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In light of the scheduled LIBOR phase out by end 2021, UNCTAD DMFAS Programme is releasing an update integrating the alternative reference rates for LIBOR in the DMFAS software.
In March 2021 , the FCA, LIBOR's Regulator, announced that all GBP, EUR, CHF, JPY LIBOR and the 1-week and 2-month USD LIBOR will cease on 31 December 2021 while the remaining USD LIBOR settings will end on 30 June 2023.
The London Interbank Offered Rate (LIBOR) is the reference rate used in many international loans, bonds and financial derivatives and its end will affect all instruments referencing it.
This interest rate transition has multiple impacts, including for public debt managers, for example on costs and risk calculations for debt linked to LIBOR and derivatives, as well as on legal agreements with creditors which might need to be changed.
During the transition period, debt managers need to assess their debt portfolio to identify the instruments affected by the end of LIBOR, review them with the creditors to identify the new applicable rates and conditions and record these changes in the debt management system.
To respond to the operational needs of DMFAS user countries, the Progamme has already prepared a script integrating the following new reference rates in the DMFAS software:
1-SOFR (Secured Overnight Financing Rate)
2-€STR (Euro Short-Term Rate)
3-SONIA (Sterling Overnight Index Average)
4-TONAR/TONA (Tokyo Overnight Average Rate)
5-SARON (Swiss Average Rate Overnight)
6-SORA (Singapore Overnight Rate Average)
The script will be included in the next release of DMFAS, namely DMFAS 6.2. planned for distribution in Autumn 2021. In the meantime, DMFAS user countries can contact DMFAS Helpdesk to receive the script with installation instructions as well as guidance on how to record a new reference rate for an existing instrument.
DMFAS Helpdesk can be contacted for any doubt or to share any relevant information.