The IBOR Transition Digest is a periodic compendium of global regulatory and market developments and insights on the complex issues confronting financial market participants as they continue to transition from LIBOR and its variants to replacement benchmark interest rates. As the market moves to the next phase of IBOR transition, it is critical to have access to comprehensive and timely resources about the market.
THOUGHT LEADERSHIP
Fannie and Freddie Confirm Choice of SOFR
as Replacement for LIBOR in Existing Mortgage
Loans
Consumer Financial Services Review blog, 12 February
2023
Fannie Mae and Freddie Mac have provided additional details of the
necessary changes to outstanding adjustable-rate mortgage loans
that currently are linked to LIBOR indices, largely mirroring the
changes mandated in the Adjustable Interest Rate (LIBOR) Act, as
well as current practice for new Fannie Mae and Freddie Mac
loans.
LIBOR Lapse Looms Large
Legal Update, 10 February 2023
With fewer than four months until a compliant USD LIBOR ceases to
be published, some segments of the market are well advanced in
transitioning from LIBOR to SOFR but the lending market generally
is behind. Loan market participants are encouraged to begin the
transition as soon as possible.
View all of our IBOR transition thought leadership under the Perspectives tab of our IBOR Transition portal page and on our Eye on IBOR Transition blog.
NEWS AND DEVELOPMENTS
United States – Syndicated and Bilateral Loans
Servicing Notice: Legacy LIBOR Replacement
Index
Fannie Mae, 8 March 2023
Bulletin 2023-2: LIBOR
Transition
Freddie Mac, originally published 25 January 2023 and
updated 8 March 2023
Updating index names to align with the names published by
Refinitiv, and make other typographical corrections.
LIBOR Remediation: Speeding
Up!
Loan Syndications & Trading Association, 2 March
2023
Analyzing the "'loans are late' narrative" and
discussing the nuances of loan remediation and the current state of
the loans market.
Adjustable Rate Mortgages: Transitioning
From LIBOR to Alternate Indices
US Department of Housing and Urban Development, 1 March
2023
HUD is (a) removing LIBOR as an approved index for adjustable
interest rate mortgages (ARMs), and replacing LIBOR with SOFR as a
Secretary-approved index for newly originated forward ARMs; (b)
codifying its removal of LIBOR and approval of SOFR as an index for
newly-originated Home Equity Conversion Mortgage (HECM or reverse
mortgage) ARMs; (c) establishing a spread-adjusted SOFR index as
the Secretary-approved replacement index to transition existing
forward and HECM ARMs off LIBOR; and (d) making clarifying changes
to its HECM Monthly ARM regulation and establishing a lifetime
adjustment cap for monthly adjustable rate HECMs.
United States – Derivatives
Reminder: Switch to SOFR data prior to
April 14 Eurodollar Fallbacks Conversion
CME Group, 15 March 2023
On 14 April 2023, all Eurodollars (excluding April, May, and June
2023 futures and associated options) will be converted to SOFR
equivalents, and cease trading.
March Rates Recap
CME Group, 9 March 2023
Several articles of interest, including CME €STR First, the
conversion of Eurodollar futures and options to SOFR, and the move
to an overnight rate for Mexican interest rate swaps.
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