Released 21 July 2021
The Financial Conduct Authority (FCA) and the Bank of England recommend that liquidity providers in the LIBOR cross-currency swaps market adopt new quoting conventions for interdealer trading based on risk-free rates (RFRs) instead of LIBOR from 21 September 2021.
A key milestone set down by the Working Group on Sterling Risk-Free Reference Rates is for firms to cease initiation of new cross-currency derivatives with a LIBOR-linked sterling leg expiring after 2021, during Q2/Q3 2021, other than for risk management of existing positions.
Seeking to support markets in building the necessary liquidity to meet these milestones, the FCA and Bank of England encourage UK market participants to support the US-led ‘SOFR First’ initiative on 26 July.
An FCA survey of UK market participants found strong support for RFRs becoming the default price from 21 September 2021.