Supplement to the “Plain English” Disclosures for Derivatives Referencing LIBOR and other IBORs

The below information supplements the “plain English” disclosures available on the CFTC’s website. The information covers LIBOR in the five currencies in which it is currently published (USD, GBP, CHF, JPY and EUR), EURIBOR, TIBOR, Euroyen TIBOR, BBSW, HIBOR and CDOR (each an IBOR) and their current administrators, as well as information about the alternative risk free rate (RFR) for each IBOR, the administrators for the alternative RFRs, and the designated public-/private-sector working group for each relevant jurisdiction.

 

LIBOR and other IBORs

You can learn more about USD LIBOR here.

You can learn more about GBP LIBOR here.

You can learn more about CHF LIBOR here.

You can learn more about JPY LIBOR here.

You can learn more about EUR LIBOR here.

You can learn more about EURIBOR here.

You can learn more about TIBOR here.

You can learn more about Euroyen TIBOR here.

You can learn more about the Bank Bill Swap Rate (BBSW) here.

You can learn more about the Hong Kong Inter-bank Offered Rate (HIBOR) here.

You can learn more about the Canadian Dollar Offered Rate (CDOR) here.

 

IBOR Administrators

ICE Benchmark Administrator (IBA) is the administrator of USD LIBOR, GBP LIBOR, JPY LIBOR, CHF LIBOR, and EUR LIBOR.  You can learn more about IBA here.

European Money Markets Institute (EMMI) is the administrator of EURIBOR.  You can learn more about EMMI here.

Japanese Bankers Association TIBOR Administrator (JBATA) is the administrator of TIBOR and Euroyen TIBOR.  You can learn more about JBATA here.

The Australian Securities Exchange (ASX) is the administrator of BBSW.  You can learn more about ASX here.

The Treasury Markets Associations (TMA) is the administrator of HIBOR.  You can learn more about the TMA here.

Refinitiv is the administrator of CDOR.  You can learn more about Refinitiv here.

 

Alternative RFRs

The alternative RFR for USD LIBOR is the Secured Overnight Financing Rate (SOFR).  You can learn more about SOFR here.

The alternative RFR for GBP LIBOR is the Sterling Overnight Index Average (SONIA).  You can learn more about SONIA here.

The alternative RFR for CHF LIBOR is the Swiss Average Rate Overnight (SARON).  You can learn more about SARON here.

The alternative RFR for JPY LIBOR, TIBOR and Euroyen TIBOR is the Tokyo Overnight Average Rate (TONA).  You can learn more about TONA here.

When it is published on October 2, 2019, the Euro Short-Term Rate (€STR) will be the alternative RFR for EUR LIBOR and EURIBOR.  You can learn more about €STR here.

The alternative RFR for BBSW is the Reserve Bank of Australia Interbank Overnight Cash Rate (AONIA).  You can learn more about AONIA here.

The alternative RFR for HONIA is the Hong Kong Dollar Overnight Index Average (HONIA).  You can learn more about HONIA here.

The alternative RFR for CDOR is the Canadian Overnight Repo Rate Average (CORRA).  You can learn more about CORRA here.

 

Alternative RFR Administrators

The Federal Reserve Bank of New York (NY Fed) is the administrator of SOFR.  You can learn more about the NY Fed here.

The Bank of England is the administrator of SONIA.  You can learn more about the Bank of England here.

SIX Swiss Exchange is the administrator of SARON.  You can learn more about SIX Swiss Exchange here.

The Bank of Japan is the administrator of TONA.  You can learn more about the Bank of Japan here.

The European Central Bank (ECB) will be the administrator of €STR when it is published on October 2, 2019.  You can learn more about the ECB here.

The Reserve Bank of Australia (RBA) is the administrator of AONIA.  You can learn more about the RBA here.

The Treasury Markets Associations (TMA) is the administrator of HONIA.  You can learn more about the TMA here.

Refinitiv is the administrator of CORRA.  You can learn more about Refinitiv here.

 

Public-/Private-Sector Working Groups

You can learn more about the Alternative Reference Rates Committee (ARRC) in the United States here.

You can learn more about the Working Group on Sterling Risk-Free Reference Rates in the United Kingdom here.

You can learn more about the National Working Group (NWG) on Swiss Franc Reference Rates here.

You can learn more about the Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks here.

You can learn more about the Working Group on Euro Risk-Free Rates here.

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