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Demystifying value transfer: A critical consideration in the transition away from LIBOR
Learn about the concept of value transfer and how Invesco is addressing this issue as we prepare for the challenges of LIBOR transition.
ICE Benchmark Administration Limited (IBA), the administrator of the London Interbank Offered Rate (LIBOR), has released a consultation on its intention to cease the publication of the one week and two month US Dollar (USD) LIBOR settings immediately following the LIBOR publication on December 31, 2021, and the five remaining USD LIBOR settings (overnight and one, three, six and twelve months) immediately following the LIBOR publication on June 30, 2023. This consultation also addresses IBA’s intention to cease the publication of all British Pound (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY) LIBOR settings immediately following the LIBOR publication on December 31, 2021. Responses to the consultation are due by January 25, 2021. The consultation can be found at this link. The consultation should not be read as announcing that any LIBOR benchmark has ceased or will absolutely be ceased as of any date.
After IBA’s announcement on its intentions, the Financial Conduct Authority (FCA), the Board of Governors of the Federal Reserve System in conjunction with the Office of the Comptroller of the Currency and the Federal Deposit Insurance Corporation, and the International Swaps and Derivatives Association (ISDA) all released statements in response. Each of their respective statements welcomed and supported the proposal to extend the timeline for cessation of the five USD LIBOR settings by 18 months until June 30, 2023. The extension of the publication of these USD LIBOR tenors until June 30, 2023 would allow some legacy USD LIBOR contracts maturing after 2021 to mature before USD LIBOR experiences disruptions, and would provide market participants with additional time to address USD LIBOR contracts maturing after June 30, 2023.
Invesco is currently analyzing the impact of IBA’s consultation on its intention to extend the publication of the overnight, one month, three month, six month, and twelve month USD LIBOR settings until June 30, 2023. Invesco intends to continue moving forward with its existing plans and LIBOR transition activities until IBA's consultation results are finalized.
If you have additional questions related to IBA’s consultation, please review published documentation or reach out to your Invesco representative.
The information and any opinions expressed in this document are derived from proprietary and nonproprietary sources deemed by Invesco to be reliable but are not necessarily all-inclusive and reflect Invesco’s current understanding of the expected changes as of December 18, 2020. As such, no warranty of accuracy or reliability is given and no responsibility arising in any other way for errors and omissions or actions taken in reliance thereon is accepted by Invesco, its officers, employees or agents.
Demystifying value transfer: A critical consideration in the transition away from LIBOR
Learn about the concept of value transfer and how Invesco is addressing this issue as we prepare for the challenges of LIBOR transition.
FCA LIBOR cessation announcement
Read the announcement by the Financial Conduct Authority (FCA) with the dates that LIBOR rates will cease to be published or will no longer be representative.
Understanding the importance of ISDA 2020 IBOR Fallbacks Protocol
Understand the importance of the ISDA Interbank Offered Rate (IBOR) Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol.
Understanding LIBOR cessation impacts: Performance benchmark exposure
Understand how moving away from London Interbank Offered Rate (LIBOR) to alternative reference rates impacts performance benchmark exposure.
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Credit: Agencia / Stocksy