Eligibility Changes for LIBOR-Indexed Securities Collateral
last updated on Wednesday, June 30, 2021 in Business News
In preparation for the phase out of the London Interbank Offered Rate (LIBOR), FHLB Des Moines will implement revised collateral eligibility requirements on LIBOR-indexed, non-Agency security instruments.
Effective June 30, 2021
New non-Agency LIBOR-indexed securities pledged as collateral will be required to include acceptable fallback language only when both of the following two scenarios are applicable:
- It was pledged on or after June 30, 2021 AND
- It matures beyond the LIBOR cessation date of June 30, 2023*
The Bank defines acceptable fallback language as:
- Language provided for in offering documents which specifies how the rate will be determined in the event of LIBOR permanent cessation, and;
- The fallback index, if specified, is a widely available, market standard reference rate, such as an IOSCO-compliant benchmark or those published by the Federal Reserve Bank of New York.
For help preparing fallback language, visit the Alternative Reference Rate Committee’s resource page.
Contact the Collateral team with questions regarding this change.
Updates on the LIBOR Transition
Visit our LIBOR Transition page on our website for the latest news and resources. We will continue to provide updates regarding future changes as we approach the LIBOR cessation date.
*As announced by the Financial Conduct Authority on March 5, 2021, publication of the overnight and 12-month US dollar LIBOR settings will cease immediately after 30 June 2023 (cessation date). All changes made by FHLB Des Moines in regards to LIBOR-indexed collateral is based off of this cessation date and is subject to change in the event future movement of the cessation date occurs.