Von USD-LIBOR zu SOFR: Die Transformation der Zinslandschaft in österreichischen Unternehmen

Abstract

The LIBOR was a widely used reference interest rate for many years. It was used in the calculation of numerous financial instruments. The calculation of the LIBOR is based on the average of the reported interest rates of interbank lenders. However, it has been established that the calculation method was misused with the intention of influencing the interest rate in a manner favourable to the interbank lenders. These manipulations were the starting point for the elimination of the LIBOR. Many companies have waited to change to a new reference interest rate year until the end of the deadline. This is evidenced by the fact that in 2020, financial contracts with a total value of 350 billion USD, which were still linked to the LIBOR were present. This paper is structured in several sections, starting with a description of the history of the development and usage of the LIBOR and IBOR-Family. The problems of the LIBOR are also analysed. The second section is dedicated to the new Benchmarking Regulation of the European Union, which is about new guidelines for the reference interest rates. The third section describes the new alternative reference interest rates, which were developed to replace the LIBOR. Special focus was laid on the SOFR and its different variations. The fourth sections deals with an empirical study, which was conducted utilizing a survey among Austrian companies. The survey was conducted with the help of ACTA. It was addressed to companies with more than 1,000 employees and aimed to generate insights to the conversion process and the challenges following the conversion to a new reference interest rate. The survey showed that most Austrian companies have switched to the SOFR. This was also discovered in the theoretical part of the thesis because it this part also showed that most companies chose a variation of the SOFR. The most important criteria for the new interest rate were the availability of market data, regulatory acceptance, and administrative access. The conversion process to the new reference interest rate is largely finalised. Despite numerous challenges, like adaption of the contractual documentation and coordination with contractual partners, the conversion process was done without big troubles. The biggest difficulties were identified as the lack of communication and information of professional associations. The thesis shows that the ending of the LIBOR and the switch to an alternative reference rate was complex and time-consuming, but ultimately the stability and transparency of the financial markets was promoted.

Date of Award	2024
Original language	German (Austria)
Supervisor	Christa Hangl (Supervisor)