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
ARRC publishes SOFR: A Year in Review reporting significant progress in building liquidity in SOFR-linked markets
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 RFR@natwestmarkets.com.
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Phil Lloyd, NWM Sales