GLOSSARY

LIBOR fallbacks definition

Produced in partnership with Kenneth Gray of Norton Rose Fulbright

What does LIBOR fallbacks mean?

This refers to the contractual arrangements in place if LIBOR is unavailable.

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LIBOR transition—legacy loan and swap RFR conventions comparison table

LIBOR transition—legacy loan and swap RFR conventions comparison table This Practice Note compares the conventions used in the loan and swap markets for sterling, US dollar, Euro and Swiss franc interest rate benchmarks referencing risk-free rates (RFRs) and is intended to help hedging lawyers identify potential mismatches and sources of basis risk. Loan and swap RFR conventions for legacy transactions—comparison table Currency and RFR Conventions recommended for existing loan facilities and sources Conventions used in applicable ISDA Fallback Rate and sources Additional information Pounds sterling (GBP)SONIA Working Group on Sterling Risk-Free Rates (RFRWG)Working Group on Sterling Risk-Free Rates Detailed Loans Conventions (updated March 2021)Best Practice Guide for GBP Loans (updated March 2021) Fallback Rate (SONIA)Fact Sheet IBOR FallbacksIBOR Fallback Rate Adjustments Rule BookRFR Conventions and IBOR Fallbacks—Product Table Interest methodology Compound in arrearsWhile the market has shown a preference for compounding the rate rather than compounding the balance, several methods exist to calculate SONIA compounded in arrears and implementation choice is left to individual market participants. To the extent compounding the rate is selected, the method for calculating the cumulative compounded rate should be based on ISDA's formula for Compound RFR.Given the need for the calculation of daily interest accruals to support distribution of interest impacted by intra-period activity such as prepayments and secondary trading, daily non-cumulative compounded rate (NCCR) derived from the cumulative compounded

Interest provisions in risk-free rate based loan agreements

Interest provisions in risk-free rate based loan agreements This Practice Note aims to assist practitioners with understanding the key issues to be aware of when drafting or amending a facility agreement to be based on a compounded risk-free rate (RFR) such as SONIA or SOFR rather than LIBOR. This Practice Note: • explains the timetable for LIBOR transition in the loan market • sets out the various compounded RFR based documents published by the Loan Market Association (LMA) • explains the different reference rate options • sets out key points to note when amending a loan agreement to be based on a compounded RFR • explains what will happen to legacy loans that can’t be amended • explains what is meant by a switch mechanism and discusses considerations relating to the triggers for the switch • summarises the key features of loan agreements based on compounded RFRs and how the documents differ from LIBOR based loan agreements • sets out a key points checklist for drafting an RFR-based facility agreement • sets out key points to note when using a term RFR such as Term SONIA or SOFR For: • our LIBOR transition material, presented in an easy to navigate interactive toolkit, see LIBOR transition toolkit • a quick reference guide and answers to some frequently asked questions on the key issues on LIBOR transition, see Practice Note: LIBOR transition—glossary and FAQs • detailed information on the

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Banking and Finance weekly highlights—6 January 2022

This week’s edition of Banking and Finance weekly highlights includes: (1) the LMA publishes leveraged RFR suite of documentation and revised secondary trading documentation for LIBOR transition, (2) BEIS publishes open letter and guidance on completing and registering notifications under the National Security and Investment Act, and (3) ICMA raises concerns about amendments to the proposed Regulation on European green bonds.

Financial Services weekly highlights—16 May 2019

Welcome to the weekly Financial Services highlights from the Financial Services team for the week ending 16 May 2019. This week’s edition of Financial Services highlights provides an aggregation of the news reported by the Lexis®PSL Financial Services team over the past week and includes (1) news items relating to the UK’s decision to leave the EU (2) updates from UK Regulators (3) updates from EU and International Regulators (4) updates from industry bodies and market participants (5) new and updated content and (6) dates for your diary from Financial Services.

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