The Bank of England, U.K. Prudential Regulation Authority, U.K. Financial Conduct Authority and the Working Group on Sterling Risk-Free Reference Rates have published a set of documents outlining priorities and milestones for 2020 on LIBOR transition.
The Working Group has published:
The FCA and PRA have sent a joint letter to senior managers at all major banks and insurers setting out their initial expectations of firms' progress during 2020 to transition from LIBOR to SONIA. In particular, the letter confirms that the regulators support the milestones set by the Working Group (see above) and expect firms' LIBOR transition plans should include the targets in project milestones. Firms should also ensure that management information is available to identify progress. Both the PRA and FCA intend to escalate their engagement with firms on LIBOR transition through their regular supervisory relationships and will review management information and collect data to assess progress.
The FCA and BoE have published a statement encouraging market makers to switch the convention for sterling swaps from LIBOR to SONIA on March 2, 2020. The aim is to assist the transition progress in the derivatives market. The Working Group has included this in their roadmap.
View the Working Group's Priorities and 2020 Roadmap.
View the Working Group's statement on use cases of benchmark rates.
View the Working Group's statement on progress on the transition of LIBOR referencing legacy bonds to SONIA by way of consent solicitation.
View the Working Group's Factsheet.
View the joint FCA/BoE letter on 2020 LIBOR transition progress.
View the joint FCA/BoE statement on the switch from LIBOR to SONIA for interest rate swaps.
View details of the consultation on credit adjustment spread methodologies for fallbacks in cash products referencing GDP LIBOR.
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