Minutes of the Working Group on Sterling Risk-Free Reference Rates - July 2021

The Working Group on Sterling Risk-Free Reference Rates, which is comprised of a diverse set of market participants, is working to catalyse a broad-based transition to SONIA by end-2021.
Published on 12 August 2021

Date of meeting: 6 July 2021 | Location: Virtual meeting


1 Standing Items

  • Welcome
  • Competition law reminder
  • Minutes from the June meeting
  • Roadmap updates

2 Update from the FCA

3 Market updates

  • Status of the end-Q2 milestone
  • SOFR first
  • Global RFR first for cross-currency derivatives

4 Focus on end-Q3 active transition milestone

  • Update from trade associations on their outreach to members
  • Updates from the Communications Sub-Group

5 Updates to Working Group documents

  • Update of the list of term SONIA providers and RFR calculator summary slides
  • New section of the Best Practice Guide for GBP loans

6 Priorities for the summer period



1. Standing Items

1. The Chair welcomed attendees and the Working Group’s Competition Law Counsel reminded members of their responsibilities under competition law.

2. The Chair asked members to send any comments on the June minutes by 13 July.

3. Relevant updates will continue to be published on the group’s roadmap.

2. Update from the FCA

4. It was noted that Her Majesty’s Treasury was working to provide legislation related to contractual continuity within the legislative framework available to them. Members of the RFRWG were supportive of continuing dialogue with HMT on any further available means to mitigate perceived legal risks.

5. The FCA was consulting on using their new powers under the Benchmarks Regulation to require 6 sterling and yen LIBOR settings to be produced on a synthetic basis. This was open until 27 August 2021.

6. The FCA was considering the responses to its policy consultation on use of critical benchmarks that were permanently unrepresentative or were known to be ceasing. A second short consultation on the specific application of the policy would follow, expected mid-September, and a final decision was expected in Q4 2021.

7. The FCA asked that any regulated UK market participants looking to use credit sensitive rates in UK-based business to consider the risks carefully, and raise with their FCA supervisors before doing so as set out in the recent “LIBOR - six months to go” speech by Edwin Schooling Latter.

3. Market updates

3.a. Status of the end-Q2 milestone

8. The FCA updated that on a duration-adjusted basis, the share of SONIA versus GBP LIBOR swaps had increased to 79%, up from 70% the prior month. Quotes in the sterling non-linear dealer market were almost entirely referencing SONIA after a smooth transition on the 11 May 2021. Transition was also progressing in the dealer-to-client market.

9. The ‘SONIA first’ initiative for exchange-traded derivatives had been impacted by market volatility. However, since 17 June, the share of SONIA futures had increased to about 40%, while open interest increased from 9% to 12%. The PRA and FCA sent an addendum to their March ‘Dear CEO’ letter, reaffirming their expectations that regulated firms adhere to the RFRWG’s recommended end-Q2 milestone for ceasing new non-linear and exchange traded derivatives based on sterling LIBOR. This extended existing data-reporting to sterling non-linear and exchange traded derivative products.

10. Members noted that while the timing of the ‘SONIA first’ initiative for exchange traded derivatives initiative was unlucky, they expected SONIA liquidity to reach a tipping point if efforts continued.

3.b. SOFR First

11. US regulators had strongly supported the 26 July 2021 ‘SOFR first’ initiativefootnote [1]. Following an FCA survey of UK inter-dealer market participants, the Bank of England and FCA published a statement supporting this initiative in the UK.

3.c. Global RFR first for cross-currency derivatives

12. The Working Group’s recommended milestone was to cease initiation of cross-currency derivatives with a LIBOR-linked sterling leg expiring after 2021(except for risk management of existing positions) by the end of Q3. The FCA and Bank of England had been engaging with market participants and authorities across LIBOR jurisdictions to determine support for a common date in September to encourage use of risk-free rates rather than LIBOR in cross-currency swaps.

13. There was a strong desire from market participants to get more clarity into the public domain as soon as possible to allow firms to update their systems and processes.

4. Focus on end-Q3 active transition milestone

4.a. Update from trade associations on their outreach to members

14. Representatives from the Association of Corporate Treasurers, Investment Association, Loan Market Association and UK Finance provided an update on their outreach to members in relation to the Working Group’s recommended end-Q3 milestone. A representative from the Confederation of British Industry joined the meeting to provide a similar update.

15. Supporting members with their transition remains a key focus for trade associations, which were continuing to arrange regular LIBOR working group events, reports and bilateral outreach to support market participants. Feedback to trade associations suggested that awareness of the end-Q3 milestones was high.

16. Several banks were transitioning deals by using the opportunity to propose changes alongside other amendments being made to facilities. Feedback suggested that the most common approach was to do amendments in a one-stage process.

17. In general, client engagement remained high, which helped embed milestones within trade association members’ transition plans.

4.b. Updates from the Communications Sub-Group

18. The Communications Sub-Group was working on a paper in support of the end-Q3 2021 milestone to complete active transition of all legacy GBP LIBOR contracts expiring after end-2021 where viable. The paper would be aimed at increasing awareness and understanding of the milestone by corporates, articulating reasons why it may be in their interests to meet this milestone and steps they might consider in doing so.

5. Updates to Working Group documents

5.a. Update of the list of term SONIA providers and RFR calculator summary slides

19. The co-chair of the Infrastructure Sub-Group noted proposed updates on the key attributes of Term SONIA Reference Rates (TSRR) summary and to the freely available independent RFR calculator slides.

20. The FCA noted that it had selected the IBA’s TSRR as a component for the specific purpose of a potential synthetic sterling LIBOR. Its announcement had made clear, however, that both this and Refinitiv’s TSRR were sufficiently robust and suitable for the use cases that the Working Group had identified. The FCA welcomed continued publication of both rates to provide users with choice.

5.b. New section of the Best Practice Guide for GBP loans

21. The Loan Enablers Task Force had extended the Best Practice Guide with an appendix on compounded SONIA-based indices. The addition would provide considerations on how and when to use Compounded SONIA-based indices as a tool to validate compounding calculations.

6. Priorities for the summer period

22. The Chair reminded members to maintain the rate of progress as the final months of 2021 and the recommended milestone on active transition by end-Q3 approached.


Private sector attendees

Tushar Morzaria - Barclays (Chair) 

Paul Mansour - Barclays (Chair’s Office)

Andreas Giannopoulos - Barclays (Chair’s Office)

Helen Robinson - Barclays (Chair’s Office)

Joseph McQuade - Barclays (Chair’s Office)

Alan Coutts - Aberdeen Asset Management

Sarah Boyce - Association of Corporate Treasurers

James Winterton - Association of Corporate Treasurers

Alexandre Papadacci - Axa

Katherine Ashdown - Bank of America

Snigdha Singh - Bank of America

Doug Laurie - Barclays

Jonathan Brown - Barclays

Robert Mitchelson - Blackrock

Ryan O’Keeffe - Blackrock

Greg Olsen - Clifford Chance (Competition Law Counsel)

Zsolt Szollosi - Credit Suisse

Megan Coulson - Confederation of British Industry – Guest (item 4 only)

Michael Barron - Deutsche Bank

Martial Collet-Billon - Deutsche Bank

Simon Goodwin -Deutsche Bank

Axel van Nederveen - EBRD

Alan Farrell - Goldman Sachs

Chirag Dave - Goldman Sachs

John O’Sullivan - HSBC

Matthew Horton - ICE Futures Europe

Paul Richards - ICMA

Robert Gall - Insight Investment

Galina Dimitrova - Investment Association

Rick Sandilands - ISDA

Scott O’Malia - ISDA

Kari Hallgrimsson - JP Morgan

Guy Whitby-Smith - Legal & General Investment Management

Ian Fox - Lloyds Banking Group

Clare Dawson - Loan Market Association

Philip Whitehurst - LCH

Siobhan Clarke - M&G

Katarzyna Abendan - M&G

Kwok Liu - National Grid

Terry Barton - Nationwide

Phil Lloyd - NatWest Markets

Jamieson Thrower - NatWest Markets

Donal Quaid - NatWest Markets

Frances Hinden - Shell

Hannah Falth - UBS

Daniel Cichocki - UK Finance

Official sector attendees

Alastair Hughes - Bank of England

Arif Merali - Bank of England

Tom Horn - Bank of England

Peter Balint - Bank of England

Stefania Spiga - Bank of England

Leman Menguturk - Bank of England

Tanece Hamilton - Bank of England

Mary Bentley - Bank of England

Edwin Schooling Latter - Financial Conduct Authority

Helen Boyd - Financial Conduct Authority

Anne-Laure Condat - Financial Conduct Authority

Toby Williams - Financial Conduct Authority

Will Davies - Financial Conduct Authority