LIBOR is published in five currencies and seven tenors. It is a forward-looking rate used for pricing financial products. By the end of December 2021, it will cease to be a market representative rate. Regulators have established committees to study alternative benchmarks rates. More in the slides. Permission: Reproduction permitted with attributions and link-backs. Thank you.

1. LIBOR TRANSITION
1
Mohammad Taimur

2. 2
LIBOR
5
Currencies
7 Tenors
FY21
Cessation
• LIBOR is published in five currencies and seven tenors. It is a
forward-looking rate hence involves judgment and remains open
to manipulations.
• In 2018, Financial Conduct Authority (FCA) of United Kingdom
fined1 several banks to a total of ~$400M for manipulating the
IBOR, FX and gold benchmarks during the financial crisis of
2007-08.
• Regulators have established committees to study alternative
benchmarks which are considered "near Risk Free Rates
(RFRs)" (referred to as ‘Alternative RFRs’).
• LIBOR transition will not impact SAIBOR based products and
agreements. Also, no directions have been published on SAMA
website on the matter.
Sources:
1. https://www.fca.org.uk/markets/benchmarks/enforcement
2. Beyond FY21 only 1M, 3M, and 6M will be published as ‘non-representative of market conditions’ to support legacy contracts only.
LIBOR Transition
Reason and Key Dates
LIBOR Publication Cessation
USD Dec-21 and Jun-232
GBP Dec-21
EUR Dec-21
CHF Dec-21
JPY Dec-21

3. Transition
3
LIBOR
Credit Risk
Premium
Tenor
Adjustment
Near Risk-Free
Rate
ARFR
Credit Risk
Premium
Tenor
Adjustment
Near Risk-Free
Rate ARFRs are derived
from past transactions
hence are ‘Backward
Looking” in nature.
Adjustments for CRP
and Tenor are not
required, and the rate
is considered ‘nearly
Risk-Free’.
IBOR fixings
contributed involve
judgment by the
issuing lender and the
rate is forward-looking
in nature hence
lenders consider CRP
and tenor adjustments.
LIBOR Transition
Mechanism

4. 4
Currency Deprecated Expected RFR Rate Type Source
USD USD LIBOR
SOFR
(Secured Overnight Financing Rate)
Secured Federal Reserve1
GBP GBP LIBOR
SONIA
(Sterling Overnight Index Average)
Unsecured Bank of England2
EUR EUR LIBOR / EONIA
€STR
(Euro Short-Term Rate)
Unsecured European Central Bank3
CHF CHF LIBOR
SARON
(Swiss Average Rate Overnight)
Secured Swiss National Bank4
JPY JPY LIBOR
TONAR
(Tokyo Overnight Average Rate)
Unsecured Bank of Japan5
SGD SOR / SIBOR
SORA
(Singapore Overnight Rate Average)
Unsecured Monetary Authority of Singapore6
Sources:
1. https://www.newyorkfed.org/arrc
2. https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor
3. https://www.ecb.europa.eu/paym/interest_rate_benchmarks/WG_euro_risk-free_rates/html/index.en.html
4. https://www.snb.ch/en/ifor/finmkt/fnmkt_benchm/id/finmkt_reformrates
5. https://www.boj.or.jp/en/paym/market/jpy_cmte/index.htm/
6. https://www.mas.gov.sg/monetary-policy/sora
LIBOR Transition
Expected ARFRs

5. 5
LIBOR Transition
SOFR v. USD-LIBOR

6. Got Questions?
Use Google.
6
Thank You!