Interest Rate Reform and Implications on Foreign Currency Derivatives
What’s the Issue? Britain is ending support of the London Interbank Offered Rate (LIBOR) on or about 2021. US regulators currently plan to replace LIBOR with the Secured Overnight Financing Rate (SOFR) curve. The pending “Illiquid LIBOR Market” and related lack of transparency will render valuations of LIBOR priced instruments troublesome.