Co-hostLead Sponsor

Gold Sponsor

Endorser1

Agenda:Time

Session10:00-10:05

Welcome Remarks:• Kok Wei Chu, President of Financial Markets Association Malaysia and Vice Chairman of ASIFMA

10:05-10:20

Keynote Address: Preparing for LIBOR Transition• Aznan Abdul Aziz, Assistant Governor, Bank Negara

10:20-10:25

ASIFMA Regional Update• Rebecca Weinrauch, Executive Director – Head of Fixed Income, ASIFMA

10:25-10:35

Impact of IBOR Transition on the Local Banking Market• Hooi Lam Chan, Partner, Malaysia and ASEAN Financial Services Assurance Leader, EY

10:35-11:15

Product Presentations:• Jing Gu, Head of Legal, Asia Pacific, ISDA
• Mushtaq Kapasi, Managing Director – Chief Representative Asia Pacific, ICMA
• Andrew Hutchins, Partner, Clifford Chance2Agenda:Time

Session

11:15-11:30

IBOR Transition: Data and Infrastructure Viewpoint
Edmund Lee, OTC Data Strategy Manager, Asia Pacific, Bloomberg L.P.

11:30-12:10

Banking Panel on Implementation Issues• Kevin Yam, Managing Director, Deutsche Bank
• Jacob Abraham, Chief Risk Officer, Group Global Banking, Maybank• Tiak-Peow Phua, Executive Director, Libor Transition, Conduct,
Compliance, Standard Chartered

Financial

12:10-12:25

Local Accounting Issues: Fair Value, Value Transfer, Hedge Accounting and Modifications• Damien Jones, Partner, Financial Services, EY• Hooi Lam Chan, Partner, Malaysia and ASEAN Financial Services Assurance Leader, EY

12:25-12:30

Q&A

Crime

and

3

Get Involved:

Asking a question anytime via the “Q&A” box on your tool bar

4

Welcome Remarks:

Kok Wei Chu
President, Financial Markets Association Malaysia
and Vice Chairman, ASIFMA5

Co-host

Lead Sponsor

Gold Sponsor

Endorser6

Keynote Address: Preparing for LIBOR Transition

Aznan Abdul Aziz
Assistant Governor
Bank Negara

7Co-host

Lead Sponsor

Gold Sponsor

Endorser8

ASIFMA Regional Update:Rebecca Weinrauch
Executive Director – Head of Fixed Income
ASIFMA

9

Areas to cover:•••

IBOR Transition Guide for Asia published by ASIFMA, ICMA, ISDA andAPLMA, with contribution from Deloitte and Morgan Lewis.

Survey of ASIFMA Members on external frictions yet to be resolved
Regional education program: Singapore, Malaysia, Philippines,
Thailand, Vietnam, Indonesia, and India
10Co-host

Lead Sponsor

Gold Sponsor

Endorser11

Impact of IBOR Transition on the Local Banking Market:

Hooi Lam Chan
Partner, Malaysia and
ASEAN Financial Services Assurance Leader
EY

12IBOR reform – Malaysia
perspective
Financial reporting and related impacts

Malaysian banks’ LIBOR exposures as of 30 June 2019 – RM857 billion
All banks have established dedicated transition teams. Extent and depth covered remain uneven across institutions:(1) How the transition is managed, (2) progress, and (3) risks determined by each to be exposed

79%

13%

8%

Derivatives – Post lower transition risk

Loans and financing – Greater
concerns for accounts maturing post2021

Bonds and others:► Bonds – 1%
► Interbank lending/borrowing,
customers deposits and others – 7%

Source: Bank Negara Malaysia – Financial Stability Review – Second Half 2019
Page 14

18 September 2020

IBOR reform – Malaysia perspective

IBOR transition key areas/impacts

Accounting, financial
reporting and tax

Page 15

18 September 2020

Legal provisions,contract amendments
and Shariah
compliance

IBOR reform – Malaysia perspective

Customers andreputation

Valuation, models,
systems, processes
and governance“

We do not foresee big issues otherthan probably on certain loanrenegotiation, and the tedious
operational processes going
through ...
Anonymous
Senior executive of a large and regional banking group

EY | Assurance | Tax | Transactions | Advisory
About EY
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Zone, in the Signature, boilerplate and descriptor section.
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magna aliquam erat volutpat. Ut wisi ad minim veniam, quis
nostrud exercitation ullam corper suscipit lobortis nisl ut
aliquip ex ea duncai consequat.
Financial Services© 2020 EYGM Limited.
All Rights Reserved.
EYG00001-162Gbl - CHL
ED 0920
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nonummy nibh euismod tincidunt ut laoreet dolore magna aliquam erat volutpat.

ey.comCo-host

Lead Sponsor

Gold Sponsor

Endorser18

Product Presentations:

Jing Gu
Head of Legal, Asia Pacific
ISDA

Mushtaq Kapasi
Managing Director –Chief Representative Asia Pacific
ICMA

Andrew Hutchins
Partner
Clifford Chance19Benchmark Reform Update
September 18, 2020

Implementation of Fallbacks in Derivative Contracts
Jing Gu
Head of Legal, Asia Pacific
ISDA®ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.

Copyright © 2020 International Swaps and Derivatives Association, Inc.

ISDA IBOR Fallback UpdatePreparing for IBOR transition
Overview of alternative RFR identification
Working Groups in each jurisdiction have recommended robust, alternative RFRs to transition away from existing IBORs, the alternative RFRbenchmarks are overnight, whereas the current use of IBORs is largely in term rates.
JurisdictionUK

USWorking Group

Working Group on
Sterling Risk-Free
Reference Rates

Alternative Reference
Rates Committee

Alternative RFR

Reformed Sterling
Overnight Index
Average (SONIA)

Rate
administration

Bank of England

Secured OvernightFederal Reserve
Financing Rate (SOFR) Bank of New York

Characteristics

Secured vs.
Anticipatedunsecured publication date

Description

Currently being
published• Fully transaction-based• Encompasses a robust underlying market• Overnight, nearly risk-free reference rate
• Includes an expanded scope of transactions to incorporate overnight unsecured transactions
negotiated bilaterally and those arranged with brokers• Includes a volume-weighted trimmed mean

SecuredCurrently being
published• Fully transaction-based• Encompasses a robust underlying market• Overnight, nearly risk-free reference rate that correlates closely with other money market
rates• Covers multiple repo market segments, allowing for future market evolution• Fully transaction-based• Encompasses a robust underlying market• Overnight, nearly risk-free reference rate
• Includes a volume-weighted trimmed mean

Unsecured

Working Group on RiskFree Reference Rates for
the Euro Area

European ShortTerm Rate(€STR)

European Central
Bank

Unsecured

Currently being
published

Switzerland

The National Working
Group on CHF Reference
Rates

Swiss Average Rate
Overnight (SARON)SIX Swiss Exchange

SecuredCurrently being
published• Became the reference interbank overnight repo on 25 August 2009
• Secured rate that reflects interest paid on interbank overnight repoJapan

Study Group on Risk-Free
Reference Rates

Tokyo Overnight
Average Rate
(TONA)

Unsecured

Currently being
published• Fully transaction-based benchmark for the robust uncollateralized overnight call rate market• The Bank of Japan calculates and publishes the rate on a daily basis, using information
provided by money market brokers known as Tanshi• As an average, weighted by the volume of transactions corresponding to the rate

EuropeISDA IBORIBORFallback
FallbackUpdate
Update21 ISDABank of Japan

IBOR Fallbacks: ISDA’s Work – Fallback Rates (1)ISDA IBORIBORFallback
FallbackUpdate
Update22 ISDAIBOR Fallbacks: ISDA’s Work – Fallback Rate (2)•A number of key Asian benchmarks are synthetic benchmarks derived by applying a forward FX curve to the USD LIBOR
curve. When USD LIBOR is no longer available after the end of 2021, the sustainability of these benchmarks is in doubt:• Key benchmarks are: SOR (Singapore); THBFIX (Thailand); MIFOR (India) and PHIREF (Philippines).
• Planning for the cessation of LIBOR is led by the respective administrators and regulators of these benchmarks. Some have
replacement rates for new transactions identified and transition timelines in place (SOR and THBFIX), whereas others are
yet to identify the replacement rates.
• ISDA IBOR Fallback Protocol and Supplement cover SOR and THBFIX▪ Index cessation event is triggered by the occurrence of an “Index Cessation Event” applicable to USD LIBOR• Links to the National RFR Working Groups in the APAC region••

https://www.bot.or.th/Thai/FinancialMarkets/Pages/ReferenceInterestAndEndOfUseLIBOR.aspx
https://www.abs.org.sg/benchmark-rates/about-sora•

https://www.tma.org.hk/en_market_LIBOR.aspx•

https://afma.com.au/ibor_transformation_working_grouphttps://www.isda.org/2020/05/11/benchmark-reform-and-transition-from-libor/•https://www.boj.or.jp/en/paym/market/jpy_cmte/index.htm/

23 ISDA IBOR Fallback Update

IBOR Fallbacks: ISDA’s Work – Implementation of Fallbacks in Supplement
Form of Amendments• Supplement to the 2006 ISDA Definitions: To account for any permanent discontinuation of a relevant IBOR, amendments
to the floating rate options in Section 7.1 of the 2006 ISDA Definitions for the relevant IBORs will take the form of:–a statement identifying the objective triggers that would activate the selected fallbacks (the trigger defined as ‘Index
Cessation Event’); and–a description of the fallbacks that would apply upon the occurrence of that trigger, which will be:i.

the relevant RFR adjusted using methodologies to account for (A) the fact that the RFR is an overnight rateand (B) the various premia included within the IBOR; andii.

if the relevant RFR is permanently discontinued, one or more further fallbacks.

Upon publication of the Supplement, all new derivative transactions entered into on or after the date of theamendments that incorporate the 2006 ISDA Definitions will include the fallbacks (counterparties will not have to takeany additional steps).

24 ISDA IBOR Fallback Update

IBOR Fallbacks: ISDA’s Work – Implementation of Fallbacks in Protocol
Form of Amendments• ISDA 2020 IBOR Fallbacks Protocol: ISDA will also publish a protocol to facilitate inclusion of the amended floating rate options(i.e., the definitions with fallbacks) into existing derivative contracts entered into prior to publication of the Supplement.
–

Adherents to the Protocol will agree that derivative transactions that they have entered into with other adherents prior to
publication of the Supplement will be based on the relevant amended floating rate options in the 2006 ISDA Definitions,notwithstanding when the transactions were entered into.

–

The Protocol will cover those ISDA master agreements, ISDA credit support documents and confirmations that:
i.
ii.
iii.

–
–

incorporate one of several ISDA definitional booklets;
reference an IBOR as defined in or has the meaning in one of several ISDA definitional booklets; orreference an IBOR howsoever defined.

The Protocol will also extend to additional non-ISDA master agreements and credit support documents.
ISDA will also provide translation of the IBOR Fallbacks Supplement and Protocol for certain jurisdictions

25 ISDA IBOR Fallback Update

IBOR Fallbacks: ISDA’s Work – Triggers• The fallbacks apply upon the permanent discontinuation of the relevant IBOR (based on pre-determined, objective triggers)
and will be to the relevant alternative risk-free rate (RFR), subject to term and spread adjustments. The permanent
discontinuation trigger is defined as “Index Cessation Event” in the non-LIBOR Rate Options.
• The fallbacks will not apply until the actual discontinuation of the relevant IBOR (if that is after the announcement date). Thisdate is defined as the “Index Cessation Effective Date”.
• For LIBOR in GBP/CHF/USD/EUR/JPY, the fallbacks apply upon the earlier to occur of (i) the permanent discontinuation or (ii)the non-representativeness (as determined by the UK FCA) (a so-called “pre-cessation” trigger) of LIBOR in the relevant
currency (based on pre-determined, objective triggers) and will be to the relevant alternative RFR, subject to term and spreadadjustments. The combined permanent discontinuation and pre-cessation trigger is also defined as “Index Cessation Event”
in the LIBOR Rate Options.
o The Index Cessation Effective Date for the pre-cessation trigger will be the date on which LIBOR in the relevant currency ‘is nolonger representative’, which may either coincide with or be after the date of an announcement that it is ‘no longer capable ofbeing representative’.
o Statement from the UK FCA regarding announcement of contractual triggers for LIBOR available athttps://www.fca.org.uk/markets/transition-libor/libor-contractual-triggers

26 ISDA IBOR Fallback Update

IBOR Fallbacks: Adjustments to Fallback Rates
Form of Adjustments• The RFRs are adjusted (1) to reflect the fact that the IBOR is a term rate and (2) to factor in the embedded bank credit spreadelement of the IBOR.
• The current methodology is:–

RFRs are based on the compounded setting in arrears rate and the five year historical median approach to the spreadadjustment.

–

The compounded setting in arrears rate is the RFR observed over a period (generally equivalent to the relevant IBOR
tenor) and compounded daily. The rate is adjusted whereby the observation period is backward-shifted to allow for therate to be known prior to the relevant payment date.

–

The five-year historical median approach to the spread adjustment is based on the median spot spread between the
IBOR and the term-adjusted RFR calculated over a static lookback period of five years prior to the Index Cessation Event.
The spread adjustment will be added to the compounded setting in arrears rate (but will not be compounded itself).

Information about the relevant consultations and results, as well as test data and example calculations from Bloomberg, areavailable at ISDA Benchmark Reform and Transition from LIBOR webpage https://www.isda.org/2020/05/11/benchmarkreform-and-transition-from-libor/

27 ISDA IBOR Fallback Update

IBOR Fallbacks: Adjustments to Fallback Rates• Bloomberg will publish (i) the compounded setting in arrears rate, (2) the spread adjustment and (3) the ‘all in’
fallback rate on a daily basis• Publication will be on an indicative basis (i.e., ‘as if’ the fallbacks were triggered on the publication date)• Upon the occurrence of an ‘Index Cessation Event’ for the relevant IBOR, the spread adjustment will be fixed (but theindicative compounded setting in arrears rate and ‘all in’ fallback rate will continue to change on a daily basis). Contracts
will continue to reference the relevant IBOR until the ‘Index Cessation Effective Date’ occurs.
• Upon the occurrence of an ‘Index Cessation Effective Date’ for the relevant IBOR, contracts that continue to reference therelevant IBOR will reference the ‘all in’ fallback rate (which will include the spread adjustment that was set on the date ofthe ‘Index Cessation Event’ but with a changing compounded setting in arrears rate).

• Rulebook for final methodology published April 22, 2020. Available at
http://assets.isda.org/media/34b2ba47/c5347611-pdf/.
• FAQs (to be updated from time-to-time) available at http://assets.isda.org/media/ddcb20e0/76dd3ab8-pdf/

ISDA IBORIBORFallback
FallbackUpdate
Update28 ISDAIBOR Fallbacks: Key Dates
Bloomberg begins publication of indicative fallback rates via:
• Bloomberg Terminal• Bloomberg Data License• Bloomberg’s LIBOR Transition website (on a delayed basis)

Live as of July 17th

Launch of IBOR Fallback Supplement and IBOR Fallback Protocol

September 2020 (or later date after receive positive Business
Review Letter from the US DoJ and similar comfort from otherrelevant competition law authorities), with 2-4 weeks’ notice of
launch date

Effectiveness of IBOR Fallback Supplement and IBOR Fallback
ProtocolLate 2020 (or 2-4 months after publication)

29 ISDA IBOR Fallback Update

IBOR Fallback Protocol: Adherence in Escrow
22 July – ISDA’s Letter to National RFR WGs – ISDA IBOR Fallback Protocol• ISDA will provide market participants with approximately 2-4 weeks’ notice of the official launch date and later effective date.
• During this 2-4 weeks period, ISDA expects to facilitate a process whereby regulated entities and other key market participants
can adhere to the IBOR Fallback Protocol ‘in escrow’ prior to the launch date.
• This adherence will be binding and complete but the adhering entity’s name and information will not appear on the ISDA website
until the official launch date (and the adherence letter will be ‘deemed’ delivered as of that launch date, not the earlier date on
which it was submitted ‘in escrow’).
• Entities that adhere in escrow will do so via a private link that ISDA sends them. This link will take them to a page with the text of
the IBOR Fallback Protocol and all related information, including full adherence mechanics. The final text of the IBOR Fallback
Supplement and the IBOR Fallback Protocol will be available on www.isda.org during this time but the information in the private
link (e.g., adherence mechanics, list of adherents) will not be publicly available.
• Wide take up of this ‘adherence in escrow’ process will result in a broad and comprehensive list of adherents at the time the IBOR
Fallback Protocol launches and thereby indicate to the market an expectation of wide usage of the new fallbacks.
• RFR Working Groups in the UK, the US, the EU, Switzerland, Canada, Japan and Singapore have sent messages encouraging
dealers and other firms with significant derivatives exposure to adhere to the protocol during the escrow period in order topromote adoption.

30 ISDAISDA IBORIBORFallback
FallbackUpdate
UpdateIBOR Fallbacks: Other Templates and Materials• ‘Short form’ language for bilaterally incorporating the terms of the ISDA IBOR Fallbacks Protocol into agreements
on a wholesale basis for purposes of bilateral adherence• ‘Long form’ language setting out the language from the Attachment to the ISDA IBOR Fallbacks Protocol in full for
purposes of bilateral adherence• Template acknowledgment language for transactions entered into prior to publication of the IBOR Fallbacks
Protocol• Template wording for inclusion in (i) confirmations for new transactions or (ii) amendments to legacy transactions(on a counterparty-by-counterparty or transaction-by-transaction basis) between counterparties who adhered to
the IBOR Fallbacks Protocol and/or bilaterally adopted the terms of the IBOR Fallback Protocols using either ‘shortform’ or ‘long form’ language
•
•
•
•
•

Exclude transactions and agree to different fallbacks (e.g., to ‘perfectly match’ hedges)
Include enhanced Calculation Agent dispute provisions
Include additional documents and/or transactions
Exclude the pre-cessation fallbacks for LIBOR
Other templates as required/requested• Potential supplemental amendments to fallbacks for non-linear derivatives (e.g., in arrears swaps, caps/floors,
swaptions) – currently seeking feedback on approaches
31 ISDAISDA IBORIBORFallback
FallbackUpdate
UpdateCCPs – Transition to €STR and SOFR Discounting€STR> CCPs to switch discounting on all EUR-denominatedproducts from EONIA to €STR flat.
> CCP Transition Date: 24 July 2020.
> CCPs to apply cash compensation payments to all
accounts containing open EUR-denominated positions
on the transition date.

ISDA IBORIBORFallback
FallbackUpdate
Update32 ISDASOFR> CCPs to switch discounting on all USD-denominatedproducts from Fed Funds to SOFR.
> CCP Transition Date: 16 October 2020 *> CCPs to offer a combination of cash compensation (inrespect of valuation change) and swap compensation(in respect of risk profile change) to all accounts
containing open USD-denominated positions on thetransition date.
> At certain CCPs, including LCH, client accounts will beable to elect for cash-only compensation, in lieu ofswap compensation.
> An auction process will be used to close out unwanted
compensating swaps and provide a reference for cash
compensation calculations.
*subject to regulatory approval

ISDA Collateral Agreement Interest Rate Definitions> ISDA has published the Collateral Agreement Interest Rate Definitions.
> Incorporation of these into ISDA collateral agreements will enable parties to include standardised definitions (including
triggers and fallbacks) relating to overnight interest rates.
> The triggers and fallbacks are designed to mirror those used in derivative transactions which reference the relevant
overnight interest rates included in the Definitions.

> The first version contains collateral rate definitions of EONIA (Collateral Rate) and EuroSTR (Collateral Rate). Subsequentversions to contain SOFR (Collateral Rate) and other RFR definitions.
> Parties can:> (i) incorporate the most recent version of the Definitions prior to entry into the relevant agreement, or> (ii) incorporate the Definitions as amended from time to time, and elect to apply Interest Rate Override. Option to
override the definition of either a specified interest rate benchmark (eg Interest Rate Override (EONIA)), or all
benchmarks (Interest Rate Override (All Rates)), already included in the relevant agreement with the definition of thatinterest rate benchmark from the Collateral Definitions.

ISDA IBORIBORFallback
FallbackUpdate
Update33 ISDAISDA’s 2018 IBOR Global Benchmark Transition Report – Steps Market
Participants Can Take to Prepare for Transition
Assessment of IBOR Exposures

Assess Impact of Permanent Cessation•

Inventory of products linked to IBORs•

Review existing contracts and assess fallbacks•

Dynamic quantification of net and gross exposure on and offbalance sheet•

Determine re-papering/client outreach•Engage with industry working groups to enhance fallbacks

Calculate roll-off profiles ahead of 2019, 2020, 2021•

Mobilize efforts to implement fallbacks•

Transition Route Map

Mobilization of an IBOR Transition Program•

Contribute to demand for, design of and trading in new RFR
products•

Allocate responsibility to senior executive•

Federate governance structure•

Review relevant RFR WG publications, roadmaps etc•

Budget & resourcing•

Apply to participate in RFR WGs•

Project objectives•

Determine required infrastructure and process changes•

Stakeholder education•

Develop an implementation route map of key projects,
milestones and ownership

LIBOR Transition
ISDAPath
IBORForward
Fallbackfor
Update34 TheIBOR Fallbacks: Additional Information• ISDA/Bloomberg/Linklaters IBOR Fallbacks Fact Sheet• Understanding IBOR Benchmark Fallbacks• Benchmark Reform at a Glance• IBOR Transition Guide for Asia co-published by ISDA, ASIFMA, ICMA and APLMAAll of these materials, as well as additional information about ISDA’s work to implement IBOR fallbacks
and other benchmark reform initiatives, are available on the ISDA Benchmark Reform and Transition
from LIBOR webpage at https://www.isda.org/2020/05/11/benchmark-reform-and-transition-fromlibor/

35 ISDA IBOR Fallback UpdateInternational Capital Market Association

ICMA

36

Adoption of risk-free rates in bond markets

A lot of progress has already been made with the adoption of new RFRs in bond markets:
US Dollar:•

Over US$650 billion of SOFR-linked FRNs•

Mainly SSAs, financial institutions•

Conventions are evolving•

SOFR Index now available

UK Sterling:•

Approx. 190 SONIA-linked FRNs and securitisations totalling approx. £90 billion•

Mainly SSAs, banks and building societies, with a broadening base of investors•

Same market conventions so far – “lag” approach to weighting, also favoured by the loan market•

SONIA Index made available in early August – but only compatible with “shift” approach to weighting•

Work still to be done on conventions

37 37

New contracts referencing IBORs : fallbacks

The official sector in the US and the UK encourage use of risk-free rates instead of
LIBOR in new bond issuance:•

If this is not possible, any new contracts referencing LIBOR and maturing beyond 2021 should
contain robust fallbacks to risk-free rates•

For new USD LIBOR FRN contracts, the ARRC (Alternative Reference Rates Committee) in the
US has produced a hardwired waterfall of fallbacks•

In the UK, fallbacks which address a permanent cessation or pre-cessation of IBORs have beenused since mid-2017. These are typically benchmark and currency agnostic•

GBP LIBOR-referencing FRN and securitisation transactions have all but ceased

38 38

The conversion of Legacy Bonds“Legacy Bonds” are bonds which reference LIBOR and are due to mature beyond theend of 2021, when LIBOR may no longer be available:•

It has been estimated that the global total of Legacy Bonds is more than US$800 billion
equivalent•Around 80% of that total references USD LIBOR•In the UK market, estimates suggest around 700 ISINs for GBP LIBOR Legacy Bonds acrossapprox. 430 deals•

If LIBOR is discontinued, many Legacy Bonds will fall back to a fixed rate, in accordance withthe fallbacks drafted into the documentation at a time when permanent discontinuation of therate would not have been anticipated•This is unlikely to be aligned with the commercial intention of the counterparties at the time of
the transaction

39 39

Options for Legacy Bonds – consent solicitation

The official sector in the US and the UK have continually stressed the increasing
importance of transitioning Legacy Bonds away from LIBOR:•

Unlike derivatives, bonds are contracts between multiple parties and are freely tradeable,
meaning the identity of the parties can change•

Bonds cannot be amended by way of adherence to an industry protocol•

Bonds usually contain provisions allowing the terms of the contract to be amended - thisrequires consent from bondholders by way of consent solicitation•

Depending on the governing law of the bond, the consent threshold required foramendments of interest rate provisions may be high (e.g. 75% under English law, and100% under NY law)•

Amending bonds by way of consent solicitation is a voluntary process, with no guarantee ofsuccess. It is also time-consuming and administratively burdensome for issuers and bondholders•

But in the UK, a number of consent solicitations have been successfully undertaken by financial
and corporate issuers

40 40

Options for Legacy Bonds - UK ‘tough legacy’ proposals

Some Legacy Bonds may fall into a ‘tough legacy’ bucket (i.e. cannot remove their relianceon LIBOR ahead of its anticipated discontinuation):• A ‘Tough Legacy Task Force’ in the UK recommended that the UK Government consider
legislation in May• In June, the UK Government said that it would propose an amendment to the UK’s
benchmark legislation to strengthen the FCA’s powers• The FCA would be empowered to direct LIBOR’s administrator to change the methodology
for LIBOR in certain circumstances (so-called “synthetic LIBOR”)• Some details still to be worked through, including scope of the powers, what “synthetic
LIBOR” will be, and how long “synthetic LIBOR” will continue to exist• There is no guarantee that the FCA can or will exercise these powers, or that they will
suit all Legacy Bonds. So the FCA and Bank of England are urging parties to continue with“active transition” in order to retain control of the economic outcome

41 41

Options for Legacy Bonds - Possible US legislative proposal
In the US, where consent solicitation is more problematic, the ARRC has set out aproposal for possible NY state legislation for USD-LIBOR contracts:•

For contracts with no fallbacks, ARRC-recommended SOFR fallback rate + spread adjustment
would apply•

For contracts which fall back to a LIBOR-based rate, ARRC-recommended SOFR fallback rate +spread adjustment would apply•

For contracts where an agent has discretion to choose the new benchmark rate, the agent
would have protection under a “safe harbour” if the ARRC-recommended SOFR fallback rate +spread adjustment is chosen•

Counterparties making conforming changes to documentation to accommodate the transition
would also benefit from the safe harbour•

Parties would be able to mutually opt out•

It is not yet clear whether or when this will be enacted in NY law and how this would interact
in practice with the UK ‘tough legacy’ proposals and EU proposals

42 42

Options for Legacy Bonds - EU Benchmark Regulation proposals

The European Commission has proposed amendments to the EU Benchmark Regulation toaddress the phasing out of benchmark rates:• The proposal will empower the European Commission to designate a statutory replacement rate (taking account ofrelevant industry working group recommendations) to ensure that when a widely used reference rate (such as
LIBOR) is phased out, it does not cause disruption to the economy or harm financial stability in the EU• The statutory replacement rate will apply as a matter of law, thereby avoiding contractual conflicts• The statutory replacement rate will only be available for financial contracts that reference the benchmark at thetime this benchmark ceases to be published• At the same time, market participants are encouraged to agree on a permanent replacement rate for all new
contracts whenever feasible• The European Commission is currently inviting feedback on the proposal until 6 October, after which more clarity
should emerge on its scope and interaction with the US and UK proposals

43 43Other options for Legacy Bonds

Other options for Legacy Bonds include:•

Buy-backs, exchange offers or other liability management exercises•

Allowing existing fallbacks to operate without amendment (as a result of which, many FRNs
will become fixed rate unless the FCA is given, and exercises, powers to amend LIBOR
methodology, as outlined above)

44 44

IBOR TRANSITION - LOANS
ANDREW HUTCHINS – CLIFFORD CHANCE
18 SEPTEMBER 2020

DEVELOPMENTS IN ASIA LARGELY GUIDED BY
DEVELOPMENTS IN THE US, UK AND EUROPE“CLARITY ON THE EXACT TIMING AND
NATURE OF THE LIBOR STOP IS STILL TO
COME, BUT THE REGULATOR OF LIBOR HAS
SAID THAT IT IS A MATTER OF HOW LIBORWILL END RATHER THAN IF IT WILL END, AND
IT IS HARD TO SEE HOW ONE COULD BE
CLEARER THAN THAT.”– RANDAL QUARLES
VICE CHAIR FOR SUPERVISION, THE FED

Key transitional challenges faced across Asia:– Market adoption of ARRs:•“Low” awareness of LIBOR discontinuation and acceptance of ARRs•

Market players tend to follow global standards and adopt a “wait and see” approach•

Different ARRs will likely require different margins, which makes transition acrossAsia difficult due to variety of currencies– Calculation methodology for RFRs:•

High exposure of local banks to LIBOR– Legal issues (including legacy contracts):

IBOR TRANSITION - LOANS•

Lack of consistent amendment protocols across loan and bond markets•

Uncertainty as to determination of substitution rates

CLIFFORD CHANCE|

46

DON’T RELY SOLELY ON A LEGISLATIVE OR INDUSTRYSOLUTION

Avoid these common misconceptions:

1. IBORs will be extended by regulatory fiat: The FCA has said that perhaps a “zombie”
LIBOR could be extended for legacy contracts that are unable to be amended (but not for
new business).
DON’T
ASSUMETHAT:IBOR TRANSITION - LOANS

2. Industry working groups will provide a solution in time: All market participants arehoping for recommendations from the industry working groups. But financial institutions
need to plan their own strategy, in case the solutions don’t materialise in time. Banks may
also need to bilaterally vary individual contracts.

CLIFFORD CHANCE|

47

DON’T RELY SOLELY ON A LEGISLATIVE OR INDUSTRYSOLUTION

Avoid these common misconceptions:3. The solutions for different products or across jurisdictions will align: The method of
amendment depends on the product in question. Counterparties may have different,
related products which presently utilise the same IBOR rate. Or multicurrency products.
Aligning the replacement rates across product, across currency, may be a challenge andgive rise to exposures for banks and/or its counterparties (e.g. basis risk).
DON’T
ASSUMETHAT:IBOR TRANSITION - LOANS

4. You can postpone any decision making: Regulators are focused on banks’ exposuresand scenario planning. Operational processes (whether involving people or systems) taketime to change and embed. Repapering exercises are likely to be large in scale andscope. We recommend action now, and the potential use of technology and third parties
to assist.

CLIFFORD CHANCE|

48

MARKET DEVELOPMENTS
LMA / APLMA EXPOSURE DRAFTS (INCLUDING NEW RATE SWITCH(WITHOUT OBSERVATIONAL SHIFT) RCF)

• Transactions in the market based on
LMA/APLMA recommended forms
but – not Recommended Forms• Why?
– Move to RFRs requires creationand structuring of a new lending
product– RFR
abackward
looking
calculation of intertest rather thanforward looking IBOR
– Forward looking term rates being
developed but may not be
available or used as a market
standard in time for all currencies– RFR more robust as determined
on
the
basis
of
actualtransactions– Structuring issues for the market,
not the LMA/APLMAIBOR TRANSITION - LOANS• Purpose?
– Facilitate consideration of issues– Frameworkdeals.

fordocumenting

RFR• Issues identified in the CC/LMA/APLMA
Commentary– Lag Period (VS observational shift
approach)– Adjustment Spread– Compounding / non-Business Days /rounding– Fallbacks– Break Costs– Market Disruption• Some issues are commercial forborrowers to consider as a priority andsome issues will be more market led

CLIFFORD CHANCE|

49

LOANSLEGACY CONTRACTS

Contractual fallbacks• Legislative approach• Divergence of contractual approaches thatuse a waterfall of fallbacks?
• Use of “Hard Wiring” approach – ARRC
approach to fallbacks• Amendment approach – LMA / APLMA
approach to fallbacks• Consider what are the triggers for a change
to occur• If agreement needed then who needs toagree?
– LMA Screen Rate Replacement clause –recommended form includes a provision
to allow amendments to be made with alower consent threshold (majority lenders
only)– Timeline for amendments to be agreed

IBOR TRANSITION - LOANS

Timing of amendments• Multicurrency facilities
across currencies-

Market precedents

coordination• RFR-referencing transactions– Bilateral SORA loans• Synchronization with any related hedging.

– Bilateral SOFR loans• Operational capabilities. Majority v all
lender?

– SONIA facilities in the asset-backed
loan market• LMA revised “Replacement of ScreenRate” language aims to build ingreater flexibility– SONIA-referenced
LIBOR loans• Spread adjustment
value transfer-

possibilityofalternatives

to– USD10b facility for Royal Dutch Shell,
one of the first and largest credit
facilities linked to SOFR
• Transactions with reference rate change
language– UK market precedents which are
initially written off LIBOR with a"switch"mechanic
allowingthetransactions to move to risk free rates– GBP 6b facility for British American
Tobacco
CLIFFORD CHANCE|

50

NEXT STEPS: IBOR TRANSITIONWE RECOMMEND THAT:SHORT TERM
Scoping the issue:• Identify affected products acrosslegacyandnewbusiness,
per region• Assess relative volumes
prioritise affected products

and• Establish an internal working group
covering all relevant products andjurisdictions
andassignstakeholder responsibilities• Prepare institution-wide roadmap
and initial strategy covering key
milestones
acrossproducts
and jurisdictions

Due diligence to identify:• IBOR references in contracts/ToBs
enduring
beyondscheduledreplacement date(s)• Scope any IBOR-based productsthat can be phased out inthe near-term• Consent levels for amendments• Consider
newagencyrole
requests on a case by case basis
and
the
scope
of
any
contractual protections• Interdependencies between
products• Consider practical and legal issues
associated with fallback provisions• Existing fallbacks and triggers• Third party involvement (facility
agent, calculation agent, IA)

Risk management:• Identify the potential areas ofregulatory, litigation and reputationalrisk per product per region. Ensure
senior managers are aware ofsuch risks

Internal Education:• Train your colleagues on thetransition and the potential areas ofrisk
andensurethey
arekept up-to-date• Train your colleagues on how tocommunicate with clients in relation
to both new and existing products• Prepare standardised disclaimer
wording for new IBOR-based
products and consider how andwhen it will be communicated

IBOR TRANSITION - LOANS

CLIFFORD CHANCE|

51

NEXT STEPS: IBOR TRANSITIONWE RECOMMEND THAT: (CONTINUED)SHORT TERM (continued)
External communication:• Establish a clear, transparent andconsistent communications strategy
for customers, regulators and investors• Establish record keeping processes
as well as processes for addressing
customer disagreement. Implement
an escalation process so that issues
are identified at an early stage
Workinggroupsassociations:

and

trade

MEDIUM
TERM

TO

LONG

Implementation – new contracts:• Revise template
new businessdocumentsfor• Work with software providers on
updating systems

Implementation
legacy products:–

repapering• Determine preferred implementation
strategy–amendment,
replacement,
redemption,
do nothing?
• Develop protocol-style process forvolume loan book.

• Determine
timingandcommunication strategy for new
product terms• Continue engagement with working
groups and trade associations• Ensure
yourparticipants
provided with “rules of the road”

are• Monitor developments and assess
the impact on your strategy

IBOR TRANSITION - LOANS

CLIFFORD CHANCE|

52

CONCLUSIONS• Engagement now with borrowers essential• Solutions to be informed by extensive due
diligence exercises that lenders will needto undertake• Legacy contracts remain challenging, even if
consensus as to fallbacks and amendments isfound• Governance and reputational risks need to be
anticipated
now
in
order
to
be
mitigated effectively• Begin engaging technology, dedicated internal
staff and external third parties to assist with thisprocess.

IBOR TRANSITION - LOANS

CLIFFORD CHANCE|

53

KEY CONTACTSSINGAPORE

ANDREW HUTCHINS
Partner
T +65 6661 2060
M +65 9118 9938
E andrew.hutchins@cliffordchance.com

54

IBOR TRANSITION - LOANS

CLIFFORD CHANCE|

54

Clifford Chance Pte Ltd, 12 Marina Boulevard, 25th Floor Tower 3,
Marina Bay Financial Centre, Singapore 018982© Clifford Chance 2020
Clifford Chance Pte Ltd

WWW.CLIFFORDCHANCE.COM

Co-host

Lead Sponsor

Gold Sponsor

Endorser56

IBOR Transition
Data and Infrastructure Viewpoint

Edmund Lee
OTC Data Strategy Manager, Asia PacificBloomberg L.P.

57

LIBOR Transition
Data and Infrastructure Viewpoint
Edmund Lee
Data Strategy
Asia Pacific, Bloomberg L.P.
echlee@bloomberg.net
18th September, 2020

ARRC Recommended Timeline and Milestones

59Key Dates and Action Timeline
Proactive preparation action to align with milestones
Action to align timelines:
Key Dates
Q2-Q3 2020

60

ISDA to publish final parameters
for benchmark fallback
adjustments for derivatives

October 2020

CCPs switch discounting for USD
denominated interest rate swaps
from Fed Funds to SOFR

Q2 2021Market participants should ceaseissuance of cash products linked toSterling LIBOR as per Sterling
Risk-Free Reference Rates• Dedicated resources to addresstransition• Inventory of exposures, understandeconomic and operational impact• Start transition in product activity where
there is sufficient liquidity (GBP, ESTR
derivatives)• Internal and external communications.
Awareness-raising, start engagementwith working groups and industry bodies
as well as clients

Planning for Transition
•

•

61

Benchmark transition impact various work streams simultaneously.
LIBOR is used as an input into various calculations, systems, and models for operations andadministration across all firms.

Impact Assessment – Where to Begin••

62

Valuation, risk and pricing models will need to be updated.
Challenges arise as market participants mobilize to identify technology gaps with handling
new data sets, analytics, valuation models. And it’s impact on existing house system.

Data and Infrastructure - Quantify Valuation Impact in Libor Transition
Preparation required across all asset classes: cash, derivatives, and loans
DATA
Data
ISDA
• ISDA Rule Book & Technical
notes

DATA
Infrastructure
Fallback Language

Risk Systems• Daily refreshed fallback
language Data for 154,000
cash securities• Loans• CCP PAI from Fed Funds to
SOFR (Oct 2020)• Migration of Bilateral CSA• LIBOR Transition analysis• Derivative Structuring

Fallback• ISDA-BISL• Fallback, Spread Adjustments
and Adjusted Rates

Country Updates• Risk Free Rate Solutions

Analytics• Derivative Structuring of
RFR Instruments

Data• Reference Data
• RFR Benchmark Data
• RFR Interest Rate Curves• Where is LIBOR used

New Calculations• RFR Loans Calculator

Electronic Trading• Electronic Execution for RFR
Derivatives
RFR Adoption• FRN Issuance• Loans Issuance• RFR OTC Traded

63

Available Today: ISDA Fallback Data•

Official ISDA IBOR Fallback Rates, calculated by Bloomberg Index
Services Limited. Visit FBAK<GO> or
https://www.bloomberg.com/professional/solution/libor-transition/

9 September 2020•

64

Standardized fallback language developed by
ISDA for derivatives contracts is a positive
step, offering the industry certainty.

Identify Overall Requirements for Derivatives Transition
Data-sets specific questions•

What new data sets are required as we transition to the new RFRs?

•

How will RFR data evolve as liquidity shifts?

•

Will term rates be available and what if not?

Assess data in systems readiness by testing the following:•

Updated analytical models and scenario analysis across enterprise systems•

For trades referencing the new RFRs: capture all necessary attributes related to the new RFRs (e.g.
compounding conventions, index lag / lockout) and ensuring all pricing, risk and valuation models
work correctly.

•

Front Office, Finance, Risk, Operations and Admin.

65

Identify Overall Requirements for Cash Transition
Data-sets specific questions•

How and where to locate information on fallback provisions for cash products?

Assess readiness by considering•

For legacy Libor trades: automate the identification of existing fallback language provisions
written in cash securities, and determine the practicality of such fallbacks.

•

Market participants should identify susceptible fallback provisions as they will likely change inthe future. They should also proactively monitor fallback languages incorporated in similarbond issuance for references.

66

Summary: Benchmark Transition

1. Data

Fallback data forderivatives &cash fallback
language

2. Infrastructure.
Inventory &Systems

3. Communication

67

Cessation
scenarios andimpact analysis

Strategy basedon assessmentof legal andoperational
options

New RFR curve
and term rates?

Accuracy, complianceof data used inmodels andcomplianceHandle multi curve
regime and RFR
compound factors,
coupons andcalculations

Clientcommunicationand disclosures

PAI and
CSA
repapering

Continuous
engagement withclients on risk,
plans,
preferences

Implement, test
and production

Transition
implementation
planningIndustry
discussions andclientparticipation

Thank You
The data included in these materials are for illustrative purposes only. The BLOOMBERGTERMINAL service and Bloomberg data products (the “Services”) are owned and distributed byBloomberg Finance L.P. (“BFLP”) except (i) in Argentina, Australia and certain jurisdictions in
the Pacific islands, Bermuda, China, India, Japan, Korea and New Zealand, where Bloomberg
L.P. and its subsidiaries (“BLP”) distribute these products, and (ii) in Singapore and thejurisdictions serviced by Bloomberg’s Singapore office, where a subsidiary of BFLP distributes
these products. BLP provides BFLP and its subsidiaries with global marketing and operational
support and service. Certain features, functions, products and services are available only tosophisticated investors and only where permitted. BFLP, BLP and their affiliates do notguarantee the accuracy of prices or other information in the Services. Nothing in the Services
shall constitute or be construed as an offering of financial instruments by BFLP, BLP or theiraffiliates, or as investment advice or recommendations by BFLP, BLP or their affiliates of aninvestment strategy or whether or not to “buy”, “sell” or “hold” an investment. Information
available via the Services should not be considered as information sufficient upon which to basean investment decision. The following are trademarks and service marks of BFLP, a Delaware
limited partnership, or its subsidiaries: BLOOMBERG, BLOOMBERG ANYWHERE,BLOOMBERG MARKETS, BLOOMBERG NEWS, BLOOMBERG PROFESSIONAL,
BLOOMBERG TERMINAL and BLOOMBERG.COM. Absence of any trademark or service markfrom this list does not waive Bloomberg’s intellectual property rights in that name, mark or logo.
All rights reserved. © 2020 Bloomberg.

Co-host

Lead Sponsor

Gold Sponsor

Endorser69

Banking Panel on Implementation Issues:

Kevin YamManaging Director
Deutsche Bank

Jacob Abraham
Chief Risk Officer,
Group Global Banking
Maybank

Tiak-Peow Phua
Executive Director,
Libor Transition, Conduct,
Financial Crime and ComplianceStandard Chartered70

Kevin Yam
Managing Director
Deutsche Bank71

Co-host

Lead Sponsor

Gold Sponsor

Endorser72

Local Accounting Issues: Fair Value, Value Transfer, Hedge Accounting andModifications:

Damien Jones
Partner, Financial Services
EY

Hooi Lam Chan
Partner, Malaysia and
ASEAN Financial Services Assurance Leader
EY73

IBOR reform – Malaysia
perspective
Financial reporting and related impacts

IBOR transition key areas/impacts

Accounting, financial
reporting and tax

Page 75

18 September 2020

Legal provisions,contract
amendments andShariah compliance

IBOR reform – Malaysia perspective

Customers andreputation

Valuation, models,
systems, processes
and governanceValuation considerations

Discounting

1. Cleared, collateralised derivatives►►

Fallbacks and valuation

►

►

►

►

Page 76

2. Uncleared, collateralised derivatives

For collateralised swaps CCPs moved EONIA to €STR
discounting/PAI on 27 July 2020 and EFFR to SOFR
scheduled change to discounting/PAI on 17 October
2020
CCPs have set out methodology for discount curve
construction
For direct market participants - Is internal curve
constructed in same way? (EOD, data inputs,
bootstrapping methodology)►

CCPs expected to mandate change in fallbacks to ISDA
methodology following ISDA announcement
Methodology change unilateral applied throughchanges to CCP rule books

►

►

►

►

Required bilateral changes. Likely banks will want
to align pricing of cleared and unclearedcollateralised derivatives
Any change will require outreach and updating of
the pricing of collateral arrangements in CSAs
Timing decision to be made3. Uncleared, uncollateralised
derivatives
►
►
►
►

►

No immediate requirement to change discount curve
FV Methodology uses relevant LIBOR discount curves
Will need to change by LIBOR cessation date
Needs to observe market pricing, possible
methodology will change ahead of cessation date
Pricing impact may be offset by FVA changes

Decision required across industry on use of ISDA fallbacks or use of alternative fallback options
ISDA announcement expected in September 2020 with 3-4 month adherence period before effective date

Transactions captured under the revised ISDA fallbacks are required to apply the fixed spread adjustment where a pre-cessation event (as defined in the methodology) occurs. Should
this occur ahead of expected cessation date (i.e. in late 2020 or early 2021), firms will be required to examine valuation impact at the point of the pre-cessation announcement. May
result in complex valuation across multiple forward curves (LIBOR and RFR) within a single instrument, reflecting known certainty associated with LIBOR discontinuance.

18 September 2020

IBOR reform – Malaysia perspectiveValuation considerations
Topic

Considerations

Liquidity spreads in
MTM►

Fair Value Hierarchy

►

►

►

Potential liquidity pricing adjustments for legacy LIBOR trades as we approach transition point in each currency
Shifting liquidity in basis swaps could impact B/O spreads across related products

FV Hierarchy levels for certain products may shift to L2/3 as we approach transition point in each currency. Certain products may be impacted where quicker cross-over of liquidity to RFRs observed inmarketAASB 7 disclosure impact within FV Hierarchy table in annual financial statements

Fair Value of nonlinear swaps►

Value-transfer►

At point of LIBOR cessation (or earlier renegotiation point), likely value-transfer from back-book migration to RFR. Requires analysis by product and fallback provision:•
ISDA fall-back methodology•
Alternative fallback agreed (i.e. cash market with a term rate)•
Case-by-case bilateral negotiation►

Data feeds and model required to perform analysis of options and fair value consequences►

Changing XCCY pairs and liquidity in CCIRS market could have a valuation impact on existing CCIRS and currency basis pricing
New forms of basis (i.e. secured v unsecured RFR in a CCIRS) created and will need to be priced appropriately

Value of basis►►

CVA and FVA

►
►
►
►
►

Impact of conventiondifferences on
valuation►

Curve construction

►

►
►

►

Page 77

18 September 2020

Back-book valuation issues associated with pay-off profiles of >2021 non-linear RFR products
Deep-dive on exotic products required

Change in base rate and discounting curves likely to have a consequential impact on CVA/FVA models
FVA models already under review – timing of changes associated with LIBOR need to be fed into Banks’ FVA & market Risk projects
CVA: Use of new IR scenarios for PFE simulations and consideration of impact from increased use of OIS/RFR discounting
FVA: Changes to funding spreads above RFR will require examination of FVA model
Consider interactions between FVA model and FTP output
Potential for term-RFRs and O/N rate products to price and value differently. Potential for valuation mismatches between cash and derivative products
Conventions still evolving – anticipate range of convention options when planning systems/model changes.
Convexity issues to manage from different look-back features
Expect continual evolution of SOFR curve as liquidity builds in derivatives markets used to construct curve.
Today, long-end of curve constructed using LIBOR-EFFR and LIBOR-SOFR, EFFR-SOFR basis swaps – basis market will change will increased trading and cessation of LIBORIBOR reform – Malaysia perspectiveIASB IBOR Project Update
The Board identified two groups of accounting issues:
Phase I•

Phase II•

Issues affecting financial reporting
before the replacement of an existing
benchmark with RFR.

Replacement issues

Issues that might affect financial
reporting when an existing
benchmark is replaced with RFR.

Completed

Completed••

In August 2020, the IASB issued Interest Rate Benchmark
Reform—Phase 2, which amends IFRS 9, IAS 39, IFRS 7, IFRS
4 and IFRS 16 Leases.

•

Completed the Board’s work on IBOR Reform•

Effective date of annual periods beginning on or after 1
January 2021 with earlier application permitted.

•

The amendments are mandatory.

•

Page 78

Pre-replacement issues

On 26 September 2019 the International AccountingStandards Board (IASB or the Board) published Interest
Rate Benchmark Reform, Amendments to IFRS 9, IAS 39
and IFRS 7 (the amendments).
This brought to a conclusion Phase one of the IASB’s work
to respond to the effects of Interbank Offered Rates (IBOR)
reform on financial reporting.

•

Effective date of annual periods beginning on or after 1
January 2020 with earlier application permitted.

•

The amendments are mandatory

18 September 2020

IBOR reform – Malaysia perspectiveIASB IBOR Project Update

Hedging Principles in Phase 2
For transaction modifications that are directly required by
IBOR reform, IFRS 9 and IAS 39 amended to allow changes
to be made to hedge documentation without resulting in the
discontinuation of hedge accounting, including:►Redefining the hedged risk to make reference to an
RFR►
Redefining the description of the hedging instruments
and / or the hedged items to reflect the RFR►

Other items cover include the treatment of valuation
adjustments due to modifications, Groups and risk
component hedging►

Some issues to work through around other modifications
and possible derecognition

Page 79

18 September 2020

IBOR reform – Malaysia perspective

Expected client discussions on legacy transactions
Options for Legacy Contracts:
Legacy LIBOR
transactions

Close-out /terminatetransaction ahead oftransition►

Potential economic event andaccounting entries forderecognition to manage

Page 80

18 September 2020

Renegotiate to
immediate use of RFR(ahead of cessation)►

Modification rules to analyse
for re-negotiations►

Consider immediate impact
on hedge accounting (Cashand derivatives aligned)

Agree robust RFR fallback
as part of Market Protocol
or bilateral negotiations
prior to cessation date toapply to CFs at cessation.

►

For derivatives: Amendments to 2006
ISDA Definitions and related protocol
supports inclusion of robust fallbacks►

Alternative fallbacks can be bilaterally
agreed►When do modification rules apply?

►

Possible value transfer between
adjusted RFR and LIBOR at cessation

IBOR reform – Malaysia perspective

No agreement – utilise
existing fallbacks(where usable)►

Likely value transfer between
existing fallback rate (COF, fixedhistoric rate etc) and LIBOR

No agreement –contract frustration /litigation from inability
to use fallback►

Possible economic gain/(loss)
through legal process

EY | Assurance | Tax | Transactions | Advisory
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82

Thank you for attending!
We hope to see you at our next event:ASIFMA Virtual Event: India IBOR Transition(in collaboration with FIMMDA and IBA)
Tuesday, 22 September 2020
10:00AM – 12:45PM (IST) / 12:30PM – 3:15PM (HKT)

www.asifma.org/events83Dimple Bhandia
Reserve Bank ofIndia

Mushtaq Kapasi
ICMA

Rohit Mandhotra Saurabh Chhabra Pranav Sharma
Cyril Amarchand
Bloomberg L.P.
Citi South Asia
Mangaldas

Jing Gu
ISDA

Kuntal Sur
PWC India

Utkarsh Sharma
Deutsche Bank,
India

Parul Mittal Sinha Mark Austen
Standard Chartered ASIFMABank

Rudra Narayan Kar D.V.S.S.V. Prasad
FBIL
FIMMDA

Sunil Mehta
IBA

Rebecca Weinrauch
ASIFMAwww.asifma.org/events
84