Featured Product

    BoE Paper on Risk Management Approach of Collateral Referencing LIBOR

    June 27, 2019

    BoE published a discussion paper that seeks initial feedback on the BoE approach to the risk management of collateral that references the London Interbank Offered Rate (LIBOR); this approach is positioned at BoE for use in its market operations, as sterling and other markets transition away from LIBOR toward the alternative risk‐free reference rates. Comments are requested by September 27, 2019.

    The paper provides a brief background to both the LIBOR transition process and the collateral framework of BoE and describes their potential implications for the BoE balance sheet from LIBOR transition. In the UK, BoE and FCA are working with market participants through the Working Group on Sterling Risk‐Free Reference Rates to catalyze a transition to using the Sterling Overnight Index Average (SONIA) as the primary interest rate benchmark in sterling markets. Against this backdrop, BoE has initiated a review of its own exposures, or potential exposures, to LIBOR. One key area of investigation has been the collateral that banks and other financial firms are asked to provide when borrowing from BoE under the Sterling Monetary Framework.

    The paper also outlines a number of possible risk management approaches that are under consideration by BoE to ensure that it remains well-placed to provide liquidity insurance in support of financial stability. It further poses some questions for discussion. Views on these questions are sought, both from firms that are signed up (or expect to sign up) to the Sterling Monetary Framework and from any other interested parties. Responses will be used to help frame the future risk management approach of BoE with regard to the collateral referencing LIBOR. The assessment of collateral eligibility criteria and haircuts needed to protect public money are not normally informed by input from market participants. However, in this case, the unusually wide ramifications of LIBOR transition and the need to plan well ahead means that BoE sees merit in seeking views at a relatively early stage in the process.

     

    Related Links

    Comment Due Date: September 27, 2019

    Keywords: Europe, UK, Banking, Securities, LIBOR, Collateral Referencing, Risk Management Approach, SONIA, Risk-Free Rates, Interest Rate Benchmarks, BoE

    Related Articles
    News

    EBA Single Rulebook Q&A: Second Update for September 2019

    EBA updated the Single Rulebook question and answer (Q&A) tool with answers to three questions.

    September 13, 2019 WebPage Regulatory News
    News

    PRA Revises Branch Return and Updates Guidance for Regulatory Reports

    PRA published the policy statement PS17/19, which contains the final policy related to changes in the format and content of the Branch Return Form and reporting guidance.

    September 12, 2019 WebPage Regulatory News
    News

    ECB Publishes Version 1.5 of AnaCredit Validation Checks

    ECB published Version 1.5 of the AnaCredit validation checks.

    September 12, 2019 WebPage Regulatory News
    News

    FINMA Outlines Treatment of Stablecoins in Supplement to Guide on ICO

    FINMA published a supplement to its initial coin offerings (ICOs) guidelines, outlining the treatment for stablecoins under the Swiss supervisory law.

    September 11, 2019 WebPage Regulatory News
    News

    FCA and BoE Issue Updates on Brexit Preparations for Financial Sector

    FCA and BoE published important information to help regulated firms in preparing for Brexit.

    September 11, 2019 WebPage Regulatory News
    News

    Ursula von der Leyen Presents Structure of Next European Commission

    President-elect Ursula von der Leyen has presented her team and the new structure of the next European Commission.

    September 10, 2019 WebPage Regulatory News
    News

    FED Proposes to Revise and Extend Reporting Form on Systemic Risk

    FED proposed to extend for three years, with revision, the Banking Organization Systemic Risk Report (FR Y-15; OMB No. 7100-0352).

    September 10, 2019 WebPage Regulatory News
    News

    EBA Issues Revised List of Validation Rules for Reporting

    EBA published the revised list of validation rules (version 2.9) in its implementing technical standards on supervisory reporting.

    September 10, 2019 WebPage Regulatory News
    News

    Bundesbank Publishes Supplementary Validation Rules for Reporting

    Bundesbank published the updated document containing supplementary validation rules in the context of the implementation of the reporting system at national level.

    September 10, 2019 WebPage Regulatory News
    News

    APRA Licenses Xinja Bank as Authorized Deposit-Taking Institution

    APRA granted Xinja Bank Limited a license to operate as an authorized deposit-taking institution without restrictions, under the Banking Act 1959.

    September 09, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 3807