Transitioning from Interbank Offered Rates (IBORs) to new Risk Free Rates (RFRs)
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Transitioning from Interbank Offered Rates
(IBORs) to new Risk Free Rates (RFRs)*
June 2020
In recent years, international and domestic authorities alike have actively These documents have been updated from their previous versions
worked with the private sector to address LIBOR’s shortcomings and to (September 2019) to provide the latest information regarding rates for
find alternative rates. In 2013, the International Organization of Securities major currencies including the Australian dollar, Canadian dollar, Euro,
Commissions (IOSCO) developed an international set of principles Hong Kong dollar, Japanese yen, Singapore dollar, Swiss franc, UK pound
for financial benchmarks. These principles—which include 19 specific sterling and U.S. dollar. This version also includes a new document
standards across governance, benchmark quality, methodology, and highlighting 2020 objectives and milestones published by the UK and US
accountability—have emerged as the international standard. IOSCO has working groups.
rightly focused on tying benchmarks more closely to observable, arms-
The information contained herein is based on the work of the FSB
length transactions.
through the OSSG as well as other publicly available information. For
The Financial Stability Board (FSB) and its members have published ongoing IBOR transition updates, please reference the individual central
proposals, plans, and timelines for reference rate reform and have bank working groups:
promoted the strengthening of the major interest rate benchmarks. The
• Japanese yen: Study Group on Risk-Free Reference Rates and the
FSB and its members have been carrying out work on the development
Bank of Japan Cross-Industry Committee on Japanese Yen Interest
and introduction of alternative benchmarks, developing a plan to
Rate Benchmarks
accomplish a transition to new benchmarks, encouraging work by the
private sector on contract robustness, and reporting regularly on the • Euro: Working Group on Euro Risk-Free Rates
progress made.
• UK pound sterling: Working Group on Sterling Risk-Free Rates
To aid in the awareness of the IBOR transition processes impacting
globally-active financial institutions, the Global Financial Markets • U.S. dollar: Alternative Reference Rates Committee
Association (GFMA) has created the following documents outlining the
• Swiss franc: National Working Group on Swiss Franc Reference Rates
various parts and players. This information is organized into the enclosed
four products: ustralian dollar: Reserve Bank of Australia Market Operations Resources
• A
1. K
ey Timelines and Milestones for the transition from IBORs to RFRs; • Canadian dollar: Canadian Alternative Reference Rate Working Group
2. 2020 Objectives and Milestones; • Singapore dollar: Steering Committee for SOR Transition to SORA
3. S
napshot of the IBOR and RFR variables associated with each
currency;
4. ‘At a Glance’ Tracker of each official sector working group activities
and near-term expected actions.
*Current as of June 2020
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 BoJ publishes public FCA, BoE, and UK RFR WG publish
summary of responses consultation on the statement on impact of COVID-19:
for the third public appropriate choice and central assumption that firms cannot
Legend
consultation by the usage of Japanese Yen rely on LIBOR being published after JAPAN
Recommends working group on Interest rate benchmarks end-2021 is unchanged.
EMMI announces end Euro risk-free rates on
TONAR be E
U
to efforts on EONIA the EONIA to ESTR EMMI receives license for the
calculated by BOJ
reform. Selects €STR as legal action plan administration of Euribor from
replacement for EONIA the Belgian FSMA UK
Bank of Canada
Some EMMI concludes to begin
recalibration WG Euro RFR Publishes Australia
Cash Rate EURIBOR calculating
WG publishes of EONIA Recommendations on the and publishing
methodology tenors cease Legal Action Plan for Transition US
responses to Term methodology as enhanced CORRA
introduced to exist from EONIA to €STR
Sonia Reference Rates €STR + 8.5bp as
(TSRR) consultation Switzerland
of October 2019
ECB publishes €STR
WG publishes “Next WG releases
Canada
WG publishes high
Steps” paper on transition level recommendations HK
development of roadmap and for fallback provisions
TSRR and issuance PRA/FCA in contracts for SG
Provisional
of first SONIA-linked issues findings cash products and live term
securitisation [retained of their “Dear derivatives transactions O
ther regulatory
SONIA to be
on balance sheet] CEO” letters. referencing EURIBOR. milestones
published
May Dec Sept Sept Nov Dec May June July Oct Nov March June Q3
2016 2016 2016 2017 2017 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2020 2020 2020 2020 2021 2022
Oct Dec Apr July Oct Mar Q2 April July Aug Dec Q2 July Oct Nov Q1 Q2 End of Start of
2017 2017 2018 2018 2018 2019 2019 2019 2019 2019 2019 2020 2020 2020 2020 2021 2021 2021 2022
Fed MAS establishes CME and Expect
Final recommendations
publishes steerco to facilitate LCH plan term
for fallback contract
SOFR SOR transition to SORA discounting publication
language for FRNs,
bilateral business ABS-SFEMC issues switch to of SOFR Transitional
loans, syndicated loans consultation on SORA SOFR provisions of
ABS-SFEMC
issues and securitizations transition from SOR the Benchmark
consultation Regulation
Recommends Recommends NWG presents a discussion expire. BMR
on enhancing ARRC releases a
SARON compounded paper on SARON floating comes into force
SIBOR user guide for SOFR Data collection
SARON as term rate notes addressing
encouraging transition Expected publication begins on
reference rate operational matters related
to the timely determination of amendments model-ability EONIA new
ABS-SFEMC develops of interest rate payments. to 2006 ISDA criteria for business after
proposal to strengthen WGARR releases Definitions and FRTB this date must
SIBOR based on consultation on WGARR publishes results of related protocol implementation reference €STR
consultation responses refinements for consultation on refinements
HONIA as ARR for HONIA as ARR. Expected date of FCA no longer
effectiveness for compels panel
BIS releases a FSB publishes Publication of amendment to 2006 banks to
primer on the new user guide for Bloomberg indicative ISDA Definitions and submit LIBOR
benchmark rates overnight RFRs fallback rates. related protocol quotes
22020 Objectives and Milestones
This timeline highlights the key objectives and milestones published by the risk free rates working groups
from the United Kingdom and United States. Achieving these milestones and completing the transition in
2021 will required coordinated efforts from all financial market participants, including sell- and buy-side
firms, infrastructure vendors1, lenders, borrowers, investors and Financial Market Infrastructure firms (FMIs). Legend
The information captured below is aimed to help clarify the near-term milestones that all financial market
participants should be managing towards. UK
Cease issuance of GBP LIBOR-based cash US
products maturing beyond 2021 (Postponed
to end of Q1 2021 due to COVID-19) G
eneral Updates
Statement of 2020 RFR WG priorities and
supporting documents including: factsheet Lenders should be able to offer C
CPs
for end users, consent solicitation non-LIBOR linked products.
statement, term rate use case paper.
Lenders, working with
Target for key infrastructure available borrowers, should include clear
Swaption conventions from Treasury Management Systems and contractual arrangements for all
survey feedback published. Summary feedback published for loans vendors to use compounded SONIA new and re-financed LIBOR loan
cash credit spread adjustment. products to facilitate conversion
Encouraged convention change from Target that end-users of loan prior to the end of 2021.
LIBOR to SONIA on 2 March 2020. Cash legacy transition paper to systems are ready to support SONIA
be published. syndicated loans and that critical Develop a clear framework for
Loans Enablers Task Force publishes path to internal dependencies are addressed managing transition of legacy
discontinuation of new GBP LIBOR lending Publication of a Paper on LIBOR products, to significantly
by end of Q3 2020 (deadline postponed to the identification of Tough Provisional live Term reduce the stock of GBP LIBOR
end Q1 2021 due to COVID-19). Legacy Issues Rate to be published. referencing contracts by Q1 2021.
Q1 Q2 May Q3 End Q3 Q4 End
2020 2020 2020 2020 2020 2020 2020 2020 2021
March 11, June End June July July 31, End Sept Oct Nov End
2020 2020 2020 2020 2020 2020 2020 2020 2020
WHO declares GSEs to offer SOFR-indexed CMOs2 Establish final Develop RFP process and CME and Expected that
COVID-19 a recommended criteria for recommendations for LCH plan amendments to
pandemic. Publish revisions to the ARRC hardwired conventions for selecting an administrator of an discounting the 2006 ISDA
fallback language, recommended SOFR-based AARC-recommended forward- switch to Definitions and
conventions, and supporting materials FRNs, business looking term SOFR Rate. SOFR related protocol
for business loans. loans, and go into effect
securitizations. Establish RFP process for selection of an
administrator to publish ARRC-recommended Best Practices – Vendors
Publish recommended fallback language
Expected spread adjustments and spread-adjusted should be ready to
for new student loans referencing LIBOR
publication of rates and to finalize technical details for support SOFR for
and conventions for new student loans
amendments to related recommended spread adjustments. securitizations; No new
referencing SOFR.
the 2006 ISDA LIBOR FRNs maturing
Definitions and Establish resource guides identifying after 2021; Dealers should
Best Practices – Recommended fallback recommended actions to support efforts amend interdealer CSAs
language should be included for newly related protocol
by market participant to develop clear and to use and make markets
issued FRNs, residential ARMs and effective programs for consumer education and in SOFR-linked interest
securitizations outreach, as well as for developing materials and rate volatility products
information sources to aid for these programs.
Best Practices – Recommended fallback language should be included for new
business and student loans; No new applications of LIBOR ARMs; Vendors
should be ready to support business loans and consumer mortgages; Dealers
should offer electronic market making in SOFR derivatives
1
ARRC has published recommended best practices for vendors on completing the transition from LIBOR.
GSEs to cease issuing new LIBOR-indexed CMOs2
Fannie Mae and Freddie Mac, the Government Sponsored Entities (GSEs), jointly published a LIBOR Transition Playbook on
2
their respective LIBOR websites. These websites also include additional key resources focusing on various GSE products. 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?
JBA TIBOR
JBA TIBOR
EUROYEN Yes Yes
Administration
TIBOR
TONA / Money
Bank of Japan Yes Unsecured July 1985
TIBOR 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
4Snapshot: 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
Enhanced Enhanced
The Association
SIBOR to be SIBOR
SIBOR of Banks in Yes
published in expected
Singapore (ABS)
place of RFR in 2020
Unsecured
overnight
Monetary Published
Singapore The Association interbank
Authority of daily by
SOR of Banks in SORA Yes Yes Unsecured SGD
Singapore MAS since
Singapore (ABS) transactions
(MAS) July 2005
brokered in
Singapore
5At 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 term reference
Committee on Yen Interest Recommended Tokyo term reference rate rate is expected to be
Rate Benchmarks is divided Overnight Average Rate based on Swaps and developed throughout
into three subgroups and (TONA) calculated by the Futures is discussed 2020 with plans for
one working group Bank of Japan. in the subgroup for implementation in
Bank of Japan Study focusing on: the development of mid-2021.
Group on Risk-Free term reference rates.
Reference Rates 1. Loans
In February 2020,
Cross-Industry 2. Bonds Quick Corp was
Committee on selected to prepare
3. Development of term
Japanese Yen Interest for calculating and
reference rates
Rate Benchmarks publishing prototype
4. Currency Swaps term rates. The
subgroup considers
possible timing of the
implementation is
around mid-2021.
The Euro Working Group September 2018: Euro WG “Guiding On 25 February 2019, In March 2020, the There have been 6 issues
(WG) currently has four Recommended €STR to principles for fallback the WG published a WG launched a public of euro floating rate notes
sub-groups, focusing on: replace EONIA. provisions in new summary of responses consultation on which reference €STR with
contracts for euro- to the second public swaptions impacted by total volume of €3.85BN.
1. Contract robustness February 2019:
denominated cash consultation on the CCP discounting
Working Group on Euro WG confirms
2. Cash products and products” published determining an €STR- transition from EONIA
Euro Risk-Free Rates EURIBOR will continue for
derivatives in 2019 to promote based term structure to €STR. Based
the medium term.
effective fallback methodology as on the responses
3. Financial accounting and
provisions in new a fallback in euro received, the WG will
risk management
contracts for euro- interbank offered rate evaluate potential
4. Communication and denominated cash (EURIBOR) linked recommendations.
education products. contracts.
Transition from EONIA to
In 2020, two public The ECB has €STR discounting regime
consultations are announced a call now due late July 2020.
expected on €STR- to benchmark
based fallbacks for administrators for
EURIBOR. expressions of interest
in administering
an €STR-based
forward-looking term
structure.
The WG may seek
further input from
market participants
through additional
consultations.
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
The WG is broken down into April 2017: In March 2020, The RFRWG In January 2020, the WG There have been 130 issues
sub-groups focusing on: Recommended reformed the WG published have confirmed published its priorities of sterling floating rate
Sterling Overnight Index the results of a FTSE Russell, and milestones for 2020. notes which reference
1. Bonds
Average (SONIA). consultation on credit ICE Benchmark SONIA with total volume of
In March and April
Bank of England 2. Loans adjustment spread Administration, £60.2BN, this is in addition
2020, the WG issued
Working Group on methodologies for Refinitiv and HIS to 44 securitisation deals
3. Communications statements regarding
Sterling Risk-Free fallbacks in cash Markit are working referencing SONIA with total
& Outreach the impact of COVID-19
Rates (RFRWG) products. on development volume £26.6BN.
on the timeline for firms’
4. Pension Funds & of a Term SONIA
The WG also transition plans including There is now numerous
Insurance Companies Reference Rate.
established a Tough impacts to the 2020 originations of SONIA-
5. Infrastructure Legacy Task Force to In January 2020, the objectives. referenced loans in the
provide market input WG published “Use sterling market, after the
6. Term Rates (Task Force)
regarding products Cases of Benchmark market opened in July 2019.
7. Accounting/Tax (Task that may prove unable Rates: Compounded
Force) to be converted or in Arrears, Term
8. R
egulatory Dependencies amended to include Rate and Further
(Task Force) robust fallbacks. Alternatives.”
The WG is broken down into June 2017: Recommended ARRC agreed on ARRC’s Paced In April 2020, the There have been 735
sub-groups focusing on: Secured Overnight principles for fallback Transition Plan WG published its key issuances for a combined
Financing Rate (SOFR) language, published sets Q2 2021 goal objectives and milestones total amount of USD
1. Accounting/Tax
as the RFR to replace U.S. late Sept 2018. to create “a term for 2020. 736.72BN.
Alternative Reference 2. Business Loans dollar LIBOR. reference rate based
To date, the ARRC
Rates Committee on SOFR derivatives
3. Consumer Products April 2018: New York has released
(ARRC) markets once liquidity
Federal Reserve recommended
4. Floating Rate Notes has developed
Bank (NYFRB) began fallback contract
sufficiently to
5. Legal publication of SOFR. language for ARMs,
produce a robust rate.
bilateral business
6. Market Structure and
loans, FRNs, The FRB published
Paced Transition
securitizations and various sets of data
7. Operations/Infrastructure syndicated loans. on indicative forward-
8. Outreach/ In March 2020, a looking SOFR term
Communications consultation was also rate data (last update
released relating to April 2019)
9. Regulatory Issues variable rate private
10. Securitizations student loans.
11. Term Rates In March 2020, the
ARRC published
responses to a
consultation on
“Spread Adjustment
Methodologies for
Fallbacks in Cash
Products Referencing
USD LIBOR.”
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
The WG is broken down into October 2017: May 2020: WG has Publication of a cross The first SARON-linked
sub-groups focusing on: Recommended Swiss The NWG discussed recommended using currency basis swap public issuance was in
Overnight Average Rate LIBOR end-scenarios compounded SARON (CCBS) term sheet August 2019 with Credit
1. Derivatives & Capital
(SARON). and fallback wherever possible and updated cap Agricole issuing CHF 525
Markets
language. The NWG (floor) term sheet were mm in perpetual tier 1 notes.
National Working 2. Loan and Deposit Markets recommended “to use identified as next steps
Group on Swiss Franc In April / May 2020, multiple
the lookback method following the May 2020
Reference Rates Swiss retail banks began
for CHF syndicated NWG meeting.
offering SARON-linked
loans with an offset of
residential mortgage loans.
5 business days.”
RBA recognizes three BBSW has been BBSW has been RBA and relevant There have been three
working groups related to strengthened and will strengthened and regulators will continue issuances for a combined
interest rate benchmark continue to be published will continue to be to monitor both BBSW total amount of AUD 1.41BN.
reform. going forward. published. and AONIA.
Reserve Bank of
1. ASX BBSW Advisory AONIA is being published RBA evaluated that
Australia Interest
Committee focuses on as an RFR as part of a there are enough
Rate Benchmark
BBSW Benchmark “multiple rates” approach. transactions to
Reform Page
determine BBSW and
2. Australian Financial
that it will continue
Markets Association
to exist as part of a
(AFMA) focuses on
multi-rates approach.
promoting industry
dialogue and information
sharing
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
Reference Rate Working enhanced CORRA based Principles for to exist as a part be finalized after ISDA
Group (CARR) is sponsored on the recommendations Enhancements to of a multiple rates finishes its consultation
by the Canadian Fixed- outlined in their Fallback Language. approach. on fallback language for
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.
the transition subgroup
and by the benchmark
admin.
8At 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
the TMA established an proposed technical to exist as a part may be made to HONIA
internal Working Group on refinements to HONIA of a multiple rates based upon industry
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.
In December 2019, TMA
and WGARR published Fallback language will
the conclusion of the be developed after ISDA
April 2019 consultation finishes its consultation
paper. on fallback language for
HIBOR and other rates.
SC-STS was established The ABS Benchmarks Co SIBOR will continue to Enhanced SIBOR is The first DBS bond tied
by the Monetary Authority Pte td and the Singapore be published. expected to go through to SORA was issued on 14
of Singapore (MAS) with Foreign Exchange Market testing and transition May 2020.
An enhanced SIBOR
the Association of Banks in Committee (ABS-SFEMC) in 2020.
is expected to
Singapore (ABS) providing have worked together to
be implemented SC-STS published a
Steering Committee administrative support. develop a proposal to
in 2020. ABS- transition roadmap for
for SOR Transition to SC-STS has four subgroups strengthen SIBOR.
SFEMC published SOR to SORA highlighting
SORA (SC-STS) focusing on:
ABS-SFEMC has also a consultation and key priorities and
1. Derivatives identified SORA as the announcements milestones.
alternative reference rate regarding the
2. Bonds / Perpetual
for SOR. development of these
Securities
enhancements.
3. B
usiness / Syndicated
Loans
4. Consumer Products
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