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The U.K. Financial Conduct Authority (FCA), the supervisor of ICE Benchmark Administration (the administrator of LIBOR), announced in July, 2017 that it will no longer compel panel banks to submit rates required to calculate LIBOR after December 31, 2021. While the FCA announcement pertained to LIBOR specifically, an industry-wide response triggered an examination more broadly of other inter-bank offered rates (IBORs).

RBC has established a global program in response to the transition and is committed to supporting the industry transition towards alternative risk-free rates. We encourage you to raise awareness of these reforms within your organization, stay up to date on the latest developments and seek professional advice on the potential impact of these reforms on your organization.

For more information, we invite you to review the additional content of this page as well as to visit the relevant webpage(s) of RBC’s Lines of Business. Please contact your RBC representative or relationship manager for additional information.

News

May 16, 2022
On May 16, 2022 Refinitiv Benchmark Services (UK) Limited (“RBSL”), the administrator of the Canadian Dollar Offered Rate (“CDOR”), announced the calculation and publication of all remaining tenors of CDOR will permanently cease immediately following a final publication on Friday June 28, 2024.
March 15, 2022
U.S. federal LIBOR legislation was signed into law, which provides, by operation of law, a SOFR based replacement rate for tough USD LIBOR legacy contracts governed by U.S. law that do not have adequate fallback language.
November 16, 2021
The U.K. Financial Conduct Authority announced (PDF) that although 5 USD LIBOR settings will continue to be published on a representative basis until the end of June, 2023, the new use of USD LIBOR will be prohibited for U.K. regulated firms from January 1, 2022 onwards subject to certain specified exceptions.
October 20, 2021
Certain U.S. regulatory agencies issued a joint regulatory statement (PDF) which sets out that, in their view, entering into new USD LIBOR contracts after December 31, 2021 would create safety and soundness risks. The statement also clarified what constitutes new a LIBOR contract.
September 29, 2021
The FCA confirmed that to avoid disruption to legacy contracts that reference 1-, 3-, and 6- month Sterling and Japanese yen LIBOR settings, it will require the LIBOR administrator to publish these settings under a ‘synthetic’ methodology for the duration of 2022.
July 29, 2021
The Alternative Reference Rates Committee (ARRC) formally recommends CME’s forward looking SOFR term rates.
July 13, 2021
CFTC releases a statement recommending the adoption of a SOFR First Initiative, designed to help market participants decrease reliance on USD LIBOR.
June 22, 2021
The Canadian prudential regulator, OSFI, issued a letter outlining its expectation that supervised entities will complete their transition to new reference rates prior to the LIBOR cessation dates, stop using USD LIBOR as a reference rate as soon as possible and not enter into new USD LIBOR transactions after December 31, 2021.
March 31, 2021
The Working Group on Sterling Risk Free Reference Rates’ target milestone date to cease issuance of new GBP LIBOR referencing loan products, bonds, securitizations and linear derivatives (except for risk management of existing exposure) maturing after 2021
March 5, 2021
The Financial Conduct Authority (“FCA”), the regulator of the administrator of LIBOR, made an announcement (PDF) regarding the future cessation or loss of representativeness of all 35 LIBOR settings.
January 25, 2021
ISDA IBOR Fallbacks Protocol and IBOR Fallbacks Supplement to the 2006 ISDA Definitions took effect.

RFR

The table below shows the approach taken for IBORs for the principal currencies in which RBC products are denominated:

IBORs Principal Currencies Table Example
Impacted Rate Reform/discontinuation/non-representativeness Currency RFR Multiple rate approach
LIBOR (opens to external site) Following an announcement by the FCA in March, 2021: (a) all EUR LIBOR and CHF LIBOR settings, (b) overnight/spot, 1-week, 2-month and 12-month GBP LIBOR and JPY LIBOR settings, and (c) 1-week and 2-month USD LIBOR settings have ceased to be published after their last publication on December 31, 2021. 1, 3 and 6 month GBP LIBOR and JPY LIBOR settings have become permanently non-representative following their publication on December 31, 2021 and are currently being published by ICE Benchmark Administration under an alternative methodology, commonly referred to as ‘synthetic LIBOR’. All remaining USD LIBOR settings will either cease to be published or become non-representative after their publication on June 30, 2023. GBP SONIA (opens to external site) No
CHF SARON (opens to external site) No
JPY TONA Yes, consisting of TONA and JPY TIBOR
USD SOFR (opens to external site) No
EUR €STR (opens to external site) No
EURIBOR (opens to external site) Reforms to the methodology underpinning EURIBOR to ensure compliance with regulatory requirements have been implemented.

EURIBOR (as revised) is currently expected to continue2.
EUR €STR (opens to external site) Yes, consisting of EURIBOR and €STR
EONIA (opens to external site) EONIA was discontinued on 3 January 20223. EUR €STR (opens to external site) No
BBSW (opens to external site) The calculation of BBSW has since 21 May 2018 used a reformed VWAP methodology, and it is expected that BBSW (as revised) will continue4. AUD RBA (opens to external site)
Cash Rate
Yes, consisting of BBSW and RBA Cash Rate
CDOR (opens to external site) 6-month and 12-month CDOR tenors have ceased to be published after their last publication on May 14, 20215. The administrator of CDOR, Refinitiv Benchmark Services Limited (“RBSL”) has also announced that all remaining CDOR tenors will cease to be published immediately following June 28, 20246.

Changes have been made to enhance the methodology underlying CORRA7.
CAD Enhanced CORRA (opens to external site) No

Footnotes

FAQs

A number of interbank offered rates (“IBORs”) are either being reformed to make them more robust and reliable or, in many cases, are being, or have been, discontinued. Where the IBORs are being reformed they are expected to perform differently from the way they currently perform.
Regulatory authorities and public and private sector working groups in several jurisdictions have strongly encouraged the identification and use of alternative “risk-free rates” (“RFRs”) to replace (or, in some limited cases, to be used alongside) certain IBORs. These working groups have also published recommendations which consider how to support a transition to, and the development of new products referencing, these RFRs.
The U.K. Financial Conduct Authority (FCA), the supervisor of ICE Benchmark Administration (the administrator of LIBOR), announced in July, 2017 that it will no longer compel panel banks to submit rates required to calculate LIBOR after December 31, 2021. While the FCA announcement pertained to LIBOR specifically, an industry-wide response triggered an examination more broadly of other inter-bank offered rates (IBORs).
For more than 40 years, the London Interbank Offered Rate (LIBOR) was a key global interest rate benchmark that measured the unsecured borrowing costs between major global banks in particular currencies for certain tenors. Prior to December 31, 2021, LIBOR was calculated each business day for five currencies (USD, GBP, EUR, CHF and JYP) and for seven tenors in respect of each currency. LIBOR was referenced in wide variety of financial products including loans, mortgages, bonds and derivatives. Due to scandals and questions about its robustness as a benchmark rate over the last 10 years, it is being phased out. All GBP LIBOR, EUR LIBOR, CHF LIBOR and JYP LIBOR settings and two USD LIBOR settings were permanently discontinued or became non-representative after their last publication on December 31, 2021. All remaining USD LIBOR tenors will either cease to be published or become non-representative after June 30, 2023.
RFRs are overnight interest rate benchmarks which are perceived to (i) in some cases, be more representative and reliable than an IBOR and (ii) be more appropriate for use in certain products than an IBOR.
RFRs are overnight rates calculated retrospectively based on actual transactions, while IBORs are quoted forward-looking term rates that may rely, in part, on expert judgment.
No. For some currencies, a “multiple rate” approach is being adopted, which means that the IBOR for the relevant currency will continue alongside the RFR. For other currencies, it is likely that the IBOR will cease to be provided or be non-representative and so the principal interest rate will be the RFR.

CDOR:

6-month and 12-month CDOR tenors were permanently discontinued as of May 17, 2021. The administrator of CDOR, Refinitiv Benchmark Services Limited (“RBSL”) has also announced (PDF) that all remaining CDOR tenors will cease to be published immediately following June 28, 2024.
The Canadian Alternative Reference Rate working group (“CARR”) will implement a two-stage transition (PDF) plan with respect to CDOR as follows:

Stage 1: By the end of June 2023, all market participants are expected to transition new derivative and securities transactions from CDOR to overnight CORRA in-arrears. No new CDOR exposure can be booked after that date with limited exceptions including hedging of legacy CDOR derivative or securities exposures and hedging of CDOR referencing loans transacted until June 28, 2024; and

Stage 2: Market participants would be allowed to transact in new CDOR based loans, with robust CDOR fallbacks, until the cessation of CDOR. Hedging of these CDOR based loans with CDOR based derivatives will be permitted until this date.
The Canadian prudential regulator has also issued a letter (opens to another site) outlining its expectations of federally regulated financial institutions with respect to CDOR transition which is consistent with the two-stage transition plan outlined above.

CORRA:

The Bank of Canada took over the responsibility for the calculation and publication of CORRA on June 15, 2020. The announcement includes a new calculation methodology (opens to another site) for CORRA, sometimes referred to as enhanced CORRA. The rate for a given day will be available on the Bank of Canada CORRA webpage at approximately 09:00 ET on the following business day.
The CARR published recommendations (opens to another site) to facilitate the use of CORRA on November 23, 2021. The CARR has also launched a consultation (PDF) on a potential term rate (ie. Term CORRA) to replace CDOR in certain loan and hedging arrangements.

A mismatch may arise if a derivative transaction is used to hedge a loan (or other products such as a bond) and does not deal with the discontinuation of the IBOR or the calculation of RFRs in the same way. Any mismatches may also impact the accounting treatment (such as hedge accounting) and tax treatment. Parties should familiarize themselves with how IBORs are defined in their product documentation and how the related fallbacks apply to the cash product and any derivative transaction intended to serve as a hedge and take professional advice as to the potential impact and risks associated with the discontinuation of these IBORs.
RBC has established a global program and is, amongst other things, (i) identifying the products which reference affected interest rates, (ii) engaging with clients on the consequences of the reform and/or discontinuation, (iii) considering how different products may be affected: and (iv) transitioning to RFRs (where relevant), including by adding or updating fallbacks or actively transitioning IBOR linked products to RFRs where possible, issuing RFR floating rate notes, trading RFR swaps and providing RFR loans. RBC will also not be entering into any new USD LIBOR referencing contracts unless the contract falls within certain specified exceptions.

Industry Timeline

Set out below are some important industry milestones related to the IBOR Transition. This list is not exhaustive, and we encourage you to stay up to date on the transition and raise awareness of it within your organization

Industry Timeline Table
Date Event Jurisdiction
Jul. 2nd, 2024 The fallbacks (ie, to the adjusted risk-free rate plus spread) will automatically occur for outstanding derivatives contracts that incorporate the ISDA 2020 IBOR Fallbacks Supplement, including as a result of both parties adhering to the ISDA 2020 IBOR Fallbacks Protocol, or the 2021 ISDA Interest Rate Derivatives Definitions. global icon
Jun. 28th, 2024 Calculation and publication of all tenors of CDOR will permanently cease immediately following a final publication on June 28, 2024. Canadian flag
Jun. 30th, 2023 By the end of June 2023 all market participants are expected to transition new derivative (bilateral, cleared and exchanged-traded) and securities contracts or transactions from CDOR to overnight CORRA in-arrears. No new CDOR exposure can be booked after that date with limited exceptions (PDF). Canadian flag
Jun. 30th, 2023 The overnight, 1-month, 3-month ,6-month and 12-month USD LIBOR settings will cease to be provided permanently, or will become un representative of the market, immediately after June 30, 2023 US flag
Jun. 30th, 2023 Overnight and 12-month USD LIBOR settings will permanently cease to be published US flag
Mar. 27th, 2023 CORRA first initiative for interbank non-linear derivatives and cross currency basis swaps Canadian flag
Jan. 9th, 2023 CORRA first initiative for interbank linear derivatives Canadian flag
Dec. 31st, 2022 1, 3 and 6 month JPY Synthetic LIBOR will permanently cease to be published Japan flag
May 16th, 2022 The administrator of CDOR, Refinitiv Benchmark Services (UK) Limited announced that all remaining tenors of CDOR (1, 2 and 3 months) will permanently cease following a final publication on June 28, 2024. This announcement constitutes an “Index Cessation Event” for those CDOR tenors under the 2021 ISDA Interest Rate Derivatives Definitions, the ISDA 2020 IBOR Fallbacks Supplement and ISDA 2020 IBOR Fallbacks protocol. As a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of the announcement for all remaining CDOR tenors. Canadian flag
Jan. 3rd, 2022 EONIA is permanently discontinued. EU flag
Dec. 31st, 2021 The fallbacks (ie, to the adjusted risk-free rate plus fixed spread) will automatically occur for outstanding derivatives contracts that incorporate the ISDA IBOR Fallbacks Supplement or are subject to adherence to the ISDA 2020 IBOR Fallbacks Protocol after December 31, 2021 for outstanding derivatives referenced to all euro, sterling, Swiss franc and yen LIBOR settings. global icon
Dec. 31st, 2021 Last publication date for: all euro LIBOR settings; all Swiss franc LIBOR settings; the spot next, 1-week, 2-month and 12-month Japanese yen LIBOR settings; the overnight, 1-week, 2-month and 12-month sterling LIBOR settings; and the 1-week and 2-month US dollar LIBOR settings. global icon
Dec. 31st, 2021 U.S. banking regulators are encouraging banks to cease entry into new USD LIBOR contracts by no later than the end of 2021 US flag
During Q2/Q3, 2021 Working Group on Sterling Risk-Free Reference Rates recommendation to cease initiation of new GBP LIBOR cross currency derivatives (except for risk management of existing exposure) UK flag
Sep. 30th, 2021 ARRC Best Practices recommendation for cessation of new USD LIBOR CLO securitizations maturing after 2021 US flag
June 30th, 2021 Working Group on Sterling Risk-Free Reference Rates' recommendation to cease initiation of new GBP LIBOR non-linear derivatives that expire after 2021 (except for risk management of existing exposure). UK flag
June 30th, 2021 ARRC Best Practices recommendation for cessation of new USD LIBOR loans, non-CLO securitizations and derivative trades maturing after 2021 US flag
May 17th, 2021 CDOR 6-month and 12-month tenors will be discontinued Canadian flag
Mar. 31st, 2021 Working Group for Sterling Risk-Free Reference Rates’ recommendation to cease new issuance of GBP LIBOR referencing loan products, bonds, securitizations and linear derivatives (except for risk management of existing exposure) maturing after 2021 UK flag
Mar. 5th, 2021 The Financial Conduct Authority (FCA) made an announcement that constitutes an index cessation event under the ISDA IBOR Fallbacks Supplement and 2020 IBOR Fallbacks protocol for all 35 LIBOR settings. As a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of the announcement for all euro, sterling, Swiss franc US dollar and yen LIBOR settings. global icon
Jan. 25th, 2021 ISDA IBOR Fallbacks Protocol and IBOR Fallbacks Supplement to the 2006 ISDA Definitions took effect global icon

Resources

Resources Table
Organization Links
Alternative Reference Rates Committee (ARRC) https://www.newyorkfed.org/arrc/sofr-transition (opens to another site)
Bank of England (BOE) https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor (opens to another site)
https://www.bankofengland.co.uk/markets/sonia-benchmark (opens to another site)
Bank of Japan (BOJ) https://www.boj.or.jp/en/paym/market/jpy_cmte/index.htm/ (opens to another site)
Canadian Alternative Reference Rate Working Group (CARR) https://www.bankofcanada.ca/markets/canadian-alternative-reference-rate-working-group/ (opens to another site)
CME Group https://www.cmegroup.com/trading/interest-rates/sofr-sonia-and-other-alternative-reference-rates.html (opens to another site)
EUREX https://www.eurex.com/ex-en/rules-regs/ibor (opens to another site)
European Central Bank (ECB) https://www.ecb.europa.eu/paym/initiatives/interest_rate_benchmarks/WG_euro_risk-free_rates/html/index.en.html (opens to another site)
European Money Markets Institute (EMMI) https://www.emmi-benchmarks.eu/euribor-org/euribor-reform.html (opens to another site)
https://www.emmi-benchmarks.eu/euribor-eonia-org/about-eonia.html (opens to another site)
Financial Conduct Authority (FCA) https://www.fca.org.uk/markets/libor (opens to another site)
Financial Stability Board – Official Sector Steering Group (OSSG) https://www.fsb.org/work-of-the-fsb/policy-development/additional-policy-areas/financial-benchmarks/ (opens to another site)
ICE Benchmark Administration (IBA) https://www.theice.com/iba (opens to another site)
International Capital Market Association (ICMA) https://www.icmagroup.org/Regulatory-Policy-and-Market-Practice/benchmark-reform/ (opens to another site)
International Swaps and Derivatives Association, Inc. (ISDA) https://www.isda.org/category/legal/benchmarks/ (opens to another site)
LCH Limited https://www.lch.com/Services/swapclear/benchmark-reform (opens to another site)
Loan Market Association (LMA) https://www.lma.eu.com/libor (opens to another site)
Loan Syndication and Trading Association (LSTA) https://www.lsta.org/ (opens to another site)
Refinitiv https://www.refinitiv.com/en (opens to another site)
Reserve Bank of Australia (RBA) https://www.rba.gov.au/mkt-operations/resources/interest-rate-benchmark-reform.html (opens to another site)
Swiss National Bank (SNB) https://www.snb.ch/en/ifor/finmkt/fnmkt_benchm/id/finmkt_reformrates (opens to another site)
TMX Group https://tmx.com/tmx-group/tmx-group-companies (opens to another site)