The European Commission has adopted the option provided in paragraph 8 of article 23b of the Regulation 2016/1011 (Benchmark Regulation) on the designation of a replacement for a benchmark that will cease to be provided, by issuing on 14 October 2021 the above Implementing Regulation (EU) 2021/1847 on the designation of replacement rates for certain settings of CHF LIBOR and the fixed spread adjustments that should be added to them, accordingly.
In particular, under the Implementing Regulation:
1. The following rates are designated as the replacement rates for the CHF LIBOR in references to CHF LIBOR in any contract, and in any financial instrument as defined in Directive 2014/65/EU, not containing fallback provisions:
- 1-month CHF LIBOR is replaced by 1-month SARON compound Rate, as observed over the 1-month period preceding the interest period
- 3-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period
- 6-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period
- 12-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period
2. To the replacement rates mentioned above, a fixed “spread adjustment” shall be added which is equivalent to the spread published for each relevant setting (1Μ, 3Μ, 6Μ και 12Μ) and calculated on 5 March 2021 as a historical median spread between the CHF LIBOR concerned and the respective SARON compound over a five-year lookback period for each particular term.
3. The replacement rates for CHF LIBOR shall be designated in accordance with the following table:
|LIBOR||Tenor||Replacement rate||Spread Adjustment Value (%)|
|CHF||1M||SARON 1M Compound Rate (SAR1MC) ISIN CH0477123886||-0.0571|
|CHF||3M||SARON 3M Compound Rate (SAR3MC) ISIN CH0477123902||0.0031|
|CHF||6M||SARON 3M Compound Rate (SAR3MC) ISIN CH0477123902||0.0741|
|CHF||12M||SARON 3M Compound Rate (SAR3MC) ISIN CH0477123902||0.2048|