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25 June 2018

ISDA, AFME, ICMA, SIFMA and SIFMA AMG publish Global benchmark report


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The report assesses the issues involved with benchmark reform, and makes recommendations on steps firms can take to prepare for the transition from interbank offered rates (IBORs) to alternative risk-free rates (RFRs).


The report, which was based on a survey of 150 banks, end users, infrastructures and law firms in 24 countries, shows that:

There is a gap between high levels of awareness of benchmark reform and concrete steps being taken to transition from the IBORs to alternative RFRs.

Several key issues are identified as being important for a successful and orderly transition, including the need for market participants to develop new cash products and liquidity in derivatives and futures referencing the RFRs. Corporate and financial end users believe a forward-looking term structure for the RFRs is necessary.

There is an appetite for regular, globally coordinated information from the RFR public-/private-sector working groups, as well as further clarity on the preferred end state for each IBOR.

“The transition from the IBORs to alternative RFRs will have an impact across financial markets – from derivatives to bonds to mortgages. It’s vital that firms commit resources and begin their transition planning initiatives. Our report sets out a number of steps that institutions can take to prepare. Given the scale of the task, this implementation checklist should be adopted now,” said Scott O’Malia, ISDA’s Chief Executive.

“This is a timely report. In Europe, there are €1.2 trillion of outstanding securitizations, many of which are linked to an IBOR and will revert to a fixed rate if this IBOR ceases to exist before the maturity of the bond, causing significant changes to future cash flows. To avoid this and ensure that the transition to new risk-free rates is smooth and minimizes disruption for market participants, we need to ensure we are actively engaged with authorities, trade associations and our members to raise awareness and work towards solutions,” said Simon Lewis, AFME Chief Executive.

“This comprehensive global benchmark survey is an important step forward in raising the level of awareness in international financial markets about the transition to risk-free rates. It provides a helpful assessment of the challenges faced by market participants as they deal with this fundamental change to market structure,” said Martin Scheck, ICMA Chief Executive.

“We need to prepare the market to transition away from reliance on LIBOR, and to ensure that both the cash and derivatives markets remain liquid and resilient when there is a move to new reference rates. By laying the foundation now, through efforts such as the Transition Roadmap published earlier this year and the survey that is the basis for today’s report, along with participation with the Alternative Reference Rates Committee (ARRC), we are working to raise awareness, identify exposures and prepare for a smooth transition,” said Kenneth E. Bentsen, Jr., SIFMA president and CEO. “SIFMA and SIFMA AMG agree it is crucial to try to strive for consistency across geographical regions, product segments and market participants to both avoid fragmentation in global markets and permit the most effective risk management.

Full press release



© ISDA - International Swaps and Derivatives Association


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