Working groups on alternative reference rates (ARR)
A working group on alternative Norwegian krone reference rates was established by Norges Bank, in consultation with the financial industry, in early 2018.
Selection of Nowa as an alternative reference rate
The working group published its recommendation of a reformed version of Nowa (pdf) (Norwegian Overnight Weighted Average) as the alternative reference rate at the end of September 2019. Norges Bank took over as administrator of Nowa on 1 January 2020 and has published new principles for calculating and publishing Nowa.
Use of Nowa as an alternative reference rate
The second phase of the group’s work on alternative reference rates is focusing on how to transition to using Nowa as an alternative reference rate. The working group invited other market participants into the work and divided the work into two sub-groups:
- Market standards and fallback solutions
- Establishing an OIS (Overnight Index Swap) market in NOK
- Subgroup 2 published the report Establishing an OIS market in NOK 17 December 2020.
- Subgroup 1 published the report Recommended market conventions for Nowa and fallback solutions in the event of a cessation of Nibor 15 December 2020.
- Subgroup 1 published the consultation report Fallback solutions and term- and spreadadjustment between Nibor and Nowa in the event of a cessation of Nibor (pdf) on 28 September 2020.
- Subgroup 1 published the consultation report Market conventions for Financial products Referencing nowa (pdf) on 19 June 2020.
- Subroup 2 published the consultation report Establishing an OIS (Overnight Index Swap) market in NOK (pdf) 24 June 2020.
Response to consulation papers from sub working groups
- Response from OIS working group on consultation paper for Market Conventions for Financial Products Referencing Nowa (pdf)
The original working group continues to be the main group for coordinating further work. The sub-groups will regularly update the main working group on their work. The mandates and lists of participants for the main working group and the two sub-groups are available here.