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Index Rules Amendments linked to JPY, EUR and GBP LIBOR cessation.

1

DEC
2021

In light of imminent cessation of JPY, EUR and GBP LIBORs, below mentioned changes will be made in the following list of indices. For the avoidance of doubt, one index may be affected by only one or more changes depending on the rates used in the respective methodology. For more specific inquiries and updated version of specific index rules, please feel free to reach out to the Index Sponsor.

  1. JPY 3month LIBOR (JY0003M):
    1. Where used as a Basket Component Rate: is replaced by the sum of (i) Day Count Fraction adjusted unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 3M JPY Libor i.e. 0.00835%.
    2. Where not used as a Basket Component Rate: is replaced by the sum of (i) unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 3M JPY Libor i.e. 0.00835%.
  2. JPY 1month LIBOR (JY0001M):
    1. Where used as a Basket Component Rate: is replaced by the sum of (i) Day Count Fraction adjusted unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 1M JPY Libor i.e. -0.02923%.
    2. Where not used as a Basket Component Rate: is replaced by the sum of (i) unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 1M i.e. -0.02923%.
  3. EUR 3month LIBOR (EE0003M): is replaced by the sum of (i) EUR rate for overnight deposits (ESTRON); and (ii) the ISDA official spread for 3M EUR Libor i.e. 0.0962%.
  4. EUR 1month LIBOR (EE0001M): is replaced by the sum of (i) EUR rate for overnight deposits (ESTRON); and (ii) the ISDA official spread for 1M EUR Libor i.e. 0.0456%.
  5. JPY 5Y index Swap Rate (JYSW5): is replaced by the sum of (i) the 5 year overnight index swap rate for JPY (JYSO5); and (ii) the ISDA official spread for 6M JPY Libor i.e. 0.05809%
  6. JPY 10Y index Swap Rate (JYSW10): is replaced by the sum of (i) the 10 year overnight index swap rate for JPY (JYSO10); and (ii) the ISDA official spread for 6M JPY Libor i.e. 0.05809%
  7. GBP 3month LIBOR (BP0003M): is replaced by the sum of (i) Sterling Overnight Index Average (SONIA); and (ii) the ISDA official spread for 3M GBP Libor i.e. 0.1193%.                      

List of Indices:

SGIXDF02, SGMD1312, SGMD1403, SGMD1406, SGMD1409, SGMD1412, SGMD1503, SGIXDF04, SGIXDF05, SGIXDF06, SGIXDF07, SGDFRESJ, SGDFVAAU, SGDFVANZ, SGDFVAUS, SGDFWLJY, SGMDVA10, SGMDVA15, SGIXMS03, SGIXMY1A, SGIXMY2A, SGMDCALA, SGMDCALU, SGFI5AU, SGFI5US, SGMDBJCI, SGMDBWCI.

Such changes are effective as of the close of 3rd December 2021.