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

Financial Stability Board Interest rate benchmark reform - overnight risk-free rates and term rates 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

Finance and Treasury Association - IBOR Fallbacks: 7 Question Corporate Treasurers should ask 20 September 2019

FSB: Reforming major interest rate benchmarks; Progress report 18 December 2019

2020


RBNZ News Release - Interest Rate Benchmark Reform 28 January 2020

FCA announcement on future cessation and loss of representativeness of the LIBOR benchmarks 5 March 2021

ISDA Statement on UK FCA LIBOR Announcement 5 March 2021



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