IBOR Transition
LIBOR is an interest rate benchmark which has been phased out. No new loan facilities should be using LIBOR. From 1 January 2022, publication of most LIBOR settings ended. The US dollar LIBOR panel ended on 30 June 2023. The overnight and 12-month US dollar LIBOR settings have now permanently ceased. The 1-, 3-, and 6-month US dollar settings will continue to be published under a synthetic methodology. Work is ongoing on the transition of legacy LIBOR facilities to alternative near risk-free rates and there is work to do in transitioning IBORs in a number of currencies. The LMA is working with the market, other trade associations and the regulators on the transition.
Countdown to cessation of synthetic US dollar LIBOR
(1-month, 3-month & 6-month synthetic US dollar LIBOR)
Latest News
Canada: CARR to publish data on the transition of CDOR-based loans to CORRA
On 15 April 2024, the Bank of Canada announced that its Canadian Alternative Reference Rate Working Group (CARR) will publish a monthly report on the aggregated outstanding amount of CDOR loans that have not transitioned to other benchmarks, as well as the volume of new loans (including transitioned loans) referencing CORRA and/or Term CORRA. The report is intended to facilitate the monitoring of CDOR-based loans transition to CORRA and Term CORRA.
The report will also show the value of OTC derivatives transacted that reference Term CORRA.
As a reminder to market participants, publication of all tenors of CDOR will cease after 28 June 2024.
Strengthening EURIBOR fallbacks - LMA publishes updated Term €STR exposure draft and German law investment grade document
On 1 February 2024, we published an updated version of our term €STR fallback exposure draft and related commentary following market feedback. As feedback received was generally supportive of the exposure draft, there have been no major changes. However, given the lack of market practice in the use of term €STR fallbacks, the LMA has not yet moved this document to recommended form. As a result, we need members to provide us with ongoing feedback from the provisions being used on transactions.
We have also updated the existing form of German law investment grade documentation to include a switch to compounded €STR upon a permanent cessation or non-representativeness of EURIBOR.
South Africa: MPG publishes final paper on market conventions for ZARONIA-linked cash market instruments
On 25 January 2024, following a period of consultation with market participants, the South African Market Practitioners Group (MPG) released final papers on market conventions for cash market products (including for loans) using the South African Rand Overnight Index Average (ZARONIA).
The MPG has designated ZARONIA as the preferred successor rate to replace JIBAR. ZARONIA has been available for use as a reference rate in financial contracts since 3 November 2023.
The ZARONIA-linked loan paper contains recommendations intended to serve as the basis for new loans referencing ZARONIA.