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Was kommt nach dem LIBOR ?

Aus der webpage der Schweiz. Nationalbank

Die Nationale Arbeitsgruppe für Referenzkurse in Schweizer Franken (NWG) ist das Schlüsselforum, um Vorschläge zur Reform der Referenzzinssätze in der Schweiz zu prüfen und die neuesten internationalen Entwicklungen zu diskutieren. Die NWG wird gemeinsam von einem Vertreter der Privatwirtschaft und einem Vertreter der Nationalbank geleitet. Die Gruppe steht Finanzmarktteilnehmern und anderen relevanten Stakeholdern offen. Interessenvertreter, die noch nicht in der NWG vertreten sind, können den Beitritt beantragen. Teilnehmer der NWG und ihrer Untergruppen stimmen dem Wettbewerbsrecht und den Geheimhaltungspflichten zu . NWG-Empfehlungen sind nicht rechtsverbindlich. Beschlüsse über Empfehlungen werden mit einfacher Mehrheit der in den Sitzungen abgegebenen Stimmen gefasst. 

Die Nationalbank unterstützt die Bemühungen um eine Reform der Benchmarkzinsen auf nationaler und internationaler Ebene. Auf nationaler Ebene umfasst dies neben einem Vertreter des Privatsektors die Ko-Leitung der NWG. Die Nationalbank verzichtet auf die Stimmabgabe und fungiert primär als Moderatorin. Darüber hinaus führt die Nationalbank das technische Sekretariat der NWG und erleichtert die Organisation der Sitzungen. In dieser Funktion stellt die SNB diesen Abschnitt auch auf ihrer Website für die Veröffentlichung von NWG-Protokollen sowie anderes Material zum Fortschritt der Reformen zur Verfügung. Die veröffentlichten Positionen spiegeln nicht unbedingt die Ansichten der SNB wider.

SARON-based term rate as LIBOR alternative  A terminology for term rates was presented. Approaches reflecting a sequence of expected overnight rates (cash- and derivatives-based, e.g. LIBOR and ICE-fix, respectively) are referred as forward-looking term rates, approaches reflecting a sequence of realized overnight Minutes 20th NWG meeting 14 November 2018 2 rates (compounded in arrears and in advance) are referred as compounded term rates (see also slide 12 attached).  An overview of the assessment of SARON-based term rates was provided (see also slide 13 attached). The assessment was based on the work of the “derivatives and capital market” (D&C) and the “loan and deposit market” (L&D) sub-working groups. The assessment focused on two key criteria: (1) What are the needs of the end users? (2) Is the term rate feasible?  Regarding (1): The L&D sub-working group organized a workshop for corporates in September 2018 and conducted bilateral discussions with corporates thereafter. Results showed that end-users indicated a variety of needs for reference rates (see also slide 14 attached). The characteristics most often mentioned were that the reference rate serves as official fixing, that the payment is known at the start of the period, and that the reference rate is based on a robust underlying market. Regarding (2): The D&C sub-working group assessed the feasibility of a derivatives-based term rate on the basis of SARON Futures and SARON swaps. o Assessment of a term-rate based on SARON Futures: Determining a futures-based term rate requires an interpolation between two futures prices (except on settlement dates i.e. IMM dates) and an assumption on how the underlying rate (SARON) evolves between two settlement dates. Additional to the assumption that the underlying rate follows a staircase function, assumptions on the timing of interest rate changes are required. If these assumptions do not reflect market expectations, the futures-based term rate would deviate from swap prices, which could undermine its credibility. These methodological issues make it very challenging to construct a robust futures-based term rate, even if liquidity were to shift entirely from LIBOR Futures to SARON Futures in the future. o Assessment of a term-rate based on SARON swaps: With swaps the above-mentioned methodological issues could be avoided, provided that the tenor of the swap is equal to the tenor of the term rate that needs to be determined. However, this requires sufficient liquidity in each tenor of the term rate. Even in the currently most active tenor, the 3M tenor, liquidity is relatively shallow. If volumes were to increase as the transition proceeds, liquidity in short-term tenors (1M, 3M, 6M) most likely would remain insufficient, as the bulk of transactions is expected to be in longer maturities given the hedging needs of market participants. Besides liquidity issues, data sourcing issues prevail with SARON swaps as OTC instruments.  On the basis of this assessment regarding the need and feasibility of a term rate and in line with the guidance provided by the Financial Stability Board (FSB) on term rates1, the majority of NWG members agreed that a robust derivatives-based term rate is not feasible. Every forwardlooking term rate based on derivatives of SARON will not be as robust as the reference rate itself. If the situation were to change in the future (and it was noted that the NWG would follow the development of the SARON derivatives market), the use of a derivatives-based term rate as a fallback rate might be reassessed. Therefore, wherever possible a compounded SARON should be used as a term rate.  Using a compounded term rate could lead to cash flow uncertainty. However, there are ways to mitigate or solve cash flow uncertainty and further work needs to be conducted as to how these could work in practice and regarding potential legal challenges. At the next NWG meeting, the two sub-working groups will present such solutions in more detail. The Loan Market Association noted their concerns regarding the use of compounded SARON for some segments of the cash market which might be reliant on forward-looking term rates (multicurrency syndicated loans in particular).  There was a discussion about the work regarding term rates in other jurisdictions (see the Alternative Reference Rate Committee2 and the Working Group on Sterling Risk-Free Reference Rates3). Other jurisdictions intend to develop a derivatives-based forward looking term rate or to consult the market regarding methodology or need. However, the specific characteristics of the Swiss market mean that a derivatives-based term rate is currently not feasible. 4. Fallback language  A fallback template for new retail loans which continue to use CHF LIBOR as a reference rate was presented and discussed. Representatives from Homburger, a Swiss corporate law firm, presented a draft for a fallback template for retail loans under Swiss law.4 The template can serve as an example for a fallback language. Market participants have to decide whether and how they implement a fallback clause into retail loan contracts.

Arbeitsgruppen in der Schweizerischen Bankiervereinigung für den Schweizer OTC-Rahmenvertrag und ISDA sub-groups für den ISDA Master Agreement bzw. die ISDA 2005 Definitions werden die Fälle des LIBOR-”Ausfalls” sowie entsprechende Fallback languages entwerfen. Entwürfe werden nicht vor Sommer 2019 erwartet

Beat Gabathuler