Derivative Clearing Change Prompts New LIBOR Relief

Thoughtware Alert Published: Oct 12, 2020
Audit, Accounting and Assurance Practice

As part of the ongoing work to prepare for the sunset of the London Interbank Offered Rate (LIBOR) at the end of 2021, derivative central counterparties will be changing the interest rate used for margining, discounting, and contract price alignment for derivative instruments. This article provides more details on the changes, which will affect various currencies and reference rates, including those that are not affected by the LIBOR sunset.

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