Wed, Jun 23, 2021
There is a strong regulatory and legal flavor to this month's newsletter with a string of announcements, guidance and milestones.
There has been ongoing development in the risk-free rate (RFR) markets with more liquidity being reported and a move to use RFRs as the primary quotation rate for exchange traded derivatives and the USD interdealer swap market.
As we approach the end of the second quarter the milestones set by the UK working group for the cessation of new exchange traded and linear LIBOR based derivatives that expire beyond the December 31 deadline (with some limited exceptions) should provide another boost to RFR liquidity. The development of legislation in the U.S. and other jurisdictions supporting the transition, coupled with the continued release of guidance from regulators and industry bodies has helped remove the uncertainties for market participants. However, with half year looming in the not so distant future, the pressure is growing to make the transition happen.
General News
Preparing for the LIBOR Transition, a Due Diligence Insights Virtual Event hosted by Jennifer Press and Marcus Morton, from the Kroll team: Jennifer Press and Marcus Morton, IMDDA
ARRC Announces the Third Event in its Series The SOFR Symposium: The Final Year, ARRC
ARRC Identifies Market Indicators to Support a Recommendation of a Forward-Looking SOFR, ARRC
Market Details
Deep, Liquid, and Transparent (DLT) Assessment of the Sterling Overnight Index Average (SONIA) Overnight Index Swap (OIS) market - June 2021, Bank of England
The FCA and the Bank of England encourage market participants in a switch to SONIA in the sterling exchange traded derivatives market from 17 June, Bank of England
Libor Replacements Multiply in Shift That Could Fracture Markets, Bloomberg
Regulatory Updates
FCA Consults on Use of New Powers to Support Orderly Wind Down of Critical Benchmarks, FCA
LIBOR Transition: Laws Won't Eliminate All Uncertainty, S&P Global
Aussie Regulators Urge Firms to Accelerate Switch from LIBOR, Finance Magnates
Regulators Insist Derivatives Industry Must Ditch LIBOR, Reuters
The replacement of London Inter-Bank Offered Rate (LIBOR) is a multiyear transformation, and the impact will be a seismic shift in core operations, vendor relationships and loan products.
Download the LIBOR Transition Toolkit to help gather the documentation needed to assess your LIBOR-linked exposure.
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