Global Interest Rate Reform

In this edition of our annual note, we provide a high-level summary of some of the topics we expect to be on the agenda for mainstream debt issuance from January 2022.

The end of 2021 marked the end, to most intents and purposes, of LIBOR. Once considered so unassailable that few, if any, agreements contemplated its permanent cessation and the initial suggestions of its demise met with incredulity. Read our note for a snapshot of what you need to know on the first London Banking Day after 1 January 2022.

Linklaters has advised the International Swaps and Derivatives Association, Inc. (ISDA) on its publication of the 2021 ISDA Interest Rate Derivatives Definitions. These will be published on ISDA’s MyLibrary a new online user interface designed and developed by Linklaters> Nakhoda and Kinetix Trading Solutions.

The Financial Conduct Authority published a consultation paper on 24 June 2021 on its proposed decision to require synthetic LIBOR for 6 sterling and Japanese yen settings.

As the cessation, or loss of representativeness, of each of the 35 LIBOR settings gets ever closer, legislation has now been introduced in each of New York State, the European Union and the United Kingdom, aimed at addressing contractual uncertainty arising in respect of the demise of panel bank LIBOR. In this briefing we provide an overview of the status and scope of each of these legislative solutions.

The derivatives team has put together an animation to draw together developments in the derivatives market as LIBOR enters its final chapter.

In this series of podcasts, experts from Linklaters’ international banking practice consider recent developments in the transition from LIBOR to risk-free rates across different loan markets and the impact on market practice and documentation.

The European Derivatives and Structured Products team hosted a webinar on 4 May 2021 to discuss the newly published IBOR Supplement to the German Master Agreement for Financial Derivatives (DRV) and provide an update on some of the ISDA interest rate reform documents.

The Derivatives and Structured Products team hosted a webinar on 6 May 2021 and discussed the impact of the transition away from LIBOR on new and legacy structured notes and repackagings.

Linklaters has advised The International Swaps and Derivatives Association on Version 2 of the ISDA Collateral Agreement Interest Rate Definitions and three forms of amendment agreements.

Linklaters has prepared a guide to assist with an understanding of, and key considerations relating to, the ISDA 2020 IBOR Fallbacks Protocol and the Supplement to the 2006 ISDA Definitions which are some of the key documents ISDA has prepared to assist market participants in managing the transition away from IBORs.

Linklaters publishes factsheet on IBOR Fallbacks with ISDA and Bloomberg.

The factsheet provides market participants with an overview of Bloomberg’s methodology of calculating fallback rates following IBOR cessation, as well as explaining how ISDA will implement the rates in its documentation.

Deepak Sitlani, derivatives partner, reflects on our recent global interest rate reform half day seminar and the latest market developments.