SOFR, LIBOR Transition and Impact on Interest Rate Derivatives Reporting
Reference Rate Transition and EMIR Reporting
Under EMIR, firms must report both new and modified OTC derivative trades to an authorised trade repository (TR). The transition from LIBOR-based contracts requires updates to key trade report fields, particularly the reference rate fields. In cases where contracts are amended, lifecycle events such as benchmark substitutions or valuation changes must be reported accordingly.
These changes often include:
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- Substituting LIBOR with an alternative RFR (SOFR, SONIA etc)
- Updating valuation models to use the new RFR-based discounting curves (e.g., OIS curves)
- Revising collateral terms linked to rate recalibrations
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Legacy contracts that continue to reference LIBOR may require retrospective updates or re-reporting under EMIR Refit obligations, particularly where benchmark replacement results in a reportable lifecycle event such as a modification or a valuation adjustment.
Central Counterparties such as London Clearing House (LCH) also supported the transition by converting cleared LIBOR trades to RFRs, helping firms align with reform deadlines.
Impact of the LIBOR Transition for MiFIR Transparency and Consistency
Under MiFIR, firms are subject to post-trade transparency requirements for interest rate derivatives traded on trading venues. Investment firms and trading venues must publish key transaction details, including price, volume and date/time of execution on a timely basis.
The transition from LIBOR to RFRs affects the classification and reporting of interest rate derivatives, requiring firms to ensure that new reference rates are correctly reflected in post-trade transparency and reference data submissions.
The growth of RFR-based products also affects data consistency across reporting regimes. Firms must align reference data fields across EMIR and MiFIR reports to avoid discrepancies, especially for derivatives subject to multiple regulatory frameworks. Ensuring harmonised reporting supports market transparency and enables regulators to monitor transition risks.
CFTC Reporting Considerations for LIBOR Transition
In the US, the CFTC amended its swap data reporting rules to support the LIBOR transition. Firms must report RFR-based trades, such as those referencing SOFR, and ensure valuation and lifecycle data reflect the updated benchmarks. These updates align US reporting practices with global benchmark reform efforts.
