Regulatory Insights
NWM: The end of May (LIBOR not Theresa)

Not a piece on Theresa May's fall, but rather a whistle stop tour of what's been going on with LIBOR during May.




  • Bank of England WG report highlights the "decisive shift" towards SONIA, and the continued commitment from the regulator to transition (contrary to reports of some slackening in resolve in the FT earlier in the month)

  • The report also includes details of the work currently underway by benchmark administrators to develop a Term SONIA Reference Rate for "the subset of cases where a risk-free term rate may be needed" 

  • Associated British Ports announce migration of first corporate FRN from LIBOR to SONIA, a key milestone in the move towards risk free rates




  • AFM and DNB contact Dutch financial institutions regarding transition from IBORs to alternative risk-free benchmark rates in an equivalent move to the "Dear CEO" letter in the UK last November

  • ECB working group on euro risk-free rates seeks feedback on EONIA to €STR legal action plan  

  • EMMI applies for authorisation under Benchmarks Regulation and publishes details of governance framework, and confirms change in EONIA methodology  




  • ARRC publishes SOFR: A Year in Review reporting significant progress in building liquidity in SOFR-linked markets 




  • ISDA publishes two consultations on benchmark fallbacks, one on USD LIBOR (and HIBOR, CDOR & SOR), the other on pre-cessation triggers. See also Scott O'Malia's comments on these developments.

  • IASB proposes targeted amendments to IFRS Standards in response to IBOR reform  

  • Australian Regulators urge financial institutions to plan for LIBOR transition  


And finally, introducing our SONIA Realised Rate Calculator


In May the Working Group on Sterling Risk-Free Reference Rates highlighted the increasing adoption of SONIA across multiple asset classes, with loans the next challenge:


"Looking ahead, the next goal is to reduce reliance on LIBOR in other sterling cash markets, including loans. Given the rapid development of liquidity in markets referencing overnight SONIA, and the strong case for using the same reference rate in both cash products and the derivatives that hedge them, the Working Group on Sterling Risk-Free Reference Rates (RFRWG) anticipates that corporate borrowers will increasingly prefer contracts that reference compounded overnight SONIA."  


But what are the blockers to greater adoption? One sticking point particularly for the corporate market is a lack of familiarity with compounded daily realised rates.


So to help with understanding how such rates are calculated we've published a SONIA Realised Rate Calculator on our website - it's freely available to anyone, just click on link below, download the spreadsheet, plug in the details for any given period and see what the annualised compounded rate would have been.





Please note: some firms may have restrictions on downloading certain file types from websites.  If you experience any problems downloading our calculator please contact


This is Non-Independent Research, as defined by the Financial Conduct Authority.This material should be regarded as a marketing communication and may have been produced in conjunction with the NatWest Markets Plc trading desks that trade as principal in the instruments mentioned herein. All data is accurate as of the report date, unless otherwise specified.


This communication has been prepared by NatWest Markets Plc, and should be regarded as a Marketing Communication, for which the relevant competent authority is the UK Financial Conduct Authority.   Please follow the link for the following information   


Where communicated in Singapore, this communication may be deemed an advertisement. This advertisement has not been reviewed by the Monetary Authority of Singapore.  


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  • Glossary of definitions
  • Historic Trade ideas log  

Phil Lloyd, NWM Sales

Note that the text above is subject to the disclaimer(s) accessible if you Click Here
Phil Lloyd
Head of Market Structure & Regulatory Customer Engagement
+44 20 7085 1271


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