Timeline for Future LIBOR-Indexed Collateral Changes

last updated on Wednesday, June 30, 2021 in Business News

With the London Interbank Offered Rate (LIBOR) cessation date set for June 30, 2023*, FHLB Des Moines has announced a timeline of future changes regarding LIBOR-indexed collateral.

Effective Date Change
June 30, 2021 New pledges of non-Agency LIBOR-indexed securities pledged as collateral will be required to include acceptable fallback language if the maturity is beyond the LIBOR cessation date of June 30, 2023
December 31, 2021 LIBOR-indexed loans originated after December 31, 2021, are not eligible to be pledged as collateral
June 30, 2022 All LIBOR-indexed loans pledged as collateral will be required to include acceptable fallback language if the maturity is beyond the LIBOR cessation date of June 30, 2023
December 31, 2022 All LIBOR-indexed securities pledged as collateral will be required to include acceptable fallback language if the maturity is beyond the LIBOR cessation date of June 30, 2023
June 30, 2023 Securities and Loans indexed to LIBOR will no longer be eligible to be pledged as collateral

The Bank defines acceptable fallback language as:

  • Language provided for in offering documents or agreed to by the borrower 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

In addition to the changes outlined above, FHLB Des Moines will also continue to monitor evolving market conditions to identify developments impacting the value and liquidity of LIBOR collateral. As a result, additional haircuts could be applied to LIBOR-indexed collateral at any time in the event of material changes in market value or liquidity.

Questions?

Contact the collateral department 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.

  1. Collateral
  2. LIBOR