BoE published the minutes of the July meeting of working group on sterling risk-free reference rates. At the meeting, ISDA provided an overview of two open consultations, the first consultation seeking views on the approach to fallback rates for certain interbank offered rates (IBORs) and the second consultation on the conditions to trigger fallback language. It was mentioned that, in the fourth quarter of 2019, ISDA plans to publish new definitions for fallback arrangements and publish a protocol to allow these fallbacks to be included in legacy LIBOR contracts.
ISDA updated members on the timeline for feedback from its two open consultations. A future consultation on the parameters for fallback language was planned for August; the consultation would cover an average spread between LIBOR and risk-free rates based on how many years and whether a mean or median approach to the spread adjustment should be used. The Chair for the working group updated members on the formation of a new Senior Advisory Group (SAG) to provide strategic support and senior engagement at firms to help achieve the working group’s deliverables and objectives. The Terms of Reference for the SAG have also been published. SAG would comprise a number of Senior representatives from the largest market participants across relevant segments, providing an additional high-level perspective on potential barriers to transition.
Keywords: Europe, UK, Banking, Securities, Risk-Free Rates, LIBOR, Interest Rate Benchmarks, Benchmarks Fallbacks, BoE
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