The International Capital Market Association has today published a quick guide to the transition to risk-free rates in the international bond market.

It says this quick guide is intended to highlight the key issues on which ICMA is focused in the transition from IBORs to alternative near risk-free reference rates in the international bond market (including floating rate notes, covered bonds, capital securities, securitisations and structured products); and provide links to relevant resources.

More information is available on the ICMA benchmark reform and transition to RFRs webpage.

ICMA adds that the Quick Guide reflects the position as at its date, but market participants should note that there are frequent market and other developments in the transition to RFRs.

This follows the Bank of England's unveiling yesterday of initiatives to support risk transition away from London interbank offered rate.

The Bank has issued a market notice relating to its risk management approach to collateral referencing London interbank offered rate for use in the sterling monetary framework.

This states that a haircut add-on will be applied to all LIBOR-linked collateral. The add-on will be 10 percentage points from October 1 2020, 40 percentage points from June 1 2021 and 100 percentage points from December 31 2021. Haircuts will be capped at 100 percent.

The Bank is also seeking views from sterling market participants on ways to accelerate the adoption of sterling overnight interbank average rate (SONIA) as an alternative reference rate in sterling markets.

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The International Capital Market Association has today published a quick guide to the transition to risk-free rates in the international bond market.

It says this quick guide is intended to highlight the key issues on which ICMA is focused in the transition from IBORs to alternative near risk-free reference rates in the international bond market (including floating rate notes, covered bonds, capital securities, securitisations and structured products); and provide links to relevant resources.

More information is available on the ICMA benchmark reform and transition to RFRs webpage.

ICMA adds that the Quick Guide reflects the position as at its date, but market participants should note that there are frequent market and other developments in the transition to RFRs.

This follows the Bank of England's unveiling yesterday of initiatives to support risk transition away from London interbank offered rate.

The Bank has issued a market notice relating to its risk management approach to collateral referencing London interbank offered rate for use in the sterling monetary framework.

This states that a haircut add-on will be applied to all LIBOR-linked collateral. The add-on will be 10 percentage points from October 1 2020, 40 percentage points from June 1 2021 and 100 percentage points from December 31 2021. Haircuts will be capped at 100 percent.

The Bank is also seeking views from sterling market participants on ways to accelerate the adoption of sterling overnight interbank average rate (SONIA) as an alternative reference rate in sterling markets.