Minutes of the Working Group on Sterling Risk-Free Reference Rates – January 2022


Item 1 – Standing items

The Chair welcomed attendees to the first Working Group meeting since the cessation of the GBP LIBOR panel.

The Working Group’s Competition Law Counsel reminded members of their responsibilities under competition law.

Item 2 – Official Sector Updates

Bank of England

The Bank of England noted that following years of preparation, four out of the five LIBOR panels (the GBP, JPY, CHF and EUR LIBOR panels) had ended on 31 December 2021 as planned. 24 out of the 35 LIBOR settings ended permanently and six of the most widely used sterling and Japanese yen settings had been successfully published on a synthetic basis, under a changed methodology, for the first time on 4 January 2022. Five US Dollar LIBOR settings remained, and would continue to be published on a panel-bank basis until end-June 2023.

The Bank of England noted that overnight SONIA, compounded in arrears, was fully embedded across sterling markets, with the full range of sterling products developed and that SONIA markets had continued to function well through a challenging set of macro market conditions.

The Bank of England said that the stock of legacy contracts referencing synthetic LIBOR had been significantly smaller than expected due to successful CCP conversions, widespread adherence to the ISDA Protocol and an increase in active transition in Q4, particularly in lending markets.

Financial Conduct Authority

The FCA highlighted that the Critical Benchmarks (References and Administrators’ Liability) Act received Royal Assent on 15 December 2021.

The FCA reiterated synthetic LIBOR was a temporary bridge to more permanent risk-free rates. Synthetic LIBOR could not be guaranteed after 2022 and firms were encouraged to continue to actively transition any outstanding sterling or Japanese yen LIBOR contracts. The FCA said it would assess the need to continue to compel the publication of synthetic 1-, 3- and 6-month sterling LIBOR settings. It noted the case for continued publication of synthetic 3-month sterling LIBOR was stronger than that for 1- and 6-month settings when the decision for continuing the three tenors was made.

The FCA noted that, from 01 January 2022, new use of US dollar LIBOR was prohibited under the Benchmarks Regulation with limited exceptions. Firms were reminded to engage with their supervisors if they had questions on supervisory expectations.

The FCA and Bank of England would continue to engage with other regulators and international bodies to ensure consistency with recommended milestones and supervisory guidance as far as practicable.

Item 3: Final look back on end-2021 

3a. CCP update

ICE Futures Europe relayed that its conversion of short sterling and Euroswiss LIBOR futures and options, to SONIA and SARON respectively, had been successful. The SONIA products opened smoothly on 20 December after the conversion weekend. In total, ICE converted over three million short sterling futures and options contracts.

Open interest in risk-free rate referencing products compared favourably to LIBOR and had continued to grow since the conversion processes.

LCH noted it had run 3 successful conversion events in Q4 2021, covering swaps referencing first EONIA, then euro, Swiss franc, and Japanese yen LIBOR and finally sterling LIBOR . All conversion exercises had been completed on time and markets opened smoothly on the days following the exercises. In sterling, LCH had converted over £11tn contracts.

3b. ISDA update

ISDA noted that the fallbacks inserted under the ISDA IBOR Fallbacks Protocol appeared to have operated smoothly following the discontinuation of the various LIBOR rates at the beginning of 2022.

ISDA saw a large number of first time and non-ISDA adherents with over 15,180 adhered to the ISDA 2020 IBOR Fallbacks Protocol, of which approximately 12,900 were not ISDA members.

ISDA had released fallback documentation for additional currencies in South-East Asia, New Zealand and Scandinavia. ISDA would continue to support transition work for US dollar LIBOR.

3c. Lessons learnt

The FCA commented that transition progress to date had demonstrated that risk-free rates had been used successfully across different products and markets. Working Group members were asked to provide reflections and lessons learnt from the transition.

Feedback from Working Group members:

  • The ‘SONIA First’ initiatives demonstrated that markets could transition smoothly from LIBOR. These initiatives provided an example of the benefits of industry-authority partnerships to catalyse change.
  • Clear supervisory guidance and steers from the official sector had been important, including, for example: the PRA and FCA’s ‘Dear CEO’ letter in March 2021; Andrew Bailey’s speech on the vulnerabilities of LIBOR; and a series of speeches from US regulators on the transition to SOFR. These had created momentum and ensured that firms assigned appropriate resource to transition programmes. Firms were able to point to these communications in their discussions with counterparties and end-users.
  • Organisations should note where they identified any challenges in the sterling, Swiss franc and Japanese yen transition, and factor these into their planning for US dollar transition. Firms should share these lessons with offices in other jurisdictions.
  • The Swiss and UK transitions had shown that credit sensitive rates were not required.

The Bank of England noted that the UK had played a leading role internationally and formed a credible and effective public-private sector partnership.

Item 4: Future of the Working Group on Sterling Risk-Free Reference Rates

4a. End-2021 roadmap updates

The Working Group approved the publication of the updated RFRWG roadmap with all recommended milestones completed.

4b. Update from the RFR Secretariat

The RFR Secretariat and Chair’s office had conducted an analysis of the Working Group’s terms of reference against its outputs and progress in sterling markets. The RFR Secretariat also engaged with chairs of the Working Group’s Task Forces and Sub-Groups in an assessment of their individual terms of reference.

The RFR Secretariat concluded the Working Group had met its overall objective to “catalyse a broad-based transition to SONIA by end-2021 across sterling bond, loan and derivative markets, in order to reduce the financial stability risks arising from the widespread reliance of financial markets on LIBOR”. The Working Group agreed this objective had been met. The RFR Secretariat and Task Force and Sub-Group Chairs also concluded that each group had delivered on its headline objectives.

4c. Next steps

Some groups identified areas for further work, such as continued transition away from synthetic GBP LIBOR in cash markets and to consider any implications of non-sterling LIBOR transition in UK markets (for example, USD LIBOR bonds under UK law governed contracts).

The RFR Secretariat proposed that all Sub-Groups and Task Forces would close, except for the Loan Enablers Task Force, Bond Market Sub-Group and Communications & Outreach Sub-Group. The existing chairs of these groups agreed to continue leading their respective groups.

The Working Group would meet on an ad-hoc basis moving forward and operate under a revised terms of reference. The Bank of England and FCA would continue their involvement in the Working Group, as ex-officio members and in their role as RFR Secretariat. The RFR Secretariat noted it was also proposed that the Senior Advisory Group would wind down following their next meetingfootnote [1]. Members agreed with these proposals.

Tushar Morzaria announced he would step down as Chair of the Working Group on 1 March 2022, with this and the upcoming Senior Advisory Group being his final meetings. Sarah Boyce, Association of Corporate Treasurers, would become the new Chair from that date. Stephen Pegge, UK Finance, would take over Sarah’s current role as Vice-Chair of the Working Group. Alexandre Papadacci, Vice-Chair, and Greg Olsen, Competition Law Counsel, would continue in their current roles.

Members were encouraged to assess their representation on the Working Group and remaining Task Force and Sub-Groups. Membership of its Sub-Groups and Task Force remained open.

The RFR Secretariat confirmed it was planning to publish a joint statement from the Working Group with the Bank of England and FCA. This was due for publication in February.

Item 5: Concluding Remarks

  1. The FCA and Bank of England thanked the Chair and Chair’s office for their contributions and leadership of the Working Group through this significant milestone in the transition. This was echoed by the Vice-Chairs.
  2. The Chair thanked the members of the Working Group and its Sub-Groups and Task Forces for their efforts and wished the Working Group and its new Chair success for the next phase of the transition.


Private sector attendees

Tushar Morzaria, Barclays (Chair)

Andreas Giannopoulos, Barclays (Chair’s Office)

Helen Robinson, Barclays (Chair’s Office)

Paul Mansour, Barclays (Chair’s Office)

Alan Coutts, Aberdeen Asset Management

Shaun Kennedy, Associated British Ports

Sarah Boyce, Association of Corporate Treasurers

Alexandre Papadacci, Axa

Katherine Ashdown, Bank of America

Doug Laurie, Barclays

Robert Mitchelson, Blackrock

Ryan O’Keefe, Blackrock

Greg Olsen, Clifford Chance (Competition Law Counsel)

Zsolt Szollosi, Credit Suisse

Simon Goodwin, Deutsche Bank

Michael Barron, Deutsche Bank

Axel van Nederveen, EBRD

Alan Farrell, Goldman Sachs

John O’Sullivan, HSBC Investment Bank

Matthew Horton, ICE Futures Europe

Steven Hamilton, ICE Futures Europe

Paul Richards, ICMA

Robert Gall, Insight Investment

Galina Dimitrova, Investment Association

Rick Sandilands, ISDA

Scott O’Malia, ISDA

Philip Whitehurst, LCH

Guy Whitby-Smith, Legal & General Investment Management

Ian Fox, Lloyds Banking Group

Clare Dawson, Loan Market Association

David Covey, M&G

Tom Dyson, Nationwide

Phil Lloyd, NatWest Markets

Jamieson Thrower, NatWest Markets

Rachael Macpherson, Shell

Paul Morris, UBS

Daniel Cichocki, UK Finance

Stephen Pegge, UK Finance

Official sector attendees

Alastair Hughes, Bank of England

Arif Merali, Bank of England

Hwee Pee, Bank of England

Leman Menguturk, Bank of England

Raza Rehman, Bank of England

Stefania Spiga, Bank of England

Charlotte Buckingham, Bank of England

Laura Diamond, Bank of England

Edwin Schooling-Latter, FCA

Helen Boyd, FCA

Anne-Laure Condat, FCA

Toby Williams, FCA

Will Davies, FCA

April Richardson, FCA


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