Objective:

The objective of this project was to consider developing a principle for identifying interest rates eligible for fair value hedge accounting both within and outside the United States.

Background:

In response to concerns about structural risks of interbank offered rates (IBORs) and, particularly, the risk of cessation of the London Interbank Offered Rate (LIBOR), regulators in several jurisdictions around the world have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation.

At the July 29, 2020 Board meeting, the Board decided to consider developing a principle for identifying interest rates eligible for fair value hedge accounting both within and outside the United States. Reference rate reform is expected to result in the emergence of new interest rates as alternatives to LIBOR, and other reference rates are expected to be discontinued.

At the December 15, 2021 Board meeting, the staff updated the Board on its progress on the Reference Rate Reform—Fair Value Hedging project. The Board directed the staff to perform additional outreach and research.

Final Project Update:

At the October 5, 2022 Board meeting, the Board discussed potential paths forward on the project based on staff research performed since the December 15, 2021 Board meeting. The Board decided to remove the project from its technical agenda.