The Bank of England’s Risk-Free Rate Working Group has issued a consultation on credit adjustment. We've published a joint response with the Scottish Federation of Housing Associations and Community Housing Cymru.
- The consultation asked for responses on credit adjustment spread methodologies for fallbacks in cash products that reference GBP LIBOR.
- The International Swaps and Derivatives Association’s current historical median approach is our preferred method.
- We've recommended that no other methodology be considered, as this would mean that housing associations could not hedge, or manage the risk on their loan portfolios.