LIBOR / RODNE – References and Appendices.

In this post we detail the reference material supporting a series of posts addressing the end of Libor and her relatives.

References

 

Appendix 1 – Documentation examples.

Examples of new text highlighting Libor uncertainty

Kraft Heinz Foods Company, Prospectus Supplement dated August 7, 2017

Actions by the BBA, regulators or law enforcement agencies may result in changes to the manner in which LIBOR is determined or the establishment of alternative reference rates. For example, on July 27, 2017, the U.K. Financial Conduct Authority announced that it intends to stop persuading or compelling banks to submit LIBOR rates after 2021. Furthermore, in the United States, efforts to identify a set of alternative U.S. dollar reference interest rates include proposals by the Alternative Reference Rates Committee of the Federal Reserve Board and the Federal Reserve Bank of New York. At this time, it is not possible to predict the effect of any such changes, any establishment of alternative reference rates or any other reforms to LIBOR that may be enacted in the United Kingdom, in the United States or elsewhere. Uncertainty as to the nature of such potential changes, alternative reference rates or other reforms may adversely affect the trading market for LIBOR-based securities, including the Notes. Reform of, or the replacement or disappearance of, LIBOR and proposed regulation of LIBOR and other “benchmarks” may adversely affect the value of and return on the Notes

Alain Affelou company Prospectus Supplement dated October 2017

“EURIBOR,” with respect to an Interest Period, means the rate (expressed as a percentage per annum) for deposits in euros for a three-month period beginning on the day that is two TARGET Settlement Days after the Determination Date that appears on Bloomberg Page 248 as of 11:00 a.m. London time, on the Determination Date. If Bloomberg Page 248 does not include such a rate or is unavailable on a Determination Date, the Calculation Agent will request the principal London office of each of four major banks in the Euro-zone inter-bank market, as selected by the Issuer, to provide such bank’s offered quotation (expressed as a percentage per annum) as of approximately 11:00 a.m. London time, on such Determination Date, to prime banks in the Euro-zone inter-bank market for deposits in a Representative Amount in euros for a three-month period beginning on the day that is two TARGET Settlement Days after the Determination Date. If at least two such offered quotations are so provided, the rate for the Interest Period will be the arithmetic mean of such quotations. If fewer than two such quotations are so provided, the Calculation Agent will request each of three major banks in London, as selected by the Issuer, to provide such bank’s rate (expressed as a percentage per annum), as of approximately 11:00 a.m., London time, on such Determination Date, for loans in a Representative Amount in euros to leading European banks for a three-month period beginning on the day that is two TARGET Settlement Days after the Determination Date. If at least two such rates are so provided, the rate for the Interest Period will be the arithmetic mean of such rates. If fewer than two such rates are so provided then the rate for the Interest Period will be the rate in effect with respect to the immediately preceding Interest Period. Notwithstanding the foregoing, if for any Interest Period the rate determined based on the procedure specified in this paragraph is less than 0.0%, EURIBOR shall mean 0.0% for purposes of determining the Applicable Rate for such Interest Period.

Appendix 2 – LIBOR footprints across the five LIBOR currency regimes

All tables are sourced from the MPG (Market Participants Group on Reforming Interest Rate Benchmarks Final Report 2014) report, and include author calculations.

US$ LIBOR MARKETS

Exhibit : USD LIBOR Market Footprint by Asset Class

 

Asset Class

Volume

(USD Bill)

As of 2012

 % of LIBOR-related Estimated exposure   to LIBOR Percent

Roll-off after

5-years

Loans            22,419 33.1%              7,412  
   Syndicated loans              3,400 97%              3,298  90%
   Corporate business loans              1,650 30-50%                 660
   Non-corporate business loans              1,252 30-50%                 501
   Commercial real estate/Commercial Mortgages              3,583 30-50%              1,433
   Retail Mortgages              9,608 15%              1,441
   Credit Cards                  846          Low
   Auto Loans                  810          Low
   Consumer Loans                  139          Low
   Student loans              1,131 7%                    79
Bonds              1,470 84.0%              1,235  
   Floating / variable rate notes              1,470 84%              1,235  73%
Securitizations               9,836 26.0%              2,556  
   RMBS              7,500 24%              1,800    3%
   CMBS                  636 4%                    25  12%
   ABS              1,400 37%                 518  15%
   CDO                  300 71%                 213
Over-the-counter derivatives         171,146 65.0%          111,245  
   Interest-rate swaps         106,681 65%            69,343  65%
   Forward Rate Agreements (FRAs)            29,044 65%            18,879 100%
   Interest-rate options            12,950 65%              8,418  74%
   Cross-currency swaps            22,471 65%            14,606  76%
Exchange-traded derivatives            32,897 92.0%            30,272  
   Interest-rate options            20,600 98%            20,188 100%
   Interest-rate futures            12,297 82%            10,084  99%
Grand Total         237,768 64.7%          152,720 76%

 STERLING LIBOR MARKETS

Exhibit : Sterling LIBOR Market Footprint by

 Asset Class

 

Asset Class

Volume

(USD Bill)

As of 2012

 % of LIBOR-related Estimated exposure   to LIBOR Percent

Roll-off after

5-years

Loans                 2,799 17.2%            481  
   Syndicated loans                     125 100            125 89%
   Corporate business loans                     305 90            275 40%
   Non-corporate business loans                     181 31               56
   Commercial real estate/Commercial Mortgages                     272 low
   Retail Mortgages                 1,662 1.5               25
   Credit Cards                       80 Low
   Auto Loans low
   Consumer Loans                       99 low
   Student loans                       75 0                –
Bonds                     800 54.0%            432  
   Floating / variable rate notes                     800 54            432 49%
Securitizations                     –  
   RMBS                     562 95.4%            536
   CMBS                     377 100            377 1%
   ABS                       42 100               42 62%
   CDO                       78 67               52 24%
Over-the-counter derivatives                       65 100               65  
   Interest-rate swaps               45,747 63.0%      28,821
   Forward Rate Agreements (FRAs)               30,187 63      19,018 57%
   Interest-rate options                 8,965 63         5,648 100%
                3,091 63         1,947 71%
   Cross-currency swaps                 3,504 63         2,208 66%
Exchange-traded derivatives                 3,504 98.4%         3,449  
   Interest-rate options                 1,668 100         1,668 91%
   Interest-rate futures                 1,836 97         1,781 95%
Grand Total               53,412 63.1      33,718 68%

EUR-LIBOR & EURIBOR MARKETS

Exhibit : EURIBOR Market Footprint by

 Asset Class

 

Asset Class

Volume

(USD Bill)

As of 2012

 % of EURIBOR-related Estimated exposure   to EURBOR Percent

Roll-off after

5-years

% of which

EUR-LIBOR

Loans              13,330 40.6%         5,406    
   Syndicated loans                    535 90            482 89% 4%
   Corporate business loans                4,322 60         2,593 42%
   Non-corporate business loans                1,518 60            911
   Commercial real estate/Com  Morts                –
   Retail Mortgages                5,073 28         1,420
   Credit Cards
   Auto Loans                1,082 Low
   Consumer Loans                    800 Low
   Student loans                –
Bonds                5,202 46.9%         2,440    
   Floating / variable rate notes                2,645 70         1,852 76%
   Covered Bonds (euro ccy)                2,557 23            588
Securitizations                 1,421 96.2%         1,367    
   RMBS                    952 100            952 1%
   CMBS                    107 100            107 37%
   ABS                    197 91            179 19% 9%
   CDO                    165 78            129 17%
Over-the-counter derivatives           197,092 100.0%    197,092    
   Interest-rate swaps           137,553 100    137,553 62% 0.01%
   Forward Rate Agreements (FRAs)              25,559 100      25,559 100% 0.01%
   Interest-rate options              24,249 100      24,249 62% 0.01%
   Cross-currency swaps                9,731 100         9,731 72% 0.01%
Exchange-traded derivatives              17,344 100.0%      17,344    
   Interest-rate options              12,439 100      12,439 95% 0.01%
   Interest-rate futures                4,905 100         4,905 95% 0.01%
Grand Total           234,389 95.4    223,649 68%  

0.04%

 

YEN LIBOR AND TIBOR MARKETS

Exhibit : Yen  LIBOR Market Footprint by

 Asset Class

 

Asset Class

Volume

(USD Bill)

As of 2012

 % of LIBOR-related Estimated exposure   to LIBOR Percent

Roll-off after

5-years

Loans            5,518 23.8%            1,311  
   Syndicated loans                769 80                615
   Corporate business loans            3,477 20               695
   Non-corporate business loans                   –                   –
   Commercial real estate /        Commercial Mortgages                   –
   Retail Mortgages            1,272 0                   –
   Credit Cards                   –                         0
   Auto Loans                   –                     0
   Consumer Loans                   –                     0
   Student loans                   – 0                   –
Bonds                  51 0                  33  
   Floating / variable rate notes                  51 65                  33
Securitizations                   32 17.7%                    6  
   RMBS                  21 10                    2
   CMBS                    3 10                    0
   ABS                    4 80                    3
   CDO                    4                   –
Over-the-counter derivatives          53,077 57.3%          30,950  
   Interest-rate swaps          41,928 60          25,157
   Forward Rate Agreements (FRAs)                  41 60                  25
Swaptions            4,010 60            2,406
Basis swaps            4,041 50            2,021
Interest-rate options                297 80                238
Cross-currency swaps            2,759 40            1,104
Exchange-traded derivatives                451 100.0%                451  
   Interest-rate options                   – 100                   –
   Interest-rate futures                451 100                451
Grand Total          59,129 55.4          32,751  

SWISS FRANC LIBOR MARKETS

Exhibit : Swiss Franc LIBOR Market Footprint by

 Asset Class

 

Asset Class

Volume

(USD Bill)

As of 2012

 % of LIBOR-related Estimated exposure   to LIBOR Percent

Roll-off after

5-years

Loans           1,181 23.8%            202  
   Syndicated loans                 91 60               55
   Corporate business loans                 52 50               26
   Non-corporate business loans                 89 15               13
   Commercial real estate/Commercial Mortgages                232 20
   Retail Mortgages              717 15            108
   Credit Cards
   Auto Loans
   Consumer Loans
   Student loans                –
Bonds                 24 100.0               24  
   Floating / variable rate notes                 24 100               24
Securitizations                   –                    –    
   RMBS 10                –
   CMBS 10                –
   ABS 80                –
   CDO                –
Over-the-counter derivatives           6,098 99.2%         6,048  
   Interest-rate swaps           4,032 100         4,032   65%
   Forward Rate Agreements (FRAs)           1,079 100         1,079 100%
Swaptions                –     0%
Basis swaps               489 100            489   77%
Interest-rate options                –
Cross-currency swaps               498 90            448   73%
Exchange-traded derivatives               200 100.0%            200  
   Interest-rate options                –
   Interest-rate futures               200 100            200 100%
Grand Total           7,503 86.3         6,474 71%

 

 

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