




































117 

 Volume 1. Issue 2. July 2019 

ISSN 2603-5324 

http://faba.bg 

 

The Global Reference Rates Reform and Its Impact on The Bulgarian Banking 

Industry 

 

Darina Koleva 

 

University of National and World Economy, Bulgaria 

 

Info Articles 

________________ 
History Articles: 

Submited 12 March 2019 

Revised 30 April 2019 

Accepted 1 July 2019 

________________ 
Keywords: 

Reference rates, Inter-

bank offered rates, Loan 

markets, Banking 

Abstract
 

___________________________________________________________________ 

This paper analyses the problems that market users face after the global scale reform of 

reference rates. The plan to replace the LIBOR with new deeply market-rooted 

reference rates urge both private and public sectors to unite efforts in finding sustainable 

and long-term decisions promoting financial stability. Some of the previously existing 

rates are substantially revised, others – phased out, and a third group – that of the nearly 

risk-free rates is in a stage of development and testing. It is too soon to measure the 

impact of those reforms adequately. However, a detailed discussion of the basic features 

of the reference rates helps to make some preliminary conclusions in the case of 

Bulgaria. 
 Address Correspondence:  

   1700 Studentski Kompleks, Sofia, Bulgaria 
 



 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

118 

INTRODUCTION 

 

Since its creation in late 1960s, the London Interbank Offered Rate (LIBOR) became the most 

widely used on a global scale reference interest rate (Schrimpf and Sushko, 2019), covering an 

enormous range of financial products and uses like debt and cash instruments (mortgages, corporate 

loans, government bonds, credit cards, student loans, etc.) and derivatives (interest rate and currency 

swaps, etc.). Although there were some sporadic suggestions concerning its sustainability, it was not 

until June 2012 that the U.S and European regulators reported the details on the large-scale 

manipulation of the LIBOR officially. The scandal led to fines and reputational damage to the 

involved financial firms. More importantly, further maintenance of LIBOR became an 

insurmountable task despite the efforts to reform it and officials called for methodological changes 

and even for replacing it with new alternative benchmarks (see for example Bailey, 2017).   

As a result of the common efforts of the national and international financial regulators, a new 

set of principles and rules for reference rates were adopted and decisions to reform or terminate the 

existence of those not meeting the standards were taken. The wide use of LIBOR makes the 

transition away from it rather difficult as newly created alternatives’ development slowly gains 

momentum. However, the adoption of the EU Benchmark Regulation (BMR)1 led to reforms of the 

locally produced and used national Interbank Offered and Interbank Bid (IBOR and IBID) 

benchmark rates all over Europe, and in the case of Bulgaria - to the discontinuation of their 

calculation due to “the lack of licensed or registered administrators from the EU or a third country, 

listed in a register maintained by the European Securities and Markets Authority“ (BNB, 2017). This 

process inevitably is expected to have an important impact on the financial system. 

The purpose of this study is to provide an overview of the concept of the reference interest 

rates, to discuss their characteristics from the perspective of their usage, and to identify the channels 

through which the adoption of alternative benchmarks might impact the banking system in the case 

of Bulgaria. 

 

Reference Interest Rates 

Reference interest rates are publicly accessible and regularly updated interest rates that proved 

to be a useful basis for a huge range of financial contracts. Their importance stems from their wide 

usage across the entire economic system. By reflecting the cost of borrowing money in different 

markets, they play a vital role in pricing a vast range of assets such as securities, projects, 

obligations, cash flows, and even firms, which makes them play a key role in the financial system 

and the economy overall. 

The need for reference rates is entirely market-driven which explains the private interest and 

efforts in their creation. Historically, they are a result of an extended process of trial and error in 

search of a benchmark that lowers transaction costs, increases transparency, fosters competition, 

deepens the markets and provides a mechanism for hedging common risks (Duffie and Stein, 2015).  

Interbank Offered Rates (IBORs), including the famous LIBOR, are a vivid example of 

reference rates that became by far the most important and widely used interest rates. IBORs are 

calculated daily as a trimmed average of interest rate quotations for offerings to be charged on 

unsecured interbank loans reported by a predetermined set of panel banks. The fact that they are credit-

sensitive forward-looking rates with tenors ranging from overnight up to one year makes them 

particularly valuable in banks’ asset-liability management. Known at the beginning of the period to 

                                                             

1 Regulation (EU) 2016/1011 of the European Parliament and of the Council on indices used as 

benchmarks in financial instruments and financial contracts or to measure the performance of investment 

funds, accessed online on 16.12.2019 at https://eur-lex.europa.eu/eli/reg/2016/1011/oj 

https://eur-lex.europa.eu/eli/reg/2016/1011/oj


 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

119 

which they apply, they embed market participants’ expectations about future market interest rates, 

which enables the process of planning and hedging, and hence, explains why the family of IBORs is 

so large (see Table 1).  

 

Table 1. The family of IBORs 

LIBOR London Interbank Offered Rate Reformed. To be discontinued at the 

end of 2021 

EURIBOR Euro Interbank Offered Rate New hybrid methodology in 

accordance with BMR 

HIBOR Hong Kong Interbank Offered Rate Revised methodology 

SHIBOR Shanghai Interbank Offered Rate n.a. 

TIBOR Tokyo Interbank Offered Rate Revised methodology 

SIBOR Singapore Interbank Offered Rate New waterfall methodology 

TELBOR Tel Aviv Interbank Offered Rate commitment to execute transactions in 

accordance with the quotes 

STIBOR Stockholm Interbank Offered Rate Revised methodology 

Indian MIBOR Mumbai Interbank Offered Rate Revised to actual traded rates (mid-

2015) 

Russian MIBOR Moscow Interbank Offered Rate Discontinued since 01.07.2016  

SAIBOR Saudi Arabian Interbank Offered 

Rate 

Revised methodology 

Pakistani 

KIBOR 

Karachi Interbank Offered Rate n.a. 

Ukrainian 

KIBOR 

Kiev Interbank Offer Rate n.a. 

BUBOR Budapest Interbank Offered Rate Reformed in accordance with BMR 

WIBOR Warsaw Interbank Offered Rate Reformed in accordance with BMR, 

transition to a new waterfall 

methodology 

PRIBOR Prague Interbank Offered Rate Reformed in accordance with BMR 

ROBOR Romanian Interbank Offered Rate Reformed in accordance with BMR 

HELIBOR Helsinki Interbank Offered Rate Discontinued since the euro adoption  

SITIBOR Slovenian Interbank Offered Rate Discontinued since the euro adoption  

BRIBOR Bratislava Interbank Offered Rate Discontinued since the euro adoption  

VILIBOR Vilnius Interbank Offered Rate Discontinued since the euro adoption 

RIGIBOR Riga Interbank Offered Rate Discontinued since the euro adoption 

TALIBOR Tallinn Interbank Offered Rate Discontinued since the euro adoption 

SOFIBOR Sofia Interbank Offered Rate Discontinued since 01.07.2018  

Source: Central Banks’ websites, reference rates’ administrators’ websites 

 

Following the LIBOR-rigging scandal 

many IBORs undergo methodology revisions in 

compliance with the new international practice: 

(i) the trimming procedure is adjusted to 

improve the availability and reliability of price 

quotations, the latest being regularly checked 

against the actual transactions and published on 

an individual basis; (ii) the number of listed 

tenors is reduced; (iii) the methodology and 

transparency of selecting market makers are 

warranted by the licensed administrators.  

However, robustness and reliability of 

many of them remain under question due to 

another problem – the severe decline in 

interbank unsecured funding trading. Ten years 

after the global financial crisis those markets are 



 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

120 

still thin with slim chances to recover because of 

the prolonged central banks’ unconventional 

policies (especially in the eurozone) and the 

implementation of the post-crisis binding 

regulatory standards. Both higher capital and 

liquidity coverage ratio requirements make 

short-term lending costly. To address this 

problem, the international regulators issued 

guidance to expand the scope of transactions 

coverage from interbank to wholesale funding 

for banks.    

 

Alternative Reference Rates 

IBORs are interbank term interest rates 

but they are extensively used in derivatives 

markets. And from that perspective, overnight 

ones based on real transactions can be regarded 

as an alternative. While their variety is immense 

and history - quite long, their use is limited to 

only national level.  

A widely referenced rate in the overnight 

index swap (OIS) is the Euro Overnight Index 

Average (EONIA), which until the end of 

September 2019 are computed as a weighted 

average of overnight unsecured lending 

transactions provided by a panel of banks of 

sound financial standing in the EU and EFTA 

interbank market. Other examples are the Bank 

of England’s SONIA, the Japanese TIBOR, the 

Suisse TOIS, etc. Some of them reflect 

unsecured funding, while others – secured. 

Besides, until recently, none of them complied 

with the internationally adopted rules and 

methodological framework. 

Such framework of rules set in 2013 with 

the adoption of the IOSCO’s nineteen principles 

for financial benchmarks (IOSCO, 2013) 

addresses the benchmark governance 

arrangements of the administrator, the quality of 

the benchmark and its underlying methodology, 

and the accountability of the administrator. As 

none of the existing benchmark rates fitted into 

the new criteria, they had to be substantially 

revised or in some cases even replaced by newly 

created transaction-based ones like SOFR and 

ESTER (see Table 2). 

   

Table 2. Alternative Reference Rates for Major Currencies 

Currency Nearly risk-free rate Nature Administrator 

USD Secured Overnight Financing Rate (SOFR) Secured FRBNY 

EUR Euro Short-Term Rate (ESTER) Unsecured ECB 

JPY Tokyo Overnight Average (TONA) Unsecured Bank of Japan 

GBP Sterling Overnight Index Average (SONIA) Unsecured Bank of England 

CHF Swiss Average Overnight (SARON) Secured EUREX 

Source: administrators’ web sites 

 

To increase the users’ confidence in the 

reliability of interest rate benchmarks in 2014, 

the Financial Stability Board issued two 

important recommendations that shaped the 

benchmarks’ reforms over the following years 

(FSB, 2014): (i) to strengthen existing reference 

rates based on unsecured bank funding costs 

(including IBORs) by underpinning them with 

transactions data; (ii) to develop alternative, 

overnight nearly risk-free reference rates (RFRs), 

regarded as a better indicator of the actual 

market stance and better-suited for the needs of 

the cash and derivatives markets; and (iii) to 

back up the existing contract robustness with 

appropriate fallback provisions. 

 

The European reforms 

Following the above recommendations, 

many of the existing IBORs become subject of 

revision. In Europe, the authorities voted for a 

multi-rate approach with the efforts concentrated 

on preserving and strengthening the EURIBOR 

and EONIA, while linking the later with the 

recently launched near-risk free rate – the 

ESTER.  

EURIBOR is the only IBOR that 

underwent a dramatical change, as the new one 

is different both in value and dynamics. 



 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

121 

According to its revised definition, EURIBOR 

nowadays represents2 the rate at which credit 

institutions could obtain wholesale funds in euro 

in the EU and EFTA countries in the unsecured 

money market (see EMMI, 2019a). The scope of 

the market broadens from bank-to-bank to 

wholesale cash-only funding, and the panel of 

credit institutions includes only active 

participants in the euro money markets. What’s 

more, EURIBOR’s administrator EMMI has 

recently developed a new hybrid methodology. 

It follows a hierarchical three-level approach of 

determining each tenor of the benchmark to 

guarantee that it is anchored in transactions to 

the extent possible.   

The second major reform concerns 

EONIA, which is widely used as a reference rate 

in financial instruments and contracts, and as a 

discounting curve for collateralised euro cash 

flows3. Although it might be regarded as 

complementary and serving as a backstop to 

EONIA, the new European near risk-free rate 

ESTER is designed to become an even stronger 

benchmark rate because it reflects the de facto 

wholesale euro overnight borrowing costs of 

euro area banks4. While the secured money 

market may have provided a broader base for its 

calculation, ESTER is developed as an 

unsecured rate for two basic reasons. First, it 

should share similar features with EONIA. And 

second, the unique characteristics of the 

European repo market regarding the collateral 

used complicate its calculation. As of 2 October 

2019, the ECB started publishing ESTER, and 

the EONIA methodology had been „recalibrated 

“, literally transforming it into a fundamentally 

different benchmark. From that moment on 

until 3 January 2022 (when EONIA’s 

publication will be discontinued) the Euro 

                                                             

2 The new methodology obtained authorisation on 

28.11.2019.  
3 For a complete list of the products based on 

EONIA see Section 4.1 “EONIA use in products” 

of the Report on the transition from EONIA to 

ESTER (ECB, 2018).  
4 ESTER is calculated using overnight unsecured 

fixed rate deposit transactions over 1 million euros. 

Overnight Index Average is to be calculated as 

ESTER plus a fixed spread of 8.5 basis points. 

Transition to ESTER-based calculation of 

EONIA raises several questions about the 

sustainability of the gap when the environment 

changes, about the reduced volatility, and its 

different reaction to market developments. Of 

course, they should all be taken into 

consideration by the benchmark rate users in 

their pricing, capital and hedging models.   

 

True LIBOR alternatives 

The shift away from LIBOR is already 

happening as many participants in forward and 

derivatives markets switch towards RFRs. 

Meanwhile, the transition in loan markets is still 

at its early stage. Some of the loan market 

financial instruments like floating-rate debt 

securities have already demonstrated an ability 

to transition to overnight RFRs. And others, like 

corporate loans, syndicated loans and retail 

loans, still use IBORs as a reference rate. The 

reason: they need a forward-looking term rate.  

It’s not an impossible task to develop new 

forward-looking term rates from the RFRs (term 

RFRs) as they can be based upon contracts 

traded on derivatives markets linked to relevant 

overnight RFRs (such as OIS and futures 

markets) or created from transactions in other 

markets (such as those for cash products or 

foreign exchange swaps)5.  

However, there is a catch – the chicken-

egg problem of robustness. The IOSCO 

principles (IOSCO, 2013) embed the so-called 

concept of “proportionality”, according to which 

the more widely a reference rate is used, the 

more robust it needs to be. And this robustness 

of a forward-looking term RFRs can be provided 

only when they are derived on well-functioning, 

continuous and deep in liquidity markets, which 

might not be the case.  

Despite the controversy mentioned above, 

some attempts to develop forward-looking term 

SONIA and forward-looking term SOFR 

reference rates are already underway. Even 

                                                             

5 FSB (2018). Interest rate benchmark reform – 

overnight risk-free rates and term rates. 



 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

122 

though their indicative values are published for 

consultation purposes, the de facto move toward 

futures-implied term rates is not expected to 

happen until daily RFRs futures volume and 

liquidity build enough. Also, evolving market 

structures during the process of transition might 

present further technical challenges.  

 As for the European efforts, the 

authorities recognise that for the time being 

creating longer-term reference rates based on 

(tradable) ESTER OIS quotes is not yet feasible 

due to insufficient volume of transactions 

needed to construct purely transaction-based 

longer-tenor reference rates. So as may be 

expected, the markets will continue to stick to 

EURIBOR until the underlying markets 

accumulate enough liquidity (EMMI, 2019b). 

 

The Bulgarian reference rates 

IBOR-type rates share two features which 

makes them quite successful and extremely 

valued in the banking community. First, based 

on unsecured funding, they comprise a risk-free 

component and a credit risk premium, 

accounting for the perceived common credit risk 

of the contributing banks. Banks prefer to link 

their loan contracts to unsecured reference rates 

because they provide them with a proxy hedge 

against funding cost risks by transferring the 

common bank funding cost risk onto their 

clients. And as Nelson (2019, p.3) points out, 

having loan interest rates tied to a bank-credit-

risk-sensitive benchmark “provides valuable 

insurance for banks against stressful times” 6. 

Second, IBORs are forward-looking term rates 

and using them helps the process of planning 

through embedding market participants’ 

expectations about future market interest rates.  

The Bulgarian IBOR-like rate SOFIBID 

shares the same positive and negative 

characteristics with the rest of the IBORs, as 

they are based on similar methodologies (see 

Table 2). It is launched in early-2003 and quickly 

                                                             

6 This measure of common bank risk becomes very 

volatile in times of stress when the perceived 

creditworthiness of counterparties changes 

abruptly. 

becomes an important benchmark used in lev-

denominated floating-rate loans until its 

cessation in mid-2018. Euro-denominated loans, 

which over the period represent about one third 

to one half of the total outstanding amount of 

the loans, refer to another very important 

benchmark for the local banking system - the 

EURIBOR.  

 

Table 3. Historical reference interbank market 

interest rates in Bulgaria7 

SOFIBID (Sofia Interbank Bid Rate) - since 17 

February 2003 till 29 June 2018 

An average of the bid quotes for unsecured BGN 

deposits offered in the interbank market 

provided by a representative panel of banks; 

maturities from overnight up to one year; 

contributor banks are licensed by the BNB with 

total assets not less than BGN 200 million, are 

active participants in the BGN money market, 

and handle good volumes of BGN-interest-rate 

related instruments, even in turbulent market 

conditions 

SOFIBOR (Sofia Interbank Offered Rate) - since 

17 February 2003 till 29 June 2018 

An average of the ask quotes for unsecured 

BGN deposits offered in the interbank market 

data providers: the same representative panel of 

banks used as in SOFIBID; maturities from 

overnight up to one year; 

LEONIA (Lev Overnight Index Average) – 

since 1 December 2004 till 30 June 2017  

A weighted average of the interest rates on all 

concluded unsecured overnight lending 

transactions in Bulgarian levs; data providers: 

the same representative panel of banks used as in 

SOFIBOR 

LEONIA Plus (Lev Overnight Index Average 

Plus) – since July 1st, 2018 

A weighted average of the interest rates on all 

                                                             

7 All current and historical rules, procedures and 

methodologies for the preparation of the reference 

rates are published at the BNB’s web site at 

http://www.bnb.bg/AboutUs/AULegalFramework/

AUNationalLegalFramework/AULFRulesAndProc

edures/index.htm?toLang=_EN 

  

http://www.bnb.bg/AboutUs/AULegalFramework/AUNationalLegalFramework/AULFRulesAndProcedures/index.htm?toLang=_EN
http://www.bnb.bg/AboutUs/AULegalFramework/AUNationalLegalFramework/AULFRulesAndProcedures/index.htm?toLang=_EN
http://www.bnb.bg/AboutUs/AULegalFramework/AUNationalLegalFramework/AULFRulesAndProcedures/index.htm?toLang=_EN


 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

123 

concluded unsecured overnight lending 

transactions in Bulgarian levs; data providers are 

all banks licensed by the BNB and branches of 

foreign banks in Bulgaria participating in the 

interbank lev money market; computed and 

published daily 

Source: BNB. 

 

It is interesting to check whether the 

dynamics of both rates are similar since the 

Bulgarian currency board automatically links the 

local monetary stance to the euro area policy. In 

Figure 1, the two benchmarks are plotted 

together with their spread. At first sight, the two 

curves look alike which suggests that there 

should be some spillover effects through the 

monetary transmission mechanism. The spread 

depicts the higher credit risk and the much 

tighter liquidity conditions faced by the local 

credit institutions during and immediately after 

the global financial crisis. The story looks similar 

when another set of reference rates is plotted 

together – the local interbank overnight rate in 

lev LEONIA against the European EONIA (see 

Figure 2). 

 

 

Figure 1. SOFIBOR versus EURIBOR dynamics (3m) 

Source: BNB, ECB. 

 

-1,00

0,00

1,00

2,00

3,00

4,00

5,00

6,00

7,00

8,00

9,00

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

spread EURIBOR SOFIBOR



 

Darina Koleva / Finance, Accounting and Business Analysis 1 (2) (2019) 

124 

 

Figure 2. LEONIA/LEONIA PLUS versus EONIA dynamics 

Source: BNB, ECB. 

 

Until its official demise, the SOFIBOR 

was widely used to determine the interest due 

under loan agreements. It served well its 

function as it provided the borrowers with a 

transparent approach in determining the cost of 

service. Credit institutions were given the liberty 

in choosing an appropriate market-based 

reference rate to replace the SOFIBOR in the 

loan contracts, as long as the final rate does not 

generate any additional cost for their clients. 

Most of the banks stepped on the monthly 

weighted average interest rate on deposit 

outstanding amounts with a maturity of up to 2 

years, as some of them rescale the result to 

account for the minimum required reserves 

costs. 

This new type of methodology of setting 

reference rate differs in many ways from the 

previous ones. First, the rates are no longer 

forward-looking but instead – backwards-

looking ones. Second, the freedom for the banks 

to choose their indicator decreases the 

transparency for the clients substantially. Third, 

one might wonder whether these new reference 

rates would adequately reflect the true marginal 

costs of funding for the banks, which doubtfully 

is the case. And finally, when banks are unable 

to hedge their funding costs, the probability of 

transferring the burden onto their clients 

increases.  

 

CONCLUSION 

 

The plan to replace the IBORs with new 

deeply market-rooted reference rates unlocks a 

global reform. Some of the previously existing 

reference rates are substantially revised and 

others - phased out, a third group – that of the 

nearly risk-free rates is in a stage of development 

and testing. It is too soon to measure the impact 

of those reforms adequately. However, based on 

a detailed discussion of the basic features of the 

reference rates, some preliminary conclusions 

are made in the case of Bulgaria. Further 

accumulation of data would provide adequate 

testing of their relevance.   

 

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https://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf
https://eur-lex.europa.eu/eli/reg/2016/1011/oj
https://eur-lex.europa.eu/eli/reg/2016/1011/oj

