September 2021

LIBOR Transition

As the transition away from LIBOR towards Alternative Reference Rates (ARRs) accelerates, the Frequently
Asked Questions (FAQs) below have been prepared to provide you with an update on the latest regulatory
and market developments.

1. Alternative Reference Rates Committee (ARRC) SOFR Symposium Series

1.1. What are some of the latest market updates and upcoming transition deadlines?

LIBOR TRANSITION DEADLINES

July 26, 2021

the US Commodity
Futures Trading
Commission (CFTC)’s
Market Risk Advisory December 31, 2021
May 21, 2021 Committee’s SOFR Cessation of all
March 22, 2021 The ARRC published First initiative GBP, EUR, CHF,
Symposium 1 – a set of concrete recommends JPY settings and
The ARRC hosted guidelines it would June 8, 2021 interdealer brokers October 22, 2021 1 and 2 month USD
the first in its use for a SOFR term The ARRC held its should replace trading Best practice settings and
Secured Overnight rate and The CME third SOFR of LIBOR linear swaps recommendation expectation that
Financing Group was selected symposium with trading of SOFR date for LIBOR no new LIBOR
Rate (SOFR) as the administrator recommending linear swaps from interdealer screens products will
webinar series for a SOFR term rate SOFR First this date to be turned off be issued

March 5, 2021 May 11, 2021 June 21, 2021 July 29, 2021 September 21, 2021 June 30, 2023
UK’s Financial The second The ARRC held its The ARRC formally Dealers across Cessation of all
Conduct Authority SOFR fourth symposium announced their jurisdictions are LIBOR quotes
(FCA) and ICE Symposium held extending the SOFR recommendation of encouraged to switch for all remaining
Benchmark First transition CME Group’s to ARRs in the USD settings
Administration (IBA) initiative to include forward-looking cross-currency
announcement cross-currency Secured Overnight swaps market
confirming LIBOR derivatives moving Financing Rate
cessation dates away from LIBOR (SOFR) term rates
to ARRs from
September 21, 2022

= SOFR Symposiums

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1.2. Is there a SOFR term rate available now for market use?
On July 29, 2021, the ARRC formally announced their recommendation of a SOFR term rate for loans and
certain classes of securitizations.
The recommendation of a SOFR term rate also follows the completion of a key change in interdealer trading
conventions on July 26, 2021, under the SOFR First initiative.
The availability of a term SOFR marks a major milestone in the transition away from US Dollar (USD) LIBOR,
providing market participants with an essential transition tool and marking the completion of the Paced
Transition Plan that the ARRC outlined in 2017. Click here to read the official ARRC announcement.

2. SOFR First LIBOR Transition Initiative

2.1. What is the SOFR First transition initiative?

• The Commodity Futures Trading Commission (CFTC)’s Market Risk Advisory Committee (MRAC) voted to
recommend a market best practice for switching interdealer trading conventions from LIBOR to SOFR for
USD linear interest rate swaps.
• SOFR First is a best practice modelled after the UK’s “SONIA First” and it represents a prioritization of
interdealer trading in SOFR rather than LIBOR. The initiative includes a key recommendation for switching
dealer to dealer trading conventions from LIBOR to SOFR, for USD linear interest rate swaps from July 26,
2021. The initiative also includes a recommendation for interdealer brokers’ screens for USD linear interest
swaps to switch off from October 22, 2021.
• To find out more about the SOFR First transition initiative, please see our SOFR First initiative Client
Factsheet here.

2.2. What swaps are in scope for the SOFR First transition initiative?
• Within the context of the SOFR First transition initiative, USD linear swaps deemed in scope include: outright
swaps, swap spreads, curve trades, non-linear derivatives, and exchange traded derivatives.
• LIBOR/SOFR basis swaps, Forward Rate Agreements and Single Period Swaps are not included in the
initiative and are expected to continue trading in the interdealer market beyond July 26, 2021, and until
October 22, 2021.

2.3. Have Cross Currency Swaps now received SOFR First designation along with linear swaps and
non-linear derivatives?
• With the SOFR First transition initiative underway since July 26, 2021, for linear swaps and non-linear
derivatives, the ARRC and FCA have extended this initiative to include cross currency swaps. Participants in
the LIBOR cross currency swaps market were asked to take the steps necessary to prepare for and
implement these changes to market conventions on September 21, 2021, and to shift liquidity away from
LIBOR to ARRs.
• Following the September 21 move, it is expected that all interdealer trading cross currency basis swaps
between US Dollar, Japanese Yen, Sterling, and Swiss Franc will be based on these conventions and will
reference the SOFR, the Tokyo Overnight Average rate (TONA) the Sterling Overnight Index Average rate
(SONIA), and the Swiss Average Rate Overnight (SARON) rather than LIBOR. Cross currency basis swaps
between USD LIBOR and other currencies are expected to move to SOFR by the end of 2021 given
supervisory guidance encouraging new use of USD LIBOR to cease by the end of the year.
• In the UK, according to the FCA, dealers have been asked to cease initiation of new cross currency
derivatives with a LIBOR-linked sterling leg expiring after 2021, during Q3 2021, other than for risk
management of existing positions. In the US, dealers have been asked to cease initiation from late Q2 2021
onwards with the initiation of SOFR First.

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3. Alternatives to USD Risk Free Rates (RFRs)

3.1. In the past year several USD alternatives to SOFR have emerged. What are some of these alternative
benchmarks and how do they function?
As markets move closer to transitioning away from LIBOR, new Alternative Reference Rates (ARRs) other than
SOFR are gaining traction.
Importantly, the International Organization of Securities Commissions (IOSCO) recently released a statement
highlighting that alternative financial benchmarks will need to be compliant with the IOSCO principles on
Financial Benchmarks, and that demonstrating compliance is not a one-time exercise. IOSCO called for greater
attention to Principles 6 and 7; the former principle asks administrators to consider the ‘relative size of the
underlying market in relation to the volume of trading’ and the latter principle, emphasises ‘data sufficiency in a
benchmark’s design to accurately and reliably represent the underlying market’ measured by the benchmark.
Regulators have expressed concern that some of LIBOR’s shortcomings may be replicated using credit-sensitive
rates that lack sufficient underlying transaction volumes. The disproportionality between the low/modest volume
of transactions underlying credit-sensitive rates and the increasingly higher volumes of activity in markets
referencing them could raise concern about market integrity, conduct risks and financial stability risks.
To continue to give market confidence in the reliability and integrity of financial benchmarks, IOSCO will
be monitoring closely how the IOSCO badge is used in compliance assessments of the relevant
credit-sensitive rates.
Below is a non-exhaustive summary of several non-SOFR ARRs emerging across the market, listed in
alphabetical order.
• AFX Ameribor The rate is based on a weighted average of member banks unsecured loans. It is published
in overnight and 30-day terms. LSTA has advised market participants that plan to use Ameribor to refer to
the “Credit Sensitive Rate’ Slot-in Rider for Fallback Language” they have provided to ensure that all
contract amendments will have adequate fallback language for rates that are not SOFR. Futures are
available for this market on the CME, which could help with hedging strategies.
• AXI is an interest rate index designed to serve as a potential credit-sensitive spread added to the SOFR to
support the transition of loan products away from LIBOR. The index is a measure of the recent cost of
wholesale unsecured debt funding for publicly listed US bank holding companies and their commercial
banking subsidiaries. The index is a weighted average of credit spreads for unsecured debt instruments with
maturities ranging from overnight to five years, with weights that reflect both transaction volumes and
issuance volumes.
• Bloomberg Short-Term Bank Yield Index (BSBY) is constructed using aggregated and anonymized data
based on transactions of commercial paper, certificates of deposit, US Dollar bank deposits and short-term
bank bond trades, reflecting banks’ marginal funding costs. The rate includes a forward-looking term
structure and a systemic credit spread. BSBY will be calculated daily and published at 8.00 a.m. ET, using
the prior day's transaction data, on a T+1 basis. The index can be accessed via the Bloomberg Terminal and
will be posted publicly on Bloomberg.com on a delayed basis. The index is available for five tenors:
overnight (BSBYON), one-month (BSBY1M), three-months (BSBY3M), six-months (BSBY6M) and 12-
months (BSBY12M). CME has announced they will proceed with the initial listing of Three-Month Bloomberg
Short-Term Bank Yield Index (BSBY) Futures Contract effective Sunday, August 22, 2021.
• The IHS Markit US Dollar Credit Inclusive Term Rate, or CRITR, is intended for use on a standalone basis
for lending agreements. The US Dollar Credit Inclusive Term Spread, or CRITS – can be layered on top of
SOFR and is available in one-day, one-month, three-, six- and 12-month term settings. CRITR and CRITS
are designed to provide broad-based measures of funding levels for banking institutions in US Dollar
denominations in institutional markets, on an unsecured basis. IHS Markit will publish both a spread and an
all-in rate. The USD CRITR and CRITS utilize USD institutional certificate of deposit, commercial paper, and
corporate bond transactions issued by banking institutions.
• US Dollar ICE Bank Yield Index is a forward-looking, credit-sensitive benchmark, developed specifically as
a potential replacement for LIBOR for US Dollar lending activity. The Index has been designed to measure
the average yields at which investors are willing to invest USD funds over one-month, three-month and six-
month periods on a wholesale, senior, unsecured basis in large internationally active banks.

3.2. Is BNY Mellon prepared to support the use of alternative USD RFRs?
BNY Mellon is prepared to support alternatives to RFRs based upon demand from our clients.

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4. Global developments and ongoing considerations

4.1. What are some of the key developments in the LIBOR Transition around the world (at the time of
publication)?
US
• Trading volumes have risen notably in derivatives following the launch of the SOFR First initiative
recommending that SOFR replace LIBOR in interdealer USD swap trading conventions.
• Meanwhile, the Loan Syndications and Trading Association (LTSA) prepared a draft Term SOFR Concept
Document to augment its suite of SOFR-based Concept Documents. A blackline against Daily Simple SOFR
Concept Document is available here and a webcast explaining the concept document is available here.
UK
• The UK continues to progress in its move away from LIBOR to SONIA, with liquidity increasing.
• On June 26, 2021, the FCA published a consultation regarding the publication of synthetic LIBOR for six
Sterling and Yen settings after December 31, 2021.
• The FCA has selected ICE Benchmarks Administration (IBA) as the provider of the potential GBP synthetic
LIBOR rate and QUICK Benchmarks Inc. as the provider of a potential synthetic JPY LIBOR rate.
Europe
The European Commission, the European Central Bank, the European Banking Authority and the European
Securities and Markets Authority issued a joint statement in which they strongly encourage market participants
to use the time remaining until the cessation or loss of representativeness of USD LIBOR, GBP LIBOR, JPY
LIBOR, CHF LIBOR and EUR LIBOR to substantially reduce their exposures to these rates.
Singapore
Singapore reiterates the need for active transition to SORA, in a report providing guidance on new industry
timelines to cease issuance of SOR derivatives and SIBOR-linked financial products.
China
Major lending institutions have been asked to proactively advance the transition for USD loans from USD LIBOR
to SOFR. More information can be found here.
Hong Kong
On July 8, 2021, the Hong Kong Monetary Authority (HKMA) issued a circular to all Authorized Institutions (AIs)
requesting them to give a further push to promote the corporate sector’s awareness of the LIBOR transition.
India
The Reserve Bank of India (RBI) issued an advisory to banks and other regulated entities on July 8, 2021,
emphasising the need for them to stop signing new financial contracts that reference LIBOR as a benchmark.

4.2. What are some of the latest developments in the move away from LIBOR in Japan?

There are three main options for Japanese Yen LIBOR replacement rates in Japan:

1. TIBOR – which is calculated and published based on interbank rates submitted by 15 financial institutions in
Japan, including major banks.

2. TONA – which is essentially the call rate (weighted average value) for uncollateralized overnight call
transactions calculated based on the Explanation of “Statistics on Call Market" published by the Bank of
Japan, and

3. TORF (Tokyo Term Risk Free Rate) – which is recommended by the Japanese Cross-Industry Committee to
help transition in the cash market and is the only forward-looking term RFR for Japanese Yen. TORF is
calculated and has been published by market data provider QUICK since April 2021.
Furthermore, the UK’s FCA published a consultation paper on June 26, 2021 on continued publication of a
synthetic LIBOR for Japanese Yen settings after December 31, 2021 to support the orderly wind-down of LIBOR.
The FCA selected TORF as a component for a potential synthetic Japanese Yen LIBOR.

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5. Next Steps and Further Information

5.1. What can market participants do to prepare for the end of LIBOR?
It is essential that market participants seek to understand how this transition may affect them by taking some key
steps, which may include:
• Reviewing their portfolio to identify which products are linked to LIBOR.
• Documenting the amount of exposure products have to LIBOR, including those that mature after the
proposed end dates. Such a review may include specific currencies and indices, notionals, risk, transactions
numbers, maturity profiles, product types and counterparty concentration.
• Examining and, if necessary/possible, amending existing and new legal contracts to ensure robust language
is in place that outlines the steps to be taken or the interest rate that must be applied in the event LIBOR is
no longer published.
• Producing an inventory of relevant systems used (e.g., trade booking, risk systems) which may be affected
should LIBOR no longer be published in the future. Consider making changes that will allow those systems
to use alternative rates.
• Ensuring appropriate documentation is in place to adequately disclose or mitigate risks associated with the
discontinuation of LIBOR.
• Continuing to monitor industry and regulatory bodies for updates with regards to the LIBOR transition –
noting confirmed cessation dates as shown in Appendix 1 below.
• Click here to read BNY Mellon’s LIBOR 100 Day Countdown Client Factsheet to find out more about how
market participants can prepare for the end of LIBOR.

5.2. Where can clients find out more about the LIBOR transition?
• Clients can visit BNY Mellon’s LIBOR Transition and Readiness website for the latest industry
developments and information.
• In addition, clients may follow these links for the latest news and resources from some of the key industry
participants in LIBOR transition:
− Alternative Reference Rates Committee (ARRC) (US)
− Loan Syndications & Trading Association (LSTA) (US)
− Mortgage Bankers Association (MBA) (US)
− International Swaps and Derivatives Association (ISDA)
− The Bankers Association for Foreign Trade (BAFT)
− Bank of England (UK)
− Financial Conduct Authority (UK)
− Loan Market Association (LMA) (EMEA)
− IFRS (International Financial Reporting Standards) – IBOR Reform and its Effect on Financial
Reporting (Phase 1)
− IFRS (International Financial Reporting Standards) – IBOR Reform and its Effect on Financial
Reporting (Phase 2)
− Asia Pacific Loan Market Association (APLMA)
− Asia Securities Industry and Financial Markets Association (APLMA)

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Appendix: Key Global Transition Milestones
(Accurate at the time of publication)

Jurisdiction Prior Potential Alternative Current Status

Benchmark Reference Rate (ARR)
US
• No new USD LIBOR issuance after December 31,
SOFR 2021
USD LIBOR (Secured Overnight • USD LIBOR settings (overnight, one-, three-, six-, nine-
Financing Rate) and 12-month) will cease to be provided by any
administrator after June 30, 2023

UK
• Reformed SONIA since April 2018
• ICE SONIA SWAP rate to be added to ISDA rate
SONIA option and collateral tables
GBP LIBOR (Sterling Overnight Index • No new GBP LIBOR Issuance after March 31, 2021
Average)
• All GBP LIBOR settings non-representative after
December 31, 2021, and will cease publication in its
current formulation

Euro Area
€STR • Publication of €STR since October 2019
EONIA
(Euro Short-Term Rate) • Reforms to EURIBOR’s methodology were completed
in Q4 2019, and will continue as a BMR compliant rate
until at least 2023
• EURIBOR to continue alongside €STR beyond 2021
EURIBOR EURIBOR
EUR LIBOR (Reformed) • All EUR LIBOR settings will cease publication and be
non-representative after December 31, 2021

Japan JPY LIBOR and

TIBOR TONAR • All JPY LIBOR settings non-representative after
(Japanese Yen
(Tokyo Overnight December 31, 2021, and will cease publication in its
TIBOR and
Average Rate) current formulation
Euro Yen
TIBOR)
Switzerland
• Secured rate that reflects interest paid on interbank
SARON overnight repo rate
CHF LIBOR (Swiss Average Rate • SARON swaps began trading in April 2017
Overnight Rate) • All CHF LIBOR settings will cease publication and be
non-representative after December 31, 2021

Singapore
Singapore Swap
Offer Rate
(SOR) SORA
(Singapore Overnight • SORA now used in all derivative contracts
Singapore Rate Average)
Interbank
Offered Rate
(SIBOR)
Hong Kong
Hong Kong HONIA • Hong Kong Treasury Markets Association identified
Interbank HONIA as the alternative RFR but announced there is
(Hong Kong Dollar no plan to discontinue HIBOR. Hong Kong will
Offered Rate Overnight -Index therefore adopt a multi-rate approach, whereby HIBOR
(HIBOR) Average) and HONIA will co-exist

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