Consultation on the
Potential Replacement
Rates for LIBOR and EONIA
in the MSCI Indexes
December 2020

© 2020 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document.

Background
The London Inter-bank Offered Rate (LIBOR) is a benchmark interest rate at which major global banks
lend to one another in the interbank market.

• It is a forward-looking, unsecured rate administered by the Intercontinental Exchange (ICE) andregulated by the UK’s Financial Conduct Authority (FCA).

• LIBOR is published for five currencies: US dollar, the Euro, the British Pound, the Japanese Yen, andthe Swiss Franc• The FCA announced that after 2021 it will no longer compel panel banks to submit quotes for
LIBOR* and firms should transition to alternative reference rates.

• Euro OverNight Index Average (EONIA) is the rate at which banks of sound financial standing in theEuropean Union (EU) and European Free Trade Area (EFTA) countries lend funds in the interbank
money market in Euro.

• European Money Markets Institute (EMMI) will continue to publish EONIA until 3 rd January 2022,
after which it will be discontinued.

*MSCI is aware about the consultation from ICE Benchmark Administration to cease publication of the overnight and one, three, six and 12 month
USD LIBOR settings immediately following the LIBOR publication on June 30, 2023.

2

Proposed LIBOR replacement rates in MSCI Indexes *• Overnight Rates: The working groups on LIBOR replacement across all currencies have already recommended alternate
risk-free rates (RFR) for overnight maturity– MSCI proposes to use these as the replacement for overnight LIBOR– MSCI proposes to replace EONIA with ESTER (Euro Short-Term Rate)• Term Rates: There is currently no solidification on the replacement for forward-looking term rates for most currencies– In such cases, and where other suitable term rates are not available, MSCI proposes to use the overnight RFRs as
the replacement for term LIBOR rates
LIBOR

USD
SOFR
Proposed Overnight(Secured Overnight
Replacement Rate
Financing Rate)
Proposed Term
SOFR
Replacement Rate
(1M,3M)

GBP
SONIA(Sterling OvernightIndex Average)

EURO
ESTER
(Euro Short-Term
Rate)

CHF
SARON
(Swiss Average Rate
Overnight)

JPY
TONA
(Tokyo Overnight
Average Rate)

SONIA

Euribor (1M, 3M)

SARON

Yen TIBOR (1M, 3M)• MSCI invites feedback on this proposal on or before February 26, 2021, and will announce its decision by March 31, 2021
– MSCI proposes to implement this change from the August 2021 Quarterly Index Review (QIR)MSCI may modify the proposals based on any newly available information prior to the announcement of the results of theconsultation*Indexes where LIBOR/EONIA are used directly in the calculation

and / or rebalancing of the Index.

3Impact across MSCI Indexes• LIBOR and EONIA are used as a direct* component for the calculation and / or rebalancing in thefollowing MSCI Index methodologies

Methodology Type

Risk Control

Momentum**

Short & Leveraged

FX Hedge and Global
Currency

Rate and Tenor

3-month LIBOR

3-month LIBOR

Overnight LIBOR

1-month LIBOR

Currency

USD, EUR, GBP,
JPY, CHF

EUR, GBP, CHF

EONIA for EUR, LIBOR for
USD, EUR, GBP, JPY, CHF
other currencies• LIBOR is additionally used as an input in Equity Risk Models (such as GEM-LT)– Some MSCI Indexes (e.g. MSCI Minimum Volatility Indexes, MSCI Diversified Multiple-Factor

Indexes, etc.) are constructed using the Equity Risk Model data
– The potential candidate rates for LIBOR replacement to be adopted in the Equity Risk Models
are given for reference only in the latter part of the presentation **** These are standard MSCI methodologies. Any other standard methodologies using the above indexes for construction are also impacted. MSCI

has indexes based on custom methodologies which use LIBOR and EONIA.
** MSCI Momentum Indexes use USD 3-monthT-Bill rate for USD and 1-month Euroyen TIBOR for Japanese Yen***

Refer to the slide titled “MSCI Indexes using Equity Risk Model data” for further details. These are not in the scope of this consultation.

4

Proposed Replacement
Rates for LIBOR and
EONIA

5

Proposed replacement rates: Overnight LIBOR• The working groups for LIBOR replacement across different currencies have recommended replacement rates forovernight LIBOR• MSCI proposes to replace overnight LIBOR rates with the below rates in line with the recommendations by theworking groups
LIBOR
Proposed
Replacement
Rate
Administrator

Secured

USD

GBP

SOFR
SONIA
(Secured Overnight (Sterling Overnight
Financing Rate)
Index Average)
Federal Reserve Bankof New York
Yes

Bank of England

No

EURO

CHF

JPY

ESTER
(Euro ShortTerm Rate)

SARON(Swiss Average Rate
Overnight)*

TONA(Tokyo Overnight
Average Rate)

SIX ExchangeBank of Japan

Yes

No

EuropeanCentral BankNo

• The proposed replacement rates are either EU BMR compliant / IOSCO compliant / published by central banks• MSCI proposes to implement this change starting at the August 2021 Quarterly Index Review (QIR)• MSCI proposes to use the rate published on the previous day if the current days’ rate is not available in time within
the MSCI systems for use in the calculation of the indexes on that day• MSCI proposes to replace EONIA with ESTER in line with the recommendation by working group tasked with EONIA
replacement*MSCI will use the SARON rate based on 6:00 PM CET fixing

6Replacement rates for term LIBOR• There is currently no solidification on the replacement of forward-looking term rates formost currencies and these rates are at different stages of evolution for each currency

LIBOR (1M, 3M)

Current Status on forward-looking term rate

USD

The Alternative Reference Rates Committee (ARRC) has released a Request for Proposals(RFP) seeking a potential administrator to publish forward-looking term rates. Rate
publication expected by H1 2021.

GBP

Multiple vendors are publishing forward-looking term rates. However, these are proto-type
rates. Publication of production rates expected in Q4 2020.

EUR

Euribor is available as the potential replacement rate. EURIBOR is actively used by market
participants.

JPY

Quick Corp publishes Tokyo Term Risk Free Rate (TORF) with 1-month, 3-month and 6month tenors. However, these are proto-type rates. Publication of production rates expectedin mid 2021. Another forward-looking rate - TIBOR - is actively used by market participants.

CHF

Currently no forward-looking term rates are available. There are no plans currently to makeavailable forward-looking term rates.

7

Proposed replacement rates: Term LIBOR• In the case of EURO and Yen, MSCI proposes to use other forward-looking term rates - Euribor and TIBOR
respectively as replacement rates since these are already actively used by market participants• For the other currencies (USD, GBP and CHF), as no forward-looking term replacements are currently
available, MSCI proposes to replace them with the overnight RFRs
LIBOR ( 1m,
3m)
Proposed
Replacement
Rate
Administrator

USD

GBP

EURO

CHF

JPY

SOFR
(Secured Overnight
Financing Rate)

SONIA(Sterling OvernightIndex Average)

Euribor

SARON(Swiss Average Rate
Overnight)*

TIBOR(Tokyo Interbank
Offered Rate)

Federal Reserve Bankof New YorkBank of England

EMMI

SIX Exchange

JBATA• The proposed replacement rates are either EU BMR compliant / IOSCO compliant / published by central
banks• MSCI proposes to implement this change starting at the August 2021 Quarterly Index Review (QIR)• MSCI proposes to use the rate published on the previous day if current days’ rate is not available in timewithin the MSCI systems for use in the calculation of the indexes on that day*MSCI will use the SARON rate based on 6 PM CET fixing

8Simulated Index Impact: MSCI Short & Leveraged Indexes
Cumulative Return from Nov 2014 to Nov 2020

There was no significant difference observed in theindex performance for MSCI World Short Daily Index
and MSCI World Leveraged 2X Daily Index using
overnight SOFR versus overnight USD LIBOR.

Index using

MSCI World Short
Daily Index

MSCI World Leveraged
2X Daily Index

Overnight USD LIBOR-46.61%137.48%Overnight SOFR

-46.73%137.74%

Difference

0.12%-0.26%MSCI World Short Daily Index

MSCI World Leveraged 2X Daily Index

Difference in Index Performance for Index using
Overnight USD LIBOR - SOFR

Difference in Index Performance for Index using Overnight
USD LIBOR - SOFR

0.0600%0.0600%0.0300%0.0300%0.0000%0.0000%-0.0300%-0.0300%-0.0600%-0.0600%

9

Simulated Index Impact: MSCI Risk Control Indexes
Cumulative Return from Nov 2014 to Nov 2020

Minor difference was observed in the excess return
variant as the value for 3M USD LIBOR is slightly
higher than overnight SOFR for most part of the time
period over which simulation is performed

Index using

Total Return

Excess Return

3M USD LIBOR

68.81%

56.25%

Overnight SOFR

68.55%

58.90%

Difference

0.26%-2.65%MSCI World (Gross) Risk Control 10% (Total Return) Index

MSCI World (Gross) Risk Control 10% (Excess Return) Index

Difference in Index Performance for Index using
3M USD LIBOR - SOFR

Difference in Index Performance for Index using
3M USD LIBOR - SOFR

0.0600%0.0600%0.0300%0.0300%0.0000%0.0000%-0.0300%-0.0300%-0.0600%-0.0600%

10MSCI Indexes using Equity Risk Model data
• Equity Risk Model data is used in many MSCI Index methodologies such as MSCI Minimum
Volatility Indexes, MSCI Diversified Multiple-Factor Indexes, etc.

• LIBOR is used as risk-free rate by the model to compute:− Local excess asset returns− Currency factor returns• Potential Candidate rates* for affected currencies in the Equity Risk Models are shown below:
Rate EURO
GBP
CHF
JPY
Currency
USD
Rate currentlyused

US 3-month T-bill

GBP LIBOR

EUR LIBOR

CHF LIBOR

TIBOR

Candidate rates

No change

SONIA

EuriborSARON

No change• The change in the Equity Risk Models to transition away from LIBOR is currently scheduled to
be implemented in late Q2/early Q3 2021, and will flow through to impacted MSCI Indexes
starting with the August 2021 Quarterly Index Review, as per the respective methodologies*For reference only and subject to change – not a consultation proposal

11

Discussion points• Overnight LIBOR and EONIA– Do you agree with the proposed replacement rates for overnight LIBOR and EONIA?
– The overnight rates may be volatile during specific periods such as month end, quarter

end, year end. Do you prefer to apply any smoothing prior to using these rates?
– Do you prefer to apply any spread adjustment after transitioning to replacement rates
which are secured in nature?
– Do you agree with the timeline of implementation of the proposed rates (August 2021)?

• Term LIBOR– Do you agree with the proposal to use overnight rates for replacement for term USD,

GBP and CHF LIBOR as no suitable term replacement rates are currently available?
• Would you consider any other suitable replacement rates such as T-Bill rates or
Government Bond rates for replacement of term LIBOR rates?
– Do you agree with the timeline of implementation of the proposed rates (August 2021)?

12

Appendix

13

Overnight USD LIBOR

LIBOR and Alternative Rate are based on computation date.

Overnight SOFR
SpreadSpread values on RHS = LIBOR – Alternative Rate.

14

22-Oct-20

22-Aug-20

22-Jun-20

22-Apr-20

22-Feb-20

22-Dec-19

22-Oct-19

22-Aug-19

22-Jun-19

22-Apr-19

22-Feb-19

22-Dec-18

22-Oct-18

22-Aug-18

22-Jun-18

22-Apr-18

22-Feb-18

22-Dec-17

22-Oct-17

22-Aug-17

22-Jun-17

22-Apr-17

22-Feb-17

22-Dec-16

22-Oct-16

22-Aug-16

22-Jun-16

22-Apr-16

22-Feb-16

22-Dec-15

22-Oct-15

22-Aug-15

22-Jun-15

22-Apr-15

22-Feb-15

22-Dec-14

22-Oct-14

22-Aug-14

Overnight USD LIBOR vs SOFR
Rate Comparison (USD)

3.5
0.4

3
0.2

2.5
0

2
-0.2

1.5
-0.4

1
-0.6

0.5
-0.8

0
-1

Overnight GBP LIBOR

LIBOR and Alternative Rate are based on computation date.

Overnight SONIA

23-Oct-20

23-Sep-20

23-Aug-20

23-Jul-20

23-Jun-20

23-May-20

23-Apr-20

23-Mar-20

23-Feb-20

23-Jan-20

23-Dec-19

23-Nov-19

23-Oct-19

23-Sep-19

23-Aug-19

23-Jul-19

23-Jun-19

23-May-19

23-Apr-19

23-Mar-19

23-Feb-19

23-Jan-19

23-Dec-18

23-Nov-18

23-Oct-18

23-Sep-18

23-Aug-18

23-Jul-18

23-Jun-18

23-May-18

23-Apr-18

Overnight GBP LIBOR vs SONIA
Rate Comparison (GBP)

0.8
0.04

0.7
0.02

0.6
0

0.5
-0.02

0.4
-0.04

0.3

-0.06

-0.08

0.2
-0.1

0.1
-0.12

0
-0.14

SpreadSpread values on RHS = LIBOR – Alternative Rate.

15

Overnight EUR LIBOR vs ESTR
Rate Comparison (EUR)
-0.46

0

-0.48

-0.01

-0.5

-0.02

-0.52

-0.03

-0.54

-0.04

-0.56

-0.05

-0.58

-0.06

-0.6

-0.07

O/N Euro LIBORESTR O/N

SpreadSpread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

16

Overnight CHF LIBOR vs SARON
Rate Comparison (CHF)
0.5

1.2

1
0.8

0

0.6
0.4

-0.5

0.2
0
-1

-0.2
-0.4

-1.5

-0.6
-0.8

-2

-1

Overnight CHF LIBOR

Overnight SARON

SpreadSpread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

17

Overnight JPY LIBOR vs TONA
Rate Comparison (JPY)
1.8

1.6

1.6

1.4

1.4

1.2

1.2

1

1

0.8

0.8
0.6

0.6
0.4

0.4

0.2

0.2
0

0

-0.2

-0.2

-0.4

-0.4

Overnight JPY LIBOR

Overnight TONA

SpreadSpread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

18

Term USD LIBOR vs SOFR
1M Term Rate Comparison (USD)

3M Term Rate Comparison (USD)

3.5

1.2
1

3

0.8

3.5

2

3

1.5

2.5

0.6

2.5

2

0.4

2

1

0.2

0.5

1.5

0

1.5

1

-0.2

1

-0.4

0.5
0

22-Aug-14-0.6
22-Aug-15

22-Aug-16

22-Aug-17

22-Aug-18

22-Aug-19

22-Aug-20

-0.8

0
-0.5

0.5
0

22-Aug-14

22-Aug-15

22-Aug-16

22-Aug-17

22-Aug-18

22-Aug-19

1 month USD LIBOR

3 month USD LIBOR

Overnight SOFR

Overnight SOFR

Spread: 1-month USD LIBOR - SOFR

Spread: 3-month USD LIBOR - SOFR

Spread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

19

22-Aug-20-1Term GBP LIBOR vs SONIA
1M Term Rate Comparison (GBP)
0.8

3M Term Rate Comparison (GBP)
0.3
0.25
0.2
0.15
0.1
0.05
0
-0.05

0.7
0.6
0.5
0.4
0.3
0.2
0.1
0

1

0.7

0.9

0.6

0.8

0.5

0.7

0.4

0.6

0.3

0.5

0.2

0.4

0.1

-0.1
-0.15
-0.2

0.3

0

0.2

-0.1

0.1

-0.2

-0.25

0

-0.3

1 month GBP LIBOR

3 month GBP LIBOR

Overnight SONIA

Overnight SONIA

Spread: 1-month GBP LIBOR - SONIA

Spread: 3-month GBP LIBOR - SONIA

Spread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

20

Term CHF LIBOR vs SARON
1M Term Rate Comparison (CHF)
0.5

3M Term Rate Comparison (CHF)
0.8

0.5

1

0.6
0

0.4

0.8
0

0.6

0.2
-0.5

0
-0.2

-1

0.4
-0.5

0.2
0

-1

-0.4
-0.6

-1.5

-0.2
-0.4

-1.5

-0.8
-2

-1

-0.6
-2

-0.8

1 month CHF LIBOR

3 month CHF LIBOR

Overnight SARON

Overnight SARON

Spread: 1-month CHF LIBOR - SARON

Spread: 3-month CHF LIBOR - SARON

Spread values on RHS = LIBOR – Alternative Rate.
LIBOR and Alternative Rate are based on computation date.

21

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