SOFR First Initiative

The Commodity Futures Trading Commission has officially recommended July 26, 2021 for transitioning the interdealer trading conventions from LIBOR to SOFR, an approach more commonly called “SOFR First” and based on the same, highly successful approach applied in the UK last October.

This initiative is intended as a best-practice recommendation for linear swaps includes a recommending that interdealer broker LIBOR swap screens are turned off from October 22, 2021. The ARRC also announced their support for the initiative and noted that they expected this practice to fulfil their criteria for recommending the CME SOFR term rates within “days, not weeks” after it begins.

Subsequent phases will also be rolled out to accommodate non-linear swaps, exchange-traded and FX products.

Contacts

Please visit www.pasVal.com for more information.

About Epsilon Technologies Group

Epsilon is a vibrant capital markets technology solutions and services firm serving small and medium-sized financial institutions such as regional banks, Government-Sponsored Enterprises, and Federal Home Loan Banks. The Group’s deep expertise embraces every aspect of software development, products, data, technologies, and consulting. Epsilon offers ETS and Principia Analytic System as licensed products, and various innovative bespoke solutions across a broad set of capital markets domains. Epsilon also offers a full range of consulting services, including implementation, advisory, analytics, risk management, accounting, and data modeling.