Domestic & Global Interest Rate Benchmark Developments
Fall-back Benchmark Consultation
The New Zealand Financial Markets Association are consulting on a fall-back benchmark interest rate for BKBM. A fall-back benchmark interest rate is required to comply with the IOSCO Principles for Financial Benchmarks and ensure that BKBM will meet European Union Benchmark Regulation (EU BMR) equivalence from January 2020. This will ensure that the current benchmark, BKBM, remains fit for purpose, can be used by European supervised entities post 2020, and the necessary structures are in place should BKBM cease to exist at some point in the future.
Formal submissions have now closed, but NZFMA welcomes any additional comments or feedback to John Groom, Director Operations and Compliance - john.groom@nzfma.org.
Useful Links:
IOSCO Principles for Financial Benchmarks 2013
Financial Stability Board - Reforming major interest rate benchmarks 2014
European Union Benchmarks Regulation 2016
Federal Reserve Bank of New York - Introducing the Secured Overnight Funding Rate (SOFR) 2017
2018
Financial Stability Board - Reforming major interest rate benchmarks progress report 2018
ISDA consultation on term and credit rates 2018
Preliminary results of ISDA consultation on term and credit rates 2018
Bank of England - Sonia Key features and policies 2018
Federal Reserve Bank of New York - Transition to a Robust Reference Rate Regime 2018
2019
ARRC Frequently asked questions 31 January 2019
New York Fed SOFR and the transition from LIBOR 26 February 2019
ARRC SOFR: A Year in review April 2019
ISDA Preliminary Results - May 2019 supplemental consultation term and credit rates`
Bank of England - Last Orders: Calling time on LIBOR
ARRC preliminary report on potential interdealer cross-currency swap market conventions 24 June 2019
FCA LIBOR: Preparing for the end 15 July 2019
ISDA Bloomberg selected as fallback adjustment vendor 31 July 2019
IOSCO statement on benchmarks transition 31 July 2019
Asian Pacific Loan Markets Association - LIBOR microsite 13 August 2019
ARRC Practical Implementation Checklist for SOFR Adoption 20 September 2019
FSB: Reforming major interest rate benchmarks; Progress report 18 December 2019
2020
ISDA Statement on UK FCA LIBOR Announcement 5 March 2021
Data Summary
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