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Finalisation: LIBOR Cessation

Timelines and the ISDA Spread

Adjustment

IBOR Transition: Virtual Client

Briefing Session

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1. Introduction

2. Overview of LIBOR

3. Understanding Risk-Free Rates

4. Key Reforms

5. Remediation Approach

6. The Bank’s Capabilities

7. Next Steps

8. Questions and Answers

Agenda

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

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Help ensure you are up-to-date with the latest transition-related regulatory and market

developments.

Help ensure you are aware of the developments in key product groups.

Help ensure you are clear on next steps and the Bank’s engagement with you as we

move close to cessation of LIBOR.

Key outcomes of this virtual briefing session is to:

1. Introduction

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

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On 5 March 2021, the ICE Benchmark Administration (IBA) announced the results of its

consultation to cease the publication of LIBOR. In an accompanying statement, the Financial

Conduct Authority (FCA) has also declared the future permanent cessation or loss of

representativeness of all 35 LIBOR settings.

Updates on IBA Consultation2. Overview of LIBOR

ISDA Statement on LIBOR

• This announcement constitutes an “Index Cessation Event” under the IBOR Fallbacks

Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all LIBOR settings and the date 5

March 2021 constitutes as a “Spread Adjustment Fixing Date” under the Bloomberg IBOR

Fallback Rate Adjustments Rule Book.

• The Fallback Rate calculated for each Rate Record Day from and including 5 March 2021 will

use the fixed Spread Adjustments published by Bloomberg

• The Index Cessation Event only fixes the spread adjustment but does not cause the fallback

rate to be applied. The fallback rate will be applied only when the relevant LIBOR rate ceases

to be published.

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

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ARRC Statement on USD LIBOR

On 8 March 2021, the Alternative Reference

Rates Committee (ARRC) confirmed in its

opinion the announcements from the IBA and

UK’s FCA on 5 March 2021 constitute as a

benchmark transition event under the ARRC

fallback language with respect to all USD

LIBOR settings.

Updates on IBA Consultation2. Overview of LIBOR

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment

April 2021

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Currency Tenor

End of Panel Bank Submission Potential Synthetic LIBOR publication

Date Result Start Date Note

CHF All 31 December 2021 Permanent cessation Not applicable

EUR All 31 December 2021 Permanent cessation Not applicable

GBP

O/N, 1W, 2M, 12M 31 December 2021 Permanent cessation Not applicable

1M, 3M, 6M 31 December 2021 Loss of representativeness 1 January 2022 Subject to FCA consultation

JPY

S/N, 1W, 2M, 12M 31 December 2021 Permanent cessation Not applicable

1M, 3M, 6M 31 December 2021 Loss of representativeness 1 January 2022 Subject to FCA consultation

USD

1W, 2M 31 December 2021 Permanent cessation Not applicable

O/N, 12M 30 June 2023 Permanent cessation Not applicable

1M, 3M, 6M 30 June 2023 Loss of representativeness 1 July 2023 Under consideration by FCA

LIBOR Cessation Dates2. Overview of LIBOR

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

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Implications on other IBORs that use USD

LIBOR as a calculation input

• SOR – The Steering Committee for SOR and

SIBOR Transition to SORA (SC-STS) has

confirmed that SOR will be discontinued after

30 June 2023.

• THBFIX – The Bank of Thailand formally

announced that the publication of THBFIX

will be discontinued after 30 June 2023.

LIBOR Cessation Dates2. Overview of LIBOR

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April 2021

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Key Differences between LIBOR and RFR3. Understanding Risk-Free Rates

Key

Difference

LIBOR is a forward-looking term rate, that includes both bank credit and

liquidity premia. In comparison, the RFRs are overnight rates, some of which

are secured, and therefore have little to no bank credit or liquidity premium.

What this

means

LIBOR has traditionally been higher than its RFR equivalent due to the credit

and term components. For illustrative purposes, the table below shows the

five-year historical median spread between the 35 LIBOR currency and tenor

rates and respective compounded RFR.

ISDA 5yr historical median spread fixed on 5 March 2021

SN//ON 1W 1M 2M 3M 6M 12M

CHF -0.05510 -0.07050 -0.05710 -0.02310 0.00310 0.07410 0.20480

EUR 0.00170 0.02430 0.04560 0.07530 0.09620 0.15370 0.29930

GBP -0.00240 0.01680 0.03260 0.06330 0.11930 0.27660 0.46440

JPY -0.01839 -0.01981 -0.02923 -0.00449 0.00835 0.05809 0.16600

USD 0.00644 0.03839 0.11448 0.18456 0.26161 0.42826 0.71513

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

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Credit Adjustment Spread3. Understanding Risk-Free Rates

Derivatives: International Swaps and Derivatives Association (ISDA) has determined that the CAS used for ISDA fallbacks will be based on the historical median spread between the relevant LIBOR and the adjusted RFR* calculated over a five-year lookback period

Cash: Similarly, working groups such as the ARRC and the Working Group on Sterling Risk-Free Reference Rate (RFRWG) have recommended the five-year historical median spread adjustment methodology for fallbacks

Co

ntr

actu

al

Fall

backs

The RFRWG has highlighted two methodologies:▪ Forward approach: based on the forward-looking

basis swap market between LIBOR and RFRs▪ Historical approach: similar to the approach

recommended for contractual fallbacks

Acti

ve

Co

nvers

ion

Source: Bank of England * Compounded RFR over the same accrual period as its corresponding LIBOR

Much work has been done to obtain consensus on how to calculate a fair replacement for LIBOR

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

LIBOR

Adjustment

Spread

(includes two

elements: Credit

Risk and Term

premium)

Compounded

RFR

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Basis Swap Market Reactions to the IBA Announcement3. Understanding Risk-Free Rates

0

2

4

6

8

10

12

14

16

0 10 20 30

The market was pricing in a Q2/Q3 timeline for

the IBA announcement which would trigger an

Index Cessation event.

However, as the IBA announcement came

through on 5 March 2021, the ISDA spread

adjustments were slightly higher than what the

market had priced in prior to the

announcement.

This resulted in the tenor basis markets going

bid.

Chart 1: USD Tenor Basis (6M LIBOR vs 3M LIBOR) Term Structure

(before and after IBA announcement)

4 Jan 20215 Mar 2021

Year

US

D T

enor

Basis

Sw

am

ps (

6M

vs 3

M,

bps)

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Source: Bloomberg

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Basis Swap Market Reactions to the IBA Announcement3. Understanding Risk-Free Rates

25.4

25.6

25.8

26

26.2

26.4

26.6

26.8

0 10 20 30

After the IBA announcement, the markets

have almost effectively priced-in the fallback

spread adjustments.

This was evidenced by the forward basis

being within +/- 0.5bps of the ISDA spread

adjustment for USD 3M LIBOR at 26.161bps.

The spread adjustments for USD 3M LIBOR

becomes effective from 1 July 2023, and

thus, the forward basis will continue to be

driven by funding dynamics for shorter

tenors.

Chart 1: USD SOFR-LIBOR Basis Swap 5Y Forward

Year

US

D S

OF

R –

LIB

OR

Basis

Sw

ap –

5Y

Forw

ard

(bps)

ISDA Spread Adjustment for USD 3M LIBOR = 26.161bps

Source: Bloomberg, Standard Chartered Bank

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Following the FCA’s 2017 announcement that

they would no longer compel banks to submit

LIBOR after 2021, thereby signaling LIBOR’s

likely end, industry working groups were

tasked with identifying successor rates that

were based off actual market transaction.

These rates have come to be known as the

Risk-Free Rates (RFR).

What will Replace LIBOR?4. Key Reforms

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Currency USD GBP JPY CHF EUR SGD

Alternative RFRSecured Overnight

Financing Rate (SOFR)

Sterling Overnight Index

Average (SONIA)

Tokyo Overnight

Average Rate (TONA)

Swiss Average Rate

Overnight (SARON)

Euro Short-Term Rate

(€STR)

Singapore Overnight

Rate Average (SORA)

Administrator

Federal Reserve

Bank of New York

(FRBNY)

Bank of England

(BoE)Bank of Japan (BoJ) SIX Swiss Exchange

European Central

Bank (ECB)

Monetary Authority of

Singapore (MAS)

Rate Published Since April 2018 Since April 2018 Since January 2017 Since August 2009 Since October 2019 Since July 2005

Description of the

RFR

SOFR is secured,

overnight and

transaction-based

encompassing

multiple repo market

segments.

SONIA is unsecured

and overnight and is

calculated based on

daily sterling money

market activity.

TONA is unsecured,

overnight and

transaction-based. It

reflects the

uncollateralised,

overnight call rate

market encompassing

multiple repo market

segments.

SARON is a secured

overnight rate that

reflects interest paid

on interbank overnight

repo transactions.

€STR is an unsecured

overnight rate that

reflects overnight

unsecured fixed rate

deposits of euro area

banks.

SORA is a unsecured

overnight rate that

reflects the average

rate of borrowing

transactions in the

unsecured overnight

interbank SGD cash

market in Singapore.

What will Replace LIBOR? 4. Key Reforms

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4. Key Reforms

Background to forward-looking term RFRs

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Why are they needed?

• Current RFR tenors are calculated using backward-looking observed overnight rates. The RFRWGdetermined that approximately 90% of GBP LIBOR loan market can use SONIA compounded in arrears.

• However, certain selected areas may need a forward looking term RFR. The FICC Markets Standard Board has published a draft Standard on use of term SONIA reference rates.

What should clients know when considering forward-looking term RFRs?

• Clients should not wait for forward-looking term RFR rates to become available, if they can transact in RFRs compounded in arrears –they should liaise with their vendors to enhance their RFR systems and capabilities.

• There is no consensus on the conventions or calculation methodologies for term RFRs which may vary by jurisdiction. Offer and use of term RFRs is likely to be limited to certain types of products.

What do clients need to

do?

• Review current exposures and identify any contracts where switching to the RFR compounded in arrears approach may not be possible or appropriate.

• Assess operational/system readiness to use forward-looking term RFRs.

• Contact their relationship manager if they have any questions.

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US SOFR UK SONIA Japan TORF Europe €STR

Publication Date TBC 11 January 2021 Expected 26 April 2021 TBC

Vendors

Currently unknown – RFP

process for a potential

vendor postponed

• IBA

• RefinitivQUICK Corp

The following providers are being considered:

• IHS Markit

• European Money Markets Institute (EMMI)

& IBA

• Refinitiv

• FTSE Russell

Status

The ARRC has announced

that it will not be in a

position to recommend term

SOFR by mid-2021 and

cannot guarantee it will be

able to do so by the end of

2021

• ICE Term SONIA and Refinitiv

Term SONIA were launched

on 11 January 2021, available

in 1M, 3M, 6M and 12M tenors

• FMSB has released the

Standard on the use of Term

SONIA Transparency Draft

QUICK Corp. announced that

the calculation and publication of

the Tokyo Term Risk-Free Rate

(TORF) for actual trading,

available in 1M, 3M and 6M

tenors, will start on 26 April

2021.

• Refinitiv and IBA have provided details on

methodology at a 18 February 2021 Euro

RFR WG meeting

Forward-Looking Term RFRs4. Key Reforms

Expected timelines for completion

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LIBOR Transition Milestones4. Key Reforms

ARRC Milestones:

• Jun 21: Cease new use of USD

LIBOR in derivatives, business

loans and securitisations other than

Collateralised Loan Obligation

(CLOs)

• Sep 21: Cease new use of USD

LIBOR in CLOs

Fed, FDIC and OCC Milestone:

• Dec 21: Cease entering into new

contracts that use USD LIBOR as a

reference rate in any event

End of panel bank submissions:

• Dec 21: 1W and 2M tenors

• Jun 23: O/N and 12M tenors

• Jun 23: 1M, 3M and 6M tenors

(loss of representativeness)

RFRWG Milestones:

• End Q2: Cease initiation of new

GBP LIBOR non-linear and

exchange traded derivatives

• End Q3: Complete active

conversion of all legacy GBP

LIBOR contracts, where viable,

and if not, adopt robust fallbacks

End of panel bank submissions:

• Dec 21: O/N, 1W, 2M and 12M

tenors

• Dec 21: 1M, 3M and 6M tenors

(loss of representativeness)

SC-STS Milestones:

• Apr 21: Cease usage of SOR in new cash market products that mature after end-

2021

• Sep 21: Cease usage of SOR in new derivatives contracts

• Sep 21: Cease usage of SIBOR in new contracts

• Sep 21: Substantially reduce gross exposures to SOR derivatives with other FIs to

20%

• Mar 22: Discontinuation of 6M SIBOR

• End 22: Substantially reduce SOR exposures to corporates to 20%

• Jun 23: SOR discontinuation

BoT Milestones:

• Jul 21: Financial Institutions (FIs) to

be ready to offer loans referencing

THOR

• Jul 21: FIs must not issue / offer

new loans, bonds and structured

products referencing THBFIX with

maturity after June 23

• Jun 23: THBFIX discontinuation

ECB Milestone:

• Jan 22: Discontinuation of EONIA

End of panel bank submissions:

• Dec 21: all tenors

CIC Milestones:

• Apr 21: Quick corp. to

publish Tokyo Term Risk-

Free Rate (TORF)

• Q2 21: Cease the issuance

of new loans and bonds

referencing LIBOR

• Q3 21: Significantly reduce

the amount of loans and

bonds referencing LIBOR

• Sep 21: Cease initiation of

new IRS referencing JPY

LIBOR

HKMA Milestones:

• Jan 21: AIs should be in a position to offer

products referencing ARRs to LIBOR

• Jan 21: Adequate fallback provisions in all new

LIBOR contracts maturing after 2021

• End 21: Banks and FI’s to cease issuances of

new LIBOR linked products that will mature

after 2021

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The West has seen significant developments in RFR adoption with UK, Europe and NorthAmerica leading the charge on LIBOR reform

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

IBOR Reforms in the West

4. Key Reforms

By December 2021 , Central Counterparties (CCP)’s will commence pre-emptive transition of legacy LIBOR trades to RFRs

Nordics

Switzerland The Swiss Financial Market Supervisory Authority (FINMA) has recommended for supervised institutions to implement system and process changes,

mitigate risks for “tough legacy” contracts by 30 June 2021. By 31 December 2021, supervised institutions are recommended to achieve full

operational readiness and all new contracts should be based on alternative reference rates

CanadaThe Canadian Dollar Overnight Rate (CDOR) has been reformed and is intended to co-exist with the RFR alternative Canadian Overnight Repo Rate

Average (CORRA). Nevertheless, Refinitiv, the benchmark’s administrator, has announced that the 6M and 12M tenors will cease by 17 May 2021.

The 1M, 2M and 3M tenors of CDOR are not expected to cease

Across the Nordic region, the current IBOR benchmarks are expected to continue for Sweden (Stockholm Interbank Offered Rate (STIBOR)), Denmark

(Copenhagen Interbank Offered Rate (CIBOR)) and Norway (Norwegian Interbank Offered Rate (NIBOR)). Alternative reference rates have been

developed for Denmark (Denmark Short-Term Rate (DESTR)) and Norway (Norwegian Overnight Weighted Average (NOWA)) with the Swedish

alternative in development. Current IBORs will be updated to include fallback language to the RFR rates in the event of an IBOR cessation event

United States

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In the Asia Pacific region, regulatory focus on LIBOR transition has been heightened by

regulators, who have encouraged banks and FIs to adopt RFRs

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

IBOR Reforms in the East

4. Key Reforms

• Mumbai Interbank Forward Offer Rate (MIFOR) uses USD LIBOR and will be discontinued/reformed; alternative rates still being identified

• Reserve Bank of India (RBI) issued a ‘Dear CEO’ letter: (i) the need to be prepared for the LIBOR cessation; (ii) asked to identify LIBOR

exposures; (iii) assess transition preparedness and risks; and (iv) ensure customer sensitisation on the subject

Malaysia

Vietnam• Refinitiv has announced plans to launch the new VND Risk-Free Rate, VNONIA by Q2 or Q3 of 2021

• USD Vietnam Interbank Offered Rate (VNIBOR), VNDFX and the 6M, 9M and 12M tenors of the VND VNIBOR are to be discontinued by end

2021

• Other VND VNIBOR tenors to be retained for 2 to 3 years to allow users to become familiar with VND Overnight Index Average (VNONIA)

Philippines• Philippine Interbank Reference Rate (PHIREF) uses USD LIBOR and will be discontinued/reformed; with intention to establish a replacement rate

• Quarterly reporting to central bank on LIBOR and PHIREF exposures for September 2020 to March 2022

• Banks are also required to report on their transition from LIBOR to alternative reference rate

• Kuala Lumpur Interbank Offered Rate (KLIBOR) future is currently in discussion with no new rate identified as an overnight benchmark

• Q2 2021 – cease issuance of products referencing certain LIBOR settings and ensure adequate fallbacks

• Q4 2021 – cease issuance of products referencing USD LIBOR (O/N, 1M, 3M, 6M & 12M) and ensure adequate fallbacks

India

Indonesia• Bank Indonesia has introduced several refinements to enhance the credibility of Jakarta IBOR (JIBOR)

• On 2 January 2019, Bank Indonesia stopped publishing the O/N JIBOR, and it has been replaced by Indonesia Overnight Index Average

(IndONIA)

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In Africa, regulatory focus on LIBOR transition has been heightened by regulators, who are

working on identifying RFRs

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

IBOR Reforms in the Africa and Middle East

4. Key Reforms

• Johannesburg Interbank Average Rate (JIBAR) is expected to be discontinued and transition to an RFR (the transition timeline is not yet

available)

• Market Practitioners Group has proposed South African Rand Overnight Index Average (ZARONIA) as a replacement for existing

benchmark, South African Benchmark Overnight Rate (SABOR)

• Banks are providing quarterly updates to the Reserve Bank on exposures, risks and progress for LIBOR transition

Bahrain

Egypt The Government has formed a committee in December 2020 with representation from the Central Bank of Egypt, Ministry of Finance and World Bank

to develop an action plan to phase out the use of LIBOR in 2021

UgandaBank of Uganda issued guidance to financial institutions in December 2020 on the transition away from LIBOR. Its guidance include critical milestones

which each financial institution should accomplish

The Central Bank of Bahrain (CBB) has issued a circular to banks requiring them to submit a report of their analysis of the impact of the LIBOR

transition together with a summary of the approach, a plan to address issues arising from the relevant contractual arrangements and measures to

introduce fallback language

South Africa

United Arab

Emirates

To ensure credibility of the Emirates Interbank Offered Rate (EIBOR) and maintain transparency of its fixing process, the Central Bank of the UAE

(CBUAE) has mandated that rate submitters at Panel Banks should rely, as much as possible, on the use of available transaction date in informing

their rate submissions

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Amending fallback language

An effective way to remediate LIBOR

exposures is to actively convert legacy

contracts to their RFR equivalent. The RFRWG

recommended active conversion because:

• There is uncertainty on how the volatility

of GBP LIBOR may change

• Resources may become more limited

towards the end of 2021

Active contract conversion to RFRs

Upon the cessation of LIBOR, clients with LIBOR exposures could find their contracts and hedges

no longer operate as intended and so are encouraged to remediate these positions as soon as

feasible. Delaying the transition could lead to increased exposure to liquidity risk, impacting

contract repricing.

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

5. Remediation Approach

If active conversion is not possible then

existing contracts should be repapered with

hardwired fallback language which describes

the switching rate and mechanism upon

LIBOR

Different Remediation Approaches

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Ultimately, all active contract conversions will require a negotiation between relevant contractual

parties. Whether the client chooses to convert to an RFR or an alternative floating rate, as far as

possible, there should be no detriment on either side.

There are two principal changes when converting LIBOR contracts to their RFR

equivalents

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Active Contract Conversion

5. Remediation Approach

Change in the interest calculation

methodology and associated

conventions

The calculation methodology will likely be based on the overnight RFR fixing-in-arrears (with industry standard conventions). The interest

period calculation structure will need to be amended accordingly. The industry is being encouraged not to rely on term rates.

Application of the adjustment

spread

▪ LIBOR includes Term Premium and Credit Risk component; RFRs are overnight risk-free (or near risk-free) rates and do not contain

term premium and bank credit risk

▪ To account for this difference, and to ensure a fair conversion of existing contracts, an additional “adjustment spread” is added to any

existing margin for the remaining duration of the loan.

▪ Forward approach: based on the forward-looking basis swap market between LIBOR and RFR.

▪ Historical approach: uses the historical median between LIBOR and the respective compounded RFR over a five-year

lookback period.

▪ The CAS published by Bloomberg (based on five-year historical median approach) for all LIBOR tenors and currencies was fixed on 5

March 2021.

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DERIVATIVE CONTRACTS (PROTOCOL) LOAN CONTRACTS

Fallback Methodology

• Following a number of industry consultations, ISDA launched the IBOR

Fallbacks Supplement, which amends ISDA’s standard definitions for interest

rate derivatives to incorporate robust fallbacks for derivatives linked to

certain IBORs

Fallback Adoption

• The Protocol includes the ISDA fallbacks in the relevant covered agreements

and transactions and the application of the fallbacks is product-agnostic.

Therefore, the ISDA fallbacks will be included in the relevant IBOR

derivatives contracts, including non-linear derivatives contracts. However,

the fallbacks may function differently for various non-linear derivatives. In this

regard, ISDA has published the RFR Conventions and IBOR Fallbacks –

Product Table which we would like to draw your attention to

Fallback Methodology

• Industry bodies and official sector working groups, including the Loan Markets

Association (LMA) in the UK and ARRC in the US, have published more

robust fallbacks for use in LIBOR-referenced loan agreements

Fallback Adoption

• Unlike derivative markets, the adoption of revised fallbacks in existing LIBOR

loans will require amendment at an individual contract level

• The Bank has updated its bilateral client documentation to include IBOR

Transition related amendments and hardwired fallbacks. All client

documentation entered into from 1 October 2020 references these

amendments

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Amending Fallback Language

5. Remediation Approach

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Currency RFR Products Available Tenor

SOFR

• Interest rate swaps (fixed vs SOFR)

• SOFR Lending (volume restricted)

• SOFR – USD LIBOR basis swaps

• SOFR – Fed Funds basis swaps

Up to 30 years

SONIA

• Interest rate swaps (fixed vs SONIA)

• SONIA Lending (volume restricted)

• SONIA – GBP LIBOR basis swaps

Up to 30 years

SARON• Interest rate swaps (fixed vs SARON)

• SARON – CHF LIBOR basis swapsUp to 10 years

€STR• Interest rate swaps (fixed vs €STR)

• €STR – EURIBOR (or EUR LIBOR) basis swapsUp to 30 years

TONA• Interest rate swaps (fixed vs TONA)

• TONA – JPY LIBOR basis swapsUp to 30 years

HONIA• Interest rate swaps (fixed vs HONIA and 3mH vs HONIA)

• SOFR – HONIA basis swapsUp to 10 years

SORA• Interest rate swaps (fixed vs SORA)

• SORA – SOR basis swapsUp to 21 years

Derivatives6. The Bank’s RFR Capabilities

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The Bank has lending product capabilities in all active RFR markets. We are ready to support

industry standard RFR pricing enquires and can provide granular product capabilities information

upon request. Clients are encouraged to familarise themselves with the RFR product suite and to

consider transacting once ready.

Currency RFR Lending* (Bilateral/Syndicated/acting as an Agent) Overdrafts and Transaction Banking Products (Cash and Trade Products)

SOFR

20 booking locations** are supported for Overnight

RFR rates Trade finance products are short dated in nature. At present, Term SONIA

Reference Rate (TSRR) is recommended only for Discounted products, while other

Trade Finance products are expected to adopt an Overnight RFR rates. Term

Rates based on RFRs are yet to be developed for other currencies.

We support O/N SONIA and TSRR based products since 1 April 2021. In light of

the gradual market adoption of RFR rates, the Bank will continue to offer LIBOR

based pricing provided the maturities are no later than 31 December 2021.

SONIA

€STR

SARON

RFR may be supported on a case-by-case basis

TONA

SORA Supported

Lending and Trade6. RFR Product Capabilities

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

* The Bank offers Compounded in Arrears and Simple Interest Capabilities for RFR Term Rates (where applicable) are in progress. Where the Compounded in Arrears methodology is elected, the RFRWG and the

ARRC both recommend Lookback/Lag with five business days without Observation Shift. Clients, however, may also choose Lookback with an Observation Shift as a viable and robust alternative

** The 20 booking locations where RFR pricing is available: Bahrain, Botswana, China, DIFC, Germany, Ghana, Hong Kong, India, India entity “Gift City”, Mauritius, Oman, Philippines, Singapore, South Africa, Qatar,

Taiwan, UAE, UK, US, and Zambia

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Standard Chartered acknowledge the importance of the transition and is committed to partnering

with and assisting you through the transition. We will be responding with the following:

What to Expect from Us7. Next Steps

We will engage with you to commence remediation discussion on your LIBOR contracts

that are impacted by the cessation on 31 December 2021

If you are ready to commence remediation, we will discuss your options for remediation

and a transition plan

If you are not yet ready to transition, we will continue our engagement with you on this

topic to support your remediation activities

Where your contracts are linked to USD LIBOR fixings which will discontinue in mid-

2023, the Bank will engage with you at a later time

However, if you would also like to remediate your USD LIBOR contracts at the same

time as your other contracts, please reach out to your RMs.

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Below are the recommended actions and next steps for you to take to ensure a successful

transition.

7. Next Steps

RFR Adoption

Understand the industry targets on LIBOR product cessation

Familiarise yourself with RFR markets and products

Transition away from LIBOR and commence transacting in RFRs

LIBOR Remediation

Identify all your LIBOR exposures

Understand your LIBOR exposures by currency and contract maturity

Prepare for active contract conversion

If active conversion is no viable, ensure robust fallbacks are adopted where possible

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Recommended Actions and Next Steps

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Q&A

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Appendix

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ISDA: Understanding IBOR Benchmark Fallbacks | Technical Notice – Spread Fixing Event for LIBOR

FSB: Overnight Risk-Free Rates: A User’s Guide

UK RFR WG: Transition Roadmap

ARRC: Transition Timeline and Best Practices for Completing Transition from LIBOR

Standard Chartered: LIBOR Transition webpage

Standard Chartered: LIBOR Transition ‘Checklist for Success’

If you have additional queries on the transition, please reach out to our respective Standard Chartered point of

contact or contact IBOR.Transition@sc.com

Appendix A

Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021

Resources

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• The Financial Conduct Authority (FCA)

• Financial Stability Board (FSB)

• International Accounting Standards Board (IASB)

• International Swaps and Derivatives Association (ISDA)

• International Capital Market Services Association (ICMSA)

• The US-based Alternative Reference Rates Committee (ARRC)

• Loan Syndications and Trading Association (LSTA)

• Loan Market Association (LMA)

List of Regulatory and Industry BodiesAppendix B

Finalisation: LIBOR Cessation Timeline and the ISDA Spread Adjustment

• The Working Group on Sterling Risk-Free Reference Rates (RFRWG)

• The Working Group on Euro Risk-Free Rates

• The National Working Group on Swiss Franc Reference Rates

• Cross-Industry Committee on Japanese Yen

• Reserve Bank of Australia

• Canadian Alternative Reference Rate Working Group

• The Steering Committee for SOR Transition to SORA

• The Hong Kong Treasury Markets Association

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GBP LIBOR SONIA

Basis of

Determination

Based on panel bank submissions with a heavy

reliance upon expert judgement

Based on actual market transactions

Published

Tenors

Seven tenors from overnight to 12 months

(forward looking rate

O/N, published daily (backward looking rate)

Payment

Frequency

Typically following the index tenor (Customisable

according to preference or underlying exposure)

Customisable according to the preference or underlying exposure

Interest

Fixing

Calculation

Rate is fixed in advance at the start of the interest

period (Reset Date). Actual fixing varies between

zero to two business days prior to Reset Date,

depending on currency

SONIA fixed in arrears* as it is an O/N backward looking rate, interest can be calculated using the

following methodologies:

SONIA compounded-in-arrears: Takes into account the additional amount of interest owed each day

by applying the daily rate of interest both to the principal borrowed and the accumulated unpaid interest

component.

• Cumulative Compounded Rate* - calculates the compounded rate at the end of the interest period

and is applied to the whole period

• Non-Cumulative Compounded Rate (NCCR)* - derived from the Cumulative Compounded Rate i.e.

cumulative rate as of current day minus cumulative rate as of prior banking day. This generates a

daily compounded rate which allows the calculation of a daily interest amount

SONIA simple interest: The averaged RFR in this convention is the simple arithmetic mean of the

daily RFRs.

Payment

Convention

At the end of the interest period With SONIA being fixed in arrears, two possible options for payment conventions to allow interest

payment to be known in advance (five days) of settlement, include:

• Lookback with observation shift

• Lookback without observation shift

Understanding differences between GBP LIBOR and SONIAAppendix C

Finalisation: LIBOR Cessation Timeline and the ISDA Spread Adjustment

*Term SONIA rates are evolving and rates are presently available on some sites of independent benchmark administrators, e.g. ICE Benchmark Administration and Refinitiv. The UK authorities are expecting limited

use cases for Term SONIA (e.g. trade finance and Islamic Banking) and therefore any client demand should be discussed with your business representative.

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Finalisation: LIBOR Cessation Timelines and the ISDA Spread Adjustment April 2021