The Interest Rate Benchmark Reform Subcommittee of the CFTC Market Risk Advisory Committee selected December 13, 2021, as the date for switching interdealer trading conventions for U.S. dollar newly executed cross-currency derivatives from LIBOR to SOFR.
The Subcommittee announced the date as part of its rollout under the Committee's "SOFR First" initiative. As previously covered, the SOFR First initiative calls for a four-phase transition from LIBOR to SOFR for U.S. dollar linear interest rate swaps, cross-currency swaps, non-linear derivatives, and exchange-traded derivatives and others. For SOFR First purposes, cross-currency basis swaps with one leg of the transaction quoted in USD are considered cross-currency derivatives. The forthcoming final phase of SOFR First will concern exchange-traded derivatives.
In a related FAQ, the Subcommittee clarified (i) the relationship between the SOFR First cross-currency derivatives recommendation and its September 21, 2021 Risk-Free Rates First date for cross-currency derivatives, (ii) whether end users can still execute USD LIBOR cross-currency derivatives after December 13, 2021, and (iii) recommended trade conventions for SOFR/RFR or SOFR/IBOR interdealer cross-currency derivatives.
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