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OCC Releases Self-Assessment Tool for Banks:
LIBOR Transition

The Office of the Comptroller of the Currency (OCC) has issued an update to their Self-Assessment Tool for Banks from their release in February 2021.

This update further emphasizes that the OCC "expects banks to cease entering into new contracts that use LIBOR as a reference rate as soon as practicable and no later than December 31, 2021." Additionally, the OCC notes that it shares the concerns noted by IOSCO last month, around the misuse of credit sensitive rates. This bulletin clearly intends to delineate what the OCC considers prudent and best practice: "While banks may use any replacement rate they determine to be appropriate for their funding model and customer needs, OCC supervisory efforts will initially focus on non-SOFR rates."

You can read the highlights here and download the assessment tool here.

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Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.