ARRC announced today that it has selected Refinitiv to publish the ARRC recommended spread adjustments and spread-adjusted rates for cash products. This selection was based on the RFP process that was initiated last year.
LCH announced the specific conventions for converting LIBOR swaps to RFR. The interesting thing is that it seems the fallback/conversion swap conventions do not follow the bi-lateral ISDA recommended conventions. Here is the text from LCH: In light of our user-backed decision to carry the spread adjustment on the RFR leg of the converted contract, LCH […]
SEC’s Division of Examinations issued its 2021 Examination Priorities, pointing out the areas where it intends to focus its resources for examinations in the coming year The intended targets include: Compliance with the newly implemented Regulation Best Interest Unique compliance issues related to COVID pandemic Operational resilience and risks associated with climate change Exposure to […]
Yield loss could arise due to the mismatch between the LIBOR and SOFR floors. From a lender’s perspective, the fallback adjustment may not be sufficient when taking into account of corresponding interest rate floors. Lenders should consider the potential inter-lender voting issue if they have not included a transition language as LIBOR transition approaches. Lenders participating in […]
The Federal Reserve Board issued supervisory letter SR 21-7. The letter provides supervisory guidance for examiners to consider when evaluating an institution’s plan to shift away from LIBOR The firm is judged on six aspects: transition planning; financial exposure measurement and risk assessment, operational preparedness and controls; legal contract preparedness; communication; and oversight There is […]