Featured Product

    BoE Publishes Notice on Collateral Referencing LIBOR for Use in SMF

    February 26, 2020

    BoE published a market notice that forms part of the Documentation for the operations of BoE under the Sterling Monetary Framework (SMF). Pursuant to this market notice, a haircut add-on will be applied to all LIBOR Linked Collateral. The haircut add-on will be 10 percentage points from October 01, 2020, 40 percentage points from June 01, 2021 and 100 percentage points from December 31, 2021. To avoid doubt, haircuts will be capped at 100%. The market notice mentions that BoE will monitor market developments in relation to fallback language and will keep under review the potential to distinguish between LIBOR Linked Collateral with and without robust fallback language, as market practice develops.

    In respect of Loan Portfolios containing both LIBOR Linked Loans and other loans, SMF participants may choose to either remove the LIBOR Linked Loans from the Loan Portfolios, or alternatively split these Loan Portfolios subject to them meeting the standard collateral eligibility requirements of BoE. The market notice makes the following changes to the eligibility of LIBOR Linked Collateral:

    • From October 01, 2020, all securities issued on or after that date and maturing after December 31, 2021, where the coupon pays a rate of interest calculated by reference to LIBOR, will be ineligible for use in the SMF
    • From October 01, 2020, all securities issued on or after that date and maturing after December 31, 2021, where embedded swap payments are calculated by reference to LIBOR, will be ineligible for use in the SMF
    • From October 01, 2020, all securities issued on or after that date and maturing after December 31, 2021, backed by loans where one or more loans in the portfolio is a LIBOR Linked Loan that was originated after October 01, 2020, will be ineligible for use in the SMF
    • From October 01, 2020, all LIBOR Linked Loans issued on or after that date will be ineligible for use in the SMF
    • From December 31, 2021, all LIBOR Linked Collateral, regardless of the issuance or origination date, will be ineligible for use in the SMF.

    Except as described above, LIBOR Linked Collateral may otherwise still be requested for eligibility until December 31, 2021. BoE intends to update, on a monthly basis, the list of eligible securities that are impacted by this policy.

     

    Related Link: Market Notice

     

    Keywords: Europe, UK, Banking, Securities, Haircut, LIBOR, Collateral, Fallback Language, Sterling Monetary Framework, BoE

    Related Articles
    News

    ESAs Issue Multiple Regulatory Updates for Financial Sector Entities

    The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.

    November 15, 2022 WebPage Regulatory News
    News

    FSB and NGFS Publish Initial Findings from Climate Scenario Analyses

    The Financial Stability Board (FSB) and the Network for Greening the Financial System (NGFS) published a joint report that outlines the initial findings from climate scenario analyses undertaken by financial authorities to assess climate-related financial risks.

    November 15, 2022 WebPage Regulatory News
    News

    FSB Issues Reports on NBFI and Liquidity in Government Bonds

    The Financial Stability Board (FSB) published a letter intended for the G20 leaders, highlighting the work that it will undertake under the Indian G20 Presidency in 2023 to strengthen resilience of the financial system.

    November 14, 2022 WebPage Regulatory News
    News

    ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments

    The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.

    November 10, 2022 WebPage Regulatory News
    News

    IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets

    The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.

    November 09, 2022 WebPage Regulatory News
    News

    EBA Finalizes Methodology for Stress Tests, Issues Other Updates

    The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups

    November 09, 2022 WebPage Regulatory News
    News

    EU Finalizes Rules Under Crowdfunding Service Providers Regulation

    The European Union has finalized and published, in the Official Journal of the European Union, a set of 13 Delegated and Implementing Regulations applicable to the European crowdfunding service providers.

    November 08, 2022 WebPage Regulatory News
    News

    OSFI Sets Out Work Priorities and Reporting Updates for Banks

    The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.

    November 07, 2022 WebPage Regulatory News
    News

    APRA Finalizes Changes to Capital Framework, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.

    November 03, 2022 WebPage Regulatory News
    News

    BIS Hub and Central Banks Conduct CBDC and DeFI Pilots

    The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.

    November 03, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8596