LIBOR and other IBORs are coming to an end

EIBOR-LIBOR

The US Federal Reserve and other regulators of IBORs are continuing to take various measures to move market participants away from IBORs within set timelines. These measures include development of overnight risk-free, or nearly risk-free rates (RFRs) and term rates to replace LIBOR.

Whilst subject to further review and change, the following are being discussed in the market as being proposed replacement rates for the corresponding currencies:

Currency USD GBP EUR CHF JPY
Existing Rate USD LIBOR GBP LIBOR EURIBOR / EONIA CHF LIBOR JPY LIBOR
Risk Free Rate SOFR
(Secured Overnight Funding Rate)
SONIA
(Sterling Overnight Index Average)
ESTER
(Euro Short Term Rate)
SARON
(Swiss Average Rate Overnight)
TONAR
(Tokyo Overnight Average Rate)

For further information on developments in LIBOR/IBOR transition and proposed alternative rates, please refer to the table below for details of the relevant LIBOR transition working groups:

Reference Rates Working Groups Websites
USD LIBOR US Federal Reserve and the Federal Reserve Bank New York Alternative Reference Rates Committee (ARRC) www.newyorkfed.org
Sterling LIBOR Bank of England and FCA Working Group on Sterling Risk-Free Rates www.bankofengland.co.uk
EURIBOR and EONIA European Central Bank Working Group www.ecb.europa.eu
CHF LIBOR National Working Group on Swiss Franc Reference Rates https://www.snb.ch/en/
JPY LIBOR Bank of Japan Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks https://www.boj.or.jp/en/index.htm/

The International Swaps and Derivatives Association, Inc. (ISDA) has been working alongside market participants on initiatives to identify fallbacks for derivatives contracts which are governed by ISDA published terms and which reference certain key IBORs. For further information in relation to the latest developments in derivatives please click here.