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USD LIBOR rate is an interest rate that has been used widely for more than three decades as a reference rate for financial contracts and as benchmark to gauge funding cost and investment returns for a broad range of financial products. For several reasons regulators want to retire USD LIBOR with a full phase-out by the end of 2021 with a new reference rate known as SOFR (Secured Overnight Funding Rate).
On March 26th,2021 after market close, Asigna will transition to discount all TIIE swap open position with SOFR OIS curve, instead of Fed Funds OIS curve as is discounted these days.
Asigna will publish the reference document to carry out the transition during the third week of February 2021, and during February and March, Asigna will be testing the transition with the Clearing Members to know the changes in their valuations by the new discount curve. A weekly file will be delivered during the first phase, and a daily file will be provided from March 15th, 2021 to March 26th, 2021.
For further information, please contact Juan Mañas jmanas@grupobmv.com.mx or Miguel Angel Torres matorres@grupobmv.com.mx
