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The article below was extracted from our monthly LIBOR Update Newsletter. At Duff & Phelps, we recognize that the LIBOR transition is taking higher priority within firms as the decommissioning deadline approaches. To remain informed on the upcoming LIBOR phase-out, our experts have put together an easy guide of important recent media hits, including original pieces published by our LIBOR Transition Advisory team.
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December saw a large amount of activity in the LIBOR transition with announcements and milestones impacting all products and regions. In the U.S., plans were announced to consult on specific timing for ceasing the publication of USD LIBOR, with proposed end dates of December 31, 2021 for one week and two-month USD LIBOR settings, and an extension to June 30, 2023 for other USD LIBOR settings. The announcement was coupled with supervisory guidance encouraging banks to stop new USD LIBOR issuances as soon as practicable but no later than the end of 2021. Together, this is in support of a smoother transition for legacy contracts by allowing time for more to mature before USD LIBOR is proposed to cease, subject to consultation outcomes. This development followed an earlier ICE Benchmark Administration (IBA) announcement about consultations on its intention to cease the publication of all GBP, EUR, CHF and JPY LIBOR settings immediately following December 31, 2021.
Regulatory Updates
Statement on LIBOR Transition and Consultation on Potential Cessation , Federal Reserve, ICE
ECB-Backed Body Studies Euribor Exit for $214 Trillion in Assets, Bloomberg
FSB sets out progress on interest rate benchmark reform, FSB
Interest Rate Benchmark Reform (Preparedness for the Discontinuation of LIBOR), Bank of Japan
Reform of Interest Rate Benchmarks, Hong Kong Monetary Authority
IBOR Transition, AFMA
Cash Market Details
Lending Standards Board and UK Finance publish guidance for LIBOR transition, The LSB
ARRC Releases Conventions for Using SOFR in Arrears in Bilateral Business Loans, ARRC
Derivative Market Announcements
Transition in Sterling Non-Linear Derivatives, Bank of England
ARRC Releases Guide and Highlights New ISDA Webinar on USD LIBOR Endgame Developments, ARRC
The replacement of London Inter-Bank Offered Rate (LIBOR) is a multiyear transformation, and the impact will be a seismic shift in core operations, vendor relationships and loan products.
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