A Commodity Futures Trading Commission panel recommended best practices for switching interdealer trading conventions from LIBOR to the Secured Overnight Financing Rate in U.S. dollar interest rate swaps.
Swap guidance continues LIBOR transition
June 09, 2021 / By ICBA
A Commodity Futures Trading Commission panel recommended best practices for switching interdealer trading conventions from LIBOR to the Secured Overnight Financing Rate in U.S. dollar interest rate swaps.
A Commodity Futures Trading Commission panel recommended best practices for switching interdealer trading conventions from LIBOR to the Secured Overnight Financing Rate in U.S. dollar interest rate swaps.
What’s New: Specifically, the CFTC panel recommended that interdealer brokers change linear swap trading conventions from LIBOR to SOFR on July 26.
Impact: The Alternative Reference Rates Committee—which is implementing the LIBOR transition — said the convention switch will accelerate the shift and allow it to formally recommend SOFR term rates.
Pending Deadline: The U.K. Financial Conduct Authority has said it will cease publishing LIBOR for the one-week and two-month settings immediately after Dec. 31, 2021. U.S. regulators last fall encouraged banks to cease entering new USD LIBOR contracts by that date.
Transition: The ARRC — on which ICBA serves — encourages market participants to continue the transition using available tools.
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