
1. Accounting/Tax
as the RFR to replace U.S. late Sept 2018. produce a forward- rate mortgages after 2018. LCH began clearing
Alternative Reference 2. Business Loans dollar LIBOR. looking term rate for the completion of their SOFR swaps in July 2018.
In Q2 2019, the
Rates Committee use in certain cash consultation.
3. Consumer Products April 2018: New York ARRC released SOFR-based bond
(ARRC) products.
Federal Reserve recommended The ARRC will continue issuances in recent months
4. Floating Rate Notes
Bank (NYFRB) began fallback contract The FRB published to pursue regulatory include Fannie Mae, Credit
5. Legal publication of SOFR. language for bilateral various sets of data and other obstacles to Suisse, Wells Fargo, Met
business loans, on indicative forward- a transition away from Life, the Federal Home Loan
6. Market Structure and
floating rate notes, looking SOFR term SOFR. It is also exploring Bank system and the World
Paced Transition
securitizations and rate data (last update educational and outreach Bank. There have been 289
7. Operations/Infrastructure syndicated loans. April 2019) objectives and plans. issues of U.S. dollar notes
8. Outreach/ referencing SOFR with total
In July 2019, ARRC
Communications volume of $292bn
opened a consultation
9. Regulatory Issues for fallback contract
language for
10. Securitizations adjustable rate
11. Term Rates mortgages.
The WG is broken down into October 2017: WG has On 29/10/2018 Eurex
sub-groups focusing on: Recommended Swiss recommended using launched 3M SARON
Overnight Average Rate compounded SARON Futures
1. Derivatives & Capital
(SARON). wherever possible
Markets
National Working 2. Loan and Deposit Markets
Group on Swiss Franc
Reference Rates
6At a Glance: Official Sector Working Group Activities and Near-Term Expectations (continued)
Working Working Group Alternative/New Cash Fallback Term Rate Near Term Expected
Issuance to Date
Group Structure RFR Status Language Status Status Actions
RBA recognizes three BBSW has been BBSW has been RBA and relevant The current calculation
working groups related to strengthened and will strengthened and regulators will continue methodology for AONIA was
interest rate benchmark continue to be published will continue to be to monitor both BBSW introduced in May 2016.
reform. going forward. published. and AONIA.
South Australian
Reserve Bank of
1. ASX BBSW Advisory AONIA is being published RBA evaluated that Government Financing
Australia Interest
Committee focuses on as an RFR in as part of a there are enough Authority (SAFA) launched
Rate Benchmark
BBSW Benchmark “multiple rates” approach. transactions to an AONIA linked AUD
Reform Page
determine BBSW and floating rate note. The
2. Australian Financial
that it will continue issue amount was A$500
Markets Association
to exist as part of a million and it was launched
(AFMA) focuses on
multi-rates approach. with UBS as the Arranger
promoting industry
and Sole Lead Manager,
dialogue and information
and IHS Markit as the
sharing
calculation agent.
3. Australian Securitisation
Forum (ASF) established
a working group to
consider benchmark
reform on the Australian
Securitisation Market
The Canadian Alternative CARR endorses an CARR developed CDOR will continue Fallback language will CORRA exists in the market,
Reference Rate Working enhanced CORRA based Principles for to exist as a part be finalized after ISDA but enhanced CORRA is still
Group (CARR) is sponsored on the recommendations Enhancements to of a multiple rates finishes its consultation under development and has
by the Canadian Fixed- outlined in their Fallback Language. approach. on fallback language for not yet been published.
Income Forum (CFIF) consultation paper with CDOR and other rates.
Canadian Alternative which is a group set up by no changes based on
Reference Rate CARR and CFIF will
the Bank of Canada. Both responses.
Working Group monitor and review issues
groups are comprised
CFIF endorses for transition from CORRA
of market participants
monitoring and reviewing to an enhanced CORRA.
and Bank of Canada
issues for transition by
representatives. Bank of Canada to
the transition subgroup
become CORRA
and by the benchmark
administrator in 2020.
admin.
7At a Glance: Official Sector Working Group Activities and Near-Term Expectations (continued)
Working Working Group Alternative/New Cash Fallback Term Rate Near Term Expected
Issuance to Date
Group Structure RFR Status Language Status Status Actions
As HONIA’s administrator, The WGARR has HIBOR will continue Technical adjustments HONIA exists in the market,
the TMA established an proposed technical to exist as a part may be made to HONIA but the updated HONIA has
internal Working Group on refinements to HONIA of a multiple rates based upon industry not yet been developed.
Alternative Reference Rates outlined in an April 2019 approach. feedback to the
(WGARR). consultation paper. consultation paper.
TMA may also try to
Hong Kong Treasury
Refinements relate to develop an OIS curve There are no plans to
Markets Association
the rate’s data source, for HONIA depending discontinue HIBOR and a
Working Group on
reporting window and on market conditions multi rate approach will
Alternative Reference
publication time. and demand. be adopted using both
Rates “WGARR”
HONIA and HIBOR.
The TMA and WGARR
plan to issue a paper Fallback language will
based on feedback be developed after ISDA
received by industry finishes its consultation
stakeholders. on fallback language for
HIBOR and other rates.
MAS has established a The ABS Benchmarks Co SIBOR will continue to Enhanced SIBOR will SORA is currently under
Steering Committee for Pte td and the Singapore be published. go through testing and consultation to replace SOR.
SOR Transition to SORA Foreign Exchange Market transition late 2019 – early SORA has been published
An enhanced SIBOR
(SC-STS). Committee (ABS-SFEMC) 2020. since July 2005.
will be implemented in
have worked together to
late 2019 – early 2020. ISDA released a
Steering Committee develop a proposal to
consultation for fallback
for SOR Transition to strengthen SIBOR. ABS-
language suggesting that
SORA (SC-STS) SFEMC also released
SOR reference SOFR as
a consultation on the
a fallback rate. Fallback
proposed transition from
language may be adopted
SOR to SORA.
for SOR to reference
SOFR in place of USD
LIBOR for derivative
contracts.
ABS-SFEMC released
a consultation on the
roadmap for transition
from SOR to SORA in
August 2019.
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