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.
IBOR Transition at RBC
- Capital Markets and
Treasury Services (opens to another site)
- Wealth Management Canada (opens to another site)
- Wealth Management International (opens to another site)
- Wealth Management US (opens to another site)
- Personal and Commercial Banking (opens to another site)
- Private Banking (opens to another site)
- City National Bank (opens to another site)
The table below shows the approach taken for IBORs for the principal currencies in which RBC products are denominated:
|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)
|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|
- 1 - https://www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf (PDF)
- 2 - https://www.emmi-benchmarks.eu/assets/files/D0246A-2019-EURIBOR Benchmark Statement_final - FINAL.pdf (PDF)
- 3 - https://www.emmi-benchmarks.eu/euribor-eonia-org/about-eonia.html (opens to external site)
- 4 - https://www.asx.com.au/services/benchmark.htm (opens to external site)
- 5 - https://www.refinitiv.com/content/dam/marketing/en_us/documents/policies/cdor-change-consultation.pdf (PDF)
- 6 - https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/cdor-cessation-notice.pdf (PDF)
- 7 - https://www.bankofcanada.ca/wp-content/uploads/2019/07/results-carr-consultation.pdf (PDF)
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.
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.
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.
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
|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.|
|Jun. 28th, 2024||Calculation and publication of all tenors of CDOR will permanently cease immediately following a final publication on June 28, 2024.|
|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).|
|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|
|Jun. 30th, 2023||Overnight and 12-month USD LIBOR settings will permanently cease to be published|
|Mar. 27th, 2023||CORRA first initiative for interbank non-linear derivatives and cross currency basis swaps|
|Jan. 9th, 2023||CORRA first initiative for interbank linear derivatives|
|Dec. 31st, 2022||1, 3 and 6 month JPY Synthetic LIBOR will permanently cease to be published|
|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.|
|Jan. 3rd, 2022||EONIA is permanently discontinued.|
|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.|
|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.|
|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|
|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)|
|Sep. 30th, 2021||ARRC Best Practices recommendation for cessation of new USD LIBOR CLO securitizations maturing after 2021|
|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).|
|June 30th, 2021||ARRC Best Practices recommendation for cessation of new USD LIBOR loans, non-CLO securitizations and derivative trades maturing after 2021|
|May 17th, 2021||CDOR 6-month and 12-month tenors will be discontinued|
|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|
|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.|
|Jan. 25th, 2021||ISDA IBOR Fallbacks Protocol and IBOR Fallbacks Supplement to the 2006 ISDA Definitions took effect|