Market consultation

FTSE Russell client consultation on
LIBOR and EONIA replacement

ftserussell.com

May-June 2020

FTSE Russell consultation on LIBOR and
EONIA replacement
Introduction
The Financial Stability Board (FSB) is leading the reforms for major interest rate benchmarks and to reducereliance on inter-bank offered rates (IBORs).
The volumes in the underlying IBORs have been decreasing since 2008 and the measure is no longer liquid.
There also have been controversies/concerns about the reliability and robustness of these rates.
The UK’s Financial Conduct Authority (FCA) has said that it will no longer persuade or compel banks tomake London Inter-Bank Offered Rate (LIBOR) submissions after the end of 2021 and market participants
should not rely on its continued availability beyond that date.
FTSE Russell has live index products that use the overnight and term IBORs that could be directly impacted
by interest rate benchmark reform.
Given the above FTSE Russell will like to set out a transition roadmap for LIBOR and EONIA. In this respect
we invite market participant and index users’ views for the transition away from these rates to alternative
overnight and term rates.

Responding to the consultation
The proposals set out in this consultation document are included in order to gather feedback andmay or may not result in changes to our indexes or data solutions.
Index users and other stakeholders are invited to respond by 30 June 2020. The responses will be
reviewed by the FTSE Russell Product Governance Board and an update on FTSE Russell’s
proposed approach will be communicated.
Please submit your response to the questions included in this consultation online athttps://www.surveymonkey.co.uk/r/T9JYTBZAll responses will be treated as confidential. FTSE Russell may publish a summary of theconsultation results, but no individual responses will be published and no respondents will be named.
If you have any questions about this survey, or if you encounter any technical issues, please contact
rpawson@ftserusssell.com.

FTSE Russell

2Interest rates to consider
FTSE Russell intends to consult on the rates listed below in table 1
Table 1Category

Issue

LIBOR

Term LIBOR rates are used to apply a liquidity spread – thedifference between the 12 month LIBOR and the 12 month OIS rate
– in FTSE Russell’s leveraged indexes
Term LIBOR rates may no longer be available after the end of 2021

EONIA

From 2nd October 2019, EONIA was defined as €STR + 8.5 bps.
EONIA will be discontinued after the end of 2021

FTSE Russell

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Transition consultation questions
1. In order to reflect the wider spreads between the interbank and the swap market rates post June 2007, a
liquidity spread (difference between the twelve month interbank interest rate and the 12 month overnightindexed swap rate), was introduced in the FTSE Russell leveraged indexes. Do you believe that theliquidity spread is still relevant?

☐ Yes
☐ No
Please enter your comments here:

2. If you answered “Yes” to Question 1, what alternative rates (or methodologies) should LIBOR be
replaced with given that no successor rates have yet been formally announced (or a methodology yet
defined)?
Please enter your comments here:

3. If you answered “Yes” to Question 1, what approximate timelines would be appropriate for the transition
within FTSE Russell indexes?

☐ Q4 2020

FTSE Russell4☐ Q1 2021
☐ Q2 2021☐ Q3 2021☐ Other – please comment below

4. If you answered “No” to Question 1, what approximate timelines would be appropriate for excluding theliquidity spread from the leveraged indexes?

☐ Q4 2020☐ Q1 2021☐ Q2 2021☐ Q3 2021☐ Other – please comment below

FTSE Russell

55. After the end of 2021 should FTSE Russell continue with EONIA being calculated according to thecurrent methodology of €STR + 8.5 bps? Note: major central counterparties have set the discounting
switch date on or around 22 June 2020.

☐ Yes
☐ No
Please enter your comments here:

6. If you answered “No” to Question 5, what approximate timelines would be appropriate for the
replacement with €STR?

☐ Q4 2020☐ Q1 2021☐ Q2 2021☐ Q3 2021☐ Other – please comment below

FTSE Russell

67. Please provide any additional comments
Please enter your comments here:Your details
In this section we will like to know a bit more about your firm and the way in which you use the FTSE Russell
short and leveraged indexes.
All responses will be treated as confidential.
8. Please enter your details below
Company name:Your name:
Email address:
Job title:
City:
Country:

9. Do you use FTSE Russell indexes or data in your investment process?

☐ Yes
☐ No
☐ Don’t know
☐ N/A

FTSE Russell

710. How do you use FTSE Russell indexes? Please select all that apply.
Issuance of financial instruments referencing an index
Determination of amounts payable under a financial instrument or financial contractreferencing an index
Being party to a financial contract referencing an index
Providing a borrowing rate calculated as a spread/mark-up over an index
Determining performance of an investment fund using an index for the purpose of
tracking the return of such fund, defining asset allocation or computing performance
fees
Other (please specify)

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11. Which of the following best describes your business sector?
Academic
Asset manager (predominantly active)
Asset manager (predominantly passive)
Asset owner
Corporate advisory/consultant
ETF/ETP
Investment consultant
Sell-side broker
Other (please specify)

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12. Which of the following best describes your role?
Portfolio Management: Run a portfolio or supports the portfolio manager
Product/Research: Conduct research or manages/develops productManager Research: Select and evaluates managers
Consultant to institutional clients
Marketing/Attribution: Use Index data for marketing purposes or attribution analysis
Risk Management: Analyse and manages market exposures and risks
Data Redistribution: Distribute index data to clients
Market Data: Purchase index data, not a direct user
Trading
Compliance
Lending
Stewardship
Other (please specify)

FTSE Russell

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13. Please indicate which FTSE Russell short and leveraged indexes you use. Please use the table in the
Appendix to record your answers.
14. AUM specific to the FTSE Russell short and leveraged indexes. Please use the table in the Appendix torecord your answers.

FTSE Russell

9Appendix
List of short and leveraged indices

Index CodeIndex Name

Index TypeFMIBI1X

FTSE MIB Daily Short Strategy RT Gross TR Index

Short

FMIBI2X

FTSE MIB Daily Super Short Strategy RT Gross TR
Index

Short

FMIBI3X

FTSE MIB Daily Ultra Short Strategy RT Gross TR Index Short☐FMIBI5X

x5 Daily Short Strategy FTSE MIB RT Gross TR Index

Short

☐

FMIBL2X

FTSE MIB Daily Leveraged RT Net-of-Tax (Lux) TR
Index

Leveraged

FMIBL3X

FTSE MIB Daily Super Leveraged RT Net-of-Tax (Lux)
TR Index

Leveraged

FMIBL4X

FTSE MIB Daily Ultra Leveraged RT Net-of-Tax (Lux) TR
Index
Leveraged☐

FMIBL5X

x5 Daily Leveraged FTSE MIB Daily RT Net-of-Tax (Lux)
TR Index
Leveraged☐

UKXI1XFTSE 100 Daily Short Strategy RT Gross TR Index

Short

☐

UKXI2XFTSE 100 Daily Super Short Strategy RT Gross TR Index Short☐UKXI3XFTSE 100 Daily Ultra Short Strategy RT Gross TR Index Short☐UKXI5X

x5 Daily Short Strategy FTSE 100 RT Gross TR Index

Short

☐

UKXL2XFTSE 100 Daily Leveraged RT TR Index

Leveraged☐

UKXL3XFTSE 100 Daily Super Leveraged RT TR Index

Leveraged☐

UKXL4XFTSE 100 Daily Ultra Leveraged RT TR Index

Leveraged☐

UKXL5X

x5 Daily Leveraged FTSE 100 RT TR Index

Leveraged☐

MCXI1XFTSE 250 Daily Short Strategy RT Gross TR Index

Short

☐

FTSE Russell

Used ?

AUM (USD
millions)

☐
☐

☐

☐

10

MCXI2X

FTSE 250 Daily Super Short Strategy RT Gross TR Index Short☐MCXI3XFTSE 250 Daily Ultra Short Strategy RT Gross TR Index Short☐

MCXL2XFTSE 250 Daily Leveraged RT TR Index

Leveraged☐

MCXL3XFTSE 250 Daily Super Leveraged RT TR Index

Leveraged☐

MCXL4XFTSE 250 Daily Ultra Leveraged RT TR Index

Leveraged☐

SLQUSS1

FTSE USA Large Cap Super Liquid Daily Short Index

Short

☐

SLQUSS2FTSE USA Large Cap Super Liquid 2x Daily Short Index Short☐SLQUSS3

FTSE USA Large Cap Super Liquid 3x Daily Short Index Short☐SLQUSL2

FTSE USA Large Cap Super Liquid 2x Daily Leveraged
Index

Leveraged☐

SLQUSL3

FTSE USA Large Cap Super Liquid 3x Daily Leveraged
Index

Leveraged

SLQUSL4

FTSE USA Large Cap Super Liquid 4x Daily Leveraged
Index

Leveraged

SLQUKMS1

FTSE UK Mid Cap Super Liquid Daily Short Index

Short

☐

SLQUKMS2

FTSE UK Mid Cap Super Liquid 2x Daily Short Index

Short

☐

SLQUKMS3

FTSE UK Mid Cap Super Liquid 3x Daily Short Index

Short

☐

SLQUKML2

FTSE UK Mid Cap Super Liquid 2x Daily Leveraged
Index

Leveraged

SLQUKML3

FTSE UK Mid Cap Super Liquid 3x Daily Leveraged
Index

Leveraged

SLQUKML4

FTSE UK Mid Cap Super Liquid 4x Daily Leveraged
Index

Leveraged

SLQJPLS1

FTSE Japan Large Cap Super Liquid Daily Short Index

Short

SLQJPLS2FTSE Japan Large Cap Super Liquid 2x Daily Short
Index

Short

FTSE Russell

☐

☐

☐

☐

☐
☐
☐

11

SLQJPLS3

FTSE Japan Large Cap Super Liquid 3x Daily ShortIndex

SLQJPLL2

FTSE Japan Large Cap Super Liquid 2x Daily Leveraged
Index
Leveraged☐

SLQJPLL3

FTSE Japan Large Cap Super Liquid 3x Daily Leveraged
Index
Leveraged☐

SLQSPS1X

FTSE Spain Super Liquid Daily Short Index

Short

☐

SLQSPS2X

FTSE Spain Super Liquid 2x Daily Short Index

Short

☐

SLQSPS3X

FTSE Spain Super Liquid 3x Daily Short Index

Short

☐

SLQSPL2X

FTSE Spain Super Liquid 2x Daily Leveraged Index

Leveraged☐

SLQSPL3X

FTSE Spain Super Liquid 3x Daily Leveraged Index

Leveraged☐

FMIBI1FTSE MIB Short Strategy Index

Short

☐

FMIBI2

FTSE MIB Daily Super Short Strategy Index

Short

☐

FMIBL2

FTSE MIB Daily Leveraged Index

Leveraged

☐

UKXI2

FTSE 100 Daily Super Short Strategy Index

Short

☐

UKXL2

FTSE 100 Daily Leveraged Index

Leveraged☐

BRICUS1X

FTSE BRIC 50 Daily Short Index

Short

☐

BRICUS2X

FTSE BRIC 50 2x Daily Short Index

Short

☐

BRICUS3X

FTSE BRIC 50 3x Daily Short Index

Short

☐

BRICUL2X

FTSE BRIC 50 2x Daily Leveraged Index

Leveraged☐

BRICUL3X

FTSE BRIC 50 3x Daily Leveraged Index

Leveraged☐

UKXS

FTSE 100 Short Index

Short

☐

DXNAL1QXFTSE Developed Ex NA 1.25x Daily Leveraged No
Spread Index

Leveraged

FTEML1QXFTSE Emerging 1.25x Daily Leveraged No Spread Index Leveraged☐

USCSLS1X

FTSE USA Small Cap Super Liquid Daily Short Index☐

FTSE Russell

Short

Short

☐

☐

12

USCSLS2X

FTSE USA Small Cap Super Liquid 2x Daily Short Index Short☐USCSLS3X

FTSE USA Small Cap Super Liquid 3x Daily Short Index Short☐USCSLL2X

FTSE USA Small Cap Super Liquid 2x Daily Leveraged
Index

Leveraged☐

USCSLL3X

FTSE USA Small Cap Super Liquid 3x Daily Leveraged
Index

Leveraged

XIN0US1X

FTSE China 50 Daily Short Index

Short

☐

XIN0US2X

FTSE China 50 2x Daily Short Index

Short

☐

XIN0US3X

FTSE China 50 3x Daily Short Index

Short

☐

XIN0UL2X

FTSE China 50 2x Daily Leveraged Index

Leveraged☐

XIN0UL3X

FTSE China 50 3x Daily Leveraged Index

Leveraged☐

WIJPNS1X

FTSE Japan Daily Short Index

Short

☐

WIJPNS2X

FTSE Japan 2x Daily Short Index

Short

☐

WIJPNS3X

FTSE Japan 3x Daily Short Index

Short

☐

WIJPNL2X

FTSE Japan 2x Daily Leveraged Index

Leveraged☐

WIJPNL3X

FTSE Japan 3x Daily Leveraged Index

Leveraged☐

FCNACS1X

FTSE N Share Daily Short Index

Short

☐

FCNACS2X

FTSE N Share 2x Daily Short Index

Short

☐

FCNACS3X

FTSE N Share 3x Daily Short Index

Short

☐

FCNACL2X

FTSE N Share 2x Daily Leveraged Index

Leveraged☐

FCNACL3X

FTSE N Share 3x Daily Leveraged Index

Leveraged☐

FTGMIS1X

FTSE Gold Mines Daily Short Index

Short

☐

FTGMIS2X

FTSE Gold Mines 2x Daily Short Index

Short

☐

FTGMIS3X

FTSE Gold Mines 3x Daily Short Index

Short

☐

FTGMIL2X

FTSE Gold Mines 2x Daily Leveraged Index

Leveraged☐

FTSE Russell☐

13

FTGMIL3X

FTSE Gold Mines 3x Daily Leveraged Index

Leveraged☐

FTSTIS1X

STI Daily Short Index

Short

☐

FTSTIS2X

STI 2x Daily Short Index

Short

☐

FTSTIS3X

STI 3x Daily Short Index

Short

☐

FTSTIL2X

STI 2x Daily Leverage Index

Leveraged☐

FTSTIL3X

STI 3x Daily Leverage Index

Leveraged☐

EMNLL1QXFTSE Emerging Net Tax (US RIC) 1.25x Daily Leveraged
No Spread LIBOR Index
Leveraged☐

DXUSL1QXFTSE Developed ex US All Cap Net Tax (US RIC) 1.25x
Daily Leveraged No Spread Index

Leveraged☐

XUSLL1QXFTSE Developed ex US All Cap Net Tax (US RIC) 1.25x
Daily Leveraged No Spread LIBOR Index

Leveraged

FTKLPL2X

FTSE Bursa Malaysia KLCI 2x Daily Leveraged (Price)
Index

Leveraged

FTKLPS1X

FTSE Bursa Malaysia KLCI Daily Short (Price) Index

Short

☐

R2000S1X

Russell 2000 Daily Short Index

Short

☐

R2000S2X

Russell 2000 2x Daily Short Index

Short

☐

R2000L2X

Russell 2000 2x Daily Leveraged Index

Leveraged☐

UKXDL2X

FTSE 100 2x Daily Leveraged (Declared Dividend)
Index

Leveraged

FTSE Russell

☐

☐

☐

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For more information about our indexes, please visit ftserussell.com.
© 2020 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE
International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global
Debt Capital Markets Limited (together, “FTSE Canada”), (4) MTSNext Limited (“MTSNext”), (5) Mergent, Inc. (“Mergent”), (6) FTSE
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may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All
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officially launched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and thehistoric calculations of an index may change from month to month based on revisions to the underlying economic data used in thecalculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future
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their respective licensors.

FTSE Russell

15About FTSE Russell
FTSE Russell is a leading global index provider creating and managing awide range of indexes, data and analytic solutions to meet client needs
across asset classes, style and strategies. Covering 98% of the investable
market, FTSE Russell indexes offer a true picture of global markets,
combined with the specialist knowledge gained from developing local
benchmarks around the world.
FTSE Russell index expertise and products are used extensively byinstitutional and retail investors globally. For over 30 years, leading asset
owners, asset managers, ETF providers and investment banks have chosen
FTSE Russell indexes to benchmark their investment performance andcreate investment funds, ETFs, structured products and index-based
derivatives. FTSE Russell indexes also provide clients with tools for asset
allocation, investment strategy analysis and risk management.
A core set of universal principles guides FTSE Russell index design andmanagement: a transparent rules-based methodology is informed byindependent committees of leading market participants. FTSE Russell isfocused on index innovation and customer partnership applying the highest
industry standards and embracing the IOSCO Principles. FTSE Russell iswholly owned by London Stock Exchange Group.
For more information, visit ftserussell.com.

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