Credit adjustment spread methods - consultation response

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.

Summary

  • 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.

Who to speak to

John Butler, Policy Leader