Since 2014, regulators, industry bodies and various working groups of private-market participants have engaged in the reform of benchmark interest rates.
Following the announcement by the the UK Financial Conduct Authority (FCA) and the Alternative Reference Rates Committee (ARRC)'s of the cessation of certain IBORs immediately after 31 December 2021, MUFG has ceased offering all sterling, euro, Swiss franc, Japanese yen and all US Dollar LIBOR settings.
As of 30 June 2023, all USD LIBOR settings ceased being published on a representative basis, however certain synthetic USD LIBOR settings remain available for a limited time only in order to facilitate an orderly transition. Following the FCA announcement on 3 April 2023, synthetic USD LIBOR (1-, 3-, and 6-month settings) will continue being published until end-September 2024.
On 16 May 2022, after a public consultation by the Canadian Alternative Reference Rate Working Group (“ CARR"), Refinitiv Benchmark Services (UK) Limited (RBSL), the administrator of the Canadian Dollar Offered Rate (CDOR), announced the cessation of all tenors of CDOR immediately after a final publication on 28 June 2024. Market participants are expected to transition all derivative (bilateral, cleared and exchange traded) and loan products to Canadian Overnight Repo Rate Average (CORRA) by 28 June 2024, when CDOR will cease being published.
The International Swap and Derivatives Association, Inc. (ISDA) has also published a statement to confirm that the RBSL announcement constitutes an Index Cessation Event under the ISDA 2020 IBOR Fallback Supplement, the 2021 ISDA Interest Rate Derivatives Definitions and the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of the announcement for all remaining CDOR settings. The fallbacks (i.e., to the adjected risk-free rate plus spread) will automatically occur after 28 June 2024 for outstanding derivatives contract that incorporate the IBOR Fallbacks Supplement, including as a result of both parties adhering to the ISDA 2020 IBOR Fallbacks Protocol, or the 2021 ISDA Interest Rate Derivatives Definitions.
In addition, the CARR set out the following industry milestones:
From 1 July 2023:
- No further derivative trading in CDOR indices permitted (except as noted below).
- After 30 June 2023, market participants are expected to only trade CORRA based derivatives, except when reducing existing CDOR related exposure or if hedging CDOR loan-related exposure.
- Limited activities referencing CDOR will still be permitted under stage 2 of CARR's transition plan.
From 1 November 2023:
- All “new loan contracts" must reference only CORRA, Term CORRA, or prime. The “new loan contracts" include any agreements that create additional CDOR or BA exposure, material amendments, changes in pricing, term extensions requiring lender consent and facility amount increases to existing loan agreements. On 27 July 2023, CARR published a notice introducing a "no new CDOR or BA loan" milestone date of 1 November 2023.
MUFG will continue to monitor potential reforming benchmarks and adhere to regulatory transition milestones.
For more information on CHF LIBOR, EONIA, EURIBOR, EUR LIBOR, HBOR, JPY LIBOR, TIBOR, SIBOR, SOR, CDOR, USD LIBOR, NZD BKBM and SAR JIBAR, please refer to our table.
Read our Frequently Asked Questions on Navigating the IBOR Transitions:
- Navigating the US$ LIBOR Transition - Frequently Asked Questions
- About the 2020 IBOR Fallbacks Protocol - Frequently Asked Questions
What are our plans?
MUFG has implemented an IBOR Transition strategy, working with various regulators, the industry and our clients to manage the successful transition of this market change. We are committed to working in partnership with our clients to support them through this transition and we encourage you to keep up to date with the latest industry developments in relation to IBOR and global benchmarks reform and to consider its impact on your own business.
Where initiated, MUFG EMEA's position is not to participate in, or to facilitate, dealer polls post IBOR cessation. Please share any further queries with regard to dealer polls with your MUFG representative.
This page and its related content are not intended to be, and should not be relied upon as, legal, financial, tax, accounting or other advice. We are not providing you with any such advice and you should consult your own advisors for advice on the reform of interest rate benchmarks and the related risks. We make no representation and provide no warranty as to the information set out in herein, which is based on information from third parties, and you should not rely on any such information as constituting a representation or warranty. The content herein is not intended to be comprehensive and was last updated on 05 October 2023. Material developments may have occurred since this last update. This page and its related content do not consider risks to you from interest rate reform and there may be other issues that are not highlighted below. Without limiting the foregoing, this page and its related content do not address issues specific to any particular sector or business. We are not acting as your fiduciary or adviser and the provision of this information to you will not give rise to any duty of care. We assume no responsibility for any use to which these this information may be put. The areas covered herein are continually evolving and you should consult the relevant sources. Links to some of the relevant working and industry groups are at the end of this document.