POINT OF VIEW | Parker Fitzgerald | Newsletter
Newsletter - November 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

• Responses to PRA/FCA Dear CEO letter due 14th Dec 2018 (large banks and insurers).

Working Group on Sterling Risk-Free Reference Rate Updates

  • The Working Group has published a starter pack titled, ‘Preparing for 2022: What you need to know about LIBOR transition”. The pack is designed is designed to inform readers about the transition from LIBOR to alternatives such as SONIA. The Working Group encourages interested parties to use this pack to engage with internal and external stakeholders on this topic.
  • The Working Group on Sterling Risk-Free Rates has now closed the consultation paper on term SONIA reference rates. Responses received provided a highly useful and informative insight into the topic. The Working Group will now review a summary of the responses and consider next steps.
  • The Working Group published a Syndicated loan replacement of screen rate clause – originally published on the LMA website, the clause can be included in new loans referencing LIBOR and allows for easier transition to alternatives at a given point in the future.
  • The Working Group published minutes of its September meeting, at which it discussed and approved the wording for its statement on considerations around credit spread adjustment options in the ISDA consultation on fallbacks rates.
  • The Pensions Funds and Insurance Companies (P&I) SONIA Adoption sub-group has contacted the European Insurance and Occupational Pensions Authority (EIOPA) with regard to Solvency II and its implications for RFR transition.

Market Developments

Official Sector Updates

Non-Sterling RFR Updates

Key Liquidity Indicators