POINT OF VIEW | Parker Fitzgerald | Newsletter
Newsletter - December 2018

This monthly newsletter provides an update for those with an interest in the work of the Bank of England Working Group on Sterling Risk-Free Reference Rates, keeping you updated on key news relating to RFR transition in GBP markets and others.

Key Milestone Dates

• Francois Jourdain chaired his final meeting of the Working Group on 12th December and will now hand over to Tushar Morzaria (Barclays CFO).

Working Group on Sterling Risk-Free Reference Rate Updates

Market Developments

Official Sector Updates

  • The PRA and FCA Dear CEO letter response deadline of 14th December has now passed. The PRA and FCA are now assessing responses.

Non-Sterling RFR Updates

  • The Working Group on Euro risk-free rates is seeking market feedback on EONIA-ESTER transition and ESTER based term structure methodologies
  • The ARRC (US Alternative Reference Rate Committee) released consultations on U.S. dollar (USD) LIBOR fallback contract language for bilateral business loans and securitizations for public feedback. Responses are requested by 5th February 2019.
  • The ARRC has also published the responses it has received to its consultations on fallbacks in FRNs and syndicated loans. The ARRC expects to issue final recommendations in early 2019.
  • FINMA has published guidance on the risks of a potential replacement of LIBOR.
  • CFTC Chairman J Christopher Giancarlo spoke at the Financial Stability Conference outlining criticality of the transition
  • JBA TIBOR Administration (“JBATA”) has extended the deadline on its consultation on integrating Japanese Yen TIBOR and Euroyen TIBOR to January 18 2019.

Key Liquidity Indicators

Listed Futures (data provided by futures exchanges)

LCH Swaps Statistics (from LCH website)